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)
Registrants telephone number, including area code: 505-984-0200
Date of fiscal year end: September 30, 2013
Date of reporting period: September 30, 2013
Item 1. Reports to Stockholders
The following annual reports are attached hereto, in order:
Thornburg Limited Term Municipal Fund
Thornburg Intermediate Municipal Fund
Thornburg Strategic Municipal Income Fund
Thornburg California Limited Term Municipal Fund
Thornburg New Mexico Intermediate Municipal Fund
Thornburg New York Intermediate Municipal Fund
Thornburg Limited Term Income Funds
Thornburg Strategic Income Fund
Thornburg Value Fund
Thornburg International Value Fund
Thornburg Core Growth Fund
Thornburg International Growth Fund
Thornburg Investment Income Builder Fund
Thornburg Global Opportunities Fund
Thornburg Developing World Fund
IMPORTANT INFORMATION
The information presented on the following pages is current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
LTMFX | 885-215-459 | ||
Class C |
LTMCX | 885-215-442 | ||
Class I |
LTMIX | 885-215-434 |
Best Short-Intermediate Municipal Debt Fund
Lipper Classification Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested). Fund Classification Awards were given for three-year, five-year, and ten-year periods ended 11/30/12. The Fund did not win the award for other time periods.
Glossary
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index A subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
This page is not part of the Annual Report. 3
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG LIMITED TERM MUNICIPAL FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| Diversifying among a large number of generally high-quality bonds. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.72%, as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from September 28, 1984 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 9/28/84) |
||||||||||||||||||||
Without sales charge |
-0.39 | % | 2.45 | % | 4.30 | % | 3.19 | % | 5.28 | % | ||||||||||
With sales charge |
-1.86 | % | 1.93 | % | 3.99 | % | 3.04 | % | 5.23 | % |
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
1.87% |
1.10 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
1,997 | |||
Effective Duration |
3.5 Yrs | |||
Average Maturity |
4.1 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg Limited Term Municipal Fund
September 30, 2013
7 | ||||
13 | ||||
68 | ||||
69 | ||||
70 | ||||
71 | ||||
78 | ||||
80 | ||||
81 | ||||
82 | ||||
83 | ||||
86 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Limited Term Municipal Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 32 cents to $14.38 per share during the year. If you were with us for the entire period, you received dividends of 26.4 cents per share. If you reinvested your dividends, you received 26.6 cents per share. Dividends were lower for Class C shares and higher for Class I shares, to account for varying class-specific expenses. The Class A shares of your Fund underperformed the Index with a total return of negative 0.39% at NAV for the fiscal year ended September 30, 2013, compared to the negative 0.20% total return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index. The Fund generated 2.18% less price decline and 2.37% less income than its benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, added 0.13% of relative price performance. Our sector allocations added 0.70% of relative price performance, and our overweight to lower credit-quality securities added 0.27% of relative price performance compared to its benchmark. Other risk factors accounted for another 1.08% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 30, 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint recovery with little inflation. Investors must ask themselves: Why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed-income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around midyear. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013, to a high of 2.99% on September 5, 2013.
On September 18, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlook including economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objective were close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed-income markets.
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Chart I: Changes in AAA General Obligation Municipal Yield Curve 9/30/2012 9/30/2013
Past performance does not guarantee future results.
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013 and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Some of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the yield difference between a 5-year maturity AAA-rated general-obligation municipal bond and a 10-year maturity AAA-rated general-obligation bond. This difference in yield between long and shorter maturities is the slope of the yield
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
curve. At the beginning of the fiscal year, an investor earned an extra 1.06% by investing in a 10-year, AAA-rated security versus a 5-year AAA-rated security. That difference decreased to 0.77% by the end of November 2012 as investors clamored for more income, under the impression that the Feds stimulative quantitative easing program (QE3) would remain intact for a prolonged period of time. In June, after the Fed announced its intent to taper purchases, longer-maturity yields increased more than shorter-term securities, and the difference in yield increased to 1.55% on August 30, 2013. On September 18, 2013, when the Fed surprised the market, longer-maturity bonds decreased in yield more than shorter-maturity bonds, and this yield difference decreased to 1.30% by fiscal year end. On an all-in basis, the 10-year maturity AAA-rated general obligation municipal bond increased in yield 0.24% more than the 5-year AAA-rated general obligation municipal bond.
Chart II: 5-10 Year AAA General Obligation Yield Curve Slope 6/3/1994 8/31/2013
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
| Bloomberg State Stock Index |
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It ranged from an 7.4% increase to an 8.1% decrease. For the comparable period of the second quarter
10 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
of 2011 through the second quarter of 2012, the average was a decrease of 0.87% with a range from an increase of 11.5% to a decrease of 9.0%. State pension funds are still wrestling with issues: median funding levels have gone from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests a funding level of 80% is adequate).
Against this backdrop, several high profile credit events have taken place in the municipal bond market over the course of the fiscal year. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. The Thornburg Limited Term Municipal Fund does not own any Detroit general-obligation bonds. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, at 84% and $70,000, respectively.
Thornburg has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75%-77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We continue to rely on that same fundamental, bottom-up credit research to determine which securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
Conclusion
Your Thornburg Limited Term Municipal Fund currently maintains a laddered portfolio structure of 734 municipal obligors. This structure has the potential to maximize an investors income. By our calculations, laddering outperforms other bullet and barbell structures two-thirds of the time.1 This approach effectively manages a portfolios yield-curve exposure via a roughly equal weighting of each maturity, thereby mitigating a major risk factor. Chart I illustrates that yield changes
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
are not uniform across the Thornburg Limited Term Municipal Funds investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year so it can be reinvested. Chart III describes the percentages of your Funds bond portfolio maturing in each of the coming years.
We recognize that fiscal 2013 has been a tough one for fixed-income investors. We continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Chart III: Percent of Portfolio Maturing
Sincerely,
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Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
1 | For a copy of the study, go to www.thornburg.com/whyladder |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
ALABAMA 1.83% |
||||||||||
Alabama Public School & College Authority, 5.00% due 5/1/2015 (Education System Capital Improvements) |
NR/Aa1 | $ | 8,530,000 | $ | 9,150,302 | |||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 (Education System Capital Improvements) |
AA/Aa1 | 5,000,000 | 5,546,900 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements) |
AA/Aa1 | 4,840,000 | 5,623,015 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements) |
AA/Aa1 | 770,000 | 894,571 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2020 (Education System Capital Improvements) |
AA/Aa1 | 5,085,000 | 5,947,263 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Education System Capital Improvements) |
AA/Aa1 | 5,335,000 | 6,238,909 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2022 (Education System Capital Improvements) |
AA/Aa1 | 5,605,000 | 6,554,543 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2023 (Education System Capital Improvements) |
AA/Aa1 | 735,000 | 859,869 | |||||||
Alabama State Board of Education, 3.00% due 5/1/2017 (Calhoun Community College) |
NR/A1 | 2,070,000 | 2,158,886 | |||||||
Alabama State Board of Education, 3.00% due 5/1/2018 (Calhoun Community College) |
NR/A1 | 2,130,000 | 2,205,572 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2019 (Calhoun Community College) |
NR/A1 | 2,195,000 | 2,360,174 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2020 (Calhoun Community College) |
NR/A1 | 1,000,000 | 1,073,170 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2021 (Calhoun Community College) |
NR/A1 | 1,000,000 | 1,062,310 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2022 (Calhoun Community College) |
NR/A1 | 1,230,000 | 1,296,764 | |||||||
Camden Industrial Development Board, 6.125% due 12/1/2024 pre-refunded 12/1/2013 (Weyerhaeuser Company) |
AA+/NR | 2,800,000 | 2,828,252 | |||||||
City of Birmingham GO, 5.00% due 10/1/2013 (Government Services; Insured: MBIA) |
AA/Aa2 | 6,500,000 | 6,500,845 | |||||||
City of Birmingham GO, 5.00% due 2/1/2015 (Government Services) |
AA/Aa2 | 4,240,000 | 4,491,941 | |||||||
City of Birmingham GO, 4.00% due 8/1/2015 (Government Services) |
AA/Aa2 | 3,005,000 | 3,188,425 | |||||||
City of Birmingham GO, 5.00% due 2/1/2016 (Government Services) |
AA/Aa2 | 3,775,000 | 4,131,851 | |||||||
City of Birmingham GO, 4.00% due 8/1/2016 (Government Services) |
AA/Aa2 | 3,645,000 | 3,947,207 | |||||||
City of Birmingham GO, 5.00% due 2/1/2017 (Government Services) |
AA/Aa2 | 2,045,000 | 2,295,288 | |||||||
City of Birmingham GO, 4.00% due 8/1/2017 (Government Services) |
AA/Aa2 | 2,760,000 | 3,029,542 | |||||||
City of Birmingham GO, 5.00% due 2/1/2018 (Government Services) |
AA/Aa2 | 2,000,000 | 2,279,620 | |||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) |
A/A2 | 6,000,000 | 6,008,520 | |||||||
City of Mobile Industrial Development Board Pollution Control, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Company Barry Plant Project) |
A/A2 | 6,000,000 | 6,364,680 | |||||||
City of Mobile Private Placement Warrants GO, 4.50% due 8/15/2016 (Senior Center) |
NR/NR | 1,090,000 | 1,124,313 | |||||||
City of Mobile Warrants GO, 5.00% due 2/15/2019 (City Capital Improvements) |
AA-/Aa2 | 2,000,000 | 2,252,820 | |||||||
City of Montgomery BMC Special Care Facilities Financing Authority, 5.00% due 11/15/2013 (Baptist Health; Insured: Natl-Re) (ETM) |
A/NR | 1,000,000 | 1,005,940 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2021 |
A/NR | $ | 1,245,000 | $ | 1,396,629 | |||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2022 |
A/NR | 800,000 | 882,736 | |||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2016 |
AAA/Aa1 | 2,080,000 | 2,328,331 | |||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2019 |
AAA/Aa1 | 3,375,000 | 3,847,027 | |||||||
Town of Courtland Industrial Development Board, 4.75% due 5/1/2017 (Solid Waste Disposal-International Paper Company Project) |
BBB/NR | 5,000,000 | 5,139,300 | |||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2017 |
A+/A1 | 2,500,000 | 2,861,000 | |||||||
University of Alabama at Birmingham Hospital, 5.00% due 9/1/2018 |
A+/A1 | 1,500,000 | 1,721,415 | |||||||
ALASKA 0.74% |
||||||||||
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2018 (Insured: Natl-Re) |
AA+/Aa2 | 2,000,000 | 2,258,900 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2014 |
AA+/Aa3 | 2,000,000 | 2,048,140 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2015 |
AA+/Aa3 | 1,900,000 | 2,030,245 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2016 |
AA+/Aa3 | 1,100,000 | 1,213,102 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017 |
AA+/Aa3 | 3,000,000 | 3,392,460 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018 |
AA+/Aa3 | 2,455,000 | 2,816,916 | |||||||
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: Natl-Re) (State Aid Withholding) |
AA/Aa2 | 1,175,000 | 1,212,353 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) |
A/A2 | 12,000,000 | 13,789,440 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) |
A/A2 | 3,700,000 | 4,251,744 | |||||||
North Slope Borough GO, 5.00% due 6/30/2015 (Insured: Natl-Re) |
AA-/Aa3 | 3,250,000 | 3,508,668 | |||||||
North Slope Borough GO, 5.00% due 6/30/2017 (Insured: Natl-Re) |
AA-/Aa3 | 8,800,000 | 10,035,080 | |||||||
State of Alaska, 5.00% due 10/1/2017 (Alaska International Airports System; Insured: Natl-Re) |
A/A1 | 1,115,000 | 1,239,568 | |||||||
ARIZONA 4.00% |
||||||||||
Arizona Board of Regents, 4.00% due 7/1/2014 (ASU Polytechnic, Tempe, West Campus Capital Projects) |
AA/Aa3 | 400,000 | 411,396 | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re) |
AA-/A1 | 1,285,000 | 1,436,309 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2018 (Northern Arizona University Projects) |
A/A2 | 1,000,000 | 1,045,810 | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re) |
AA-/A1 | 3,735,000 | 4,185,067 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2019 (Northern Arizona University Projects) |
A/A2 | 2,525,000 | 2,612,794 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2019 pre-refunded 9/1/2014 (Northern Arizona University Research Infrastructure Projects; Insured: AMBAC) |
A/A2 | 3,500,000 | 3,652,670 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2019 (Arizona State University) |
AA-/A1 | 1,085,000 | 1,249,681 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Northern Arizona University Projects) |
A/A2 | 1,000,000 | 1,145,370 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Arizona State University) |
AA-/A1 | 3,170,000 | 3,663,284 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2021 (Arizona State University) |
AA-/A1 | 4,020,000 | 4,635,904 | |||||||
Arizona Board of Regents COP, 5.00% due 6/1/2022 (University of Arizona) |
AA-/Aa3 | 6,080,000 | 6,966,707 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Northern Arizona University Projects) |
A/A2 | 2,500,000 | 2,844,625 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Arizona State University) |
AA-/A1 | 4,380,000 | 5,057,236 | |||||||
a Arizona Board of Regents COP, 5.00% due 9/1/2023 (Northern Arizona University Projects) |
A/A2 | 3,325,000 | 3,714,956 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Arizona State University) |
AA-/A1 | 5,580,000 | 6,412,369 | |||||||
Arizona HFA, 5.25% due 1/1/2018 (Banner Health) |
AA-/NR | 3,500,000 | 4,004,490 | |||||||
Arizona HFA, 5.00% due 7/1/2018 (Catholic Health Care West) |
A/A3 | 1,470,000 | 1,662,585 | |||||||
Arizona HFA, 5.00% due 7/1/2019 (Catholic Health Care West) |
A/A3 | 1,365,000 | 1,544,798 | |||||||
Arizona HFA, 5.00% due 7/1/2020 (Catholic Health Care West) |
A/A3 | 1,290,000 | 1,439,060 | |||||||
Arizona School Facilities Board, 5.00% due 7/1/2016 (State School Land Trust; Insured: AMBAC) |
NR/NR | 5,775,000 | 6,307,339 | |||||||
Arizona School Facilities Board, 5.00% due 1/1/2017 pre-refunded 7/1/2015 (State School Improvement) |
AAA/Aaa | 1,225,000 | 1,324,666 | |||||||
Arizona School Facilities Board COP, 5.25% due 9/1/2023 (School Site and Building Projects) |
A+/A1 | 1,315,000 | 1,437,387 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2019 |
AA+/Aa2 | 3,510,000 | 4,121,266 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2021 |
AA+/Aa2 | 7,465,000 | 8,813,254 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2022 |
AA+/Aa2 | 5,000,000 | 5,833,800 | |||||||
City of Chandler, 3.00% due 7/1/2014 |
AA/Aa3 | 2,790,000 | 2,847,223 | |||||||
City of Tucson, 5.00% due 7/1/2022 |
AA+/A1 | 2,135,000 | 2,457,107 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Tucson GO, 3.625% due 7/1/2015 (Insured: Natl-Re) |
AA-/Aa3 | $ | 1,750,000 | $ | 1,845,935 | |||||
City of Yuma Municipal Property Corp., 5.00% due 7/1/2016 (Water and Wastewater System; Insured: Syncora) |
A+/A1 | 2,000,000 | 2,194,880 | |||||||
City of Yuma Municipal Property Corp., 5.00% due 7/1/2018 (Water and Wastewater System; Insured: Syncora) |
A+/A1 | 2,130,000 | 2,346,941 | |||||||
Deer Valley USD No. 97 of Maricopa County, 4.00% due 7/1/2015 (2004 School Improvement Project; Insured: AGM) |
NR/Aa2 | 1,325,000 | 1,406,541 | |||||||
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University) |
A-/NR | 1,000,000 | 1,056,070 | |||||||
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) |
A-/NR | 1,325,000 | 1,435,836 | |||||||
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) |
A-/NR | 1,440,000 | 1,582,992 | |||||||
Glendale Western Loop 101 Public Facilities Corp., 6.00% due 7/1/2019 pre-refunded 1/1/2014 |
AA/Baa1 | 2,200,000 | 2,232,340 | |||||||
Maricopa County IDA Health Facilities, 4.125% due 7/1/2015 (Catholic Health Care West) |
A/A3 | 1,600,000 | 1,693,552 | |||||||
Maricopa County IDA Health Facilities, 5.00% due 7/1/2038 put 7/1/2014 (Catholic Health Care West) |
A/A3 | 7,500,000 | 7,717,950 | |||||||
Mesa Highway GO, 3.25% due 7/1/2016 |
AA+/Aa3 | 10,000,000 | 10,186,500 | |||||||
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: Syncora) (ETM) |
AA+/NR | 3,135,000 | 3,209,519 | |||||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) |
BBB+/NR | 12,100,000 | 12,803,252 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) |
BBB+/Baa1 | 1,600,000 | 1,649,024 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) |
BBB+/ Baa1 |
2,600,000 | 2,679,664 | |||||||
Navajo County PCR, 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.) |
BBB+/ Baa1 |
9,700,000 | 10,762,247 | |||||||
Phoenix Union High School District No. 210 of Maricopa County GO, 4.00% due 7/1/2015 (2003 School Improvement Project; Insured: Natl-Re) |
AA/Aa2 | 1,500,000 | 1,590,945 | |||||||
Pima County, 4.00% due 7/1/2014 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 1,500,000 | 1,541,925 | |||||||
Pima County, 5.00% due 7/1/2015 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 1,400,000 | 1,510,068 | |||||||
Pima County, 5.00% due 7/1/2016 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 2,000,000 | 2,226,520 | |||||||
Pima County, 4.50% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) |
AA-/A2 | 5,040,000 | 5,640,718 | |||||||
Pima County, 5.00% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 2,750,000 | 3,135,083 | |||||||
Pima County, 3.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 500,000 | 530,275 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 700,000 | 807,128 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) |
AA-/A2 | 5,000,000 | 5,752,800 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 2,000,000 | 2,306,080 | |||||||
Pima County, 5.00% due 7/1/2020 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 500,000 | 580,590 | |||||||
Pima County, 3.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 1,200,000 | 1,223,784 | |||||||
Pima County, 5.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 400,000 | 462,604 | |||||||
Pima County, 3.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 1,325,000 | 1,329,585 | |||||||
Pima County, 5.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) |
A+/NR | 500,000 | 581,700 | |||||||
Pima County COP, 3.00% due 12/1/2014 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 2,420,000 | 2,493,955 | |||||||
Pima County COP, 5.00% due 12/1/2015 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 1,250,000 | 1,367,500 | |||||||
Pima County COP, 5.00% due 12/1/2016 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 600,000 | 674,340 | |||||||
Pima County COP, 5.00% due 12/1/2017 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 1,395,000 | 1,599,033 | |||||||
Pima County COP, 5.00% due 12/1/2019 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 500,000 | 576,615 | |||||||
Pima County COP, 5.00% due 12/1/2020 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 765,000 | 885,250 | |||||||
Pima County COP, 5.00% due 12/1/2021 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 1,220,000 | 1,403,744 | |||||||
Pima County COP, 5.00% due 12/1/2022 (Sewer System & Fleet Services Facilities Expansion) |
A+/NR | 1,275,000 | 1,460,882 | |||||||
Pima County IDA, 5.00% due 7/1/2016 (Metro Police Facility) |
AA/Aa2 | 2,500,000 | 2,726,575 | |||||||
Pima County IDA, 5.00% due 7/1/2017 (Metro Police Facility) |
AA/Aa2 | 3,000,000 | 3,321,540 | |||||||
Pima County IDA, 5.00% due 7/1/2018 (Metro Police Facility) |
AA/Aa2 | 3,285,000 | 3,659,424 | |||||||
Pima County IDA, 5.00% due 7/1/2019 (Metro Police Facility) |
AA/Aa2 | 2,000,000 | 2,235,080 | |||||||
Salt River Agricultural Improvement & Power District, 3.00% due 1/1/2014 |
AA/Aa1 | 11,275,000 | 11,356,405 | |||||||
Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare) |
A-/A2 | 6,885,000 | 7,587,545 | |||||||
State of Arizona COP, 5.00% due 10/1/2014 (State Dept. of Administration Lease Purchase Agreement; Insured: AGM) |
AA-/A1 | 10,375,000 | 10,849,760 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of Arizona Department of Administration, 5.00% due 7/1/2018 (State Lottery; Insured: AGM) |
AA/A1 | $ | 8,370,000 | $ | 9,617,883 | |||||
State of Arizona Department of Administration, 5.00% due 7/1/2020 (State Lottery; Insured: AGM) |
AA/A1 | 8,705,000 | 10,090,401 | |||||||
Town of Gilbert Public Facilities Municipal Property Corporation, 3.00% due 7/1/2015 |
AA/Aa2 | 1,080,000 | 1,121,645 | |||||||
University Arizona Medical Center Corp. GO, 5.00% due 7/1/2014 |
BBB+/Baa1 | 1,000,000 | 1,029,060 | |||||||
ARKANSAS 0.56% |
||||||||||
Arkansas Development Finance Authority, 2.00% due 12/1/2016 (State Dept. of Environmental Quality Project) |
AA-/NR | 460,000 | 472,296 | |||||||
Board of Trustees of the University of Arkansas, 1.00% due 11/1/2013 (Fayetteville Campus Capital Projects) |
NR/Aa2 | 250,000 | 250,180 | |||||||
Board of Trustees of the University of Arkansas, 1.00% due 9/15/2014 (Fayetteville Campus Athletic Facilities) |
NR/Aa2 | 475,000 | 478,049 | |||||||
Board of Trustees of the University of Arkansas, 1.00% due 11/1/2014 (Fayetteville Campus Capital Projects) |
NR/Aa2 | 295,000 | 297,151 | |||||||
Board of Trustees of the University of Arkansas, 2.00% due 9/15/2015 (Fayetteville Campus Athletic Facilities) |
NR/Aa2 | 455,000 | 466,939 | |||||||
Board of Trustees of the University of Arkansas, 2.00% due 11/1/2015 (Fayetteville Campus Capital Projects) |
NR/Aa2 | 375,000 | 385,470 | |||||||
Board of Trustees of the University of Arkansas, 2.00% due 11/1/2016 (Fayetteville Campus Capital Projects) |
NR/Aa2 | 600,000 | 617,556 | |||||||
Board of Trustees of the University of Arkansas, 5.00% due 9/15/2019 (Fayetteville Campus Athletic Facilities) |
NR/Aa2 | 600,000 | 652,596 | |||||||
City of Fort Smith, 2.00% due 10/1/2013 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,000,000 | 1,000,040 | |||||||
City of Fort Smith, 3.00% due 10/1/2014 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,000,000 | 1,026,450 | |||||||
City of Fort Smith, 3.50% due 10/1/2016 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,370,000 | 1,474,230 | |||||||
City of Fort Smith, 3.50% due 10/1/2017 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,930,000 | 2,093,124 | |||||||
City of Fort Smith, 4.00% due 10/1/2018 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,000,000 | 1,106,060 | |||||||
City of Fort Smith, 4.00% due 10/1/2019 (Water and Sewer System Construction; Insured: AGM) |
AA-/NR | 1,670,000 | 1,844,114 | |||||||
Independence County PCR, 4.90% due 7/1/2022 (Entergy Mississippi, Inc.; Insured: AMBAC) |
NR/Baa1 | 6,400,000 | 6,574,848 | |||||||
Jefferson County, 4.00% due 6/1/2015 (Jefferson Regional Medical Center; Insured: AGM) |
AA-/NR | 1,205,000 | 1,267,539 | |||||||
Jefferson County, 4.00% due 6/1/2016 (Jefferson Regional Medical Center; Insured: AGM) |
AA-/NR | 1,395,000 | 1,488,102 | |||||||
Jefferson County, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM) |
AA-/NR | 1,375,000 | 1,472,350 | |||||||
Jefferson County, 1.55% due 10/1/2017 (Entergy Arkansas, Inc. Project) |
A-/A3 | 10,000,000 | 9,993,600 | |||||||
Jefferson County, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM) |
AA-/NR | 1,495,000 | 1,637,623 | |||||||
Jefferson County, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM) |
AA-/NR | 1,580,000 | 1,726,008 | |||||||
CALIFORNIA 7.90% |
||||||||||
Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC) |
AA/NR | 1,220,000 | 1,393,643 | |||||||
b Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 1,000,000 | 1,156,120 | |||||||
b Alameda County Joint Powers Authority, 5.00% due 12/1/2022 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 2,000,000 | 2,289,860 | |||||||
b Alameda County Joint Powers Authority, 5.00% due 12/1/2023 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 3,200,000 | 3,642,816 | |||||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) |
AA-/A2 | 3,250,000 | 2,270,808 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Brentwood Infrastructure, 2.00% due 11/1/2015 (Insured: AGM) |
AA-/NR | $ | 520,000 | $ | 529,370 | |||||
a Brentwood Infrastructure, 4.00% due 11/1/2016 (Insured: AGM) |
AA-/NR | 325,000 | 346,713 | |||||||
Brentwood Infrastructure, 5.00% due 11/1/2017 (Insured: AGM) |
AA-/NR | 965,000 | 1,067,676 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2018 (Insured: AGM) |
AA-/NR | 1,020,000 | 1,142,614 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2019 (Insured: AGM) |
AA-/NR | 725,000 | 814,878 | |||||||
Cabrillo USD GO, 0% due 8/1/2015 (Educational Facilities Projects; Insured: AMBAC) |
NR/NR | 1,000,000 | 979,940 | |||||||
Cabrillo USD GO, 0% due 8/1/2021 (Educational Facilities; Insured: AMBAC) |
NR/NR | 1,000,000 | 730,200 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2017 (Pitzer College) |
NR/A2 | 1,460,000 | 1,645,099 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2021 (Chapman University) |
NR/A2 | 4,870,000 | 5,605,808 | |||||||
California HFFA, 5.50% due 2/1/2017 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) |
A/NR | 2,575,000 | 2,897,596 | |||||||
California HFFA, 5.50% due 2/1/2019 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) |
A/NR | 2,865,000 | 3,310,995 | |||||||
California HFFA, 5.75% due 2/1/2020 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) |
A/NR | 1,975,000 | 2,328,801 | |||||||
California HFFA, 5.00% due 3/1/2020 (Catholic HealthCare West Health Facilities) |
A/A3 | 4,400,000 | 5,029,948 | |||||||
California HFFA, 5.75% due 2/1/2021 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) |
A/NR | 1,695,000 | 1,979,235 | |||||||
California HFFA, 5.00% due 3/1/2021 (Catholic HealthCare West Health Facilities) |
A/A3 | 3,450,000 | 3,921,097 | |||||||
California HFFA, 5.25% due 3/1/2022 (Catholic HealthCare West Health Facilities) |
A/A3 | 7,020,000 | 7,948,044 | |||||||
California HFFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic HealthCare West Health Facilities) |
A/A3 | 3,500,000 | 3,617,355 | |||||||
California HFFA, 5.00% due 7/1/2028 put 7/1/2014 (Catholic HealthCare West Health Facilities) |
A/A3 | 2,000,000 | 2,067,060 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System) |
AA-/A1 | 5,000,000 | 5,712,650 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) |
A/A2 | 795,000 | 798,291 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) |
AA-/Aa3 | 5,000,000 | 5,372,700 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2016 |
AA-/Aa3 | 5,000,000 | 5,569,200 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 |
A+/Aa2 | 4,000,000 | 4,693,120 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2020 |
A+/Aa2 | 4,200,000 | 4,900,938 | |||||||
California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments- MFH; Collateralized: GNMA) |
NR/Aa1 | 1,725,000 | 1,751,203 | |||||||
California State Public Works Board, 3.00% due 4/1/2014 (Various Capital Projects) |
A-/A2 | 250,000 | 253,535 | |||||||
California State Public Works Board, 5.00% due 9/1/2016 (Regents of University of California; Insured: Natl-Re) |
AA-/Aa2 | 3,000,000 | 3,369,600 | |||||||
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: Natl-Re) |
AA-/Aa2 | 3,000,000 | 3,453,810 | |||||||
California State Public Works Board, 5.00% due 11/1/2017 (California State University) |
A-/Aa3 | 3,000,000 | 3,458,580 | |||||||
California State Public Works Board, 5.00% due 11/1/2018 (California State University) |
A-/Aa3 | 2,700,000 | 3,142,044 | |||||||
California State Public Works Board, 5.00% due 4/1/2020 (Riverside Campus) |
A-/A2 | 1,585,000 | 1,855,179 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (Yuba City Courthouse) |
A-/A2 | 1,675,000 | 1,960,822 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (Coalinga State Hospital) |
A-/A2 | 5,685,000 | 6,655,088 | |||||||
California State Public Works Board, 5.00% due 10/1/2020 (California State University) |
A-/A2 | 1,000,000 | 1,170,530 | |||||||
California State Public Works Board, 5.00% due 11/1/2020 (Various Capital Projects) |
A-/A2 | 1,500,000 | 1,755,480 | |||||||
California State Public Works Board, 5.00% due 4/1/2021 (Riverside Campus) |
A-/A2 | 890,000 | 1,029,365 | |||||||
California State Public Works Board, 5.00% due 6/1/2021 (Yuba City Courthouse) |
A-/A2 | 1,250,000 | 1,446,313 | |||||||
California State Public Works Board, 5.00% due 6/1/2021 (Coalinga State Hospital) |
A-/A2 | 5,000,000 | 5,785,250 | |||||||
California State Public Works Board, 5.00% due 10/1/2021 (Various Capital Projects) |
A-/A2 | 1,000,000 | 1,157,720 | |||||||
California State Public Works Board, 5.00% due 11/1/2021 (Various Capital Projects) |
A-/A2 | 1,750,000 | 2,026,080 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus) |
A-/A2 | 500,000 | 575,075 | |||||||
California State Public Works Board, 5.00% due 6/1/2022 (Coalinga State Hospital) |
A-/A2 | 11,555,000 | 13,301,885 | |||||||
California State Public Works Board, 5.00% due 6/1/2023 (Yuba City Courthouse) |
A-/A2 | 1,900,000 | 2,178,768 | |||||||
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) |
A+/NR | 27,000,000 | 31,266,000 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) |
NR/NR | $ | 2,080,000 | $ | 2,081,747 | |||||
Castaic Lake Water Agency COP, 0% due 8/1/2023 (Water System Improvement; Insured: AMBAC) |
AA/NR | 10,125,000 | 6,996,982 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re) |
A+/NR | 5,960,000 | 4,993,944 | |||||||
Centinela Valley USD GO, 4.00% due 12/1/2013 |
SP-1+/NR | 5,665,000 | 5,697,857 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice) |
AA-/A1 | 600,000 | 683,310 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice) |
AA-/A1 | 1,750,000 | 2,033,465 | |||||||
Chula Vista COP, 5.25% due 3/1/2018 |
AA-/NR | 1,170,000 | 1,296,805 | |||||||
Chula Vista COP, 5.25% due 3/1/2019 |
AA-/NR | 1,235,000 | 1,374,049 | |||||||
City and County of San Francisco GO, 5.00% due 6/15/2015 (Various Capital Projects) |
AA/Aa1 | 18,385,000 | 19,875,104 | |||||||
City of Pasadena COP, 0% due 2/1/2014 (Conference Center Project; Insured: AMBAC) |
AA+/NR | 1,490,000 | 1,488,495 | |||||||
Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re) |
AA/Baa1 | 2,685,000 | 2,290,386 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM) |
AA-/NR | 5,000,000 | 5,622,950 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2018 (Insured: AGM) |
AA-/NR | 3,000,000 | 3,400,860 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2019 (Insured: AGM) |
AA-/NR | 3,000,000 | 3,415,230 | |||||||
County of Los Angeles COP, 0% due 3/1/2017 (Disney Parking Garage and Walt Disney Concert Hall) |
AA-/A1 | 1,075,000 | 1,006,587 | |||||||
County of Los Angeles COP, 0% due 9/1/2017 (Disney Parking Garage and Walt Disney Concert Hall; Insured: AMBAC) |
AA-/A1 | 1,200,000 | 1,107,228 | |||||||
Escondido Union High School District GO, 0% due 11/1/2020 (Insured: Natl-Re) |
A/Baa1 | 2,655,000 | 2,030,730 | |||||||
Inland Valley Development Agency, 5.50% due 4/1/2014 (ETM) |
NR/NR | 2,000,000 | 2,052,260 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 |
SP-1+/NR | 12,000,000 | 12,200,520 | |||||||
Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018 |
A+/A2 | 2,295,000 | 2,609,208 | |||||||
Los Angeles County Metropolitan Transportation Authority, 5.00% due 7/1/2019 (Metro Orange Line Transit System; Insured: Natl-Re) |
AA+/Aa3 | 2,185,000 | 2,259,268 | |||||||
Los Angeles County Public Works Authority, 5.00% due 8/1/2019 (Multiple Capital Projects) |
AA-/A1 | 17,935,000 | 20,856,970 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) |
AA-/A1 | 4,000,000 | 4,623,400 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2017 (Information Technology; Insured: AMBAC) |
A+/A1 | 2,445,000 | 2,774,733 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Projects) |
A+/A1 | 4,600,000 | 5,359,920 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2019 (Educational Facilities Improvements) |
A+/A1 | 7,040,000 | 8,156,192 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Educational Facilities Improvements; Insured: AGM) |
AA-/Aa2 | 4,000,000 | 4,565,640 | |||||||
Monterey County COP, 5.00% due 8/1/2016 (Insured: AGM) |
AA/A1 | 1,435,000 | 1,585,589 | |||||||
Monterey County COP, 5.00% due 8/1/2018 (Insured: AGM) |
AA/A1 | 2,260,000 | 2,555,879 | |||||||
Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) (ETM) |
AA/Aa2 | 5,000,000 | 4,777,250 | |||||||
Needles USD GO, 0% due 8/1/2023 |
A/Baa1 | 1,005,000 | 598,337 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2023 (Carmel Valley Educational Facilities; Insured: AGM) |
AA-/NR | 4,545,000 | 5,063,312 | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) |
A+/A2 | 1,000,000 | 1,142,010 | |||||||
Northern California Power Agency, 5.00% due 6/1/2018 (Lodi Energy Center) |
A-/A3 | 4,480,000 | 5,148,550 | |||||||
Northern California Power Agency, 5.00% due 7/1/2019 (Hydroelectric Project) |
A+/A2 | 1,000,000 | 1,166,710 | |||||||
Northern California Power Agency, 5.00% due 7/1/2020 (Hydroelectric Project) |
A+/A2 | 1,325,000 | 1,512,885 | |||||||
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re) |
A+/Aa3 | 1,245,000 | 1,417,370 | |||||||
Palo Alto USD GO, 0% due 8/1/2019 |
AAA/Aa1 | 1,000,000 | 874,440 | |||||||
Palomar Community College District GO, 0% due 8/1/2021 |
AA-/Aa2 | 2,560,000 | 1,968,819 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) |
NR/A2 | 3,955,000 | 4,460,014 | |||||||
Regents of the University of California, 5.00% due 5/15/2019 (Higher Education Facilities; Insured: AGM) |
AA/Aa1 | 4,245,000 | 4,586,680 | |||||||
Rocklin USD GO, 0% due 8/1/2022 (Insured: Natl-Re) |
AA-/Aa2 | 3,910,000 | 2,835,454 | |||||||
Sacramento City Financing Authority, 0% due 12/1/2019 (Merged Downtown & Oak Park; Insured: Natl-Re) |
A/Baa1 | 2,920,000 | 2,281,104 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Sacramento City Financing Authority, 0% due 12/1/2021 (Merged Downtown & Oak Park; Insured: Natl-Re) |
A/Baa1 | $ | 1,600,000 | $ | 1,103,824 | |||||
Sacramento City USD GO, 4.00% due 7/1/2019 (Educational Facilities Improvements) |
A+/A1 | 5,455,000 | 5,984,408 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities) |
A+/A1 | 3,265,000 | 3,790,861 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Insured: AMBAC) |
BBB-/NR | 8,290,000 | 8,752,996 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble) |
AA-/A1 | 750,000 | 854,138 | |||||||
Sacramento County Sanitation Districts Financing Authority, 0.07% due 12/1/2039 put 10/1/2013 (Sacramento Regional Wastewater Treatment Plant; LOC: Morgan Stanley) (daily demand notes) |
AAA/Aa2 | 12,025,000 | 12,025,000 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl-Re) |
A/A3 | 4,870,000 | 5,338,299 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2019 (Cosumnes Project; Insured: Natl-Re) |
A/A3 | 5,000,000 | 5,470,500 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) |
A/A3 | 8,675,000 | 9,417,840 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2020 |
A+/NR | 4,000,000 | 4,536,040 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2021 |
A+/NR | 3,000,000 | 3,392,040 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2022 |
A+/NR | 8,000,000 | 9,014,960 | |||||||
San Diego Redevelopment Agency, 4.50% due 9/1/2019 (Centre City Redevelopment; Insured: AMBAC) |
NR/Baa3 | 1,240,000 | 1,273,976 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) |
AA-/Aa3 | 10,000,000 | 11,969,900 | |||||||
San Francisco Bay Area Rapid Transit District, 5.00% due 7/1/2022 (Insured: Natl-Re) |
AA+/Aa2 | 1,220,000 | 1,312,561 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) |
AA-/Aa2 | 7,600,000 | 6,337,944 | |||||||
San Jose Redevelopment Agency, 6.00% due 8/1/2015 (Insured: Natl-Re) |
A/Baa1 | 2,780,000 | 2,975,740 | |||||||
San Juan USD GO, 0% due 8/1/2015 (Sacramento County Educational Facilities; Insured: AGM) |
AA-/Aa2 | 760,000 | 748,167 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development) (ETM) |
NR/NR | 3,095,000 | 3,149,936 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development) |
A+/NR | 805,000 | 818,379 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) |
A/Baa1 | 4,035,000 | 4,605,872 | |||||||
Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re) |
AA-/Baa1 | 3,425,000 | 2,931,766 | |||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2014 (Multiple Facilities) |
AA/A1 | 4,245,000 | 4,346,880 | |||||||
Santa Fe Springs Community Development Commission, 0% due 9/1/2024 (Consolidated Redevelopment Project; Insured: Natl-Re) |
A/Baa1 | 7,000,000 | 4,222,400 | |||||||
Solano County COP, 5.00% due 11/15/2017 |
AA-/A1 | 1,580,000 | 1,781,987 | |||||||
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) |
SP-1+/NR | 5,130,000 | 5,653,670 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) |
A+/A2 | 2,000,000 | 2,015,400 | |||||||
State of California GO, 4.75% due 4/1/2018 (Various Purposes) |
A/A1 | 1,250,000 | 1,433,638 | |||||||
State of California GO, 5.00% due 9/1/2020 (Various Purposes) |
A/A1 | 10,000,000 | 11,874,600 | |||||||
State of California GO, 5.00% due 9/1/2021 (Various Purposes) |
A/A1 | 5,000,000 | 5,865,400 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 |
A+/A2 | 2,000,000 | 2,285,540 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2019 (Tuolumne Co.) |
A+/A2 | 2,000,000 | 2,303,100 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment) |
A/NR | 935,000 | 1,001,357 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 (Tustin Redevelopment) |
A/NR | 1,010,000 | 1,070,570 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 (Tustin Redevelopment) |
A/NR | 1,050,000 | 1,106,837 | |||||||
Twin Rivers USD GO, 0% due 4/1/2014 (Educational Facilities) |
SP-1/NR | 3,490,000 | 3,481,589 | |||||||
Ventura County COP, 5.00% due 8/15/2016 |
AA/Aa3 | 1,520,000 | 1,689,039 | |||||||
Ventura County COP, 5.25% due 8/15/2017 |
AA/Aa3 | 1,635,000 | 1,869,753 | |||||||
West Contra Costa USD GO, 0% due 8/1/2022 (Educational Facilities Projects; Insured: AGM) |
AA-/Aa3 | 4,000,000 | 2,865,720 | |||||||
West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza) |
AA+/NR | 6,180,000 | 7,008,862 | |||||||
COLORADO 3.42% |
||||||||||
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) (ETM) |
A/NR | 1,475,000 | 1,564,872 | |||||||
Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) (ETM) |
A/NR | 1,505,000 | 1,628,907 | |||||||
Beacon Point Metropolitan District, 4.375% due 12/1/2015 (LOC: Compass Bank) |
BBB-/NR | 655,000 | 657,928 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Castle Oaks Metropolitan District GO, 6.125% due 12/1/2035 pre-refunded 12/1/2015 |
NR/NR | $ | 1,428,000 | $ | 1,591,192 | |||||
City & County of Denver Airport System, 5.00% due 11/15/2016 (Insured: Natl-Re) |
A+/A1 | 1,725,000 | 1,939,883 | |||||||
City & County of Denver Airport System, 5.00% due 11/15/2017 (Insured: Natl-Re) |
A+/A1 | 1,000,000 | 1,149,170 | |||||||
City & County of Denver COP, 5.00% due 5/1/2014 (Human Services Center Properties; Insured: MBIA) |
AA+/Aa1 | 4,000,000 | 4,106,560 | |||||||
City & County of Denver COP, 5.00% due 12/1/2016 (Buell Theatre/Jail Dormitory; Insured: Natl-Re) |
AA+/Aa1 | 3,025,000 | 3,049,412 | |||||||
City & County of Denver COP, 0.07% due 12/1/2029 put 10/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) |
AA+/Aa1 | 22,665,000 | 22,665,000 | |||||||
City & County of Denver COP, 0.07% due 12/1/2029 put 10/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) |
AA+/Aa1 | 45,650,000 | 45,650,000 | |||||||
City & County of Denver COP, 0.07% due 12/1/2031 put 10/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) |
AA+/Aa1 | 35,690,000 | 35,690,000 | |||||||
City & County of Denver GO, 3.00% due 8/1/2015 (Various Purposes) |
AAA/Aaa | 920,000 | 964,804 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2016 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 350,000 | 382,281 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2019 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 400,000 | 438,660 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2020 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 600,000 | 654,822 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2021 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 1,000,000 | 1,149,880 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2022 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 1,030,000 | 1,177,475 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2023 (Eastbridge Elementary and Conservatory Green K-8 Schools) |
NR/Aa3 | 1,180,000 | 1,342,215 | |||||||
City of Longmont, 6.00% due 5/15/2019 |
AA+/NR | 3,215,000 | 3,852,631 | |||||||
Colorado Department of Corrections COP, 4.00% due 3/1/2014 (Colorado Penitentiary II Project) (ETM) |
AA-/Aa2 | 1,285,000 | 1,305,277 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2016 (Colorado Penitentiary II Project) (ETM) |
AA-/Aa2 | 2,000,000 | 2,211,420 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2017 (Colorado Penitentiary II Project) (ETM) |
AA-/Aa2 | 2,000,000 | 2,280,540 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2018 (Colorado Penitentiary II Project) (ETM) |
AA-/Aa2 | 1,590,000 | 1,845,895 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2019 pre-refunded 3/1/2016 (Colorado Penitentiary II Project; Insured: AMBAC) |
AA-/Aa2 | 4,930,000 | 5,462,489 | |||||||
Colorado Educational & Cultural Facilities, 4.00% due 6/1/2014 (NCSL) |
A/A3 | 660,000 | 672,665 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2016 (NCSL) |
A/A3 | 1,475,000 | 1,606,452 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2018 (NCSL) |
A/A3 | 1,625,000 | 1,817,871 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2020 (NCSL) |
A/A3 | 1,805,000 | 2,030,571 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2021 (NCSL) |
A/A3 | 1,000,000 | 1,114,280 | |||||||
Colorado Educational & Cultural Facilities, 0.07% due 5/1/2037 put 10/1/2013 (National Jewish Federation; LOC: JPMorgan Chase Bank) (daily demand notes) |
NR/Aa3 | 650,000 | 650,000 | |||||||
Colorado HFA, 5.00% due 11/15/2013 (Adventist Health/Sunbelt Group) |
AA-/Aa3 | 2,840,000 | 2,857,068 | |||||||
Colorado HFA, 5.00% due 11/15/2015 (Adventist Health/Sunbelt Group) |
AA-/Aa3 | 2,365,000 | 2,578,583 | |||||||
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM) |
AA-/NR | 1,185,000 | 1,336,514 | |||||||
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM) |
AA-/NR | 2,225,000 | 2,568,340 | |||||||
Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives) |
AA-/Aa3 | 1,000,000 | 1,102,710 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/12/2013 (Catholic Health Initiatives) |
NR/NR | 7,255,000 | 7,294,975 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/11/2014 (Catholic Health Initiatives) |
AA-/Aa3 | 3,000,000 | 3,154,470 | |||||||
Colorado Higher Education COP, 5.00% due 11/1/2013 |
AA-/Aa2 | 1,025,000 | 1,029,202 | |||||||
County of Fremont COP, 5.25% due 12/15/2022 pre-refunded 12/15/2013 (Insured: Natl-Re) |
A/Baa1 | 890,000 | 899,203 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2014 (Insured: Syncora) |
BBB-/Baa3 | 3,450,000 | 3,615,531 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2019 pre-refunded 12/1/2013 (Insured: Syncora) |
NR/NR | $ | 5,000,000 | $ | 5,040,500 | |||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2021 (Insured: Syncora) |
BBB-/Baa3 | 3,700,000 | 3,892,807 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2022 pre-refunded 12/1/2013 (Insured: Syncora) |
NR/NR | 2,000,000 | 2,016,200 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2022 (Insured: Syncora) |
BBB-/Baa3 | 1,000,000 | 1,049,240 | |||||||
Denver West Metropolitan District GO, 5.00% due 12/1/2021 (Insured: AGM) |
AA-/NR | 2,175,000 | 2,488,831 | |||||||
E-470 Public Highway Authority, 0% due 9/1/2014 (Insured: Natl-Re) |
A/Baa1 | 1,910,000 | 1,878,275 | |||||||
El Paso County COP, 4.00% due 12/1/2021 (Pikes Peak Regional Development Center) |
AA-/Aa2 | 1,000,000 | 1,077,630 | |||||||
El Paso County COP, 5.00% due 12/1/2023 (Pikes Peak Regional Development Center) |
AA-/Aa2 | 1,330,000 | 1,516,506 | |||||||
Joint School District No. 28J GO, 5.25% due 12/1/2019 pre-refunded 12/1/2013 (Adams and Arapahoe Counties Educational Facilities; Insured: AGM) (State Aid Withholding) |
AA-/Aa2 | 500,000 | 504,305 | |||||||
Mesa County Valley School District No. 51 GO, 5.00% due 12/1/2013 (City of Grand Junction Educational Facilities; Insured: Natl-Re) (State Aid Withholding) |
NR/Aa2 | 1,000,000 | 1,008,110 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: AGM) |
AA-/NR | 1,000,000 | 1,084,410 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: AGM) |
AA-/NR | 1,035,000 | 1,152,566 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM) |
AA-/NR | 1,525,000 | 1,718,477 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM) |
AA-/NR | 1,200,000 | 1,393,140 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM) |
AA-/NR | 1,000,000 | 1,172,770 | |||||||
Poudre School District R-1 GO, 5.75% due 12/15/2021 pre-refunded 12/15/2013 (Larimer County School Buildings; Insured: Natl-Re) (State Aid Withholding) |
NR/NR | 500,000 | 505,810 | |||||||
Regents of the University of Colorado COP, 5.00% due 11/1/2016 (UCDHSC Fitzsimons Academic Facilities) |
AA-/Aa2 | 700,000 | 787,745 | |||||||
Regents of the University of Colorado COP, 5.00% due 11/1/2017 (UCDHSC Fitzsimons Academic Facilities) |
AA-/Aa2 | 850,000 | 978,580 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2018 |
A-/Aa3 | 1,750,000 | 1,989,277 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2019 |
A-/Aa3 | 4,730,000 | 5,413,485 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2020 |
A-/Aa3 | 3,655,000 | 4,188,045 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2021 |
A-/Aa3 | 2,370,000 | 2,735,098 | |||||||
Southlands Metropolitan District GO, 6.75% due 12/1/2016 pre-refunded 12/1/2014 |
AA+/NR | 625,000 | 661,356 | |||||||
CONNECTICUT 0.28% |
||||||||||
Capital City EDA, 5.00% due 6/15/2015 (Adriaens Landing Convention Center; Insured: AGM) |
AA/A2 | 1,705,000 | 1,761,470 | |||||||
City of West Haven GO, 4.00% due 8/1/2018 (Insured: AGM) |
AA-/A2 | 2,080,000 | 2,190,843 | |||||||
State of Connecticut GO, 5.00% due 6/1/2019 (General State Capital Projects; Insured: AGM) |
AA/Aa3 | 2,865,000 | 3,161,069 | |||||||
State of Connecticut GO Floating Rate Note, 0.84% due 9/15/2018 (General State Capital Projects) |
AA/Aa3 | 725,000 | 722,839 | |||||||
State of Connecticut GO Floating Rate Note, 0.72% due 9/15/2024 (Education Capital Projects) |
AA/Aa3 | 10,000,000 | 9,982,200 | |||||||
DELAWARE 0.03% |
||||||||||
State of Delaware GO, 5.00% due 7/1/2014 |
AAA/Aaa | 860,000 | 891,235 | |||||||
State of Delaware GO, 5.25% due 8/1/2014 |
AAA/Aaa | 1,000,000 | 1,042,380 | |||||||
DISTRICT OF COLUMBIA 0.78% |
||||||||||
District of Columbia, 4.00% due 4/1/2015 (National Public Radio) (ETM) |
AA-/Aa3 | 1,000,000 | 1,053,960 | |||||||
District of Columbia, 5.00% due 4/1/2016 (National Public Radio) (ETM) |
AA-/Aa3 | 885,000 | 979,367 | |||||||
District of Columbia, 4.00% due 4/1/2017 (National Public Radio) |
AA-/Aa3 | 1,830,000 | 2,010,090 | |||||||
District of Columbia, 5.00% due 4/1/2018 (National Public Radio) |
AA-/Aa3 | 1,745,000 | 2,005,511 | |||||||
District of Columbia, 5.00% due 4/1/2019 (National Public Radio) |
AA-/Aa3 | 805,000 | 931,530 | |||||||
District of Columbia, 5.00% due 4/1/2020 (National Public Radio) |
AA-/Aa3 | 1,890,000 | 2,199,072 | |||||||
District of Columbia Convention Center Authority, 5.00% due 10/1/2013 (Washington Convention Center; Insured: AMBAC) |
A/A1 | 3,000,000 | 3,000,360 | |||||||
District of Columbia COP, 5.25% due 1/1/2015 (Insured: Natl-Re) |
A+/Aa3 | 3,125,000 | 3,311,344 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
District of Columbia COP, 5.25% due 1/1/2016 (Insured: Natl-Re) |
A+/Aa3 | $ | 4,700,000 | $ | 5,167,086 | |||||
District of Columbia COP, 5.00% due 1/1/2018 |
A+/Aa3 | 5,000,000 | 5,394,200 | |||||||
District of Columbia COP, 5.00% due 1/1/2019 (Insured: Natl-Re) |
A+/Aa3 | 5,000,000 | 5,386,100 | |||||||
District of Columbia COP, 4.50% due 1/1/2021 (Insured: Natl-Re) |
A+/Aa3 | 1,100,000 | 1,166,011 | |||||||
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re) |
AA-/Aa2 | 5,000,000 | 5,969,050 | |||||||
District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora) |
AA-/Aa2 | 3,005,000 | 3,545,720 | |||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2014 (Insured: AGM-HUD Loan) |
AA-/A2 | 1,195,000 | 1,233,001 | |||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2015 (Insured: AGM-HUD Loan) |
AA-/A2 | 1,480,000 | 1,580,063 | |||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2014 (Dulles Toll Road; Insured: AGM) |
AA-/A3 | 2,000,000 | 1,986,220 | |||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: AGM) |
AA-/A3 | 4,000,000 | 3,746,720 | |||||||
FLORIDA 7.62% |
||||||||||
Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC) (ETM) |
NR/A1 | 1,625,000 | 1,701,749 | |||||||
Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC) |
A+/A1 | 2,375,000 | 2,484,297 | |||||||
Broward County, 5.00% due 9/1/2017 (Port Facilities) |
A-/A2 | 2,820,000 | 3,147,487 | |||||||
Broward County, 4.00% due 10/1/2017 (Airport, Marina & Port Improvements) |
A+/A1 | 500,000 | 551,205 | |||||||
Broward County, 5.00% due 10/1/2017 (Airport, Marina & Port Improvements) |
A+/A1 | 1,000,000 | 1,141,230 | |||||||
Broward County, 5.50% due 9/1/2018 (Port Facilities) |
A-/A2 | 3,500,000 | 4,017,440 | |||||||
Broward County, 4.00% due 10/1/2018 (Airport, Marina & Port Improvements) |
A+/A1 | 425,000 | 469,005 | |||||||
Broward County, 5.00% due 10/1/2018 (Airport, Marina & Port Improvements) |
A+/A1 | 500,000 | 575,570 | |||||||
Broward County, 5.50% due 9/1/2019 (Port Facilities) |
A-/A2 | 2,800,000 | 3,243,856 | |||||||
Broward County, 5.00% due 10/1/2019 (Airport, Marina & Port Improvements) |
A+/A1 | 1,000,000 | 1,156,800 | |||||||
Broward County, 4.00% due 10/1/2020 (Airport, Marina & Port Improvements) |
A+/A1 | 1,660,000 | 1,817,916 | |||||||
Broward County, 5.00% due 10/1/2020 (Airport, Marina & Port Improvements) |
A+/A1 | 2,000,000 | 2,317,960 | |||||||
Broward County School Board COP, 5.25% due 7/1/2015 (Insured: AGM) |
AA-/Aa3 | 3,035,000 | 3,266,267 | |||||||
Broward County School Board COP, 5.00% due 7/1/2016 (Insured: AGM) |
AA-/Aa3 | 1,495,000 | 1,650,301 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) |
AA-/Aa3 | 7,630,000 | 8,474,107 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) |
AA-/Aa3 | 3,715,000 | 4,125,990 | |||||||
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: Natl-Re) |
A/Aa3 | 1,000,000 | 1,120,650 | |||||||
Broward County School Board COP, 5.00% due 7/1/2021 |
A/Aa3 | 4,000,000 | 4,574,960 | |||||||
Broward County School Board COP, 5.00% due 7/1/2022 |
A/Aa3 | 4,580,000 | 5,250,100 | |||||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (University of Central Florida Apartment Student Housing; Insured: Natl-Re) |
A/Baa1 | 2,660,000 | 2,659,734 | |||||||
City of Fort Myers, 5.00% due 12/1/2018 (Gulf Breeze Loan Program; Insured: Natl-Re) |
A+/Aa3 | 2,195,000 | 2,473,480 | |||||||
City of Fort Myers, 5.00% due 10/1/2023 (Utility Systems Capital Projects) |
A/Aa3 | 3,360,000 | 3,758,866 | |||||||
City of Gainesville, 6.50% due 10/1/2013 (Utility Systems Capital Projects) |
AA/Aa2 | 4,800,000 | 4,800,816 | |||||||
City of Gainesville, 0.06% due 10/1/2026 put 10/1/2013 (Utility Systems Capital Projects; SPA: Suntrust Bank) (daily demand notes) |
AA/Aa2 | 7,110,000 | 7,110,000 | |||||||
City of Jacksonville, 5.00% due 10/1/2017 |
AA-/Aa2 | 1,000,000 | 1,145,860 | |||||||
City of Jacksonville, 5.00% due 10/1/2018 |
AA-/Aa2 | 1,050,000 | 1,215,774 | |||||||
City of Jacksonville, 5.00% due 10/1/2019 |
AA-/Aa2 | 500,000 | 581,455 | |||||||
City of Jacksonville, 5.00% due 10/1/2020 |
AA-/Aa2 | 1,000,000 | 1,168,070 | |||||||
City of Jacksonville, 5.00% due 10/1/2023 |
AA-/Aa2 | 1,105,000 | 1,283,347 | |||||||
City of Lakeland, 3.00% due 11/15/2013 (Lakeland Regional Health Systems) |
NR/A2 | 1,000,000 | 1,003,310 | |||||||
City of Lakeland, 6.05% due 10/1/2014 (Energy System; Insured: AGM) |
AA/A1 | 3,750,000 | 3,961,612 | |||||||
City of Lakeland, 4.00% due 11/15/2014 (Lakeland Regional Health Systems) |
NR/A2 | 1,000,000 | 1,034,650 | |||||||
City of Lakeland, 5.00% due 10/1/2016 (Energy System; Insured: AGM) |
AA/A1 | 9,780,000 | 10,946,656 | |||||||
City of Lakeland, 5.00% due 10/1/2017 (Energy System; Insured: AGM) |
AA/A1 | 7,105,000 | 8,129,399 | |||||||
City of Lakeland, 5.00% due 10/1/2019 (Energy System; Insured: AGM) |
AA/A1 | 5,000,000 | 5,826,800 | |||||||
City of Lakeland, 5.00% due 11/15/2019 (Lakeland Regional Health Systems) |
NR/A2 | 5,655,000 | 6,323,195 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Lakeland, 5.00% due 10/1/2020 (Energy System; Insured: AGM) |
AA/A1 | $ | 1,695,000 | $ | 1,982,269 | |||||
City of Miami, 5.00% due 1/1/2018 (Street & Sidewalk Improvement Program; Insured: Natl-Re) |
A/A2 | 1,970,000 | 2,213,157 | |||||||
City of North Miami Beach, 5.00% due 8/1/2017 (North Miami Beach Water Project) |
A+/NR | 750,000 | 847,267 | |||||||
City of North Miami Beach, 3.00% due 8/1/2018 (North Miami Beach Water Project) |
A+/NR | 1,280,000 | 1,339,174 | |||||||
City of North Miami Beach, 5.00% due 8/1/2019 (North Miami Beach Water Project) |
A+/NR | 1,650,000 | 1,886,164 | |||||||
City of North Miami Beach, 5.00% due 8/1/2020 (North Miami Beach Water Project) |
A+/NR | 780,000 | 894,598 | |||||||
City of North Miami Beach, 5.00% due 8/1/2021 (North Miami Beach Water Project) |
A+/NR | 1,000,000 | 1,147,360 | |||||||
City of Port St. Lucie, 5.00% due 9/1/2015 (Tesoro Special Assessment District; Insured: Natl-Re) |
NR/A1 | 250,000 | 268,763 | |||||||
City of Port St. Lucie, 1.70% due 7/1/2016 (Tesoro Special Assessment District) |
NR/Aa3 | 2,140,000 | 2,151,898 | |||||||
City of Port St. Lucie, 1.875% due 7/1/2017 (Tesoro Special Assessment District; Insured: AGM) |
NR/Aa3 | 2,175,000 | 2,171,128 | |||||||
City of Port St. Lucie, 2.00% due 7/1/2018 (Tesoro Special Assessment District; Insured: AGM) |
NR/Aa3 | 2,215,000 | 2,185,275 | |||||||
Collier County, 4.00% due 10/1/2014 |
AA/Aa2 | 1,410,000 | 1,462,381 | |||||||
Escambia County HFA, 5.25% due 11/15/2014 (Ascension Health Credit) |
AA+/Aa2 | 1,835,000 | 1,933,301 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: AGM) |
AA-/A2 | 1,605,000 | 1,664,369 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: AGM) |
AA-/A2 | 1,500,000 | 1,615,575 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2014 (Innovation Village Capital Improvements) |
A/A1 | 1,950,000 | 2,019,907 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2015 (Innovation Village Capital Improvements) |
A/A1 | 2,395,000 | 2,570,601 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2016 (Innovation Village Capital Improvements) |
A/A1 | 2,275,000 | 2,514,262 | |||||||
Florida Department of Management Services, 5.25% due 9/1/2016 (Insured: AGM) |
AA+/Aa2 | 3,500,000 | 3,922,905 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2014 (Nova Southeastern University) |
BBB/Baa1 | 2,365,000 | 2,411,732 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2015 (Nova Southeastern University) |
BBB/Baa1 | 2,350,000 | 2,475,560 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2016 (Nova Southeastern University) |
BBB/Baa1 | 2,345,000 | 2,528,731 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2017 (Nova Southeastern University) |
BBB/Baa1 | 1,325,000 | 1,468,550 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2018 (Nova Southeastern University) |
BBB/Baa1 | 2,630,000 | 2,929,084 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (University of Tampa) |
BBB+/NR | 1,225,000 | 1,357,471 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (Nova Southeastern University) |
BBB/Baa1 | 1,035,000 | 1,146,925 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.50% due 4/1/2019 (Nova Southeastern University) |
BBB/Baa1 | 1,705,000 | 1,923,428 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2020 (Nova Southeastern University) |
BBB/Baa1 | 1,030,000 | 1,145,102 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2022 (University of Tampa) |
BBB+/NR | 620,000 | 686,216 | |||||||
Florida Hurricane Catastrophe Fund Finance Corp., 5.00% due 7/1/2014 |
AA-/Aa3 | 11,000,000 | 11,394,350 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2020 (University System Capital Improvements) |
AA/Aa2 | 4,055,000 | 4,429,439 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2021 (University System Capital Improvements) |
AA/Aa2 | 4,215,000 | 4,562,274 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2022 (University System Capital Improvements) |
AA/Aa2 | 4,385,000 | 4,682,040 | |||||||
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC) |
AA+/Aa2 | 2,000,000 | 2,075,440 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2014 |
AA+/NR | 905,000 | 939,824 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 |
AA+/NR | 925,000 | 989,778 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Florida State Department of Transportation GO, 5.00% due 7/1/2018 |
AAA/Aa1 | $ | 3,000,000 | $ | 3,419,610 | |||||
Florida State Housing Finance Corp., 1.625% due 1/1/2015 (Captiva Cove Apartments-Multi- Family Mtg; Insured: FNMA) |
NR/Aaa | 1,600,000 | 1,601,152 | |||||||
Highlands County HFA, 5.00% due 11/15/2015 (Adventist Health System Sunbelt Group) |
AA-/Aa3 | 1,000,000 | 1,089,200 | |||||||
Highlands County HFA, 5.00% due 11/15/2016 (Adventist Health System Orange County Health Facilities) |
AA-/Aa3 | 1,000,000 | 1,121,200 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Sunbelt Group) |
AA-/Aa3 | 1,000,000 | 1,087,700 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Orange County Health Facilities) |
AA-/Aa3 | 3,200,000 | 3,666,208 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health System Orange County Health Facilities) |
AA-/Aa3 | 3,000,000 | 3,460,260 | |||||||
Highlands County HFA, 5.00% due 11/15/2035 pre-refunded 11/15/2015 (Adventist Health System/Sunbelt Group) |
AA-/Aa3 | 1,225,000 | 1,341,853 | |||||||
Hillsborough County, 5.00% due 3/1/2015 (Water and Wastewater System Capital Improvements; Insured: Natl-Re) |
A+/A1 | 5,000,000 | 5,282,300 | |||||||
Hillsborough County, 5.00% due 11/1/2016 (Transportation Related Capital Improvements; Insured: AMBAC) |
AA/A1 | 1,000,000 | 1,117,450 | |||||||
Hillsborough County, 5.00% due 11/1/2018 (Court Facilities) |
AA/A1 | 4,210,000 | 4,830,891 | |||||||
Hillsborough County, 5.00% due 11/1/2019 (Court Facilities) |
AA/A1 | 4,420,000 | 5,091,707 | |||||||
Hillsborough County, 5.00% due 11/1/2020 (Court Facilities) |
AA/A1 | 4,645,000 | 5,369,574 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Court Facilities) |
AA/A1 | 4,880,000 | 5,618,149 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Jail and Storm Water Projects) |
AA/A1 | 2,300,000 | 2,647,898 | |||||||
Hillsborough County, 5.00% due 11/1/2022 (Jail and Storm Water Projects) |
AA/A1 | 3,005,000 | 3,453,526 | |||||||
Hillsborough County School Board COP, 5.25% due 7/1/2017 (Insured: Natl-Re) |
AA-/Aa2 | 1,300,000 | 1,488,786 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: Syncora) |
NR/A3 | 2,000,000 | 2,154,060 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: Syncora) |
NR/A3 | 2,000,000 | 2,185,520 | |||||||
Hollywood Water & Sewer, 5.00% due 10/1/2014 (Insured: AGM) |
NR/Aa2 | 1,300,000 | 1,305,122 | |||||||
Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute) |
NR/NR | 3,695,000 | 3,965,326 | |||||||
JEA, 3.50% due 10/1/2013 (Water & Sewer Systems) |
AA/Aa2 | 5,565,000 | 5,565,501 | |||||||
JEA, 5.00% due 10/1/2014 pre-refunded 4/1/2014 (Electric System; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,024,080 | |||||||
JEA, 5.00% due 10/1/2014 pre-refunded 4/1/2014 (Electric System) |
NR/NR | 2,245,000 | 2,299,060 | |||||||
JEA, 5.00% due 10/1/2014 (Electric System) |
A+/Aa3 | 4,920,000 | 5,037,293 | |||||||
JEA, 4.00% due 10/1/2016 (Electric System) |
A+/Aa3 | 3,540,000 | 3,859,945 | |||||||
JEA, 5.00% due 10/1/2018 (Water & Sewer Systems) |
AA/Aa2 | 1,500,000 | 1,743,090 | |||||||
Kissimmee Utility Authority, 5.25% due 10/1/2016 (Electrical Systems; Insured: AGM) |
NR/A1 | 1,700,000 | 1,907,009 | |||||||
Manatee County, 5.00% due 10/1/2016 (County Capital Projects) |
NR/Aa2 | 1,000,000 | 1,124,040 | |||||||
Manatee County, 5.00% due 10/1/2018 (County Capital Projects) |
NR/Aa2 | 2,400,000 | 2,777,664 | |||||||
Manatee County, 5.00% due 10/1/2021 (County Capital Projects) |
NR/Aa2 | 2,775,000 | 3,249,025 | |||||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) |
NR/Baa1 | 1,000,000 | 1,069,510 | |||||||
Miami Beach GO, 4.00% due 9/1/2019 |
AA-/Aa2 | 2,745,000 | 3,027,927 | |||||||
Miami Beach GO, 5.00% due 9/1/2020 |
AA-/Aa2 | 3,720,000 | 4,332,238 | |||||||
Miami Beach GO, 4.00% due 9/1/2021 |
AA-/Aa2 | 1,015,000 | 1,108,735 | |||||||
Miami Beach GO, 5.00% due 9/1/2022 |
AA-/Aa2 | 1,000,000 | 1,148,110 | |||||||
Miami-Dade County, 4.00% due 10/1/2013 (UMSA Municipal Capital Improvements; Insured: AGM) |
NR/Aa3 | 2,075,000 | 2,075,207 | |||||||
Miami-Dade County, 5.00% due 10/1/2014 (Water and Sewer System; Insured: BHAC) |
AA+/Aa1 | 1,070,000 | 1,119,926 | |||||||
Miami-Dade County, 0% due 10/1/2015 (Professional Sports Franchise Facilities; Insured: AGM) |
AA-/A1 | 3,845,000 | 3,729,227 | |||||||
Miami-Dade County, 0% due 10/1/2016 (Professional Sports Franchise Facilities; Insured: AGM) |
AA-/A1 | 3,535,000 | 3,319,047 | |||||||
Miami-Dade County, 0% due 10/1/2017 (Professional Sports Franchise Facilities; Insured: AGM) |
AA-/A1 | 2,435,000 | 2,206,670 | |||||||
Miami-Dade County, 0% due 10/1/2018 (Professional Sports Franchise Facilities; Insured: AGM) |
AA-/A1 | 5,385,000 | 4,669,549 | |||||||
Miami-Dade County, 0% due 10/1/2019 (Professional Sports Franchise Facilities; Insured: AGM) |
AA-/A1 | 2,170,000 | 1,786,344 | |||||||
Miami-Dade County Educational Facilities Authority GO, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) |
A-/A3 | 3,000,000 | 3,256,800 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2019 (Insured: AGM) |
AA-/A2 | $ | 7,530,000 | $ | 8,696,548 | |||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2029 pre-refunded 7/1/2014 (Toll System Five-Year Work Program;
Insured: |
A/A3 | 490,000 | 507,645 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2033 pre-refunded 7/1/2014 (Toll System Five-Year Work Program;
Insured: |
A/A3 | 305,000 | 315,983 | |||||||
Miami-Dade County GO, 5.25% due 7/1/2018 (Building Better Communities) |
AA-/Aa2 | 5,040,000 | 5,853,658 | |||||||
Miami-Dade County School Board, 5.00% due 5/1/2014 |
A/A1 | 615,000 | 632,036 | |||||||
Miami-Dade County School Board, 5.00% due 5/1/2014 |
A/A1 | 385,000 | 395,268 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC) |
A/A1 | 1,000,000 | 1,081,090 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re) |
A/A1 | 4,065,000 | 4,467,028 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC) |
A/A1 | 1,000,000 | 1,111,030 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2032 put 5/1/2016 |
A/A1 | 6,000,000 | 6,608,520 | |||||||
Miami-Dade County School District GO, 5.375% due 8/1/2015 (Insured: AGM) |
AA-/Aa3 | 5,130,000 | 5,584,518 | |||||||
Orange County HFA, 5.00% due 10/1/2013 (Orlando Health, Inc.) |
A/A2 | 1,100,000 | 1,100,143 | |||||||
Orange County HFA, 5.00% due 10/1/2014 (Orlando Health, Inc.) |
A/A2 | 2,790,000 | 2,909,663 | |||||||
Orange County HFA, 5.00% due 10/1/2015 (Orlando Health, Inc.) |
A/A2 | 500,000 | 539,190 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Health, Inc.; Insured: Natl-Re) |
A/A2 | 2,310,000 | 2,486,877 | |||||||
Orange County HFA, 5.00% due 10/1/2017 (Orlando Health, Inc.) |
A/A2 | 1,980,000 | 2,232,430 | |||||||
Orange County HFA, 5.25% due 10/1/2019 (Orlando Health, Inc.) |
A/A2 | 6,050,000 | 6,993,013 | |||||||
Orange County HFA, 6.25% due 10/1/2021 (Orlando Health, Inc.; Insured: Natl-Re) |
A/A2 | 1,870,000 | 2,212,958 | |||||||
Orange County HFA, 5.375% due 10/1/2023 (Orlando Health, Inc.) |
A/A2 | 4,150,000 | 4,550,931 | |||||||
Orlando and Orange County Expressway Authority, 8.25% due 7/1/2016 (Insured: Natl-Re/ FGIC/IBC) |
A/A2 | 3,000,000 | 3,586,110 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2018 (Master Lease Purchase Agreement) |
NR/Aa3 | 800,000 | 916,656 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2019 (Master Lease Purchase Agreement) |
NR/Aa3 | 940,000 | 1,029,714 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2020 (Master Lease Purchase Agreement) |
NR/Aa3 | 1,090,000 | 1,256,770 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2021 (Master Lease Purchase Agreement) |
NR/Aa3 | 3,835,000 | 4,139,652 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Master Lease Purchase Agreement) |
NR/Aa3 | 1,660,000 | 1,903,605 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 (Master Lease Purchase Agreement) |
NR/Aa3 | 1,300,000 | 1,444,482 | |||||||
Polk County, 4.00% due 10/1/2020 (Water and Wastewater Utility Systems; Insured: AGM) |
A+/Aa3 | 3,100,000 | 3,417,936 | |||||||
Polk County, 3.00% due 10/1/2021 (Water and Wastewater Utility Systems; Insured: AGM) |
A+/Aa3 | 3,125,000 | 3,175,719 | |||||||
Polk County, 5.00% due 10/1/2023 (Water and Wastewater Utility Systems) |
A+/Aa3 | 1,420,000 | 1,610,834 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) |
A-/A3 | 10,000,000 | 11,433,900 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) |
A-/A3 | 4,165,000 | 4,774,673 | |||||||
Reedy Creek Improvement District, 2.50% due 10/1/2013 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 865,000 | 865,052 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2014 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 460,000 | 480,705 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2017 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 400,000 | 454,820 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2018 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 755,000 | 865,615 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2021 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 1,200,000 | 1,372,836 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2022 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | 625,000 | 712,525 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2023 (Walt Disney World Resort Complex Utility Systems) |
A/A1 | $ | 750,000 | $ | 846,960 | |||||
School Board of Alachua County COP, 5.00% due 7/1/2022 (Educational Facilities) |
A+/Aa3 | 1,600,000 | 1,809,184 | |||||||
School Board of Alachua County COP, 5.00% due 7/1/2023 (Educational Facilities) |
A+/Aa3 | 2,250,000 | 2,538,675 | |||||||
School Board of Lake County COP, 5.25% due 6/1/2017 (Insured: AMBAC) |
A/NR | 2,000,000 | 2,283,160 | |||||||
School Board of Lake County COP, 5.25% due 6/1/2018 (Insured: AMBAC) |
A/NR | 1,475,000 | 1,689,804 | |||||||
School Board of Lee County COP, 4.75% due 8/1/2020 pre-refunded 2/1/2014 (Insured: AGM) |
AA-/Aa3 | 500,000 | 507,670 | |||||||
School District of Polk County, 5.00% due 10/1/2013 (Educational Facilities; Insured: Natl-Re) |
A/Baa1 | 2,000,000 | 2,000,240 | |||||||
South Broward Hospital District, 5.00% due 5/1/2020 (Insured: Natl-Re) |
AA-/Aa3 | 7,260,000 | 7,892,854 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2015 (Everglades Restoration Plan; Insured: AMBAC) |
AA/Aa3 | 1,000,000 | 1,083,390 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2023 (Everglades Restoration Plan; Insured: AMBAC) |
AA/Aa3 | 500,000 | 553,980 | |||||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) |
AA/Aa2 | 4,985,000 | 5,557,378 | |||||||
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health) |
AA/Aa2 | 4,610,000 | 5,262,269 | |||||||
St. Johns County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) |
NR/NR | 745,000 | 761,338 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2015 (All Childrens Hospital; Insured: AMBAC) |
NR/A1 | 1,995,000 | 2,003,638 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2016 (All Childrens Hospital; Insured: AMBAC) |
NR/A1 | 1,980,000 | 1,988,534 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Insured: AGM) |
AA-/Aa3 | 5,000,000 | 5,705,100 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017 |
AA+/Aa2 | 5,615,000 | 6,473,197 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018 |
AA+/Aa2 | 2,890,000 | 3,373,468 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019 |
AA+/Aa2 | 3,000,000 | 3,525,240 | |||||||
Tampa Bay Water Regional Water Supply Authority, 5.00% due 10/1/2013 (Utility System Improvements) |
AA+/Aa2 | 375,000 | 375,049 | |||||||
Tampa BayCare Health Systems, 5.00% due 11/15/2016 |
NR/Aa2 | 2,855,000 | 3,216,072 | |||||||
Tampa BayCare Health Systems, 5.00% due 11/15/2017 |
NR/Aa2 | 1,215,000 | 1,385,720 | |||||||
Tampa Sports Authority, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re) |
A/Baa1 | 655,000 | 672,541 | |||||||
University of Central Florida Athletics Association, Inc. COP, 5.00% due 10/1/2016 (Insured: Natl-Re) |
A/Baa1 | 1,640,000 | 1,738,023 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2013 (Embry-Riddle; Insured: AGM) |
AA-/A2 | 675,000 | 676,039 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2016 (Embry-Riddle; Insured: AGM) |
AA-/A2 | 2,320,000 | 2,592,646 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2017 (Embry-Riddle; Insured: AGM) |
AA-/A2 | 1,030,000 | 1,132,619 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2018 (Embry-Riddle; Insured: AGM) |
AA-/A2 | 2,075,000 | 2,382,141 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2019 (Embry-Riddle; Insured: AGM) |
AA-/A2 | 2,350,000 | 2,703,534 | |||||||
GEORGIA 2.22% |
||||||||||
Athens-Clarke County Unified Government Development Authority, 3.00% due 6/15/2015 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 3,575,000 | 3,715,676 | |||||||
Athens-Clarke County Unified Government Development Authority, 3.00% due 12/15/2015 (UGAREF Coverdell Building, LLC) |
NR/Aa2 | 670,000 | 702,207 | |||||||
Athens-Clarke County Unified Government Development Authority, 3.00% due 6/15/2016 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 300,000 | 315,756 | |||||||
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2017 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 495,000 | 541,485 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2019 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 400,000 | 456,788 | |||||||
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2020 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 395,000 | 428,551 | |||||||
City of Atlanta, 5.50% due 11/1/2014 (Water & Wastewater System; Insured: Natl-Re) |
A+/Aa3 | 3,000,000 | 3,167,760 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Atlanta, 5.50% due 11/1/2015 (Water & Wastewater System; Insured: Natl-Re) |
A+/Aa3 | $ | 4,000,000 | $ | 4,408,320 | |||||
City of Atlanta, 5.00% due 1/1/2016 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 1,495,000 | 1,640,194 | |||||||
City of Atlanta, 5.00% due 11/1/2016 (Water & Wastewater System; Insured: AGM) |
AA-/Aa3 | 3,215,000 | 3,606,491 | |||||||
City of Atlanta, 5.50% due 11/1/2016 (Water & Wastewater System; Insured: Natl-Re) |
A+/Aa3 | 8,215,000 | 9,337,251 | |||||||
City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station Project; Insured: AGM) |
AA-/A3 | 3,850,000 | 4,237,580 | |||||||
City of Atlanta, 5.00% due 11/1/2017 (Water & Wastewater System; Insured: AGM) |
AA-/Aa3 | 4,745,000 | 5,434,164 | |||||||
City of Atlanta, 5.00% due 1/1/2018 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 2,100,000 | 2,402,610 | |||||||
City of Atlanta, 5.00% due 1/1/2019 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 3,145,000 | 3,638,639 | |||||||
City of Atlanta, 6.00% due 11/1/2019 (Water & Wastewater System) |
A+/Aa3 | 5,650,000 | 6,852,715 | |||||||
City of Atlanta, 5.00% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 6,000,000 | 6,968,580 | |||||||
City of Atlanta, 5.25% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 5,000,000 | 5,870,200 | |||||||
City of Atlanta, 5.00% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 7,000,000 | 8,011,290 | |||||||
City of Atlanta, 5.50% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport) |
NR/A1 | 3,525,000 | 4,253,512 | |||||||
Development Authority of Bartow County, 2.70% due 8/1/2043 put 8/23/2018 (Georgia Power Co. Plant Bowen Project) |
A/A3 | 6,000,000 | 6,043,080 | |||||||
Development Authority of Gwinnett County COP, 5.00% due 1/1/2024 pre-refunded 1/1/2014 (Gwinnett County Public Schools Project; Insured: Natl-Re) |
AA+/NR | 600,000 | 607,302 | |||||||
a Fulton County, 5.25% due 1/1/2035 pre-refunded 1/1/2014 (Water & Sewerage System; Insured: Natl-Re) |
AA-/Aa3 | 750,000 | 759,600 | |||||||
Fulton County Development Authority, 5.00% due 10/1/2022 (Georgia Tech Athletic Association) |
NR/A2 | 4,550,000 | 5,202,516 | |||||||
Fulton County Facilities COP, 5.00% due 11/1/2017 |
AA-/Aa3 | 8,400,000 | 9,548,196 | |||||||
Fulton County Facilities COP, 5.00% due 11/1/2019 |
AA-/Aa3 | 6,600,000 | 7,594,884 | |||||||
Georgia Municipal Electric Authority, 6.50% due 1/1/2017 |
A+/A1 | 1,415,000 | 1,536,280 | |||||||
Georgia Municipal Gas Authority, 5.00% due 4/1/2014 (Gas Portfolio III) |
AA-/A1 | 3,000,000 | 3,067,470 | |||||||
Gwinnett County School District GO, 4.00% due 10/1/2015 (Educational Capital Building Program) |
AAA/Aaa | 10,000,000 | 10,723,600 | |||||||
Lagrange Troup County Hospital Authority, 5.00% due 7/1/2018 (West Georgia Health Foundation, Inc.) |
A+/Aa2 | 2,500,000 | 2,689,850 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) |
A/A2 | 3,000,000 | 3,054,300 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) |
A-/Baa2 | 3,845,000 | 3,920,516 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2015 (Georgia Gas) |
A-/Baa2 | 2,000,000 | 2,109,340 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) |
A-/Baa2 | 5,000,000 | 5,485,800 | |||||||
Milledgeville & Baldwin County Development Authority, 5.625% due 9/1/2030 pre-refunded 9/1/2014 (Georgia College & State University Foundation Property III, LLC) |
AA+/NR | 1,280,000 | 1,356,326 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) |
A/A1 | 2,310,000 | 2,517,623 | |||||||
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2022 (South Medical Center) |
AA-/Aa2 | 1,500,000 | 1,673,595 | |||||||
GUAM 0.35% |
||||||||||
Government of Guam, 5.25% due 12/1/2016 |
BBB+/NR | 5,610,000 | 6,082,362 | |||||||
Government of Guam, 5.25% due 12/1/2017 |
BBB+/NR | 2,000,000 | 2,179,660 | |||||||
Government of Guam, 5.50% due 12/1/2018 |
BBB+/NR | 3,000,000 | 3,302,880 | |||||||
Government of Guam, 5.50% due 12/1/2019 |
BBB+/NR | 2,000,000 | 2,192,200 | |||||||
Guam Power Authority, 5.00% due 10/1/2019 (Electric Power System; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,145,600 | |||||||
Guam Power Authority, 5.00% due 10/1/2020 (Electric Power System; Insured: AGM) |
AA-/A2 | 1,500,000 | 1,724,970 | |||||||
Guam Power Authority, 5.00% due 10/1/2022 (Electric Power System; Insured: AGM) |
AA-/A2 | 5,015,000 | 5,779,838 | |||||||
HAWAII 1.25% |
||||||||||
City and County of Honolulu GO, 5.00% due 11/1/2019 (Capital Improvement Projects) |
NR/Aa1 | 3,620,000 | 4,277,899 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2020 (Capital Improvement Projects) |
NR/Aa1 | 8,265,000 | 9,826,010 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2021 (Capital Improvement Projects) |
NR/Aa1 | 2,770,000 | 3,292,616 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) |
NR/Aa1 | 1,750,000 | 2,082,657 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) |
NR/Aa1 | 6,695,000 | 7,967,653 | |||||||
County of Hawaii GO, 4.00% due 9/1/2014 (County Capital Improvement Projects) |
AA-/Aa2 | 1,475,000 | 1,525,755 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of Hawaii GO, 5.00% due 11/1/2017 (Hawaiian Home Lands Settlement) |
AA/Aa2 | $ | 12,000,000 | $ | 13,875,840 | |||||
State of Hawaii GO, 5.00% due 11/1/2018 (Hawaiian Home Lands Settlement) |
AA/Aa2 | 20,000,000 | 23,407,600 | |||||||
State of Hawaii GO, 5.00% due 12/1/2019 (Hawaiian Home Lands Settlement) |
AA/Aa2 | 3,000,000 | 3,544,620 | |||||||
State of Hawaii GO, 5.00% due 12/1/2020 (Hawaiian Home Lands Settlement) |
AA/Aa2 | 2,500,000 | 2,974,150 | |||||||
State of Hawaii GO, 5.00% due 12/1/2021 (Hawaiian Home Lands Settlement) |
AA/Aa2 | 3,000,000 | 3,567,210 | |||||||
State of Hawaii GO, 5.00% due 12/1/2022 (Hawaiian Home Lands Settlement) |
AA/Aa2 | 4,000,000 | 4,713,040 | |||||||
IDAHO 0.28% |
||||||||||
Idaho Housing & Finance Association, 3.00% due 8/15/2015 |
NR/NR | 650,000 | 680,049 | |||||||
a Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014 |
NR/NR | 440,000 | 443,027 | |||||||
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017 |
NR/NR | 1,455,000 | 1,462,479 | |||||||
University of Idaho, 5.25% due 4/1/2041 put 4/1/2021 |
A+/Aa3 | 13,900,000 | 15,605,391 | |||||||
ILLINOIS 5.91% |
||||||||||
Board of Education of the City of Chicago GO, 5.00% due 12/1/2018 (School District Capital Improvement Program) (State Aid Withholding) |
A+/A3 | 3,000,000 | 3,293,220 | |||||||
Board of Education of the City of Chicago GO, 5.00% due 12/1/2019 (School District Capital Improvement Program) (State Aid Withholding) |
A+/A3 | 2,000,000 | 2,175,460 | |||||||
Board of Education of the City of Chicago GO, 0% due 12/1/2020 (Educational Facilities; Insured: BHAC) |
AA+/Aa1 | 12,000,000 | 9,282,120 | |||||||
Board of Education of the City of Chicago GO, 5.00% due 12/1/2020 (School District Capital Improvement Program) (State Aid Withholding) |
A+/A3 | 2,500,000 | 2,681,150 | |||||||
Chicago Housing Authority, 5.00% due 7/1/2015 (Housing Transformation Capital Program; Insured: AGM) (ETM) |
AA-/A2 | 8,460,000 | 9,134,347 | |||||||
Chicago Housing Authority, 5.00% due 7/1/2016 (Housing Transformation Capital Program; Insured: AGM) (ETM) |
AA-/A2 | 2,000,000 | 2,232,880 | |||||||
Chicago Park District GO, 5.00% due 1/1/2018 (Park District Capital Improvement Plan) |
AA+/A1 | 1,150,000 | 1,297,465 | |||||||
Chicago Park District GO, 5.00% due 1/1/2018 (Park District Capital Improvement Plan; Insured: Natl-Re) |
AA+/A1 | 700,000 | 736,029 | |||||||
Chicago School Reform Board of Trustees of the Board of Education GO, 5.25% due 12/1/2021 (School District Capital Improvement Program; Insured: Natl-Re) |
A+/A3 | 1,500,000 | 1,611,705 | |||||||
Chicago Transit Authority, 5.25% due 6/1/2017 (Federal Transit Program-Rail Systems; Insured: AGM) |
A/A2 | 3,000,000 | 3,351,750 | |||||||
Chicago Transit Authority, 5.50% due 6/1/2018 (Federal Transit Program-Rail Systems; Insured: AGM) |
A/A2 | 2,500,000 | 2,845,325 | |||||||
City of Chicago, 5.00% due 11/1/2015 (Water System Extensions & Improvements; Insured: AGM) |
AA-/A2 | 1,050,000 | 1,143,555 | |||||||
City of Chicago, 4.00% due 1/1/2018 (Wastewater Transmission System) |
A+/A2 | 1,475,000 | 1,563,692 | |||||||
City of Chicago, 5.00% due 1/1/2020 (Insured: AGM) |
AAA/A2 | 1,320,000 | 1,408,150 | |||||||
City of Chicago, 5.50% due 1/1/2020 (Wastewater Transmission System; Insured: BHAC) |
AA+/Aa1 | 1,250,000 | 1,406,800 | |||||||
City of Chicago, 6.75% due 6/1/2022 (Pilsen Redevelopment) |
NR/NR | 5,000,000 | 5,078,300 | |||||||
City of Chicago, 5.25% due 1/1/2023 (OHare International Airport; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,102,580 | |||||||
City of Chicago Board of Education GO, 6.25% due 1/1/2015 (Insured: Natl-Re) |
A/A3 | 900,000 | 926,253 | |||||||
City of Chicago Board of Education GO, 5.25% due 12/1/2017 (Chicago School Reform Board; Insured: Natl-Re) |
A+/A3 | 4,100,000 | 4,564,694 | |||||||
City of Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re) |
A+/A3 | 1,000,000 | 1,097,740 | |||||||
City of Chicago Building Acquisition Certificates GO, 5.40% due 1/1/2018 (Parking Facility Improvements; Insured: AGM) |
AA-/A2 | 2,560,000 | 2,568,755 | |||||||
City of Chicago GO, 0% due 1/1/2016 (City Colleges; Insured: Natl-Re) |
A+/A3 | 2,670,000 | 2,507,878 | |||||||
City of Chicago GO, 5.44% due 1/1/2018 (Transportation Infrastructure Capital Projects; Insured: Natl-Re) |
A+/A3 | 3,050,000 | 3,269,081 | |||||||
City of Chicago GO, 5.25% due 1/1/2021 (Public Infrastructure and Facility Improvements) |
A+/A3 | 500,000 | 526,785 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2019 (Various Municipal Capital Improvements; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,084,590 |
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2020 (Various Municipal Capital Improvements; Insured: AGM) |
AA-/A2 | $ | 785,000 | $ | 848,145 | |||||
City of Mount Vernon GO, 4.00% due 12/15/2021 (Various Municipal Capital Improvements; Insured: AGM) |
AA-/A2 | 1,640,000 | 1,737,662 | |||||||
City of Quincy, 5.00% due 11/15/2013 (Blessing Hospital) |
A-/A3 | 510,000 | 512,703 | |||||||
City of Quincy, 5.00% due 11/15/2014 (Blessing Hospital) |
A-/A3 | 1,000,000 | 1,042,360 | |||||||
City of Quincy, 5.00% due 11/15/2016 (Blessing Hospital) |
A-/A3 | 1,750,000 | 1,921,920 | |||||||
City of Quincy, 5.00% due 11/15/2017 (Blessing Hospital) |
A-/A3 | 500,000 | 556,975 | |||||||
City of Rolling Meadows GO, 4.125% due 1/1/2020 pre-refunded 1/1/2014 (Insured: Natl-Re) |
NR/A1 | 100,000 | 100,983 | |||||||
City of Waukegan GO, 5.00% due 12/30/2019 (Lakehurst Redevelopment Project; Insured: AGM) |
NR/A2 | 1,935,000 | 2,165,749 | |||||||
City of Waukegan GO, 5.00% due 12/30/2020 (Lakehurst Redevelopment Project; Insured: AGM) |
NR/A2 | 1,000,000 | 1,120,440 | |||||||
City of Waukegan GO, 5.00% due 12/30/2021 (Lakehurst Redevelopment Project; Insured: AGM) |
NR/A2 | 2,100,000 | 2,341,521 | |||||||
City of Waukegan GO, 5.00% due 12/30/2022 (Lakehurst Redevelopment Project; Insured: AGM) |
NR/A2 | 1,000,000 | 1,110,130 | |||||||
Community College District No. 514 GO, 4.25% due 12/1/2015 (Illinois Central College) |
AA+/Aa2 | 2,360,000 | 2,531,548 | |||||||
Community College District No. 516 GO, 4.50% due 12/15/2020 (Waubonsee Community College) |
NR/Aa1 | 1,325,000 | 1,494,070 | |||||||
Community College District No. 516 GO, 5.00% due 12/15/2021 (Waubonsee Community College) |
NR/Aa1 | 6,175,000 | 7,139,720 | |||||||
Community Consolidated School District No. 146 GO, 9.00% due 12/1/2016 (Tinley Park; Insured: Natl-Re) |
NR/Aa2 | 2,500,000 | 2,962,375 | |||||||
Community Consolidated School District No. 158 GO, 0% due 1/1/2017 (McHenry and Kane Counties; Insured: Natl-Re) |
NR/Baa1 | 1,185,000 | 1,137,197 | |||||||
Community Consolidated School District No. 93 GO, 2.00% due 1/1/2017 (Village of Carol Stream) |
AA+/NR | 370,000 | 381,448 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2014 (Lake County-Grayslake School Bldg.; Insured: AGM) |
AAA/A2 | 1,925,000 | 1,978,130 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2015 (Lake County-Grayslake School Bldg.; Insured: AGM) |
AAA/A2 | 1,610,000 | 1,778,760 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2016 (Lake County-Grayslake School Bldg.; Insured: AGM) |
AAA/A2 | 1,890,000 | 2,217,386 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2017 (Lake County-Grayslake School Bldg.; Insured: AGM) |
AAA/A2 | 2,025,000 | 2,494,051 | |||||||
Community High School District No. 228, 5.00% due 12/15/2013 (Cook County-Bremen; Insured: AGM) |
AA-/NR | 6,875,000 | 6,935,019 | |||||||
Community Unit School District No. 200 GO, 5.25% due 10/1/2023 (DuPage County Educational Facilities; Insured: FSA) |
AA-/Aa3 | 1,000,000 | 1,105,260 | |||||||
Community Unit School District No. 300 GO, 0% due 12/1/2021 (Kane, McHenry Cook & DeKalb Counties; Insured: AMBAC) |
NR/Aa3 | 2,000,000 | 1,493,580 | |||||||
Community Unit School District No. 302 GO, 0% due 2/1/2021 (Kane & DeKalb Counties; Insured: Natl-Re) |
NR/Aa3 | 3,165,000 | 2,447,653 | |||||||
Community Unit School District No. 428 GO, 0% due 1/1/2021 (DeKalb County) |
AA-/Aa2 | 6,140,000 | 4,716,564 | |||||||
Cook County Township High School District No. 227 GO, 5.00% due 12/1/2018 (Rich Township Educational Facilities; Insured: AGM) |
NR/Aa3 | 190,000 | 206,874 | |||||||
County of Cook GO, 6.25% due 11/15/2013 (Capital Improvement Projects; Insured: Natl- Re) (ETM) |
AA/A1 | 3,995,000 | 4,025,242 | |||||||
County of Cook GO, 5.00% due 11/15/2015 (Capital Improvement Projects; Insured: Natl-Re) |
AA/A1 | 2,000,000 | 2,168,560 | |||||||
County of Cook GO, 5.00% due 11/15/2019 (Capital Equipment Project Fund) |
AA/A1 | 3,690,000 | 4,194,017 | |||||||
County of Cook GO, 4.00% due 11/15/2020 (Capital Improvement Plan) |
AA/A1 | 925,000 | 992,220 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Projects) |
AA/A1 | 3,590,000 | 4,013,440 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan) |
AA/A1 | 2,000,000 | 2,276,160 |
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
County of Cook GO, 4.00% due 11/15/2021 (Capital Improvement Plan) |
AA/A1 | $ | 2,000,000 | $ | 2,102,500 | |||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Projects) |
AA/A1 | 5,000,000 | 5,617,950 | |||||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan) |
AA/A1 | 2,105,000 | 2,365,157 | |||||||
County of Cook GO, 4.00% due 11/15/2022 (Capital Improvement Plan) |
AA/A1 | 1,000,000 | 1,036,770 | |||||||
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan) |
AA/A1 | 1,500,000 | 1,668,840 | |||||||
County of Cook GO, 5.00% due 11/15/2022 pre-refunded 5/15/2014 (Capital Improvement Plan; Insured: AMBAC) |
NR/A1 | 480,000 | 499,214 | |||||||
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan; Insured: AMBAC) |
AA/A1 | 1,020,000 | 1,048,009 | |||||||
County of McHenry, 4.50% due 1/15/2016 (Highway Improvement Plan) |
NR/Aaa | 1,000,000 | 1,046,240 | |||||||
County of Winnebago GO, 3.00% due 12/30/2015 (Public Safety) |
NR/Aa2 | 1,035,000 | 1,080,944 | |||||||
Forest Preserve District of Cook County GO, 5.00% due 11/15/2021 |
AA/A1 | 1,500,000 | 1,718,805 | |||||||
Forest Preserve District of Kane County GO, 4.00% due 12/15/2013 |
AA+/NR | 2,130,000 | 2,146,529 | |||||||
Forest Preserve District of Kane County GO, 5.00% due 12/15/2015 (Insured: Natl-Re) |
AA+/Baa1 | 2,780,000 | 3,036,177 | |||||||
Illinois Educational Facilities Authority, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) |
A+/NR | 3,030,000 | 3,307,063 | |||||||
Illinois Educational Facilities Authority, 5.00% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) |
NR/A1 | 3,000,000 | 3,299,010 | |||||||
Illinois Educational Facilities Authority, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago) |
NR/NR | 3,500,000 | 3,905,580 | |||||||
Illinois Educational Facilities Authority, 3.40% due 11/1/2036 put 11/1/2017 (Field Museum of Natural History) |
A/NR | 1,300,000 | 1,361,217 | |||||||
Illinois Educational Facilities Authority, 4.30% due 11/1/2036 put 11/1/2013 (Field Museum of Natural History) |
A/A2 | 3,100,000 | 3,109,579 | |||||||
Illinois Finance Authority, 5.00% due 2/15/2014 (Alexian Brothers Health Systems) |
NR/A2 | 3,000,000 | 3,040,320 | |||||||
Illinois Finance Authority, 5.00% due 5/1/2014 (Student Housing) |
NR/Baa3 | 3,895,000 | 3,950,776 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2014 (Central DuPage Health) |
AA/NR | 5,000,000 | 5,226,600 | |||||||
Illinois Finance Authority, 4.00% due 4/1/2015 (Advocate Health Care) |
AA/Aa2 | 3,000,000 | 3,150,750 | |||||||
Illinois Finance Authority, 5.25% due 5/15/2015 (Resurrection Health Care Corp.) |
BBB+/Baa1 | 1,000,000 | 1,062,340 | |||||||
Illinois Finance Authority, 5.00% due 10/1/2015 (DePaul University) |
NR/A2 | 1,000,000 | 1,083,280 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2015 (Central DuPage Health) |
AA/NR | 5,000,000 | 5,393,400 | |||||||
Illinois Finance Authority, 5.25% due 12/1/2015 (Columbia College) |
BBB+/NR | 1,620,000 | 1,729,285 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2016 (Advocate Health Care) |
AA/Aa2 | 1,250,000 | 1,371,813 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2016 (Columbia College) |
BBB+/NR | 1,710,000 | 1,847,193 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re) |
A/A2 | 1,000,000 | 1,115,110 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2017 (Columbia College) |
BBB+/NR | 1,395,000 | 1,525,642 | |||||||
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health Care) |
AA/Aa2 | 1,000,000 | 1,175,050 | |||||||
Illinois Finance Authority, 5.25% due 5/1/2019 (Educational Advancement Fund, Inc.) |
NR/Baa3 | 4,675,000 | 4,929,039 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2020 (Advocate Health Care) |
AA/Aa2 | 1,315,000 | 1,466,922 | |||||||
Illinois Finance Authority, 4.00% due 12/1/2021 (Trinity Health) |
AA/Aa2 | 1,000,000 | 1,058,800 | |||||||
Illinois Finance Authority, 2.625% due 2/1/2033 put 8/1/2015 (Peoples Gas Light & Coke Co.) |
A/A1 | 9,500,000 | 9,821,765 | |||||||
Illinois Finance Authority, 4.30% due 6/1/2035 put 6/1/2016 (Peoples Gas Light & Coke Co.; Insured: AMBAC) |
A/A1 | 2,550,000 | 2,765,755 | |||||||
Illinois Finance Authority, 3.00% due 7/1/2042 put 5/6/2014 (Prairie Power; Insured: National Rural Utilities Cooperative) |
A/NR | 17,150,000 | 17,337,621 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2014 (Insured: AGM) |
AA-/Aa3 | 17,190,000 | 17,410,720 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2015 (Insured: AGM) |
AA-/Aa3 | 5,000,000 | 5,315,050 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re) (ETM) |
A/NR | 3,475,000 | 3,392,399 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re) |
A/Baa1 | 8,245,000 | 7,845,942 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2020 (McCormick Place Expansion) |
AAA/NR | 4,000,000 | 4,584,480 | |||||||
Metropolitan Water Reclamation District of Greater Chicago GO, 4.00% due 12/1/2014 (Capital Improvements) |
AAA/Aa1 | 2,500,000 | 2,607,300 |
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Public Building Commission of Chicago, 5.25% due 12/1/2013 (School District Capital Improvement Program; Insured: Natl-Re) |
A/A3 | $ | 3,000,000 | $ | 3,023,970 | |||||
Railsplitter Tobacco Settlement Authority, 5.00% due 6/1/2019 |
A/NR | 22,000,000 | 24,737,680 | |||||||
Railsplitter Tobacco Settlement Authority, 5.125% due 6/1/2019 |
A/NR | 6,780,000 | 7,668,112 | |||||||
Regional Transportation Authority GO, 6.25% due 7/1/2014 (Insured: Natl-Re) |
AA/Aa3 | 3,500,000 | 3,650,115 | |||||||
Sangamon County Community Unit School District No. 5, 5.00% due 1/1/2015 (Insured: AGM) |
AA-/NR | 2,210,000 | 2,332,301 | |||||||
School District No. 112 GO, 4.00% due 1/1/2014 (Lake County-North Shore) |
AAA/NR | 1,145,000 | 1,154,778 | |||||||
School District No. 122 GO, 0% due 1/1/2016 (Winnebago County-Harlem-Loves Park; Insured: AGM) |
NR/A2 | 2,000,000 | 1,932,500 | |||||||
School District No. 97 GO, 9.00% due 12/1/2013 (Village of Oak Park; Insured: Natl-Re) |
NR/Aa2 | 2,250,000 | 2,281,185 | |||||||
School District No. 97 GO, 9.00% due 12/1/2018 (Village of Oak Park; Insured: Natl-Re) |
NR/Aa2 | 4,000,000 | 5,273,120 | |||||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) |
BBB-/Baa3 | 915,000 | 974,008 | |||||||
St. Charles Community Unit School District No. 303 GO, 5.00% due 1/1/2014 (City of St. Charles & Village of Valley View; Insured: AGM) |
NR/Aa2 | 6,750,000 | 6,831,270 | |||||||
State of Illinois, 3.50% due 6/15/2014 (Build Illinois Bond Retirement & Interest Fund) |
AAA/A3 | 6,455,000 | 6,600,560 | |||||||
State of Illinois, 5.00% due 6/15/2016 (Build Illinois Bond Retirement & Interest Fund) |
AAA/NR | 3,500,000 | 3,876,355 | |||||||
Town of Cicero Cook County GO, 5.25% due 1/1/2019 (Economic Redevelopment; Insured: Syncora) |
NR/NR | 6,140,000 | 6,292,272 | |||||||
Town of Cicero Cook County GO, 5.00% due 12/1/2019 (Economic Redevelopment) |
A+/NR | 1,070,000 | 1,169,949 | |||||||
Township High School District No. 227 GO, 4.125% due 12/1/2013 (Rich Township Educational Facilities; Insured: AGM) |
NR/Aa3 | 1,125,000 | 1,132,436 | |||||||
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 (Insured: AGM) |
AA-/Aa3 | 2,000,000 | 2,201,540 | |||||||
Village of Bolingbrook, DuPage and Will Counties GO, 0% due 1/1/2016 (Insured: Natl-Re) |
NR/Aa3 | 1,500,000 | 1,394,235 | |||||||
Village of Bolingbrook, DuPage and Will Counties GO, 0% due 1/1/2017 pre-refunded 1/1/2015 (Insured: Natl-Re) |
NR/Aa3 | 85,000 | 76,714 | |||||||
Village of Bolingbrook, DuPage and Will Counties GO, 0% due 1/1/2017 (Insured: Natl-Re) |
NR/Aa3 | 1,915,000 | 1,686,713 | |||||||
Village of Broadview, 5.375% due 7/1/2015 |
NR/NR | 2,325,000 | 2,327,929 | |||||||
Village of Downers Grove GO, 3.00% due 1/1/2017 |
AAA/NR | 970,000 | 1,015,697 | |||||||
Village of Melrose Park, 5.20% due 7/1/2018 (Insured: Natl-Re) |
A/Baa1 | 1,190,000 | 1,202,412 | |||||||
Village of Skokie GO, 5.00% due 12/1/2014 |
NR/Aaa | 565,000 | 593,730 | |||||||
Village of Tinley Park GO, 4.00% due 12/1/2022 |
AA+/NR | 625,000 | 665,113 | |||||||
Will County Community High School District No. 210 GO, 5.00% due 1/1/2015 (Lincoln- Way School Building; Insured: Natl-Re) (ETM) |
NR/Aa2 | 750,000 | 794,138 | |||||||
Will County Community High School District No. 210 GO, 5.00% due 1/1/2015 (Lincoln- Way School Building; Insured: Natl-Re/FGIC) |
NR/Aa2 | 250,000 | 263,933 | |||||||
Will County Valley View Community Unit School District No. 365 GO, 0% due 11/1/2018 (Insured: AGM) |
AA/Aa2 | 3,370,000 | 2,942,684 | |||||||
INDIANA 3.78% |
||||||||||
Allen County Jail Building Corp., 5.00% due 10/1/2014 (Insured: Syncora) |
NR/Aa2 | 1,000,000 | 1,033,450 | |||||||
Allen County Jail Building Corp., 5.00% due 10/1/2015 (Insured: Syncora) |
NR/Aa2 | 1,480,000 | 1,602,796 | |||||||
Allen County Jail Building Corp., 5.00% due 10/1/2016 (Insured: Syncora) |
NR/Aa2 | 1,520,000 | 1,664,157 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2016 |
NR/A2 | 1,000,000 | 1,075,240 | |||||||
Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC) (State Aid Withholding) |
A/NR | 2,500,000 | 2,827,750 | |||||||
Board of Trustees for the Vincennes University, 3.00% due 6/1/2014 |
NR/Aa3 | 1,000,000 | 1,015,110 | |||||||
Board of Trustees for the Vincennes University, 3.00% due 6/1/2015 |
NR/Aa3 | 1,000,000 | 1,035,280 | |||||||
Board of Trustees for the Vincennes University, 4.00% due 6/1/2018 |
NR/Aa3 | 1,000,000 | 1,096,030 | |||||||
Board of Trustees for the Vincennes University, 5.00% due 6/1/2020 |
NR/Aa3 | 1,000,000 | 1,157,100 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 7/15/2018 (Insured: AGM) (State Aid Withholding) |
AA+/NR | 3,430,000 | 3,695,722 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 8/1/2018 (Insured: AGM) (State Aid Withholding) |
AA+/A2 | 1,475,000 | 1,587,719 |
Certified Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Brownsburg 1999 School Building Corporation, 5.00% due 8/1/2017 (Cardinal, Delaware Trail, White Lick Elementary & Brownsburg Junior High Schools; Insured: AGM) (State Aid Withholding) |
AA+/A2 | $ | 1,000,000 | $ | 1,077,000 | |||||
Carmel Redevelopment Authority, 3.00% due 2/1/2014 (Economic Development) |
AA+/NR | 965,000 | 973,096 | |||||||
Carmel Redevelopment Authority, 3.00% due 8/1/2014 (Economic Development) |
AA+/NR | 915,000 | 933,684 | |||||||
Carmel Redevelopment Authority, 0% due 2/1/2015 (Performing Arts Center) |
AA+/Aa1 | 1,575,000 | 1,561,030 | |||||||
Carmel Redevelopment Authority, 4.00% due 2/1/2015 (Economic Development) |
AA+/NR | 990,000 | 1,034,174 | |||||||
Carmel Redevelopment Authority, 4.00% due 8/1/2015 (Economic Development) |
AA+/NR | 975,000 | 1,032,486 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2021 (Economic Development) |
AA+/NR | 2,405,000 | 2,761,974 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2022 (Economic Development) |
AA+/NR | 2,510,000 | 2,882,534 | |||||||
Carmel Redevelopment District COP, 5.75% due 7/15/2022 |
NR/NR | 4,125,000 | 4,296,394 | |||||||
City of Carmel Redevelopment Authority, 4.25% due 7/1/2015 (Hazel Dell Parkway & Pennsylvania Street Economic Development Area Roadways; Insured: Natl-Re) |
NR/A2 | 600,000 | 616,194 | |||||||
City of Fort Wayne, 4.25% due 8/1/2014 (Sewer Works Improvements) |
NR/Aa3 | 1,745,000 | 1,802,236 | |||||||
City of Fort Wayne, 2.00% due 12/1/2014 (Waterworks Utility Improvements) |
NR/Aa3 | 925,000 | 942,372 | |||||||
City of Fort Wayne, 4.25% due 8/1/2015 (Sewer Works Improvements) |
NR/Aa3 | 1,780,000 | 1,899,563 | |||||||
City of Fort Wayne, 2.00% due 12/1/2015 (Waterworks Utility Improvements) |
NR/Aa3 | 1,145,000 | 1,177,987 | |||||||
City of Fort Wayne, 2.00% due 12/1/2016 (Waterworks Utility Improvements) |
NR/Aa3 | 1,160,000 | 1,191,436 | |||||||
City of Fort Wayne, 2.00% due 12/1/2017 (Waterworks Utility Improvements) |
NR/Aa3 | 1,175,000 | 1,201,156 | |||||||
City of Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co. Project) |
BBB/Baa2 | 4,100,000 | 4,241,942 | |||||||
City of Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co. Project) |
BBB/Baa2 | 1,000,000 | 1,034,620 | |||||||
City of Whiting, 5.00% due 1/1/2016 (BP Products North America, Inc.) |
A/A2 | 5,375,000 | 5,874,122 | |||||||
Clay Multiple School Building Corp., 4.00% due 7/15/2015 (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,053,570 | |||||||
Clay Multiple School Building Corp., 5.00% due 7/15/2016 (State Aid Withholding) |
AA+/NR | 1,295,000 | 1,429,835 | |||||||
Clay Multiple School Building Corp., 5.00% due 1/15/2017 (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,117,450 | |||||||
Crown Point Multi-School Building Corp., 0% due 1/15/2016 (Crown Point Community School Corp.; Insured: Natl-Re) (State Aid Withholding) |
A/Baa1 | 5,685,000 | 5,537,417 | |||||||
Duneland School Building Corp., 0% due 2/1/2020 (State Aid Withholding) |
A/NR | 2,970,000 | 2,391,860 | |||||||
Duneland School Building Corp., 0% due 8/1/2020 (State Aid Withholding) |
A/NR | 3,470,000 | 2,729,745 | |||||||
Duneland School Building Corp., 0% due 2/1/2021 (State Aid Withholding) |
A/NR | 2,770,000 | 2,111,516 | |||||||
Duneland School Building Corp., 0% due 8/1/2021 (State Aid Withholding) |
A/NR | 3,270,000 | 2,431,114 | |||||||
Evansville Vanderburgh Public Library Leasing Corp., 5.00% due 7/15/2014 (Insured: AMBAC) (ETM) |
A+/NR | 1,000,000 | 1,037,360 | |||||||
Evansville Vanderburgh Public Library Leasing Corp., 5.00% due 7/15/2015 (Insured: AMBAC) (ETM) |
A+/NR | 1,000,000 | 1,081,370 | |||||||
Fort Wayne Community Schools GO, 1.00% due 1/15/2014 (Renewal, Restoration & Safety Project) (State Aid Withholding) |
AA+/NR | 1,700,000 | 1,703,570 | |||||||
Fort Wayne Community Schools GO, 1.00% due 7/15/2014 (Renewal, Restoration & Safety Project) (State Aid Withholding) |
AA+/NR | 1,600,000 | 1,609,040 | |||||||
Fort Wayne Community Schools GO, 1.00% due 1/15/2015 (Renewal, Restoration & Safety Project) (State Aid Withholding) |
AA+/NR | 1,500,000 | 1,513,200 | |||||||
GCS School Building Corp. One, 5.00% due 1/15/2014 (Goshen Community Schools; Insured: AGM) (State Aid Withholding) |
AA+/A2 | 760,000 | 770,442 | |||||||
Hammond Multi-School Building Corp., 5.00% due 1/15/2014 (Insured: Natl-Re) (State Aid Withholding) |
AA+/Baa1 | 1,000,000 | 1,013,740 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) |
NR/A2 | 1,545,000 | 1,723,293 | |||||||
Indiana Bond Bank, 5.00% due 10/15/2017 (Special Gas Program) |
NR/A2 | 5,000,000 | 5,581,450 | |||||||
Indiana Bond Bank, 5.00% due 8/1/2021 (Columbus Learning Center) |
AA/NR | 1,300,000 | 1,494,935 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2014 (Sisters of St. Francis Health Services, Inc.) |
NR/Aa3 | 1,000,000 | 1,049,160 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2015 (Parkview Health Systems) |
A+/A1 | 1,500,000 | 1,599,750 | |||||||
Indiana Finance Authority, 4.90% due 1/1/2016 (Indiana Power & Light Co.) |
BBB+/A3 | 11,650,000 | 12,515,828 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2016 (Parkview Health Systems) |
A+/A1 | 3,090,000 | 3,400,298 | |||||||
Indiana Finance Authority, 5.00% due 7/1/2016 (Forensic & Health Science; Insured: Natl-Re) (ETM) |
AA+/Aa1 | 1,030,000 | 1,148,738 |
32 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Indiana Finance Authority, 5.00% due 9/15/2016 (Marian University Health Sciences) |
BBB-/NR | $ | 1,500,000 | $ | 1,566,555 | |||||
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems) |
A+/A1 | 1,000,000 | 1,117,540 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2017 (Marian University Health Sciences) |
BBB-/NR | 1,940,000 | 2,033,489 | |||||||
Indiana Finance Authority, 4.00% due 5/1/2018 (Community Health Network) |
A/A2 | 2,820,000 | 3,065,622 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Wabash Correctional Facilities) |
AA+/Aa1 | 1,000,000 | 1,165,920 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Rockville Correctional Facilities) (ETM) |
AA+/Aa1 | 2,150,000 | 2,533,689 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2018 (Marian University Health Sciences) |
BBB-/NR | 1,790,000 | 1,871,391 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Sisters of St. Francis Health Services, Inc.) |
NR/Aa3 | 1,250,000 | 1,432,737 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Indianapolis Airport) |
AA+/Aa2 | 2,750,000 | 3,174,297 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2019 (Community Health Network) |
A/A2 | 1,385,000 | 1,567,294 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2019 (Marian University Health Sciences) |
BBB-/NR | 1,250,000 | 1,292,225 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2020 (Indiana University Health System) |
AA-/Aa3 | 5,000,000 | 5,712,650 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2020 (Community Health Network) |
A/A2 | 860,000 | 976,203 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2020 (Marian University Health Sciences) |
BBB-/NR | 2,245,000 | 2,297,915 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2021 (Indiana University Health System) |
AA-/Aa3 | 9,880,000 | 11,158,867 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2021 (Community Health Network) |
A/A2 | 2,250,000 | 2,527,852 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2021 (Marian University Health Sciences) |
BBB-/NR | 2,320,000 | 2,344,221 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2022 (Indiana University Health System) |
AA-/Aa3 | 3,240,000 | 3,592,739 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2022 (Community Health Network) |
A/A2 | 1,230,000 | 1,371,266 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2022 (Parkview Regional Medical Center) |
A+/A1 | 1,135,000 | 1,274,333 | |||||||
Indiana Finance Authority, 0.08% due 2/1/2037 put 10/1/2013 (Lucas Oil Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA+/Aa2 | 17,700,000 | 17,700,000 | |||||||
Indiana Health Facility Financing Authority, 5.00% due 10/1/2027 put 6/1/2017 (Ascension Health) |
NR/Aa3 | 7,100,000 | 7,955,763 | |||||||
Indiana Multi-School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re) |
AA/Baa1 | 5,000,000 | 5,565,750 | |||||||
Indianapolis Local Public Improvement Bond Bank, 6.75% due 2/1/2014 (Circle Centre) |
AA/NR | 365,000 | 372,720 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 1/1/2015 (Waterworks System; Insured: Natl-Re) |
A+/A2 | 1,000,000 | 1,055,210 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2015 (Waterworks System; Insured: Natl-Re) |
A+/A2 | 1,000,000 | 1,074,960 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2016 (Wishard Complex- Myers Special Care Center Building; Insured: Natl-Re) |
AA+/Aa1 | 1,030,000 | 1,104,387 | |||||||
Indianapolis Multi-School Building Corp. First Mtg, 5.50% due 7/15/2015 (Insured: Natl-Re) |
AA/Baa1 | 1,690,000 | 1,840,275 | |||||||
Ivy Tech Community College, 4.00% due 7/1/2014 |
AA-/NR | 1,500,000 | 1,538,010 | |||||||
Knox Middle School Building Corp., 0% due 1/15/2020 (Insured: Natl-Re) (State Aid Withholding) |
A/Baa1 | 1,295,000 | 1,045,078 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2019 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,000,000 | 1,092,060 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2019 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,680,000 | 1,927,145 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,345,000 | 1,465,203 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2020 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,170,000 | 1,347,091 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2021 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,250,000 | 1,351,075 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2021 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,250,000 | 1,428,425 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2022 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,455,000 | 1,553,722 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2022 (Educational Facilities) (State Aid Withholding) |
AA+/A2 | 1,000,000 | 1,142,620 | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) (ETM) |
AA+/Baa1 | 1,200,000 | 1,230,312 |
Certified Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) (ETM) |
AA+/Baa1 | $ | 1,250,000 | $ | 1,335,050 | |||||
Metropolitan School District of Pike Township GO, 3.00% due 1/15/2017 (College Park Ancillary Rooms) (State Aid Withholding) |
AA+/NR | 2,115,000 | 2,248,097 | |||||||
Monroe-Gregg Grade School Building Corporation, 5.00% due 1/15/2025 pre-refunded 1/15/2014 (Monrovia Middle/Senior High & New Elementary Schools; Insured: AGM) (State Aid Withholding) |
AA+/A2 | 525,000 | 532,371 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) (ETM) |
A/Baa1 | 870,000 | 902,503 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) |
A/Baa1 | 265,000 | 274,193 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) (ETM) |
A/Baa1 | 870,000 | 940,792 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) |
A/Baa1 | 270,000 | 290,085 | |||||||
MSD of Warren Township Vision 2005 School Building Corp., 5.00% due 7/10/2015 pre-refunded 1/10/2015 (Insured: Natl-Re) (State Aid Withholding) |
AA+/Baa1 | 2,895,000 | 3,069,395 | |||||||
Noblesville Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) |
AA+/Baa1 | 1,760,000 | 1,865,952 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) |
AA-/NR | 1,660,000 | 1,841,654 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2014 (Educational Facilities; Insured: AGM) (State Aid Withholding) |
NR/Aa2 | 2,130,000 | 2,206,637 | |||||||
Perry Township Multischool Building Corp., 4.00% due 1/15/2018 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,091,310 | |||||||
Perry Township Multischool Building Corp., 3.00% due 1/10/2019 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,039,340 | |||||||
Perry Township Multischool Building Corp., 4.00% due 7/10/2019 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,090,030 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2020 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 2,090,000 | 2,399,069 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2021 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,141,920 | |||||||
Pike Township Multi-School Building Corp., 4.00% due 1/15/2017 (Metropolitan School District of Pike Township) (State Aid Withholding) |
AA+/NR | 1,080,000 | 1,183,151 | |||||||
Plainfield Community High School Building Corp., 5.00% due 1/15/2015 (Insured: Natl-Re) |
AA+/Baa1 | 1,445,000 | 1,526,108 | |||||||
South Bend Community School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re) (State Aid Withholding) |
AA+/Baa1 | 1,785,000 | 1,987,847 | |||||||
West Clark School Building Corp., 5.25% due 1/15/2014 (Insured: Natl-Re) |
AA+/Baa1 | 1,335,000 | 1,354,438 | |||||||
Westfield Washington Multi-School Building Corp., 5.00% due 7/15/2015 pre-refunded 1/15/2015 (Insured: AGM) (State Aid Withholding) |
AA-/A2 | 540,000 | 572,216 | |||||||
Westfield Washington Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: AGM) (State Aid Withholding) |
AA-/A2 | 370,000 | 390,383 | |||||||
Zionsville Community Schools Building Corp., 5.00% due 7/15/2019 (Insured: AGM) (State Aid Withholding) |
AA-/A2 | 1,100,000 | 1,261,821 | |||||||
IOWA 0.44% |
||||||||||
Des Moines Independent Community School District, 4.00% due 6/1/2019 (School Infrastructure; Insured: AGM) |
AA-/A2 | 3,870,000 | 4,258,006 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2020 (School Infrastructure; Insured: AGM) |
AA-/A2 | 3,990,000 | 4,377,748 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2021 (School Infrastructure; Insured: AGM) |
AA-/A2 | 4,125,000 | 4,440,026 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2022 (School Infrastructure; Insured: AGM) |
AA-/A2 | 2,140,000 | 2,274,991 |
34 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Iowa Finance Authority, 5.00% due 2/15/2014 (Iowa Health System; Insured: AGM) |
NR/Aa3 | $ | 2,500,000 | $ | 2,541,750 | |||||
Iowa Finance Authority, 5.00% due 2/15/2015 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 2,300,000 | 2,432,388 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2016 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 1,600,000 | 1,747,664 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2016 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 1,500,000 | 1,661,385 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2017 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 1,600,000 | 1,789,856 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2017 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 990,000 | 1,119,839 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2018 (Iowa Health System; Insured: AGM) |
NR/Aa3 | 1,405,000 | 1,596,347 | |||||||
State of Iowa, 5.00% due 6/1/2014 (IJOBS Program) |
AA/Aa2 | 500,000 | 515,885 | |||||||
KANSAS 0.10% |
||||||||||
Kansas Development Finance Authority, 5.00% due 11/1/2015 (State Capitol, School of Pharmacy and Wildlife & Parks Projects) |
AA/Aa2 | 2,605,000 | 2,843,358 | |||||||
Kansas Development Finance Authority, 5.00% due 5/1/2018 (University of Kansas Housing System Project; Insured: AMBAC) |
AA-/Aa3 | 1,400,000 | 1,493,786 | |||||||
Leavenworth County GO, 3.00% due 3/1/2014 (KTA and KDOT Loans) |
AA-/NR | 1,000,000 | 1,011,030 | |||||||
Leavenworth County GO, 4.00% due 3/1/2015 (KTA and KDOT Loans) |
AA-/NR | 1,040,000 | 1,091,230 | |||||||
KENTUCKY 0.55% |
||||||||||
Jefferson County School District Finance Corp., 5.25% due 1/1/2016 (Insured: AGM) |
AA-/Aa2 | 2,145,000 | 2,363,254 | |||||||
Kentucky Economic DFA, 0% due 10/1/2019 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 5,000,000 | 4,099,000 | |||||||
Kentucky Economic DFA, 0% due 10/1/2020 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 9,600,000 | 7,491,648 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 2,885,000 | 2,113,320 | |||||||
Kentucky Economic DFA, 0% due 10/1/2023 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 4,195,000 | 2,733,672 | |||||||
Kentucky Economic DFA, 5.00% due 5/1/2039 put 11/11/2014 (Catholic Health Initiatives) |
AA-/Aa3 | 5,500,000 | 5,764,825 | |||||||
Kentucky Municipal Power Agency, 4.00% due 9/1/2015 (Insured: AGM) |
AA-/A2 | 2,955,000 | 3,137,057 | |||||||
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2014 (Eastern State Hospital) |
A+/Aa3 | 1,000,000 | 1,029,800 | |||||||
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2022 (Eastern State Hospital) |
A+/Aa3 | 6,165,000 | 6,859,549 | |||||||
LOUISIANA 3.00% |
||||||||||
City of Bossier, 4.00% due 12/1/2018 (Public Improvements; Insured: AGM) |
AA-/Aa3 | 2,020,000 | 2,225,939 | |||||||
City of Bossier, 4.50% due 12/1/2021 (Public Improvements; Insured: AGM) |
AA-/Aa3 | 2,240,000 | 2,505,261 | |||||||
City of Lafayette, 4.00% due 11/1/2016 (Utilities System Improvements) |
A+/A1 | 1,395,000 | 1,521,233 | |||||||
City of Lafayette, 5.00% due 11/1/2019 (Utilities System Improvements) |
A+/A1 | 1,000,000 | 1,159,970 | |||||||
City of Monroe, 5.00% due 3/1/2017 pre-refunded 3/1/2015 (Garrett Road Economic Development; Insured: Radian) |
NR/NR | 1,505,000 | 1,574,787 | |||||||
City of New Orleans GO, 5.00% due 10/1/2016 (Audubon Park Aquarium) |
A/NR | 2,380,000 | 2,618,143 | |||||||
City of New Orleans GO, 4.00% due 10/1/2018 (Audubon Park Aquarium; Insured: AGM) |
AA-/NR | 1,110,000 | 1,191,219 | |||||||
City of New Orleans GO, 5.00% due 12/1/2019 (Public Improvements; Insured: AGM) |
BBB/A3 | 3,080,000 | 3,501,683 | |||||||
City of New Orleans GO, 5.00% due 12/1/2020 (Public Improvements; Insured: AGM) |
BBB/A3 | 3,250,000 | 3,690,245 | |||||||
City of New Orleans GO, 5.00% due 12/1/2021 (Public Improvements; Insured: AGM) |
BBB/A3 | 5,700,000 | 6,417,573 | |||||||
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2021 (Roads, Bridges & Drainage Works) |
A/NR | 1,990,000 | 2,110,674 | |||||||
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2022 (Roads, Bridges & Drainage Works) |
A/NR | 1,545,000 | 1,619,546 | |||||||
East Baton Rouge Sewer Commission, 5.00% due 2/1/2014 (Wastewater System Improvements) |
AA-/Aa3 | 1,000,000 | 1,015,770 | |||||||
East Baton Rouge Sewer Commission, 5.00% due 2/1/2018 (Wastewater System Improvements; Insured: AGM) |
AA-/Aa3 | 3,000,000 | 3,288,450 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2020 (Convention Center) |
NR/A2 | 1,000,000 | 1,143,320 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2021 (Convention Center) |
NR/A2 | 780,000 | 884,060 |
Certified Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2022 (Convention Center) |
NR/A2 | $ | 1,000,000 | $ | 1,129,230 | |||||
Jefferson Sales Tax District Parish of Jefferson, 5.00% due 12/1/2018 (Sewerage Capital Project; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,292,320 | |||||||
Louisiana Citizens Property Insurance Corp., 5.00% due 6/1/2015 (Insured: AMBAC) |
A-/A3 | 10,265,000 | 10,899,787 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2020 (Rodemacher Unit No. 2 Power) |
A-/A3 | 1,000,000 | 1,135,790 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2021 (Rodemacher Unit No. 2 Power) |
A-/A3 | 1,000,000 | 1,128,750 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2023 (Rodemacher Unit No. 2 Power) |
A-/A3 | 1,415,000 | 1,580,272 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2013 (Community and Technical Colleges Facilities and SIS System; Insured: AGM) |
AA-/A1 | 1,500,000 | 1,500,150 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2014 (Community and Technical Colleges Facilities and SIS System; Insured: AGM) |
AA-/A1 | 1,500,000 | 1,551,135 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2015 (Independence Stadium) |
A/NR | 1,000,000 | 1,051,880 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2016 (Independence Stadium) |
A/NR | 1,000,000 | 1,082,570 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2016 (Town of Vinton Public Power Authority; Insured: AGM) |
AA-/NR | 1,000,000 | 1,068,340 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2017 (Independence Stadium) |
A/NR | 1,265,000 | 1,393,461 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2017 (Town of Vinton Public Power Authority; Insured: AGM) |
AA-/NR | 1,000,000 | 1,076,370 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium) |
A/NR | 1,000,000 | 1,113,690 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2018 (Town of Vinton Public Power Authority; Insured: AGM) |
AA-/NR | 1,000,000 | 1,101,170 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2018 (Bossier Parish Community College Campus Facilities, Inc. Project) |
AA-/NR | 2,655,000 | 2,926,129 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2019 (Town of Vinton Public Power Authority; Insured: AGM) |
AA-/NR | 1,000,000 | 1,096,950 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2019 (Bossier Parish Community College Campus Facilities, Inc. Project) |
AA-/NR | 1,310,000 | 1,435,053 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 12/1/2020 (Bossier Parish Community College Campus Facilities, Inc. Project) |
AA-/NR | 1,200,000 | 1,386,072 | |||||||
Louisiana Offshore Terminal Authority, 5.00% due 10/1/2018 (Deepwater Oil Port-Loop LLC) |
A-/NR | 22,000,000 | 24,629,000 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 (Deepwater Oil Port-Loop LLC) |
A-/A3 | 5,000,000 | 5,098,200 | |||||||
Louisiana Offshore Terminal Authority, 2.20% due 10/1/2040 put 10/1/2017 (Deepwater Oil Port-Loop LLC) |
A-/NR | 6,000,000 | 5,986,860 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2014 (Ochsner Clinic Foundation) |
NR/Baa1 | 1,000,000 | 1,023,780 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2015 (Ochsner Clinic Foundation) |
NR/Baa1 | 1,825,000 | 1,928,441 | |||||||
Louisiana Public Facilities Authority, 5.75% due 7/1/2015 (Franciscan Missionaries of Our Lady Health System; Insured: AGM) |
AA-/A2 | 1,325,000 | 1,430,920 | |||||||
Louisiana Public Facilities Authority, 2.875% due 11/1/2015 (Entergy Gulf States) |
A-/A3 | 2,500,000 | 2,566,050 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) |
NR/Baa1 | 1,000,000 | 1,081,740 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) |
NR/Baa1 | 1,035,000 | 1,135,954 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) |
NR/Baa1 | 2,000,000 | 2,200,580 | |||||||
Louisiana State Office Facilities Corp., 3.75% due 3/1/2015 (State Capitol) |
AA-/Aa3 | 5,000,000 | 5,220,900 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2015 (State Capitol) |
NR/Aa3 | 2,830,000 | 3,023,487 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2016 (State Capitol) |
NR/Aa3 | 1,000,000 | 1,102,230 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2018 (State Capitol) |
NR/Aa3 | 2,500,000 | 2,857,850 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2021 (State Capitol) |
NR/Aa3 | 4,595,000 | 5,195,337 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) |
BBB/Baa3 | 2,400,000 | 2,411,904 | |||||||
Parish of LaFourche, 5.00% due 1/1/2019 (Roads, Highways & Bridges) |
A/NR | 595,000 | 677,199 |
36 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Parish of LaFourche, 5.00% due 1/1/2022 (Roads, Highways & Bridges) |
A/NR | $ | 415,000 | $ | 473,631 | |||||
a Parish of LaFourche, 5.00% due 1/1/2023 (Roads, Highways & Bridges) |
A/NR | 515,000 | 586,054 | |||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) |
BBB/Baa2 | 14,000,000 | 13,939,520 | |||||||
Parishwide School District GO, 5.00% due 9/1/2016 (Insured: AGM) |
AA-/Aa3 | 4,500,000 | 4,974,885 | |||||||
Parishwide School District GO, 5.00% due 9/1/2018 (Insured: AGM) |
AA-/Aa3 | 4,800,000 | 5,448,816 | |||||||
Parishwide School District GO, 5.00% due 9/1/2020 (Insured: AGM) |
AA-/Aa3 | 3,840,000 | 4,397,338 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2019 |
BBB+/NR | 1,005,000 | 1,108,646 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2021 |
BBB+/NR | 1,115,000 | 1,197,309 | |||||||
Regional Transit Authority, 0% due 12/1/2015 (Streetcar Rail Lines; Insured: Natl-Re) |
A/NR | 3,670,000 | 3,356,068 | |||||||
Regional Transit Authority, 5.00% due 12/1/2017 (Streetcar Rail Lines; Insured: AGM) |
AA-/Aa3 | 755,000 | 861,802 | |||||||
Regional Transit Authority, 5.00% due 12/1/2019 (Streetcar Rail Lines; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,155,720 | |||||||
Regional Transit Authority, 5.00% due 12/1/2021 (Streetcar Rail Lines; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,139,580 | |||||||
a Regional Transit Authority, 5.00% due 12/1/2022 (Streetcar Rail Lines; Insured: AGM) |
AA-/Aa3 | 1,110,000 | 1,250,992 | |||||||
St. Tammany Parish, 5.00% due 6/1/2017 pre-refunded 6/1/2016 (Insured: CIFG) |
AA-/NR | 1,405,000 | 1,580,330 | |||||||
State of Louisiana GO, 5.00% due 8/1/2017 (Insured: Natl-Re) |
AA/Aa2 | 4,000,000 | 4,340,240 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2014 (General Medical Center) |
A+/A2 | 800,000 | 812,296 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2015 (General Medical Center) |
A+/A2 | 575,000 | 598,512 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2017 (General Medical Center) |
A+/A2 | 1,000,000 | 1,068,130 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2018 (General Medical Center) |
A+/A2 | 1,000,000 | 1,118,300 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2019 (General Medical Center) |
A+/A2 | 1,810,000 | 2,019,851 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2021 (General Medical Center) |
A+/A2 | 2,320,000 | 2,556,663 | |||||||
MAINE 0.27% |
||||||||||
Maine Finance Authority, 3.80% due 11/1/2015 (Waste Management, Inc.) |
BBB/NR | 3,440,000 | 3,596,795 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2020 (Augusta and Machias Courthouses) |
AA-/Aa3 | 1,245,000 | 1,456,874 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2021 (Augusta and Machias Courthouses) |
AA-/Aa3 | 1,315,000 | 1,537,301 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2022 (Augusta and Machias Courthouses) |
AA-/Aa3 | 1,175,000 | 1,373,587 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2023 (Augusta and Machias Courthouses) |
AA-/Aa3 | 1,445,000 | 1,684,986 | |||||||
Maine Health and Higher Educational Facilities Authority, 5.25% due 7/1/2021 (Health and Educational Institution Facilities and Equipment; Insured: Natl-Re) |
NR/A1 | 2,385,000 | 2,459,316 | |||||||
Maine Health and Higher Educational Facilities Authority, 5.00% due 7/1/2035 pre-refunded 7/1/2015 (Bowdoin College) (State Aid Withholding) |
NR/A1 | 5,175,000 | 5,587,499 | |||||||
MARYLAND 0.73% |
||||||||||
County Commissioners of Worcester County GO, 4.00% due 8/1/2014 (Consolidated Public Improvements) |
AA/Aa2 | 1,085,000 | 1,119,102 | |||||||
Howard County GO, 5.00% due 8/15/2015 (Consolidated Public Improvements) |
AAA/Aaa | 6,000,000 | 6,518,040 | |||||||
Maryland Economic Development Corp., 5.00% due 6/1/2021 (Public Health Laboratory) |
AA+/Aa1 | 8,725,000 | 10,289,829 | |||||||
Maryland Economic Development Corp., 4.00% due 6/1/2022 (Public Health Laboratory) |
AA+/Aa1 | 8,245,000 | 9,008,899 | |||||||
Mayor and City Council of Baltimore COP, 4.00% due 10/1/2013 (Municipal Facilities and Equipment) |
A+/Aa3 | 1,040,000 | 1,040,104 | |||||||
Montgomery County GO, 4.00% due 11/1/2015 (Consolidated Public Improvements) |
AAA/Aaa | 5,160,000 | 5,546,948 | |||||||
State of Maryland GO, 4.00% due 8/1/2015 (Public and Educational Facilities) |
AAA/Aaa | 1,000,000 | 1,066,990 | |||||||
State of Maryland GO, 5.00% due 8/1/2015 pre-refunded 8/1/2014 (State and Local Government Capital Facilities) |
AAA/Aaa | 300,000 | 312,009 | |||||||
Washington Suburban Sanitary District GO, 5.00% due 6/1/2015 (Water and Sewer System Projects) |
AAA/Aaa | 11,500,000 | 12,398,380 |
Certified Annual Report 37
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
MASSACHUSETTS 1.58% |
||||||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2017 |
A-/NR | $ | 2,540,000 | $ | 2,806,421 | |||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2018 |
A-/NR | 2,825,000 | 3,139,620 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2019 |
A-/NR | 2,765,000 | 3,072,910 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2020 |
A-/NR | 2,965,000 | 3,281,128 | |||||||
City of Northampton GO, 5.125% due 10/15/2016 (Insured: Natl-Re) |
NR/Aa2 | 1,735,000 | 1,833,982 | |||||||
Massachusetts Development Finance Agency, 3.45% due 12/1/2015 (Carleton-Willard Village) |
A-/NR | 1,710,000 | 1,747,021 | |||||||
Massachusetts Development Finance Agency, 5.25% due 10/1/2023 (Simmons College) |
BBB+/Baa1 | 595,000 | 667,293 | |||||||
Massachusetts Development Finance Agency, 5.75% due 12/1/2042 pre-refunded 5/1/2019 (Dominion Energy Brayton) |
A-/Baa2 | 2,000,000 | 2,433,160 | |||||||
Massachusetts Educational Financing Authority, 5.25% due 1/1/2016 |
AA/NR | 2,450,000 | 2,648,156 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2017 |
AA/NR | 1,800,000 | 2,004,606 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018 |
AA/NR | 11,170,000 | 12,537,543 | |||||||
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020 |
AA/NR | 7,500,000 | 8,723,250 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: AGM) |
AA-/A3 | 3,215,000 | 3,215,386 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2014 (UMass Memorial Health Care) |
BBB+/Baa1 | 2,750,000 | 2,827,825 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2015 (UMass Memorial Health Care) |
BBB+/Baa1 | 2,625,000 | 2,784,705 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2018 (UMass Memorial Health Care) |
BBB+/Baa1 | 4,290,000 | 4,771,853 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2019 (Berkshire Health Systems; Insured: AGM) |
AA-/A3 | 1,750,000 | 1,853,460 | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2027 pre-refunded 8/15/2015 (SMART Fund; Insured: Natl-Re) |
AA+/Aa2 | 9,350,000 | 10,160,458 | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2030 pre-refunded 8/15/2015 (SMART Fund; Insured: AGM) |
AA-/Aa2 | 25,000,000 | 27,167,000 | |||||||
The Commonwealth of Massachusetts, 5.00% due 12/15/2014 (Federal Highway Grant Anticipation Trust Fund; Insured: AGM) |
AAA/Aa1 | 2,325,000 | 2,457,688 | |||||||
The Commonwealth of Massachusetts GO, 5.00% due 9/1/2014 (North Transportation Improvements Association) |
AA+/Aa1 | 1,000,000 | 1,043,910 | |||||||
Town of Pembroke GO, 4.50% due 8/1/2014 (Educational Facilities; Insured: Natl-Re) |
NR/Aa3 | 1,045,000 | 1,081,251 | |||||||
MICHIGAN 4.88% |
||||||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2015 (Insured: Q-SBLF) |
AA-/NR | 1,985,000 | 2,073,253 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2017 (Insured: AGM/Q-SBLF) |
AA-/NR | 1,305,000 | 1,400,696 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2018 (Insured: AGM/Q-SBLF) |
AA-/NR | 1,935,000 | 2,076,294 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2020 (Insured: AGM/Q-SBLF) |
AA-/NR | 1,000,000 | 1,066,960 | |||||||
City of Battle Creek County of Calhoun GO, 5.00% due 5/1/2020 (Downtown |
||||||||||
Development; Insured: AMBAC) |
AA-/Aa3 | 3,200,000 | 3,506,272 | |||||||
City of Detroit, 5.00% due 7/1/2014 (Sewage Disposal System; Insured: AGM) |
AA-/A2 | 2,060,000 | 2,090,612 | |||||||
City of Detroit, 5.00% due 7/1/2014 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 2,000,000 | 2,014,120 | |||||||
City of Detroit, 5.00% due 7/1/2015 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 6,000,000 | 6,060,420 | |||||||
City of Detroit, 5.00% due 7/1/2015 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 3,000,000 | 3,016,770 | |||||||
City of Detroit, 5.50% due 7/1/2015 (Sewage Disposal System; Insured: AGM) |
AA-/A2 | 3,920,000 | 3,980,250 | |||||||
City of Detroit, 6.00% due 7/1/2015 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 3,390,000 | 3,456,749 | |||||||
City of Detroit, 6.50% due 7/1/2015 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 1,900,000 | 1,928,462 | |||||||
City of Detroit, 5.00% due 7/1/2016 (Water Supply System; Insured: AGM) |
AA-/A2 | 2,750,000 | 2,779,370 | |||||||
City of Detroit, 5.50% due 7/1/2016 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 375,000 | 379,455 | |||||||
City of Detroit, 5.50% due 7/1/2017 (Sewage Disposal System; Insured: AGM) |
AA-/A2 | 825,000 | 837,029 | |||||||
City of Detroit, 5.50% due 7/1/2018 (Sewage Disposal System; Insured: AGM) |
AA-/A2 | 3,000,000 | 3,035,070 | |||||||
City of Detroit, 5.25% due 7/1/2019 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 3,900,000 | 3,903,744 |
38 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Detroit, 5.00% due 7/1/2020 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | $ | 2,955,000 | $ | 2,925,450 | |||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 3,415,000 | 3,414,932 | |||||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 4,305,000 | 4,304,914 | |||||||
City of Detroit, 5.25% due 7/1/2022 (Sewage Disposal System; Insured: AGM) |
AA-/A2 | 4,000,000 | 4,010,800 | |||||||
City of Grand Haven, 5.50% due 7/1/2016 (Electric System; Insured: Natl-Re) |
A/Baa1 | 3,890,000 | 4,207,113 | |||||||
b County of Genesee GO, 3.00% due 11/1/2016 (Water Supply System; Insured: BAM) |
AA/A2 | 615,000 | 644,286 | |||||||
b County of Genesee GO, 5.00% due 11/1/2022 (Water Supply System; Insured: BAM) |
AA/A2 | 600,000 | 664,578 | |||||||
Dickinson County Health Care Systems, 5.50% due 11/1/2013 (Insured: ACA) |
NR/NR | 1,095,000 | 1,096,456 | |||||||
Forest Hills Public Schools GO, 5.00% due 5/1/2020 (Insured: AGM) |
AA/Aa1 | 7,490,000 | 7,890,415 | |||||||
Fraser Public School District GO, 5.00% due 5/1/2021 (School Building & Site; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 1,000,000 | 1,049,910 | |||||||
Grand Blanc Community Schools GO, 5.00% due 5/1/2022 pre-refunded 5/1/2014 (Genesee & Oakland Counties School Building and Site; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 555,000 | 570,573 | |||||||
Grand Rapids Public Schools GO, 5.00% due 5/1/2024 pre-refunded 5/1/2014 (Kent County School Building and Site; Insured: Natl-Re) |
AA-/NR | 400,000 | 411,224 | |||||||
Kalamazoo Hospital Finance Authority, 4.00% due 5/15/2015 (Bronson Methodist Hospital; Insured: AGM) |
NR/A2 | 1,735,000 | 1,818,766 | |||||||
Kalamazoo Hospital Finance Authority, 4.00% due 5/15/2016 (Bronson Methodist Hospital; Insured: AGM) |
NR/A2 | 1,850,000 | 1,978,778 | |||||||
Kalamazoo Hospital Finance Authority, 4.50% due 5/15/2017 (Bronson Methodist Hospital; Insured: AGM) |
NR/A2 | 1,830,000 | 2,013,805 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) |
AA-/A2 | 1,520,000 | 1,720,032 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) |
AA-/A2 | 2,500,000 | 2,829,000 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2020 (Bronson Methodist Hospital; Insured: AGM) |
NR/A2 | 1,735,000 | 1,984,441 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2021 (Bronson Methodist Hospital; Insured: AGM) |
NR/A2 | 2,350,000 | 2,641,870 | |||||||
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health) |
AA/Aa3 | 5,865,000 | 5,950,746 | |||||||
Livingston County GO, 4.00% due 5/1/2018 (Howell Public Schools; Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,073,020 | |||||||
Livingston County GO, 4.00% due 5/1/2020 (Howell Public Schools; Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,066,960 | |||||||
Livingston County GO, 4.00% due 5/1/2021 (Howell Public Schools; Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,058,830 | |||||||
Livonia Public Schools School District GO, 4.00% due 5/1/2020 (School Building & Site) |
A/A1 | 800,000 | 848,640 | |||||||
Livonia Public Schools School District GO, 5.00% due 5/1/2021 (School Building & Site) |
A/A1 | 900,000 | 1,006,020 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2019 (Ypsilanti Community Schools) |
A+/NR | 1,460,000 | 1,603,533 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2020 (Ypsilanti Community Schools) |
A+/NR | 1,530,000 | 1,671,632 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2021 (Ypsilanti Community Schools) |
A+/NR | 1,610,000 | 1,754,530 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2022 (Ypsilanti Community Schools) |
A+/NR | 1,690,000 | 1,835,644 | |||||||
Michigan Municipal Bond Authority, 5.00% due 10/1/2020 (Clean Water Fund) |
AAA/Aaa | 505,000 | 545,112 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2013 (Sparrow Hospital) |
A+/A1 | 1,225,000 | 1,231,493 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2015 (Oakwood Hospital) |
A/A2 | 2,500,000 | 2,664,625 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2015 (Henry Ford Health System) |
A/A2 | 2,300,000 | 2,489,290 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2016 (Oakwood Hospital) |
A/A2 | 1,205,000 | 1,316,475 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health) |
AA+/Aa2 | 3,530,000 | 3,940,468 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) |
A+/A1 | 1,500,000 | 1,664,025 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2017 (Henry Ford Health System) |
A/A2 | 1,530,000 | 1,717,654 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2018 (Oakwood Hospital) |
A/A2 | 1,000,000 | 1,095,260 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2018 (Henry Ford Health System) |
A/A2 | 3,500,000 | 3,963,820 | |||||||
Michigan State Hospital Finance Authority, 6.00% due 12/1/2018 (Trinity Health) |
AA/Aa2 | 2,000,000 | 2,384,200 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2019 (Oakwood Hospital) |
A/A2 | 2,000,000 | 2,156,600 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 10/1/2026 put 6/1/2017 (Ascension Health) |
NR/Aa3 | 12,140,000 | 13,598,621 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 put 12/1/2015 (Trinity Health) |
AA/Aa2 | 10,000,000 | 11,047,100 |
Certified Annual Report 39
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Michigan State Housing Development Authority, 5.00% due 4/1/2016 (Multi-Family Mtg Loan Financing) |
AA/NR | $ | 2,285,000 | $ | 2,332,048 | |||||
Michigan State Housing Development Authority, 4.00% due 10/1/2016 (Multi-Family Mtg Loan Financing) |
AA/NR | 1,715,000 | 1,833,627 | |||||||
Michigan Strategic Fund, 2.80% due 12/1/2013 (Waste Management, Inc.) |
BBB/NR | 2,850,000 | 2,853,363 | |||||||
Michigan Strategic Fund, 5.00% due 10/15/2017 (Michigan House of Representatives Facilities; Insured: AGM) |
AA-/A1 | 2,000,000 | 2,227,000 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2019 (Michigan House of Representatives Facilities; Insured: AGM) |
AA-/A1 | 2,550,000 | 2,810,584 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2020 (Michigan House of Representatives Facilities; Insured: AGM) |
AA-/A1 | 4,025,000 | 4,397,353 | |||||||
Michigan Strategic Fund, 5.25% due 8/1/2029 put 8/1/2014 (Detroit Edison Co. Exempt Facilities Project) |
A/A1 | 7,500,000 | 7,796,775 | |||||||
Michigan Strategic Fund, 5.50% due 8/1/2029 put 8/1/2016 (Detroit Edison Co. Exempt Facilities Project) |
A/A1 | 5,160,000 | 5,702,935 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2018 (Insured: Q-SBLF) |
NR/Aa2 | 1,500,000 | 1,609,530 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2019 (Insured: Q-SBLF) |
NR/Aa2 | 1,000,000 | 1,070,940 | |||||||
Plymouth-Canton Community Schools GO, 5.00% due 5/1/2020 (Insured: Q-SBLF) |
NR/Aa2 | 1,000,000 | 1,127,850 | |||||||
Romeo Community School District GO, 5.00% due 5/1/2018 (Insured: Natl-Re/Q-SBLF) |
AA-/Aa2 | 3,050,000 | 3,217,506 | |||||||
Royal Oak Hospital Finance Authority, 6.25% due 9/1/2014 (William Beaumont Hospital) |
A/A1 | 1,000,000 | 1,047,500 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2017 (William Beaumont Hospital) |
A/A1 | 5,855,000 | 6,510,409 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2014 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 800,000 | 815,416 | |||||||
School District of the City of Dearborn GO, 3.00% due 5/1/2015 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 435,000 | 451,343 | |||||||
School District of the City of Dearborn GO, 3.00% due 5/1/2019 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 445,000 | 462,920 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2020 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 350,000 | 373,436 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2021 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 570,000 | 603,533 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2022 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 535,000 | 563,216 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2023 (Insured: Q-SBLF) (State Aid Withholding) |
NR/Aa2 | 625,000 | 651,994 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2014 (Wayne County School Building & Site; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 1,000,000 | 1,027,640 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2020 (Wayne County School Building & Site; Insured: Q-SBLF) |
AA-/Aa2 | 2,200,000 | 2,422,948 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2021 (Wayne County School Building & Site; Insured: Q-SBLF) |
AA-/Aa2 | 4,000,000 | 4,401,480 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2022 (Wayne County School Building & Site; Insured: Q-SBLF) |
AA-/Aa2 | 3,000,000 | 3,305,520 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 4.00% due 5/1/2016 (School Building & Site; Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,071,710 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2017 (School Building & Site; Insured: Q-SBLF) |
AA-/NR | 1,085,000 | 1,219,280 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2018 (School Building & Site; Insured: Q-SBLF) |
AA-/NR | 1,285,000 | 1,462,227 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2020 (School Building & Site; Insured: Q-SBLF) |
AA-/NR | 1,335,000 | 1,551,177 | |||||||
St. Johns Public Schools GO, 5.00% due 5/1/2021 (Insured: Natl-Re/FGIC/Q-SBLF) |
AA-/Aa3 | 1,000,000 | 1,130,240 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2015 (Higher Education Facilities; Insured: AMBAC) |
A+/Aa3 | 6,000,000 | 6,508,380 |
40 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2015 (Higher Education Facilities Program) |
A+/Aa3 | $ | 4,000,000 | $ | 4,338,920 | |||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2016 (Higher Education Facilities Program) |
A+/Aa3 | 6,305,000 | 6,992,623 | |||||||
State Building Authority of the State of Michigan, 5.50% due 10/15/2017 (Various Correctional Institution, Higher Education and Other State Facilities) |
A+/Aa3 | 4,150,000 | 4,738,470 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2020 (Higher Education Facilities Program) |
A+/Aa3 | 1,000,000 | 1,136,430 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2021 (Higher Education Facilities Program) |
A+/Aa3 | 1,000,000 | 1,133,560 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2022 (Higher Education Facilities Program) |
A+/Aa3 | 3,000,000 | 3,382,200 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2023 (Higher Education Facilities Program) |
A+/Aa3 | 7,715,000 | 8,675,980 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2018 (Technology Infrastructure Improvements; Insured: Q-SBLF) |
AA/NR | 1,725,000 | 1,850,959 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2019 (Technology Infrastructure Improvements; Insured: Q-SBLF) |
AA/NR | 9,925,000 | 10,629,079 | |||||||
Warren Consolidated School District GO, 4.00% due 5/1/2015 (Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,044,460 | |||||||
Warren Consolidated School District GO, 4.00% due 5/1/2017 (Insured: Q-SBLF) |
AA-/NR | 1,035,000 | 1,110,897 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2018 (Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,124,790 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2020 (Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,127,850 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2021 (Insured: Q-SBLF) |
AA-/NR | 1,000,000 | 1,130,240 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport; Insured: Natl-Re) |
A/A2 | 1,000,000 | 1,120,850 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport) |
A/A2 | 2,420,000 | 2,712,457 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2019 (Detroit Metropolitan Airport) |
A/A2 | 12,645,000 | 14,202,232 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2019 (Detroit Metropolitan Airport) |
A/A2 | 2,600,000 | 2,993,354 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) |
A/A2 | 4,395,000 | 5,064,095 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) |
A/A2 | 3,115,000 | 3,589,228 | |||||||
Western Townships Utilities Authority GO, 4.00% due 1/1/2014 (Sewage Disposal System) |
AA/NR | 1,000,000 | 1,008,820 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2015 (Sewage Disposal System) |
AA/NR | 1,870,000 | 1,969,858 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2016 (Sewage Disposal System) |
AA/NR | 1,670,000 | 1,814,505 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2017 (Sewage Disposal System) |
AA/NR | 1,500,000 | 1,668,060 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2018 (Sewage Disposal System) |
AA/NR | 1,500,000 | 1,691,685 | |||||||
MINNESOTA 1.44% |
||||||||||
City of St. Cloud, 5.00% due 5/1/2015 (CentraCare Health System) |
NR/A1 | 1,000,000 | 1,068,140 | |||||||
City of St. Cloud, 5.00% due 5/1/2016 (CentraCare Health System) |
NR/A1 | 1,250,000 | 1,376,875 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System) |
NR/A1 | 2,920,000 | 3,292,592 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System) |
NR/A1 | 1,000,000 | 1,127,600 | |||||||
City of St. Cloud, 5.00% due 5/1/2018 (CentraCare Health System) |
NR/A1 | 3,105,000 | 3,544,482 | |||||||
City of St. Cloud, 5.00% due 5/1/2019 (CentraCare Health System) |
NR/A1 | 3,495,000 | 4,000,167 | |||||||
City of St. Cloud, 5.00% due 5/1/2020 (CentraCare Health System) |
NR/A1 | 3,310,000 | 3,804,547 | |||||||
City of St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2021 (Regions Hospital) |
A-/A2 | 1,070,000 | 1,134,350 | |||||||
City of St. Paul Housing & Redevelopment Authority and City of Minneapolis, 5.25% due 12/1/2013 (Group Health Plan, Inc.) |
A-/A2 | 2,200,000 | 2,218,656 | |||||||
City of St. Paul Housing & Redevelopment Authority and City of Minneapolis, 6.00% due 12/1/2019 (Group Health Plan, Inc.) |
A-/A2 | 1,000,000 | 1,009,140 | |||||||
County of Clay GO, 3.00% due 4/1/2018 (State-Aid Road Improvements) |
AA/NR | 1,225,000 | 1,312,771 | |||||||
Eden Prairie ISD No. 272 GO, 4.00% due 2/1/2015 (Minnesota School District Credit Enhancement Program) |
NR/Aa1 | 7,170,000 | 7,526,707 | |||||||
Le Sueur-Henderson ISD No. 2397 GO, 3.00% due 4/1/2021 (Minnesota School District Credit Enhancement Program) |
AA+/NR | 1,125,000 | 1,164,870 |
Certified Annual Report 41
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2017 (Insured: AMBAC) |
AA-/NR | $ | 8,005,000 | $ | 8,986,093 | |||||
Minnesota Agricultural & Economic Development Board, 4.00% due 2/15/2014 (Essential Health; Insured: AGM) |
AA-/NR | 3,460,000 | 3,504,323 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2015 (Essential Health; Insured: AGM) |
AA-/NR | 1,335,000 | 1,409,947 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2017 (Essential Health; Insured: AGM) |
AA-/NR | 2,500,000 | 2,787,000 | |||||||
Minnesota Public Facilities Authority PCR, 5.25% due 3/1/2015 |
AAA/Aaa | 1,000,000 | 1,070,660 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2019 (Electric System) |
A-/A3 | 5,000,000 | 5,744,250 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2020 (Electric System) |
A-/A3 | 3,500,000 | 4,034,100 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2017 (Minnesota Andersen Office Building) |
AA/Aa2 | 4,945,000 | 5,678,937 | |||||||
Port Authority of the City of St. Paul, 4.00% due 12/1/2018 (Minnesota Freeman Office Building) |
AA/Aa2 | 3,925,000 | 4,357,849 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2019 (Minnesota Freeman Office Building) |
AA/Aa2 | 2,000,000 | 2,332,640 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2020 (Minnesota Freeman Office Building) |
AA/Aa2 | 2,675,000 | 3,135,902 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2021 (Minnesota Andersen Office Building) |
AA/Aa2 | 965,000 | 1,127,207 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2022 (Minnesota Andersen Office Building) |
AA/Aa2 | 1,250,000 | 1,453,850 | |||||||
Robbinsdale ISD No. 281 GO, 4.00% due 2/1/2014 (Minnesota School District Credit Enhancement) |
AA+/NR | 315,000 | 318,982 | |||||||
St. Paul Housing & Redevelopment Authority, 5.00% due 2/1/2018 (Gillette Childrens Specialty Healthcare Project) |
A-/NR | 1,255,000 | 1,393,012 | |||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 2/1/2020 (Gillette Childrens Specialty Healthcare Project) |
A-/NR | 2,010,000 | 2,222,156 | |||||||
State of Minnesota GO, 5.00% due 8/1/2015 (Public Facility Capital Projects) |
AA+/Aa1 | 10,000,000 | 10,852,800 | |||||||
MISSISSIPPI 0.49% |
||||||||||
City of Jackson GO, 5.00% due 10/1/2016 (Insured: AMBAC) |
AA-/Aa2 | 1,500,000 | 1,617,420 | |||||||
Lamar County School District GO, 3.00% due 6/1/2016 (Educational and Performing Arts Capital Projects) |
A/NR | 1,800,000 | 1,895,724 | |||||||
Lamar County School District GO, 3.50% due 6/1/2017 (Educational and Performing Arts Capital Projects) |
A/NR | 1,700,000 | 1,833,450 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2015 (University of Mississippi Medical Center) |
AA-/Aa2 | 2,325,000 | 2,452,526 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2016 (University of Mississippi Medical Center) |
AA-/Aa2 | 3,300,000 | 3,559,347 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Harrison County Highway) |
AA-/Aa3 | 1,500,000 | 1,742,145 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Madison County Highway) |
AA-/Aa3 | 1,000,000 | 1,161,430 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Harrison County Highway) |
AA-/Aa3 | 2,500,000 | 2,899,550 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Madison County Highway) |
AA-/Aa3 | 2,000,000 | 2,319,640 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Harrison County Highway) |
AA-/Aa3 | 1,000,000 | 1,160,270 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Madison County Highway) |
AA-/Aa3 | 1,000,000 | 1,160,270 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Harrison County Highway) |
AA-/Aa3 | 1,500,000 | 1,728,960 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Madison County Highway) |
AA-/Aa3 | 1,000,000 | 1,152,640 | |||||||
Mississippi Development Bank, 5.00% due 8/1/2018 (Department of Corrections) |
AA-/NR | 4,910,000 | 5,607,024 | |||||||
Mississippi Development Bank Canton Public Improvement GO, 4.75% due 7/1/2017 |
NR/NR | 1,080,000 | 1,141,214 | |||||||
MISSOURI 1.73% |
||||||||||
Bolivar R-I School District of Polk County GO, 5.25% due 3/1/2022 pre-refunded 3/1/2014 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 500,000 | 510,640 | |||||||
Bolivar R-I School District of Polk County GO, 5.25% due 3/1/2023 pre-refunded 3/1/2014 (Educational Facilities) (State Aid Withholding) |
AA+/NR | 500,000 | 510,640 | |||||||
Cass County COP, 3.00% due 5/1/2014 |
A/NR | 1,425,000 | 1,443,354 |
42 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Cass County COP, 4.00% due 5/1/2015 |
A/NR | $ | 1,000,000 | $ | 1,043,860 | |||||
Cass County COP, 4.00% due 5/1/2018 |
A/NR | 2,255,000 | 2,414,564 | |||||||
Cass County COP, 4.50% due 5/1/2019 |
A/NR | 1,270,000 | 1,384,389 | |||||||
Cass County COP, 5.00% due 5/1/2020 |
A/NR | 2,255,000 | 2,538,476 | |||||||
Cass County COP, 5.00% due 5/1/2021 |
A/NR | 1,750,000 | 1,934,660 | |||||||
City of Lees Summit GO, 3.00% due 4/1/2015 |
NR/Aa1 | 1,275,000 | 1,325,898 | |||||||
City of Springfield, 5.00% due 8/1/2014 (Southwest Power Station; Insured: Natl-Re) |
AA+/Aa3 | 1,000,000 | 1,038,710 | |||||||
Curators of the University of Missouri, 3.00% due 11/1/2013 (Higher Education Facilities) |
AA+/Aa1 | 300,000 | 300,738 | |||||||
Jackson County, 4.00% due 12/1/2013 (Parking Facility Projects) |
NR/Aa3 | 300,000 | 301,827 | |||||||
Jackson County, 4.00% due 12/1/2014 (Truman Sports Complex) |
NR/A1 | 2,580,000 | 2,685,728 | |||||||
Jackson County, 5.00% due 12/1/2014 (Truman Sports Complex; Insured: AMBAC) |
A+/Aa3 | 7,900,000 | 8,315,777 | |||||||
Jackson County, 4.00% due 12/1/2016 (Parking Facility Projects) |
NR/Aa3 | 500,000 | 543,590 | |||||||
Jackson County, 4.00% due 12/1/2017 (Parking Facility Projects) |
NR/Aa3 | 500,000 | 549,100 | |||||||
Jackson County, 4.00% due 12/1/2019 (Parking Facility Projects) |
NR/Aa3 | 500,000 | 544,405 | |||||||
Jackson County, 4.00% due 12/1/2021 (Parking Facility Projects) |
NR/Aa3 | 1,000,000 | 1,072,310 | |||||||
Kansas City IDA, 4.00% due 9/1/2014 (NNSA National Security Campus) |
NR/NR | 1,535,000 | 1,559,330 | |||||||
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Downtown Redevelopment District) |
AA-/A1 | 2,000,000 | 2,270,340 | |||||||
Kansas City Municipal Assistance Corp., 5.00% due 4/15/2018 (Bartle Music Hall and Municipal Auditorium Parking Garage; Insured: Natl-Re) |
AA-/A1 | 1,000,000 | 1,130,940 | |||||||
Kansas City Municipal Assistance Corp., 0% due 4/15/2021 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC) |
AA-/A1 | 10,055,000 | 7,809,920 | |||||||
Kansas City Municipal Assistance Corp., 0% due 4/15/2022 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC) |
AA-/A1 | 5,040,000 | 3,711,506 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2014 (City of Independence Electric System Projects) |
A/NR | 3,930,000 | 4,017,325 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2015 (City of Independence Electric System Projects) |
A/NR | 1,000,000 | 1,048,360 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2016 (City of Independence Electric System Projects) |
A/NR | 1,560,000 | 1,669,434 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2017 (City of Independence Electric System Projects) |
A/NR | 1,525,000 | 1,697,233 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2018 (City of Independence Electric System Projects) |
A/NR | 1,705,000 | 1,915,397 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2019 (City of Independence Electric System Projects) |
A/NR | 1,000,000 | 1,070,220 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2019 (City of Independence Electric System Projects) |
A/NR | 1,790,000 | 2,011,316 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2020 (City of Independence Electric System Projects) |
A/NR | 1,265,000 | 1,341,899 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2020 (City of Independence Electric System Projects) |
A/NR | 1,000,000 | 1,122,130 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2021 (City of Independence Electric System Projects) |
A/NR | 2,465,000 | 2,590,025 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2022 (City of Independence Electric System Projects) |
A/NR | 3,155,000 | 3,296,028 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2015 (Webster University) |
NR/A2 | 2,155,000 | 2,269,797 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2016 (Webster University) |
NR/A2 | 1,685,000 | 1,819,665 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2017 (Childrens Mercy Hospital) |
A+/NR | 1,000,000 | 1,111,200 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2019 (Childrens Mercy Hospital) |
A+/NR | 1,000,000 | 1,126,720 |
Certified Annual Report 43
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2020 (Childrens Mercy Hospital) |
A+/NR | $ | 1,000,000 | $ | 1,111,150 | |||||
Platte County, 4.00% due 4/1/2017 (Community & Resource Centers) |
NR/A1 | 1,500,000 | 1,603,140 | |||||||
Platte County, 4.00% due 4/1/2018 (Community & Resource Centers) |
NR/A1 | 2,110,000 | 2,254,029 | |||||||
Platte County, 5.00% due 4/1/2019 (Community & Resource Centers) |
NR/A1 | 2,000,000 | 2,231,380 | |||||||
Platte County, 5.00% due 4/1/2021 (Community & Resource Centers) |
NR/A1 | 2,440,000 | 2,732,288 | |||||||
Southeast Missouri State University, 4.00% due 4/1/2014 (City of Cape Girardeau Campus System Facilities) |
A/NR | 575,000 | 585,528 | |||||||
Southeast Missouri State University, 4.00% due 4/1/2015 (City of Cape Girardeau Campus System Facilities) |
A/NR | 600,000 | 631,038 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2016 (City of Cape Girardeau Campus System Facilities) |
A/NR | 750,000 | 825,292 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2018 (City of Cape Girardeau Campus System Facilities) |
A/NR | 1,165,000 | 1,328,578 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2020 (City of Cape Girardeau Campus System Facilities) |
A/NR | 2,825,000 | 3,253,807 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2019 (State Aid Withholding) |
AA+/NR | 1,615,000 | 1,784,349 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2020 (State Aid Withholding) |
AA+/NR | 1,600,000 | 1,771,072 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2021 (State Aid Withholding) |
AA+/NR | 2,055,000 | 2,255,917 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2022 (State Aid Withholding) |
AA+/NR | 3,300,000 | 3,597,264 | |||||||
Springfield Public Utilities COP, 5.00% due 12/1/2013 (Insured: Natl-Re) |
AA/A1 | 2,000,000 | 2,016,040 | |||||||
St. Louis Municipal Finance Corp., 4.00% due 2/15/2014 (City Justice Center) |
A/A1 | 1,000,000 | 1,013,720 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2015 (City Justice Center) |
A/A1 | 1,250,000 | 1,318,525 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2016 (City Justice Center) |
A/A1 | 2,065,000 | 2,244,448 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2017 (City Justice Center) |
A/A1 | 2,000,000 | 2,212,280 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2018 (City Justice Center) |
A/A1 | 3,865,000 | 4,313,572 | |||||||
NEBRASKA 0.24% |
||||||||||
Douglas County School District No. 17 GO, 4.00% due 6/15/2017 (Millard Public Schools) |
AA/Aa1 | 1,750,000 | 1,779,978 | |||||||
Lincoln County School District No. 0001 GO, 2.00% due 12/15/2013 (North Platte Public Schools) |
AA-/NR | 770,000 | 772,325 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2020 (Nebraska Whelan Energy Center; Insured: AMBAC) |
A-/A2 | 9,930,000 | 10,797,882 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2021 (Nebraska Whelan Energy Center; Insured: AMBAC) |
A-/A2 | 1,860,000 | 2,064,619 | |||||||
NEVADA 1.51% |
||||||||||
Carson City, 4.00% due 9/1/2015 (Carson Tahoe Regional Healthcare Project) |
BBB+/NR | 1,000,000 | 1,048,210 | |||||||
Carson City, 4.00% due 9/1/2016 (Carson Tahoe Regional Healthcare Project) |
BBB+/NR | 1,245,000 | 1,328,266 | |||||||
Carson City, 5.00% due 9/1/2019 (Carson Tahoe Regional Healthcare Project) |
BBB+/NR | 1,000,000 | 1,111,340 | |||||||
Carson City, 5.00% due 9/1/2020 (Carson Tahoe Regional Healthcare Project) |
BBB+/NR | 1,000,000 | 1,109,800 | |||||||
Carson City, 5.00% due 9/1/2022 (Carson Tahoe Regional Healthcare Project) |
BBB+/NR | 2,450,000 | 2,661,557 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2016 (City Hall) |
AA-/Aa3 | 4,000,000 | 4,391,920 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2017 (City Hall) |
AA-/Aa3 | 4,300,000 | 4,799,359 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2018 (City Hall) |
AA-/Aa3 | 4,000,000 | 4,499,520 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center) |
AA/Aa2 | 1,825,000 | 2,156,037 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center) |
AA/Aa2 | 2,095,000 | 2,540,983 | |||||||
City of Las Vegas Special Improvement District 707, 5.40% due 6/1/2014 (Summerlin Area Public Improvements; Insured: AGM) |
AA-/A2 | 1,335,000 | 1,346,548 | |||||||
City of Reno, 5.25% due 6/1/2014 (Washoe Medical Center; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,029,870 |
44 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Reno, 5.25% due 6/1/2016 (Washoe Medical Center; Insured: AGM) |
AA-/A2 | $ | 1,100,000 | $ | 1,211,573 | |||||
City of Reno, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,140,440 | |||||||
City of Reno GO, 5.00% due 6/1/2018 pre-refunded 6/1/2014 (City Street Projects) |
A-/A1 | 1,315,000 | 1,357,133 | |||||||
Clark County GO, 5.00% due 11/1/2014 |
AA+/Aa1 | 4,000,000 | 4,204,120 | |||||||
Clark County GO, 5.00% due 11/1/2017 (Insured: AMBAC) |
AA+/Aa1 | 1,310,000 | 1,462,248 | |||||||
Clark County GO, 5.00% due 3/1/2019 (University Medical Center of Southern Nevada; Insured: Natl-Re) |
AA+/Aa1 | 1,850,000 | 1,964,663 | |||||||
Clark County GO, 5.00% due 3/1/2020 (University Medical Center of Southern Nevada; Insured: Natl-Re) |
AA+/Aa1 | 2,130,000 | 2,261,080 | |||||||
Clark County Improvement District, 5.00% due 12/1/2015 (Insured: AMBAC) |
BBB+/NR | 1,685,000 | 1,790,633 | |||||||
Clark County School District GO, 5.00% due 6/15/2015 pre-refunded 12/15/2013 (Insured: Natl-Re) |
AA-/A1 | 1,000,000 | 1,010,060 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018 |
AA/Aa2 | 6,535,000 | 7,482,510 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019 |
AA/Aa2 | 3,000,000 | 3,474,120 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2014 (Insured: AMBAC) |
A+/A1 | 2,680,000 | 2,774,068 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2015 (Insured: AMBAC) |
A+/A1 | 4,845,000 | 5,206,728 | |||||||
Las Vegas Convention & Visitors Authority, 5.00% due 7/1/2019 (Insured: AMBAC) |
A+/A1 | 6,000,000 | 6,424,080 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2016 |
AA+/Aa2 | 1,000,000 | 1,109,390 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2017 |
AA+/Aa2 | 1,050,000 | 1,193,524 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2019 |
AA+/Aa2 | 1,000,000 | 1,159,220 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 |
AA+/Aa2 | 4,255,000 | 4,951,926 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 |
AA+/Aa2 | 5,080,000 | 5,912,053 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2021 |
AA+/Aa2 | 5,000,000 | 5,826,000 | |||||||
Redevelopment Agency of the City of Mesquite, 7.00% due 6/1/2019 (Public Facility and Redevelopment Projects) |
BBB+/NR | 1,000,000 | 1,016,220 | |||||||
a State of Nevada GO, 5.00% due 2/1/2017 pre-refunded 2/1/2015 (Cultural Affairs and Capital Improvement) |
AA/Aa2 | 700,000 | 744,009 | |||||||
State of Nevada GO, 5.00% due 12/1/2021 (Municipal Bond Bank Project Nos. R-9A through R-13F; Insured: AGM) |
AA/Aa2 | 1,095,000 | 1,167,971 | |||||||
University and Community College System of Nevada, 5.00% due 7/1/2016 pre-refunded 7/1/2015 (Reno Campus Library Facility; Insured: AGM) |
AA-/Aa2 | 370,000 | 399,763 | |||||||
Washoe County GO, 5.00% due 7/1/2021 (Reno-Sparks Convention & Visitors Authority) |
AA/Aa2 | 1,700,000 | 1,958,383 | |||||||
Washoe County GO, 5.00% due 7/1/2022 (Reno-Sparks Convention & Visitors Authority) |
AA/Aa2 | 2,500,000 | 2,843,550 | |||||||
NEW HAMPSHIRE 0.48% |
||||||||||
County of Belknap GO, 1.00% due 12/30/2013 |
NR/NR | 4,470,000 | 4,477,107 | |||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) |
BBB+/Baa1 | 1,365,000 | 1,399,262 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2016 (Southern New Hampshire Health Systems) |
A-/NR | 1,260,000 | 1,388,999 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2017 (Southern New Hampshire Health Systems) |
A-/NR | 1,000,000 | 1,121,300 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: Natl-Re) |
A+/A1 | 2,985,000 | 3,337,917 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re) |
A+/A1 | 3,130,000 | 3,588,576 | |||||||
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2020 |
AA/Aa3 | 1,000,000 | 1,185,130 | |||||||
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2022 |
AA/Aa3 | 2,770,000 | 3,288,128 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2016 |
A+/A1 | 3,000,000 | 3,294,390 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2017 |
A+/A1 | 2,425,000 | 2,732,829 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2018 |
A+/A1 | 1,295,000 | 1,481,312 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2020 |
A+/A1 | 1,000,000 | 1,162,350 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2021 |
A+/A1 | 1,260,000 | 1,466,577 | |||||||
State of New Hampshire, 5.00% due 9/1/2015 (I-93 Salem to Manchester Project) |
AA/Aa3 | 825,000 | 895,925 |
Certified Annual Report 45
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
NEW JERSEY 1.83% |
||||||||||
Burlington County Bridge Commission, 2.00% due 12/1/2014 (County Governmental Loan Program) |
AA/Aa2 | $ | 2,140,000 | $ | 2,181,880 | |||||
Burlington County Bridge Commission, 3.00% due 12/1/2015 (County Governmental Loan Program) |
AA/Aa2 | 1,245,000 | 1,312,242 | |||||||
Burlington County Bridge Commission, 3.00% due 12/1/2016 (County Governmental Loan Program) |
AA/Aa2 | 1,000,000 | 1,069,300 | |||||||
Burlington County Bridge Commission, 5.00% due 12/1/2018 (County Governmental Loan Program) |
AA/Aa2 | 1,000,000 | 1,165,400 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2014 (Cooper Medical School) |
A+/A2 | 2,845,000 | 2,941,047 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2015 (Cooper Medical School) |
A+/A2 | 2,990,000 | 3,214,130 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2016 (Cooper Medical School) |
A+/A2 | 3,040,000 | 3,366,709 | |||||||
City of Paterson, 4.25% due 6/15/2015 (City Capital Projects; Insured: AGM) (State Aid Withholding) (ETM) |
NR/A1 | 1,275,000 | 1,359,979 | |||||||
City of Paterson GO, 3.50% due 3/15/2017 (Debt Restructuring & City Capital Projects) (State Aid Withholding) |
NR/A1 | 950,000 | 1,002,269 | |||||||
County of Bergen GO, 3.25% due 11/1/2014 (General Improvement, Special Services, Vocational School Projects) |
NR/Aaa | 920,000 | 949,918 | |||||||
County of Essex GO, 4.00% due 6/1/2016 |
NR/Aa2 | 500,000 | 543,120 | |||||||
County of Hudson COP, 7.00% due 12/1/2013 (Correctional Facility Lease-Purchase; Insured: Natl-Re) |
A/Baa1 | 710,000 | 717,306 | |||||||
County of Hudson COP, 6.25% due 12/1/2014 (Correctional Facility Lease-Purchase; Insured: Natl-Re) |
A/Baa1 | 1,500,000 | 1,588,485 | |||||||
County of Hudson COP, 6.25% due 12/1/2016 (Correctional Facility Lease-Purchase; Insured: Natl-Re) |
A/Baa1 | 550,000 | 624,547 | |||||||
Essex County Improvement Authority, 5.125% due 10/1/2016 (Insured: Natl-Re) |
NR/Aa2 | 2,545,000 | 2,662,579 | |||||||
Gloucester County Improvement Authority, 2.125% due 12/1/2029 put 12/1/2017 (Waste Management, Inc. Project) |
BBB/NR | 2,000,000 | 1,992,440 | |||||||
Hudson County Improvement Authority, 5.25% due 10/1/2014 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 3,000,000 | 3,134,160 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2015 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 2,000,000 | 2,144,720 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2016 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 3,155,000 | 3,469,364 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2017 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 4,065,000 | 4,521,947 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2018 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 2,000,000 | 2,240,600 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2019 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 4,390,000 | 4,918,556 | |||||||
Hudson County Improvement Authority, 5.375% due 10/1/2020 (Hudson County Lease Project; Insured: AGM) |
AA-/Aa3 | 2,020,000 | 2,348,654 | |||||||
Middlesex County Improvement Authority, 5.00% due 9/15/2015 (Parks, Open Space, Playgrounds for Public Recreation) |
AAA/Aa2 | 500,000 | 544,700 | |||||||
Monmouth County Improvement Authority, 5.00% due 12/1/2016 (Insured: AMBAC) |
NR/NR | 1,000,000 | 1,087,870 | |||||||
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village) |
NR/NR | 1,000,000 | 1,019,250 | |||||||
New Jersey EDA, 5.00% due 12/15/2016 (School Facilities Construction) |
A+/A1 | 10,950,000 | 12,330,247 | |||||||
New Jersey EDA, 5.00% due 9/1/2018 (School Facilities Construction; Insured: Natl-Re) |
A+/A1 | 3,000,000 | 3,228,330 | |||||||
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC) |
A+/A1 | 5,525,000 | 6,528,561 | |||||||
New Jersey EDA, 5.00% due 9/1/2020 (School Facilities Construction) |
A+/A1 | 500,000 | 575,980 | |||||||
New Jersey EDA, 6.375% due 4/1/2031 pre-refunded 5/15/2014 (Metromall Urban Renewal, Inc.-Kapkowski Road Landfill) |
NR/Aaa | 300,000 | 311,550 | |||||||
New Jersey Educational Facilities Authority, 5.00% due 7/1/2028 pre-refunded 7/1/2014 (Princeton University) |
AAA/Aaa | 500,000 | 518,005 |
46 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2014 (St. Peters University Hospital) |
BB+/Ba1 | $ | 3,575,000 | $ | 3,609,535 | |||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2015 (St. Peters University Hospital) |
BB+/Ba1 | 3,520,000 | 3,581,776 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 |
AA/Aa2 | 1,910,000 | 2,153,964 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2018 |
AA/Aa2 | 3,000,000 | 3,386,550 | |||||||
New Jersey Higher Educational Assistance Authority, 5.25% due 12/1/2019 |
AA/Aa2 | 5,650,000 | 6,459,137 | |||||||
New Jersey Transit Corporation COP, 5.00% due 9/15/2019 (Multi-Level Rail Cars and Parts; Insured: Natl-Re) |
A/A2 | 975,000 | 1,045,298 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 |
A+/A1 | 1,000,000 | 1,150,950 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 pre-refunded 6/15/2015 (State Transportation System; Insured: AGM) |
AA+/A1 | 1,450,000 | 1,564,637 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 |
A+/A1 | 1,000,000 | 1,153,420 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2021 |
A+/A1 | 2,360,000 | 2,710,295 | |||||||
New Jersey Turnpike Authority, 6.00% due 1/1/2014 (Turnpike System Capital Program; Insured: Natl-Re) (ETM) |
A+/NR | 1,825,000 | 1,851,736 | |||||||
Ocean Township Municipal Utility Authority, 6.00% due 8/1/2017 (Insured: Natl-Re) |
A/Baa1 | 2,585,000 | 2,818,865 | |||||||
Passaic Valley Sewer Commissioners GO, 5.625% due 12/1/2018 (Sewer System) |
NR/A2 | 1,210,000 | 1,411,453 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2019 (Sewer System) |
NR/A2 | 2,000,000 | 2,356,760 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2020 (Sewer System) |
NR/A2 | 2,800,000 | 3,300,164 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2021 (Sewer System) |
NR/A2 | 1,000,000 | 1,178,630 | |||||||
State University of New Jersey GO, 4.00% due 5/1/2014 (Rutgers Campus Facility Projects) |
AA-/Aa3 | 1,000,000 | 1,022,890 | |||||||
Township of Plainsboro GO, 4.00% due 5/1/2015 (General Improvement) |
NR/Aa1 | 1,000,000 | 1,054,740 | |||||||
Township of Wayne GO, 2.00% due 2/15/2018 (General Improvements and Water Utility System) |
AA+/Aaa | 1,295,000 | 1,325,510 | |||||||
NEW MEXICO 1.19% |
||||||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2016 (San Juan- Chama Drinking Water Project; Insured: AMBAC) |
AA+/Aa2 | 1,800,000 | 1,937,214 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2021 (Educational Facilities) (State Aid Withholding) |
AA/Aa1 | 2,425,000 | 2,653,265 | |||||||
City of Farmington PCR, 1.875% due 6/1/2032 put 9/1/2017 (El Paso Electric Co. Four Corners Project) |
BBB/Baa2 | 3,000,000 | 2,956,680 | |||||||
City of Santa Fe, 4.50% due 5/15/2022 (El Castillo Retirement Residences) |
BBB-/NR | 2,585,000 | 2,626,334 | |||||||
Gadsden ISD No. 16 GO, 2.00% due 8/15/2014 (Dona Ana & Otero Counties School Facilities) (State Aid Withholding) |
NR/Aa1 | 3,025,000 | 3,072,795 | |||||||
Gallup PCR, 5.00% due 8/15/2016 (Insured: AMBAC) |
A/A3 | 2,500,000 | 2,664,125 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2017 |
AA+/A1 | 2,365,000 | 2,732,852 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2018 |
AA+/A1 | 2,205,000 | 2,587,347 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) |
NR/Aaa | 6,000,000 | 6,648,540 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2018 (Student Loans) |
AAA/Aaa | 5,000,000 | 5,814,400 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2021 (Student Loans) |
AAA/Aaa | 3,000,000 | 3,473,520 | |||||||
New Mexico Finance Authority, 3.00% due 6/15/2015 (State Highway Infrastructure Projects) |
AAA/Aa1 | 900,000 | 940,239 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2020 (Corbett Center Student Union & NMSU Golf Course) |
AA/Aa2 | 3,095,000 | 3,649,779 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2021 (Corbett Center Student Union & NMSU Golf Course) |
AA/Aa2 | 1,845,000 | 2,178,207 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2022 (Corbett Center Student Union & NMSU Golf Course) |
AA/Aa2 | 1,250,000 | 1,477,588 | |||||||
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2014 (Sandoval County School Facilities) (State Aid Withholding) |
NR/Aa1 | 1,715,000 | 1,768,525 | |||||||
Santa Fe Public School District GO, 3.00% due 8/1/2015 (District School Building and Renovation Program) (State Aid Withholding) |
AA/Aa1 | 1,000,000 | 1,047,190 | |||||||
State of New Mexico, 5.00% due 7/1/2014 (Statewide Capital Project Funding) |
AA/Aa1 | 7,435,000 | 7,704,445 |
Certified Annual Report 47
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of New Mexico, 5.00% due 7/1/2015 (Statewide Capital Project Funding) |
AA/Aa1 | $ | 8,200,000 | $ | 8,865,676 | |||||
State of New Mexico, 5.00% due 7/1/2016 (Statewide Capital Project Funding) |
AA/Aa1 | 10,265,000 | 11,478,220 | |||||||
University of New Mexico, 5.00% due 7/1/2014 (University of New Mexico Hospital; Insured: AGM/FHA) |
AA-/A2 | 1,000,000 | 1,032,600 | |||||||
NEW YORK 8.31% |
||||||||||
Amherst Development Corp., 5.00% due 10/1/2015 (Student Housing; Insured: AGM) |
AA-/A2 | 2,035,000 | 2,193,466 | |||||||
City of Long Beach School District GO, 3.50% due 5/1/2022 (Insured: AGM) (State Aid Withholding) |
AA-/Aa2 | 1,600,000 | 1,681,072 | |||||||
City of New York GO, 3.00% due 8/1/2014 |
AA/Aa2 | 20,480,000 | 20,954,317 | |||||||
City of New York GO, 5.00% due 8/1/2014 |
AA/Aa2 | 1,000,000 | 1,039,860 | |||||||
City of New York GO, 5.00% due 8/1/2017 |
AA/Aa2 | 1,000,000 | 1,081,210 | |||||||
City of New York GO, 0.07% due 8/1/2021 put 10/1/2013 (LOC: JPMorgan Chase Bank) (daily demand notes) |
AAA/Aa1 | 500,000 | 500,000 | |||||||
City of New York GO, 5.00% due 8/1/2021 |
AA/Aa2 | 3,000,000 | 3,511,260 | |||||||
City of New York GO, 5.00% due 8/1/2022 |
AA/Aa2 | 3,000,000 | 3,517,860 | |||||||
City of New York GO, 5.00% due 4/1/2023 pre-refunded 4/1/2015 |
NR/NR | 6,090,000 | 6,518,371 | |||||||
City School District of the City of Rome GO, 5.00% due 6/15/2017 (Insured: Natl-Re) (State Aid Withholding) |
NR/A1 | 1,635,000 | 1,747,930 | |||||||
Cold Spring Harbor Central School District GO, 4.00% due 2/1/2014 (State Aid Withholding) |
AAA/NR | 500,000 | 506,310 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2015 (Buffalo School District) (ETM) |
NR/NR | 1,395,000 | 1,498,049 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2015 (Buffalo School District) |
AA-/Aa3 | 1,605,000 | 1,720,046 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) (ETM) |
NR/NR | 4,090,000 | 4,552,620 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) |
AA-/Aa3 | 4,705,000 | 5,210,693 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2017 (Buffalo School District) |
AA-/Aa3 | 7,265,000 | 8,245,049 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2018 (Buffalo School District) |
AA-/Aa3 | 5,000,000 | 5,753,800 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2020 |
A/A2 | 12,955,000 | 14,969,762 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2020 |
AA/NR | 2,000,000 | 2,356,580 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2021 |
A/A2 | 24,325,000 | 28,005,859 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2018 (St. John Fisher College) |
BBB+/NR | 1,425,000 | 1,575,879 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2019 (St. John Fisher College) |
BBB+/NR | 1,030,000 | 1,143,022 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2022 (St. John Fisher College) |
BBB+/NR | 2,000,000 | 2,180,420 | |||||||
Nassau County IDA, 5.25% due 3/1/2018 (New York Institute of Technology) |
BBB+/Baa2 | 1,260,000 | 1,403,426 | |||||||
Nassau County IDA, 5.25% due 3/1/2020 (New York Institute of Technology) |
BBB+/Baa2 | 1,715,000 | 1,932,050 | |||||||
Nassau County Interim Finance Authority, 5.00% due 11/15/2013 (General Improvements; Insured: AMBAC) |
AAA/Aa1 | 470,000 | 472,853 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2019 (Healthcare Facilities Improvements) |
A+/Aa3 | 2,700,000 | 3,095,982 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2021 (Healthcare Facilities Improvements) |
A+/Aa3 | 2,615,000 | 2,936,514 | |||||||
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements) |
A+/Aa3 | 10,000,000 | 11,463,000 | |||||||
New York City Housing Development Corp., 0.90% due 11/1/2014 (Multi-Family Housing) |
AA/Aa2 | 1,400,000 | 1,404,438 | |||||||
New York City Housing Development Corp., 0.80% due 11/1/2015 (Multi-Family Housing) |
AA/Aa2 | 1,820,000 | 1,819,854 | |||||||
New York City Transitional Finance Authority, 4.00% due 7/15/2014 (School Financing Act) (State Aid Withholding) |
AA-/Aa3 | 2,000,000 | 2,059,560 | |||||||
New York City Transitional Finance Authority, 4.00% due 8/1/2014 (City Capital Projects) |
AAA/Aa1 | 12,000,000 | 12,385,320 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 (City Capital Projects) |
AAA/Aa1 | 10,595,000 | 11,150,072 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 (City Capital Projects) |
AAA/Aa1 | 2,275,000 | 2,394,187 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 (World Trade Center Recovery Costs) (State Aid Withholding) |
AAA/Aaa | 2,000,000 | 2,104,780 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2015 (City Capital Projects) |
AAA/Aa1 | 5,000,000 | 5,482,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 7/15/2016 (School Financing Act) (State Aid Withholding) |
AA-/Aa3 | 3,155,000 | 3,534,357 |
48 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects) |
AAA/Aa1 | $ | 5,000,000 | $ | 5,669,950 | |||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects) |
AAA/Aa1 | 12,680,000 | 14,378,993 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2017 (World Trade Center Recovery Costs) |
AAA/Aa1 | 1,000,000 | 1,091,660 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (School Financing Act) (State Aid Withholding) |
AA-/Aa3 | 4,865,000 | 5,585,263 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 1,500,000 | 1,757,310 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 11,730,000 | 13,742,164 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 3,075,000 | 3,602,486 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 1,645,000 | 1,927,183 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 12,725,000 | 14,907,847 | |||||||
a New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) |
AAA/Aa1 | 2,000,000 | 2,343,080 | |||||||
New York City Transitional Finance Authority, 0.09% due 8/1/2031 put 10/1/2013 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes) |
AAA/Aaa | 32,350,000 | 32,350,000 | |||||||
New York State Dormitory Authority, 3.00% due 10/1/2013 (School Districts Financing Program) (State Aid Withholding) |
A+/NR | 750,000 | 750,060 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2013 (AIDS Long-Term Healthcare Facilities; Insured: SONYMA) |
NR/Aa1 | 1,535,000 | 1,541,140 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) |
AA-/A2 | 2,980,000 | 3,035,160 | |||||||
New York State Dormitory Authority, 3.00% due 8/15/2014 (Mental Health Services Facilities) (ETM) |
NR/NR | 10,000 | 10,235 | |||||||
New York State Dormitory Authority, 3.00% due 8/15/2014 (Mental Health Services Facilities) |
AA-/NR | 2,630,000 | 2,692,910 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2014 (AIDS Long-Term Health Care Facilities; Insured: SONYMA) |
NR/Aa1 | 500,000 | 501,980 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2015 (State University of New York Educational Facilities; Insured: Natl-Re/IBC) |
A/Aa3 | 10,000,000 | 10,425,600 | |||||||
New York State Dormitory Authority, 5.25% due 8/15/2015 (Presbyterian Hospital; Insured: AGM/FHA) |
AA-/A2 | 4,715,000 | 4,907,089 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services Facilities) |
AA-/NR | 5,000,000 | 5,747,800 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2017 (Court Facilities Lease; Insured: AMBAC) |
AA-/Aa3 | 4,945,000 | 5,640,168 | |||||||
New York State Dormitory Authority, 5.50% due 10/1/2017 (School Districts Financing Program; Insured: Natl-Re) (State Aid Withholding) |
A+/A2 | 30,000 | 30,130 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services Facilities) |
AA-/NR | 5,280,000 | 6,181,507 | |||||||
New York State Dormitory Authority, 2.25% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 4,800,000 | 4,938,384 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 325,000 | 374,286 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A2 | 2,500,000 | 2,890,825 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) |
NR/Aa3 | 1,395,000 | 1,596,326 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) |
AA-/NR | 2,520,000 | 2,913,952 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2019 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 610,000 | 710,028 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2019 (New York Department of Health Projects; Insured: Natl-Re) |
AA-/Aa3 | 6,975,000 | 7,194,364 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2019 pre-refunded 7/1/2014 (FIT Student Housing Corp.) |
NR/Baa1 | 750,000 | 777,773 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A2 | 2,100,000 | 2,443,392 |
Certified Annual Report 49
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) |
NR/Aa3 | $ | 1,585,000 | $ | 1,823,907 | |||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) |
AA-/NR | 2,645,000 | 3,077,510 | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2019 (Metropolitan Transportation Authority Service Contract) |
AAA/NR | 60,000,000 | 71,065,800 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2020 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 1,000,000 | 1,165,500 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) |
NR/Aa3 | 1,000,000 | 1,153,090 | |||||||
New York State Dormitory Authority, 5.00% due 8/15/2020 (Mental Health Services Facilities; Insured: Natl-Re) (State Aid Withholding) |
AA-/Baa1 | 2,105,000 | 2,229,763 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A2 | 2,100,000 | 2,454,417 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) |
NR/Aa3 | 1,000,000 | 1,154,820 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) |
AA-/NR | 2,775,000 | 3,243,337 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2021 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 450,000 | 524,619 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A2 | 1,250,000 | 1,458,375 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program) (State Aid Withholding) |
NR/Aa3 | 750,000 | 863,355 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program) (State Aid Withholding) |
AA+/NR | 300,000 | 350,445 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2023 (Mental Health Services Facilities; Insured: Natl-Re) (State Aid Withholding) |
AA-/Baa1 | 2,000,000 | 2,116,820 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2023 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A3 | 2,000,000 | 2,280,640 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2031 pre-refunded 8/15/2014 (Presbyterian Hospital; Insured: FSA/FHA) |
AA+/Aa1 | 9,840,000 | 10,271,090 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) |
BBB+/Baa1 | 5,000,000 | 5,101,750 | |||||||
New York State Environmental Facilities Corp., 4.00% due 11/15/2017 (Water Pollution Control & Drinking Water Projects) |
AAA/Aaa | 2,095,000 | 2,202,180 | |||||||
New York State Environmental Facilities Corp., 4.00% due 11/15/2018 (Water Pollution Control & Drinking Water Projects) |
AAA/Aaa | 2,170,000 | 2,262,203 | |||||||
New York State Housing Finance Agency, 0.75% due 5/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) |
NR/Aa2 | 2,000,000 | 1,998,660 | |||||||
New York State Housing Finance Agency, 0.80% due 11/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) |
NR/Aa2 | 1,700,000 | 1,698,810 | |||||||
New York State Housing Finance Agency, 0.875% due 11/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) |
NR/Aa2 | 3,100,000 | 3,097,520 | |||||||
New York State Housing Finance Agency, 0.95% due 5/1/2016 (2012 Affordable Housing Projects; Insured: SONYMA) |
NR/Aa2 | 2,700,000 | 2,700,945 | |||||||
New York State Thruway Authority, 4.00% due 3/15/2015 (Highway, Bridge, Multi-Modal and MTA Projects) |
AAA/NR | 2,000,000 | 2,109,520 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2017 (State Multi-Year Highway & Bridge Capital Program; Insured: Natl-Re) |
AA/Baa1 | 2,600,000 | 2,829,320 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2020 (Governor Thomas E. Dewey Thruway) |
A+/A1 | 2,000,000 | 2,322,860 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2021 (Governor Thomas E. Dewey Thruway) |
A+/A1 | 2,500,000 | 2,912,125 |
50 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New York State Thruway Authority, 5.00% due 1/1/2022 (Governor Thomas E. Dewey Thruway) |
A+/A1 | $ | 3,000,000 | $ | 3,471,240 | |||||
Patchogue-Medford Union Free School District GO, 4.25% due 10/1/2015 (Insured: MBIA) (State Aid Withholding) |
A/Baa1 | 1,000,000 | 1,066,140 | |||||||
Port Authority 148th GO, 5.00% due 8/15/2017 (Insured: AGM) |
AA-/Aa3 | 4,725,000 | 5,436,632 | |||||||
Port Authority of New York and New Jersey GO, 5.00% due 12/1/2019 (Port Authority Facilities Capital Projects; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,082,500 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2020 (Catholic Health Services) |
BBB+/Baa1 | 5,000,000 | 5,620,000 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2021 (Catholic Health Services) |
BBB+/Baa1 | 5,000,000 | 5,568,100 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2022 (Catholic Health Services) |
BBB+/Baa1 | 5,000,000 | 5,471,450 | |||||||
Suffolk County IDA Civic Facilities GO, 5.25% due 3/1/2019 (New York Institute of Technology) |
BBB+/Baa2 | 1,400,000 | 1,446,704 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2014 |
AA-/NR | 5,000,000 | 5,158,800 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2018 |
AA-/NR | 3,725,000 | 4,286,320 | |||||||
Triborough Bridge and Tunnel Authority, 5.00% due 11/15/2021 (MTA Bridges & Tunnels) |
AA-/Aa3 | 5,140,000 | 6,069,723 | |||||||
Trust for Cultural Resources of the City of New York, 5.00% due 2/1/2034 pre-refunded 2/1/2014 (Wildlife Conservation Society; Insured: Natl-Re) |
AA-/Aa3 | 750,000 | 762,008 | |||||||
United Nations Development Corp., 5.00% due 7/1/2016 |
NR/A1 | 3,400,000 | 3,783,554 | |||||||
United Nations Development Corp., 5.00% due 7/1/2017 |
NR/A1 | 3,000,000 | 3,399,360 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza Project) |
NR/A1 | 4,000,000 | 4,545,640 | |||||||
NORTH CAROLINA 2.11% |
||||||||||
Catawba County, 4.00% due 10/1/2015 |
AA-/Aa2 | 1,620,000 | 1,731,845 | |||||||
Catawba County, 4.00% due 10/1/2016 |
AA-/Aa2 | 1,000,000 | 1,092,250 | |||||||
Catawba County, 4.00% due 10/1/2017 |
AA-/Aa2 | 1,000,000 | 1,109,010 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2016 (Carolinas HealthCare System) |
AA-/Aa3 | 3,520,000 | 3,840,742 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2017 (Carolinas HealthCare System) |
AA-/Aa3 | 2,000,000 | 2,237,140 | |||||||
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2019 (Carolinas HealthCare System) |
AA-/Aa3 | 600,000 | 660,396 | |||||||
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2021 (Carolinas HealthCare System) |
AA-/Aa3 | 1,595,000 | 1,604,171 | |||||||
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2022 (Carolinas HealthCare System) |
AA-/Aa3 | 845,000 | 903,829 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2023 (Carolinas HealthCare System) |
AA-/Aa3 | 1,400,000 | 1,605,394 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2024 (Carolinas HealthCare System) |
AA-/Aa3 | 2,855,000 | 3,211,161 | |||||||
County of Dare, 2.00% due 6/1/2014 (Educational Facility Capital Projects) |
AA-/Aa3 | 360,000 | 364,118 | |||||||
County of Dare, 4.00% due 6/1/2016 (Educational Facility Capital Projects) |
AA-/Aa3 | 500,000 | 541,800 | |||||||
County of Dare, 4.00% due 6/1/2017 (Educational Facility Capital Projects) |
AA-/Aa3 | 400,000 | 440,660 | |||||||
County of Dare, 4.00% due 6/1/2018 (Educational Facility Capital Projects) |
AA-/Aa3 | 425,000 | 470,012 | |||||||
County of Dare, 4.00% due 6/1/2019 (Educational Facility Capital Projects) |
AA-/Aa3 | 500,000 | 551,820 | |||||||
County of Dare, 4.00% due 6/1/2020 (Educational Facility Capital Projects) |
AA-/Aa3 | 765,000 | 841,324 | |||||||
County of Dare, 5.00% due 6/1/2021 (Educational Facility Capital Projects) |
AA-/Aa3 | 1,225,000 | 1,432,944 | |||||||
County of Dare, 4.00% due 6/1/2022 (Educational Facility Capital Projects) |
AA-/Aa3 | 490,000 | 529,068 | |||||||
County of Dare, 5.00% due 6/1/2024 (Educational Facility Capital Projects) |
AA-/Aa3 | 700,000 | 800,555 | |||||||
County of Mecklenburg GO, 4.00% due 8/1/2015 |
AAA/Aaa | 3,135,000 | 3,345,014 | |||||||
County of Randolph, 5.00% due 10/1/2020 |
A+/Aa3 | 500,000 | 578,450 | |||||||
County of Randolph, 5.00% due 10/1/2021 |
A+/Aa3 | 1,065,000 | 1,227,615 | |||||||
County of Randolph, 5.00% due 10/1/2021 |
A+/Aa3 | 500,000 | 576,345 | |||||||
County of Randolph, 5.00% due 10/1/2022 |
A+/Aa3 | 1,945,000 | 2,240,387 | |||||||
County of Randolph, 5.00% due 10/1/2023 |
A+/Aa3 | 550,000 | 628,601 | |||||||
a County of Randolph, 5.00% due 10/1/2023 |
A+/Aa3 | 400,000 | 457,164 | |||||||
County of Wake, 5.00% due 6/1/2015 (Hammond Road Detention Center) |
AA+/Aa1 | 1,135,000 | 1,220,488 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2016 (Insured: AMBAC) |
A-/NR | 1,700,000 | 1,862,690 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC) |
NR/Baa1 | 7,500,000 | 8,847,900 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/AMBAC) |
AA+/Aa1 | 5,965,000 | 7,072,164 | |||||||
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 (Insured: AGM) |
AA-/A3 | 3,105,000 | 3,534,763 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2021 |
A-/Baa1 | 5,000,000 | 5,742,050 |
Certified Annual Report 51
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2022 |
A-/Baa1 | $ | 4,715,000 | $ | 5,425,692 | |||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 pre-refunded 2/1/2014 (Correctional Facilities) |
AA+/Aa1 | 2,400,000 | 2,438,808 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric) |
A/A2 | 3,120,000 | 3,535,771 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric) |
A/A2 | 15,000,000 | 16,513,050 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric) |
A/A2 | 4,500,000 | 5,177,115 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric) |
A/A2 | 1,550,000 | 1,701,652 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric) |
A/A2 | 1,000,000 | 1,155,750 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2022 (Catawba Electric) |
A/A2 | 1,000,000 | 1,085,540 | |||||||
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 pre-refunded 2/1/2014 (Correctional Facilities) |
AA+/Aa1 | 5,000,000 | 5,080,850 | |||||||
State of North Carolina, 4.00% due 11/1/2014 (State Capital Projects and Correctional Facilities) |
AA+/Aa1 | 2,000,000 | 2,082,340 | |||||||
State of North Carolina, 5.00% due 11/1/2019 (State Capital Projects and Correctional Facilities) |
AA+/Aa1 | 23,635,000 | 27,870,865 | |||||||
Winston-Salem State University, 4.00% due 4/1/2016 (Student Housing and Student Services Facilities) |
A/A3 | 640,000 | 681,197 | |||||||
Winston-Salem State University, 4.00% due 4/1/2017 (Student Housing and Student Services Facilities) |
A/A3 | 645,000 | 692,414 | |||||||
Winston-Salem State University, 5.00% due 4/1/2019 (Student Housing and Student Services Facilities) |
A/A3 | 815,000 | 904,886 | |||||||
Winston-Salem State University, 5.00% due 4/1/2022 (Student Housing and Student Services Facilities) |
A/A3 | 945,000 | 1,048,496 | |||||||
NORTH DAKOTA 0.07% |
||||||||||
County of Ward, 4.00% due 4/1/2020 (Insured: AGM) |
AA-/A2 | 2,445,000 | 2,637,959 | |||||||
North Dakota Public Finance Authority, 4.00% due 6/1/2017 (City of Fargo Flood Mitigation Projects) |
A+/NR | 1,460,000 | 1,606,190 | |||||||
OHIO 3.80% |
||||||||||
Akron, Bath & Copley Joint Township Hospital District, 5.00% due 11/15/2021 (Childrens Hospital Medical Center) |
NR/A1 | 1,000,000 | 1,122,820 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2015 (Catholic Healthcare Partners) |
AA-/A1 | 10,000,000 | 10,776,300 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2016 (Catholic Healthcare Partners) |
AA-/A1 | 10,000,000 | 11,077,600 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) |
A/A3 | 5,500,000 | 6,277,425 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2019 (AMP Combined Hydroelectric Projects) |
A/A3 | 5,595,000 | 6,388,875 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2020 (AMP Fremont Energy Center) |
A/A1 | 1,865,000 | 2,126,361 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2021 (AMP Fremont Energy Center) |
A/A1 | 1,300,000 | 1,480,765 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2022 (AMP Fremont Energy Center) |
A/A1 | 2,750,000 | 3,134,670 | |||||||
Cincinnati City School District Board of Education GO, 5.25% due 12/1/2023 (Educational Facilities; Insured: Natl-Re) |
AA-/Aa2 | 1,465,000 | 1,744,786 | |||||||
City of Akron, 5.00% due 12/1/2021 (Community Learning Centers) |
AA+/NR | 4,120,000 | 4,792,837 | |||||||
City of Akron COP, 5.00% due 12/1/2013 (Canal Park Baseball Stadium; Insured: AGM) |
AA-/NR | 3,000,000 | 3,022,770 | |||||||
City of Akron COP, 5.00% due 12/1/2014 (Canal Park Baseball Stadium; Insured: AGM) |
AA-/NR | 2,000,000 | 2,100,400 | |||||||
City of Akron GO, 5.00% due 12/1/2018 (Various Municipal Capital Projects; Insured: AMBAC) |
AA+/Aa3 | 2,425,000 | 2,645,699 | |||||||
City of Akron GO, 5.00% due 12/1/2019 (Various Municipal Capital Projects) |
AA-/NR | 1,685,000 | 1,959,941 | |||||||
City of Cleveland, 5.00% due 5/15/2014 (Police & Firemens Disability and Pension Fund) |
AA/NR | 1,000,000 | 1,029,400 | |||||||
City of Cleveland, 2.00% due 10/1/2014 (Public Facilities) |
AA/A1 | 855,000 | 868,723 | |||||||
City of Cleveland, 3.00% due 10/1/2016 (Public Facilities) |
AA/A1 | 890,000 | 939,938 | |||||||
City of Cleveland, 4.00% due 10/1/2018 (Parks & Recreation Facilities) |
AA/A1 | 500,000 | 548,255 | |||||||
City of Cleveland, 4.00% due 10/1/2019 (Public Facilities) |
AA/A1 | 600,000 | 655,830 | |||||||
City of Cleveland, 4.00% due 10/1/2019 (Parks & Recreation Facilities) |
AA/A1 | 520,000 | 568,386 | |||||||
City of Cleveland, 5.00% due 10/1/2020 (Public Facilities) |
AA/A1 | 510,000 | 587,719 | |||||||
City of Cleveland, 5.00% due 10/1/2020 (Parks & Recreation Facilities) |
AA/A1 | 545,000 | 628,053 | |||||||
City of Cleveland, 5.00% due 10/1/2021 (Parks & Recreation Facilities) |
AA/A1 | 570,000 | 653,192 | |||||||
City of Cleveland, 5.00% due 10/1/2022 (Public Facilities) |
AA/A1 | 905,000 | 1,033,257 |
52 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Cleveland, 5.00% due 10/1/2022 (Parks & Recreation Facilities) |
AA/A1 | $ | 600,000 | $ | 685,032 | |||||
City of Cleveland, 5.00% due 10/1/2023 (Public Facilities) |
AA/A1 | 1,155,000 | 1,316,631 | |||||||
City of Cleveland, 5.00% due 10/1/2023 (Parks & Recreation Facilities) |
AA/A1 | 630,000 | 718,162 | |||||||
City of Cleveland COP, 5.00% due 11/15/2016 (Cleveland Stadium) |
A/A2 | 2,200,000 | 2,455,640 | |||||||
City of Cleveland GO, 5.50% due 10/1/2019 (City Capital Projects; Insured: AMBAC) |
AA/A1 | 1,260,000 | 1,477,917 | |||||||
City of Columbus GO, 5.00% due 7/1/2014 |
AAA/Aaa | 1,000,000 | 1,036,320 | |||||||
City of Toledo, 5.00% due 11/15/2018 (Water System Improvements) |
AA-/Aa3 | 1,175,000 | 1,360,638 | |||||||
City of Toledo, 5.00% due 11/15/2019 (Water System Improvements) |
AA-/Aa3 | 2,260,000 | 2,626,549 | |||||||
City of Toledo, 5.00% due 11/15/2020 (Water System Improvements) |
AA-/Aa3 | 2,000,000 | 2,330,840 | |||||||
City of Toledo, 5.00% due 11/15/2021 (Water System Improvements) |
AA-/Aa3 | 2,000,000 | 2,321,500 | |||||||
City of Toledo, 5.00% due 11/15/2022 (Water System Improvements) |
AA-/Aa3 | 3,255,000 | 3,785,728 | |||||||
City of Toledo, 5.00% due 11/15/2023 (Water System Improvements) |
AA-/Aa3 | 1,750,000 | 2,009,927 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) (ETM) |
AA-/A2 | 965,000 | 1,172,504 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) |
AA-/A2 | 2,035,000 | 2,330,462 | |||||||
Cleveland State University, 5.00% due 6/1/2019 (Campus Capital Projects) |
A+/A1 | 1,000,000 | 1,149,960 | |||||||
Cleveland State University, 5.00% due 6/1/2020 (Campus Capital Projects) |
A+/A1 | 700,000 | 808,577 | |||||||
Cleveland State University, 5.00% due 6/1/2021 (Campus Capital Projects) |
A+/A1 | 1,000,000 | 1,151,690 | |||||||
Cleveland State University, 5.00% due 6/1/2022 (Campus Capital Projects) |
A+/A1 | 2,000,000 | 2,291,780 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2019 (Cleveland Museum of Art) |
AA+/NR | 2,000,000 | 2,327,040 | |||||||
County of Clermont, 2.00% due 8/1/2016 (Sanitary Sewer System) |
NR/Aa3 | 1,325,000 | 1,358,509 | |||||||
County of Clermont, 2.00% due 8/1/2016 (Water System ) |
NR/Aa3 | 1,855,000 | 1,902,432 | |||||||
County of Clermont, 4.00% due 8/1/2019 (Sanitary Sewer System) |
NR/Aa3 | 1,420,000 | 1,533,529 | |||||||
County of Franklin, 4.00% due 11/15/2033 put 8/1/2016 (OhioHealth Corp. Hospital Facilities) |
AA+/Aa2 | 3,435,000 | 3,702,930 | |||||||
County of Montgomery, 6.00% due 11/15/2028 pre-refunded 11/15/2014 (Miami Valley Hospital) |
NR/Aa3 | 2,030,000 | 2,160,915 | |||||||
County of Montgomery, 6.25% due 11/15/2039 pre-refunded 11/15/2014 (Miami Valley Hospital) |
NR/Aa3 | 2,250,000 | 2,401,425 | |||||||
Deerfield Township, 5.00% due 12/1/2017 |
NR/A1 | 1,000,000 | 1,110,720 | |||||||
Franklin County Convention Facilities Authority, 4.50% due 12/1/2021 (Greater Columbus Convention Center; Insured: AMBAC) |
AA/Aaa | 1,000,000 | 1,070,410 | |||||||
Garfield Heights City School District GO, 5.375% due 12/15/2016 (School Improvements; Insured: Natl-Re) |
NR/A1 | 1,625,000 | 1,816,669 | |||||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: Natl-Re) |
NR/Aa2 | 1,000,000 | 1,090,700 | |||||||
Kent State University, 5.00% due 5/1/2020 (Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,155,340 | |||||||
Miami University, 5.50% due 12/1/2013 (Higher Education Facility Projects; Insured: AMBAC) |
A+/Aa3 | 1,150,000 | 1,160,373 | |||||||
Montgomery County, 5.25% due 10/1/2038 put 11/1/2013 (Catholic Health Initiatives) |
AA-/Aa3 | 2,500,000 | 2,514,900 | |||||||
Northwestern Water & Sewer District, 5.10% due 12/1/2018 pre-refunded 12/1/2013 (Jerry City, Elmwood Water Line Project) |
NR/Aa3 | 315,000 | 317,605 | |||||||
Ohio State Air Quality Development Authority, 5.625% due 6/1/2018 (FirstEnergy Nuclear) |
BBB-/Baa2 | 5,000,000 | 5,471,800 | |||||||
Ohio State Air Quality Development Authority, 5.75% due 6/1/2033 put 12/1/2011 (FirstEnergy Nuclear) |
BBB-/Baa3 | 5,800,000 | 6,206,000 | |||||||
Ohio State Air Quality Development Authority, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear) |
BBB-/Baa3 | 7,200,000 | 7,251,696 | |||||||
Ohio State Air Quality Development Authority, 3.875% due 12/1/2038 put 6/1/2014 (Columbus Southern Power Co.) |
BBB/Baa1 | 4,800,000 | 4,883,136 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2015 (Insured: Natl-Re) |
AA/Aa2 | 4,600,000 | 5,014,368 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2020 |
AA/Aa2 | 1,700,000 | 1,949,288 | |||||||
Ohio State Department Administrative Services COP, 5.00% due 9/1/2015 (Insured: Natl-Re) |
AA/Aa2 | 1,950,000 | 2,072,791 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa3 | 24,400,000 | 24,575,192 | |||||||
Ohio Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa2 | 5,500,000 | 5,902,490 | |||||||
Penta Career Center COP, 4.00% due 4/1/2017 (School District Facilities Project) |
NR/Aa3 | 1,550,000 | 1,686,493 | |||||||
RiverSouth Authority, 5.00% due 12/1/2016 (RiverSouth Area Redevelopment) |
AA+/Aa2 | 2,380,000 | 2,584,466 | |||||||
RiverSouth Authority, 5.00% due 12/1/2019 (RiverSouth Area Redevelopment) |
AA+/Aa2 | 2,500,000 | 2,878,425 |
Certified Annual Report 53
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of Ohio, 4.00% due 12/15/2018 (Major New Street Infrastructure Project) |
AA/Aa2 | $ | 1,000,000 | $ | 1,114,230 | |||||
State of Ohio, 4.00% due 12/15/2019 (Major New Street Infrastructure Project) |
AA/Aa2 | 1,000,000 | 1,111,910 | |||||||
State of Ohio, 5.00% due 10/1/2020 (Cultural and Sports Capital Facilities) |
AA/Aa2 | 3,845,000 | 4,437,591 | |||||||
State of Ohio, 5.00% due 12/15/2020 (Major New Street Infrastructure Project) |
AA/Aa2 | 1,000,000 | 1,173,270 | |||||||
State of Ohio, 5.00% due 12/15/2021 (Major New Street Infrastructure Project) |
AA/Aa2 | 2,500,000 | 2,918,450 | |||||||
State of Ohio GO, 4.00% due 10/1/2014 (Revitalization Project) (ETM) |
AA-/NR | 2,075,000 | 2,152,231 | |||||||
State of Ohio GO, 5.00% due 8/1/2015 (Educational Facilities Projects) |
AA+/Aa1 | 5,000,000 | 5,425,450 | |||||||
State of Ohio GO, 5.00% due 8/1/2015 (Higher Education Facility Projects) |
AA+/Aa1 | 6,010,000 | 6,521,391 | |||||||
State of Ohio GO, 5.50% due 9/15/2019 (Common Schools Capital Facilities) |
AA+/Aa1 | 4,150,000 | 5,003,572 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 pre-refunded 7/1/2016 (Kenyon College) |
A+/A1 | 3,500,000 | 3,913,315 | |||||||
University of Akron Ohio, 5.00% due 1/1/2018 (Insured: AGM) |
AA-/A1 | 3,415,000 | 3,899,520 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2015 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,000,000 | 1,045,810 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2016 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,440,000 | 1,523,275 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2017 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,480,000 | 1,628,385 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2018 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,545,000 | 1,705,711 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2019 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,605,000 | 1,768,806 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2020 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,670,000 | 1,836,583 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2021 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,735,000 | 1,866,582 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2022 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,805,000 | 1,910,232 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2023 (Educational Facilities) (State Aid Withholding) |
NR/Aa2 | 1,700,000 | 1,776,364 | |||||||
OKLAHOMA 1.52% |
||||||||||
Canadian County Educational Facilities Authority, 4.00% due 9/1/2019 (Mustang Public Schools) |
A+/NR | 1,410,000 | 1,520,022 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2020 (Mustang Public Schools) |
A+/NR | 2,690,000 | 2,969,195 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2021 (Mustang Public Schools) |
A+/NR | 2,290,000 | 2,510,161 | |||||||
City of Tulsa GO, 2.50% due 3/1/2014 (City Capital Improvements) |
AA/Aa1 | 2,715,000 | 2,740,901 | |||||||
Cleveland County ISD No. 29 GO, 1.50% due 3/1/2017 (Norman School District) |
NR/Aa2 | 3,630,000 | 3,698,171 | |||||||
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian) |
BBB-/NR | 1,340,000 | 1,412,695 | |||||||
Oklahoma County Finance Authority, 3.00% due 9/1/2015 (Western Heights Public Schools) |
A+/NR | 375,000 | 389,198 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2016 (Western Heights Public Schools) |
A+/NR | 3,000,000 | 3,310,530 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2017 (Western Heights Public Schools) |
A+/NR | 4,075,000 | 4,593,177 | |||||||
Oklahoma County Finance Authority, 4.00% due 9/1/2018 (Western Heights Public Schools) |
A+/NR | 250,000 | 270,300 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2018 (Western Heights Public Schools) |
A+/NR | 2,120,000 | 2,410,122 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2020 (Western Heights Public Schools) |
A+/NR | 2,000,000 | 2,261,520 | |||||||
Oklahoma County ISD No. 1, 3.00% due 1/1/2014 |
A+/NR | 2,880,000 | 2,900,131 | |||||||
Oklahoma County ISD No. 1 GO, 1.00% due 1/1/2016 |
A+/NR | 4,075,000 | 4,116,891 | |||||||
Oklahoma DFA, 5.00% due 8/15/2017 (Integris Health) |
AA-/Aa3 | 4,375,000 | 4,942,569 | |||||||
Oklahoma DFA, 5.00% due 8/15/2018 (Integris Health) |
AA-/Aa3 | 500,000 | 570,185 | |||||||
Oklahoma DFA, 0.07% due 8/15/2033 put 10/1/2013 (Integris Health; Insured: AGM; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA-/Aa3 | 34,315,000 | 34,315,000 | |||||||
Oklahoma Municipal Power Authority, 5.00% due 1/1/2014 (Insured: AGM) |
A/A2 | 4,005,000 | 4,051,899 | |||||||
Oklahoma State Industrial Authority, 5.00% due 7/1/2016 (Medical Research Foundation) |
NR/A1 | 1,165,000 | 1,281,162 | |||||||
Oklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation) |
NR/A1 | 1,075,000 | 1,214,202 | |||||||
Tulsa County Industrial Authority, 5.00% due 12/15/2013 (Tulsa Heart Hospital of Saint Francis) |
AA+/Aa2 | 500,000 | 504,565 |
54 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Tulsa County Industrial Authority, 4.50% due 9/1/2020 (Broken Arrow Public Schools) |
AA-/NR | $ | 1,585,000 | $ | 1,766,372 | |||||
Tulsa County Industrial Authority, 4.50% due 9/1/2021 (Broken Arrow Public Schools) |
AA-/NR | 8,775,000 | 9,618,628 | |||||||
Tulsa County ISD No. 3 GO, 2.00% due 4/1/2015 (Broken Arrow School District) |
AA/NR | 2,000,000 | 2,050,340 | |||||||
Tulsa County ISD No. 3 GO, 2.00% due 4/1/2016 (Broken Arrow School District) |
AA/NR | 1,725,000 | 1,781,839 | |||||||
Tulsa Parking Authority, 3.00% due 7/1/2017 |
AA-/NR | 1,470,000 | 1,553,231 | |||||||
OREGON 0.18% |
||||||||||
Clackamas County, 5.00% due 7/15/2037 put 7/15/2014 (Legacy Health System) |
A+/A2 | 6,465,000 | 6,662,312 | |||||||
Oregon Facilities Authority, 5.00% due 3/15/2015 (Legacy Health System) |
A+/A2 | 1,635,000 | 1,733,361 | |||||||
Oregon Facilities Authority, 5.00% due 3/15/2016 (Legacy Health System) |
A+/A2 | 1,000,000 | 1,091,260 | |||||||
Oregon Facilities Authority, 4.50% due 3/15/2018 (Legacy Health System) |
A+/A2 | 1,100,000 | 1,220,494 | |||||||
Oregon State Department of Administrative Services COP, 5.00% due 11/1/2014 (Insured: Natl-Re) |
AA/Aa2 | 1,000,000 | 1,052,420 | |||||||
PENNSYLVANIA 3.40% |
||||||||||
Adams County IDA, 5.00% due 8/15/2014 (Gettysburg College) |
A/A2 | 1,000,000 | 1,039,040 | |||||||
Adams County IDA, 5.00% due 8/15/2016 (Gettysburg College) |
A/A2 | 1,250,000 | 1,389,013 | |||||||
Adams County IDA, 5.00% due 8/15/2017 (Gettysburg College) |
A/A2 | 1,340,000 | 1,520,900 | |||||||
Adams County IDA, 5.00% due 8/15/2019 (Gettysburg College) |
A/A2 | 1,765,000 | 2,032,221 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (University of Pittsburgh Medical Center) |
A+/Aa3 | 3,000,000 | 3,403,320 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2017 (University of Pittsburgh Medical Center) |
A+/Aa3 | 1,875,000 | 2,137,950 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2018 (University of Pittsburgh Medical Center) |
A+/Aa3 | 5,915,000 | 6,775,810 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (University of Pittsburgh Medical Center) |
A+/Aa3 | 3,310,000 | 3,798,788 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2018 (University of Pittsburgh Medical Center) |
A+/Aa3 | 2,100,000 | 2,421,405 | |||||||
Allegheny County Redevelopment Authority, 5.10% due 7/1/2014 (Pittsburgh Mills) |
NR/NR | 465,000 | 472,719 | |||||||
Altoona Area School District GO, 3.25% due 12/1/2016 (Insured: AGM) (State Aid Withholding) |
AA-/NR | 1,475,000 | 1,566,597 | |||||||
Altoona Area School District GO, 3.00% due 12/1/2022 (Insured: AGM) (State Aid Withholding) |
AA-/NR | 1,335,000 | 1,302,880 | |||||||
Athens Area School District GO, 2.00% due 4/15/2016 (Insured: AGM) (State Aid Withholding) |
NR/A1 | 470,000 | 481,520 | |||||||
Athens Area School District GO, 3.00% due 4/15/2018 (Insured: AGM) (State Aid Withholding) |
NR/A1 | 2,600,000 | 2,725,190 | |||||||
Athens Area School District GO, 3.00% due 4/15/2019 (Insured: AGM) (State Aid Withholding) |
NR/A1 | 2,680,000 | 2,767,797 | |||||||
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC) |
A+/NR | 1,915,000 | 2,065,921 | |||||||
City of Philadelphia, 5.00% due 6/15/2017 (Water and Wastewater System; Insured: AGM) |
AA-/A1 | 5,570,000 | 6,343,562 | |||||||
City of Philadelphia, 5.00% due 7/1/2022 (Water and Wastewater System; Insured: AGM) |
AA-/A1 | 1,155,000 | 1,217,439 | |||||||
City of Philadelphia Gas Works, 5.375% due 7/1/2014 (Insured: AGM) |
AA-/A2 | 7,280,000 | 7,539,532 | |||||||
City of Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: AGM) |
AA-/A2 | 3,000,000 | 3,116,580 | |||||||
City of Philadelphia Gas Works, 5.00% due 10/1/2014 (Insured: AMBAC) |
BBB+/Baa2 | 1,925,000 | 2,002,616 | |||||||
City of Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: AGM) |
AA-/A2 | 3,315,000 | 3,433,213 | |||||||
City of Philadelphia Gas Works, 5.00% due 7/1/2018 (Insured: AGM) |
AA-/A2 | 1,395,000 | 1,550,361 | |||||||
City of Pittsburgh GO, 5.50% due 9/1/2014 (Insured: AMBAC) |
A/A1 | 460,000 | 473,588 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2016 (Insured: AGM) |
AA-/A1 | 3,030,000 | 3,384,358 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2017 (Insured: AGM) |
AA-/A1 | 2,210,000 | 2,449,299 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2018 (Insured: AGM) |
AA-/A1 | 3,240,000 | 3,572,392 | |||||||
Commonwealth of Pennsylvania GO, 5.00% due 10/1/2022 |
AA/Aa2 | 575,000 | 641,407 | |||||||
Commonwealth of Pennsylvania State Public School Building Authority, 5.00% due 10/1/2016 (Harrisburg Area Community College Project) |
A-/NR | 1,390,000 | 1,522,648 | |||||||
County of Allegheny GO, 5.00% due 11/1/2019 (Insured: Natl-Re) |
A+/A1 | 1,260,000 | 1,316,209 | |||||||
County of Lehigh GO, 4.00% due 11/15/2014 |
NR/Aa1 | 3,190,000 | 3,325,511 |
Certified Annual Report 55
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Cumberland Valley School District GO, 5.00% due 11/15/2018 (Insured: AGM) (State Aid Withholding) |
NR/Aa3 | $ | 3,590,000 | $ | 3,907,248 | |||||
Economy Borough Municipal Authority, 3.00% due 12/15/2014 (Beaver County Sewer System; Insured: BAM) |
AA/NR | 330,000 | 339,699 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2016 (Beaver County Sewer System; Insured: BAM) |
AA/NR | 505,000 | 533,709 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2018 (Beaver County Sewer System; Insured: BAM) |
AA/NR | 435,000 | 454,967 | |||||||
Economy Borough Municipal Authority, 4.00% due 12/15/2020 (Beaver County Sewer System; Insured: BAM) |
AA/NR | 605,000 | 659,444 | |||||||
Economy Borough Municipal Authority, 4.00% due 12/15/2022 (Beaver County Sewer System; Insured: BAM) |
AA/NR | 1,180,000 | 1,260,311 | |||||||
Hospitals and Higher Educational Facilities Authority of Philadelphia, 0.06% due 7/1/2025 put 10/1/2013 (The Childrens Hospital of Philadelphia; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA/Aa2 | 980,000 | 980,000 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2021 (University of Pittsburgh Medical Center) |
A+/Aa3 | 2,400,000 | 2,735,208 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2022 (University of Pittsburgh Medical Center) |
A+/Aa3 | 1,250,000 | 1,411,300 | |||||||
Montgomery County IDA, 5.00% due 8/1/2016 (Regional Medical Center; Insured: FHA) |
AA/Aa2 | 1,000,000 | 1,104,590 | |||||||
Montgomery County IDA, 5.00% due 2/1/2017 (Regional Medical Center; Insured: FHA) |
AA/Aa2 | 1,000,000 | 1,115,660 | |||||||
Montgomery County IDA, 5.00% due 2/1/2020 (Regional Medical Center; Insured: FHA) |
AA/Aa2 | 1,000,000 | 1,126,970 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2021 (Water System; Insured: AGM) |
NR/A1 | 500,000 | 528,375 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2022 (Water System; Insured: AGM) |
NR/A1 | 1,185,000 | 1,240,209 | |||||||
Northampton Borough Municipal Authority, 3.00% due 5/15/2023 (Water System; Insured: AGM) |
NR/A1 | 1,255,000 | 1,198,701 | |||||||
Norwin School District GO, 4.00% due 4/1/2018 (Insured: AGM) (State Aid Withholding) |
AA-/A1 | 1,835,000 | 2,001,012 | |||||||
Pennsylvania Economic Development Financing Authority, 5.00% due 7/1/2016 (Pennsylvania Dept. of Labor and Industry) |
AA+/Aaa | 10,000,000 | 11,193,600 | |||||||
Pennsylvania Economic Development Financing Authority, 3.70% due 11/1/2021 put 5/1/2015 (Waste Management, Inc.) |
BBB/NR | 7,750,000 | 7,960,722 | |||||||
Pennsylvania Economic Development Financing Authority, 1.75% due 12/1/2033 put 12/1/2015 (Waste Management, Inc.) |
BBB/NR | 2,000,000 | 1,991,520 | |||||||
Pennsylvania Economic Development Financing Authority, 3.00% due 12/1/2037 put 9/1/2015 (PPL Energy Supply) |
BBB/NR | 14,000,000 | 14,415,380 | |||||||
Pennsylvania Higher Education Assistance Agency, 0.35% due 12/15/2013 (Agency Headquarters Office Building) |
AA/NR | 500,000 | 500,125 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 6/1/2015 pre-refunded 6/1/2014 (Philadelphia University) |
BBB/Baa2 | 985,000 | 1,015,949 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) |
A+/Aa3 | 5,600,000 | 6,444,760 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2020 (University of Pittsburgh Medical Center) |
A+/Aa3 | 5,100,000 | 5,848,017 | |||||||
Pennsylvania Higher Educational Facilities Authority, 4.00% due 10/1/2022 (Shippensburg University Student Services, Inc. Student Housing) |
BBB-/Baa3 | 1,825,000 | 1,772,531 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 11/1/2023 (Saint Josephs University) |
A-/NR | 1,075,000 | 1,181,748 | |||||||
Philadelphia Authority for Industrial Development, 5.00% due 8/1/2020 (Mast Charter School) |
BBB+/NR | 685,000 | 707,927 | |||||||
Philadelphia Municipal Authority, 5.25% due 11/15/2017 (Insured: AGM) |
AA-/A2 | 2,100,000 | 2,113,041 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2016 |
A/A1 | 1,500,000 | 1,653,300 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2017 |
A/A1 | 1,020,000 | 1,144,195 | |||||||
Philadelphia School District GO, 4.50% due 9/1/2017 (State Aid Withholding) |
A+/Aa3 | 2,270,000 | 2,487,352 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) |
A+/Aa3 | 18,410,000 | 20,783,233 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) |
A+/Aa3 | 4,210,000 | 4,752,711 |
56 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Philadelphia School District GO, 5.25% due 9/1/2021 (State Aid Withholding) |
A+/Aa3 | $ | 2,265,000 | $ | 2,563,595 | |||||
Plum Borough School District GO, 2.00% due 9/15/2014 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,000,000 | 1,013,740 | |||||||
Plum Borough School District GO, 2.00% due 9/15/2015 (Insured: BAM) (State Aid Withholding) |
AA/NR | 850,000 | 870,460 | |||||||
Plum Borough School District GO, 3.00% due 9/15/2016 (Insured: BAM) (State Aid Withholding) |
AA/NR | 750,000 | 791,280 | |||||||
Plum Borough School District GO, 3.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding) |
AA/NR | 240,000 | 254,635 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding) |
AA/NR | 740,000 | 813,867 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) |
AA/NR | 390,000 | 427,253 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) |
AA/NR | 395,000 | 432,730 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,205,000 | 1,320,102 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,455,000 | 1,590,533 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,610,000 | 1,744,065 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2022 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,410,000 | 1,624,080 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,495,000 | 1,704,464 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding) |
AA/NR | 470,000 | 535,852 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2024 (Insured: BAM) (State Aid Withholding) |
AA/NR | 1,885,000 | 2,116,308 | |||||||
School District of Pittsburgh GO, 5.50% due 9/1/2016 (Insured: AGM) (State Aid Withholding) |
AA-/Aa3 | 4,000,000 | 4,501,320 | |||||||
School District of the City of Erie GO, 0% due 5/1/2014 (Insured: Natl-Re) (State Aid Withholding) (ETM) |
A/Baa1 | 1,100,000 | 1,098,372 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2016 (Wayne Memorial Hospital; Insured: AGM) |
AA-/NR | 500,000 | 508,550 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2017 (Wayne Memorial Hospital; Insured: AGM) |
AA-/NR | 1,000,000 | 1,008,690 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2018 (Wayne Memorial Hospital; Insured: AGM) |
AA-/NR | 625,000 | 616,894 | |||||||
Wayne County Hospital and HFA, 3.00% due 7/1/2019 (Wayne Memorial Hospital; Insured: AGM) |
AA-/NR | 1,185,000 | 1,207,124 | |||||||
West Mifflin Area School District GO, 3.70% due 10/1/2015 (Insured: AGM) (State Aid Withholding) |
AA-/A2 | 2,210,000 | 2,348,456 | |||||||
York County Solid Waste & Refuse Authority, 5.50% due 12/1/2013 (Insured: Natl-Re) |
AA/A2 | 6,750,000 | 6,808,927 | |||||||
RHODE ISLAND 1.81% |
||||||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2018 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | 870,000 | 1,009,174 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2019 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | 1,250,000 | 1,461,900 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2020 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | 1,300,000 | 1,534,338 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2021 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | 2,000,000 | 2,349,520 |
Certified Annual Report 57
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2022 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | $ | 2,280,000 | $ | 2,684,654 | |||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2023 (Public Drinking Water Supply or Treatment Facilities) |
AAA/NR | 2,380,000 | 2,810,138 | |||||||
Rhode Island Convention Center Authority, 5.25% due 5/15/2015 (Convention Center and Parking Projects; Insured: Natl-Re) |
A/Baa1 | 765,000 | 784,240 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2018 (Convention Center and Parking Projects) |
AA-/Aa3 | 5,365,000 | 6,137,828 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2019 (Convention Center and Parking Projects) |
AA-/Aa3 | 7,310,000 | 8,382,158 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2020 (Convention Center and Parking Projects) |
AA-/Aa3 | 5,890,000 | 6,782,158 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2021 (Convention Center and Parking Projects; Insured: AGM) |
AA-/Aa3 | 2,000,000 | 2,116,020 | |||||||
Rhode Island Economic Development Corp., 5.00% due 6/15/2014 (RIDOT Transit Improvements; Insured: AGM) |
AA-/Aa3 | 2,000,000 | 2,007,940 | |||||||
Rhode Island Health & Educational Building Corp., 4.00% due 9/15/2015 (University of Rhode Island Auxiliary Enterprise) |
A+/A1 | 500,000 | 531,335 | |||||||
Rhode Island Health & Educational Building Corp., 5.00% due 9/15/2020 (University of Rhode Island Auxiliary Enterprise) |
A+/A1 | 750,000 | 865,365 | |||||||
Rhode Island Health & Educational Building Corp., 5.00% due 9/15/2023 (University of Rhode Island Auxiliary Enterprise) |
A+/A1 | 1,400,000 | 1,589,798 | |||||||
State of Rhode Island and Providence Plantations, 5.00% due 10/1/2014 (Department of Children, Youth, and Families; Insured: MBIA) (ETM) |
AA-/Aa3 | 1,000,000 | 1,047,230 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2015 (Shepards Building; Insured: AGM) |
AA-/Aa3 | 800,000 | 867,624 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Kent County Courthouse) |
AA-/Aa3 | 600,000 | 688,986 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Training School Project) |
AA-/Aa3 | 1,575,000 | 1,808,588 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Training School Project) |
AA-/Aa3 | 1,405,000 | 1,616,691 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Kent County Courthouse) |
AA-/Aa3 | 1,375,000 | 1,582,171 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Training School Project) |
AA-/Aa3 | 3,540,000 | 4,061,407 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Kent County Courthouse) |
AA-/Aa3 | 2,000,000 | 2,294,580 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 4/1/2022 (Energy Conservation Project) |
AA-/Aa3 | 2,020,000 | 2,312,738 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Training School Project) |
AA-/Aa3 | 3,620,000 | 4,145,226 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Kent County Courthouse) |
AA-/Aa3 | 2,100,000 | 2,404,689 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Training School Project) |
AA-/Aa3 | 1,705,000 | 1,936,232 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Kent County Courthouse) |
AA-/Aa3 | 1,500,000 | 1,703,430 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 10/1/2019 (Consolidated Capital Development Loan) |
AA/Aa2 | 5,000,000 | 5,822,950 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2020 (Consolidated Capital Development Loan) |
AA/Aa2 | 8,365,000 | 9,772,913 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2020 (Consolidated Capital Development Loan) |
AA/Aa2 | 1,200,000 | 1,331,616 |
58 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2021 (Consolidated Capital Development Loan) |
AA/Aa2 | $ | 16,535,000 | $ | 19,297,668 | |||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2021 (Consolidated Capital Development Loan) |
AA/Aa2 | 1,000,000 | 1,098,120 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2022 (Consolidated Capital Development Loan) |
AA/Aa2 | 9,825,000 | 11,461,747 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2022 (Consolidated Capital Development Loan) |
AA/Aa2 | 1,000,000 | 1,089,910 | |||||||
SOUTH CAROLINA 0.64% |
||||||||||
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2016 (Convention Center Complex) |
AA-/NR | 1,560,000 | 1,725,781 | |||||||
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.) |
BBB/Baa3 | 7,975,000 | 8,148,217 | |||||||
Greenville County School District, 5.25% due 12/1/2015 pre-refunded 12/1/2013 (Building Equity Sooner for Tomorrow) |
AA/Aa2 | 1,000,000 | 1,008,470 | |||||||
Greenville County School District, 5.50% due 12/1/2016 (Building Equity Sooner for Tomorrow) |
AA/Aa2 | 3,500,000 | 3,993,990 | |||||||
Greenwood County, 5.00% due 10/1/2013 (Self Regional Healthcare; Insured: AGM) |
AA-/A1 | 2,000,000 | 2,000,260 | |||||||
Greenwood County, 5.00% due 10/1/2022 (Self Regional Healthcare) |
A+/A1 | 1,000,000 | 1,103,880 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: AGM) |
AA-/A1 | 1,000,000 | 1,089,680 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: AGM) |
AA-/A1 | 1,000,000 | 1,119,190 | |||||||
Lexington One School Facilities Corp., 5.00% due 12/1/2015 (Lexington County School District No. 1) (ETM) |
NR/Aa3 | 1,000,000 | 1,098,150 | |||||||
Medical University Hospital Authority, 4.85% due 8/15/2026 pre-refunded 8/15/2014 (Medical Center First Phase Expansion; Insured: Natl-Re/FHA) |
A/Baa1 | 4,100,000 | 4,261,212 | |||||||
Piedmont Municipal Power Agency, 6.75% due 1/1/2019 (Insured: Natl-Re) |
NR/Baa1 | 3,800,000 | 4,661,574 | |||||||
School District of Beaufort County GO, 5.00% due 3/1/2015 (Educational Capital Improvements; Insured: SCSDE) |
AA/Aa1 | 1,000,000 | 1,066,630 | |||||||
South Carolina Jobs Economic Development Authority, 5.00% due 8/15/2014 (CareAlliance Health Services; Insured: AGM) |
AA-/A2 | 4,000,000 | 4,138,200 | |||||||
South Carolina Jobs Economic Development Authority, 5.00% due 8/15/2015 (CareAlliance Health Services; Insured: AGM) |
AA-/A2 | 3,000,000 | 3,204,210 | |||||||
State of South Carolina GO, 5.00% due 11/1/2013 (Research University Infrastructure) |
AA+/Aaa | 700,000 | 702,919 | |||||||
State of South Carolina GO, 5.00% due 4/1/2015 (Transportation Infrastructure) (State Aid Withholding) |
AA+/Aaa | 2,070,000 | 2,216,266 | |||||||
SOUTH DAKOTA 0.37% |
||||||||||
South Dakota Building Authority, 4.50% due 6/1/2016 (Insured: Natl-Re) |
AA/Baa1 | 2,000,000 | 2,186,880 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2015 (Regional Health) |
NR/A1 | 1,390,000 | 1,506,426 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2015 (Sanford Health) |
A+/A1 | 1,310,000 | 1,416,280 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2016 (Regional Health) |
NR/A1 | 1,000,000 | 1,110,090 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2017 (Prairie Lakes Health) |
A+/NR | 2,215,000 | 2,424,406 | |||||||
a South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2017 (Regional Health) |
NR/A1 | 1,100,000 | 1,244,353 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2018 (Prairie Lakes Health) |
A+/NR | 2,290,000 | 2,523,969 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) |
NR/A1 | 1,275,000 | 1,454,826 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) |
NR/A1 | 1,000,000 | 1,141,040 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2019 (Prairie Lakes Health) |
A+/NR | 2,440,000 | 2,696,347 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2020 (Regional Health) |
NR/A1 | 1,000,000 | 1,145,830 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Avera Health Issue) |
AA-/A1 | 1,670,000 | 1,858,526 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2016 (Single Family Mtg) |
NR/Aa3 | 1,040,000 | 1,121,474 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2017 (Single Family Mtg) |
NR/Aa3 | 1,055,000 | 1,147,524 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2018 (Single Family Mtg) |
NR/Aa3 | 1,165,000 | 1,268,452 |
Certified Annual Report 59
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
TENNESSEE 0.74% |
||||||||||
City of Memphis, 5.00% due 12/1/2014 pre-refunded 12/1/2013 (Memphis Light, Gas & Water Division; Insured: Natl-Re) |
AA+/Aa2 | $ | 3,050,000 | $ | 3,074,858 | |||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 |
NR/Baa2 | 3,200,000 | 3,353,312 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2015 |
NR/Baa2 | 3,500,000 | 3,790,010 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2019 |
NR/Baa2 | 6,000,000 | 6,619,560 | |||||||
Hallsdale-Powell Utility District, 2.00% due 4/1/2014 |
AA/NR | 1,260,000 | 1,270,748 | |||||||
Hallsdale-Powell Utility District, 3.00% due 4/1/2016 |
AA/NR | 500,000 | 527,585 | |||||||
Metropolitan Government of Nashville & Davidson County, 6.50% due 12/1/2014 (Water and Sewer Systems) (ETM) |
A/Aaa | 1,545,000 | 1,657,553 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 9/1/2015 |
A-/Baa2 | 3,000,000 | 3,178,200 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2017 |
BBB/Baa3 | 5,000,000 | 5,370,850 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017 |
A-/Baa2 | 11,000,000 | 12,070,740 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018 |
A-/Baa2 | 5,000,000 | 5,501,050 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020 |
A-/Baa2 | 1,190,000 | 1,317,425 | |||||||
TEXAS 8.27% |
||||||||||
Amarillo Health Facilities Corp., 5.50% due 1/1/2015 (Baptist St. Anthonys Hospital Corp.; Insured: AGM) (ETM) |
NR/A2 | 1,065,000 | 1,118,740 | |||||||
Amarillo ISD GO, 2.00% due 2/1/2014 (Guaranty: PSF) |
AAA/Aaa | 1,180,000 | 1,187,434 | |||||||
Amarillo ISD GO, 3.00% due 2/1/2015 (Guaranty: PSF) |
AAA/Aaa | 1,110,000 | 1,150,759 | |||||||
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus) |
AA/Aa2 | 1,500,000 | 1,718,475 | |||||||
Bexar Metropolitan Water District, 4.50% due 5/1/2021 (Waterworks System; Insured: Natl-Re) |
A/A1 | 1,200,000 | 1,287,240 | |||||||
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: Natl-Re) |
A/Baa1 | 4,885,000 | 5,187,528 | |||||||
Brownwood ISD GO, 5.25% due 2/15/2017 (Educational Facilities; Insured: Natl-Re) |
NR/A1 | 1,310,000 | 1,385,600 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2014 (Roman Catholic Diocese of Austin) |
NR/Baa1 | 890,000 | 907,711 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2015 (Roman Catholic Diocese of Austin) |
NR/Baa1 | 1,100,000 | 1,157,508 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2018 (Roman Catholic Diocese of Austin) |
NR/Baa1 | 1,370,000 | 1,512,275 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2013 (DFW International Airport Development Plan) |
A+/A2 | 1,175,000 | 1,179,888 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2014 (DFW International Airport Development Plan) |
A+/A2 | 1,300,000 | 1,366,833 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2015 (DFW International Airport Development Plan) |
A+/A2 | 3,370,000 | 3,677,007 | |||||||
Cities of Dallas and Fort Worth, 5.25% due 11/1/2023 (DFW International Airport Terminal Renewal & Improvement Program) |
A+/A2 | 3,000,000 | 3,391,260 | |||||||
City of Austin, 5.50% due 11/15/2013 (Electric Utility System; Insured: AMBAC) |
AA-/A1 | 1,000,000 | 1,006,680 | |||||||
City of Austin, 5.00% due 5/15/2014 (Water and Wastewater System; Insured: AMBAC) |
AA/Aa2 | 2,890,000 | 2,977,076 | |||||||
City of Austin, 5.00% due 5/15/2015 (Water and Wastewater System; Insured: AMBAC) |
AA/Aa2 | 1,520,000 | 1,634,578 | |||||||
City of Austin, 5.00% due 5/15/2016 (Water and Wastewater System; Insured: Natl-Re) |
AA/Aa2 | 1,500,000 | 1,647,630 | |||||||
City of Austin, 5.00% due 11/15/2022 (Water and Wastewater System) |
AA/Aa2 | 2,640,000 | 3,076,102 | |||||||
City of Brownsville, 5.00% due 9/1/2020 (Water, Wastewater & Electric Utilities Systems) |
A+/A2 | 1,500,000 | 1,734,450 | |||||||
City of Brownsville, 5.00% due 9/1/2022 (Water, Wastewater & Electric Utilities Systems) |
A+/A2 | 1,520,000 | 1,746,890 | |||||||
City of Brownsville, 5.00% due 9/1/2023 (Water, Wastewater & Electric Utilities Systems) |
A+/A2 | 2,380,000 | 2,719,816 | |||||||
City of Bryan, 4.00% due 7/1/2014 (Electric System) |
A+/A1 | 1,300,000 | 1,335,737 | |||||||
City of Bryan, 5.00% due 7/1/2015 (Electric System) |
A+/A1 | 1,150,000 | 1,239,148 | |||||||
City of Bryan, 5.00% due 7/1/2019 (Electric System) |
A+/A1 | 8,000,000 | 8,849,760 | |||||||
City of Dallas GO, 5.00% due 2/15/2018 pre-refunded 2/15/2015 |
AA+/Aa1 | 3,375,000 | 3,592,620 | |||||||
City of Denton GO, 3.00% due 2/15/2014 |
AA/Aa2 | 3,325,000 | 3,360,212 | |||||||
City of Denton GO, 4.00% due 2/15/2015 |
AA/Aa2 | 3,445,000 | 3,619,145 |
60 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Denton GO, 4.00% due 2/15/2016 |
AA/Aa2 | $ | 3,535,000 | $ | 3,811,684 | |||||
City of Denton GO, 5.00% due 2/15/2017 |
AA/Aa2 | 3,675,000 | 4,157,380 | |||||||
City of Denton GO, 5.00% due 2/15/2019 |
AA/Aa2 | 3,990,000 | 4,636,899 | |||||||
City of Denton GO, 5.00% due 2/15/2020 |
AA/Aa2 | 4,195,000 | 4,810,868 | |||||||
City of Houston, 5.00% due 11/15/2013 (Combined Utility System; Insured: AGM) |
AA/Aa2 | 3,000,000 | 3,018,180 | |||||||
City of Houston, 5.00% due 9/1/2014 (Convention & Entertainment Facilities Department) |
A-/A2 | 2,000,000 | 2,085,800 | |||||||
City of Houston, 5.00% due 9/1/2014 (Convention & Entertainment Facilities Department) |
A-/A2 | 1,300,000 | 1,355,770 | |||||||
City of Houston, 5.00% due 7/1/2015 (Airport System) |
AA-/Aa3 | 2,600,000 | 2,803,944 | |||||||
City of Houston, 5.00% due 7/1/2017 (Airport System) |
AA-/Aa3 | 1,600,000 | 1,818,992 | |||||||
City of Houston, 5.00% due 7/1/2018 (Airport System) |
AA-/Aa3 | 1,000,000 | 1,150,570 | |||||||
City of Houston, 0% due 9/1/2020 (Insured: AGM/AMBAC) |
AA-/A2 | 3,650,000 | 2,844,335 | |||||||
City of Houston COP, 6.25% due 12/15/2014 (Water Conveyance System; Insured: AMBAC) |
NR/NR | 2,850,000 | 2,996,632 | |||||||
City of Laredo, 5.00% due 3/15/2014 (Sports Venue Improvement; Insured: AMBAC) |
A+/A1 | 1,835,000 | 1,872,250 | |||||||
City of Laredo, 5.00% due 3/15/2015 (Sports Venue Improvement; Insured: AMBAC) |
A+/A1 | 1,930,000 | 2,043,156 | |||||||
City of Laredo GO, 5.00% due 2/15/2018 (Insured: Natl-Re) |
AA/Aa2 | 2,000,000 | 2,258,020 | |||||||
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2020 (University of the Incarnate Word Project) |
NR/A3 | 3,620,000 | 4,127,162 | |||||||
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2021 (University of the Incarnate Word Project) |
NR/A3 | 1,000,000 | 1,130,360 | |||||||
City of Richardson GO, 5.00% due 2/15/2014 (Insured: Natl-Re) |
AAA/Aaa | 3,000,000 | 3,053,700 | |||||||
City of San Antonio, 5.00% due 2/1/2022 (CPS Energy) |
AA/Aa1 | 20,000,000 | 23,537,200 | |||||||
City of San Antonio GO, 4.00% due 2/1/2015 (City Public Facility Improvements) |
AAA/Aaa | 1,000,000 | 1,050,300 | |||||||
City of San Antonio Public Facilities Corp., 5.00% due 9/15/2022 (Convention Center Refinancing & Expansion) |
AA+/Aa2 | 1,450,000 | 1,680,883 | |||||||
City of Weslaco GO, 5.25% due 2/15/2019 (Waterworks and Sewer System; Insured: Natl-Re) |
A/A3 | 2,835,000 | 3,121,420 | |||||||
b Clifton Higher Education Finance Corp., 5.00% due 8/15/2016 (IDEA Public Schools) |
BBB/NR | 225,000 | 243,106 | |||||||
b Clifton Higher Education Finance Corp., 5.00% due 8/15/2017 (IDEA Public Schools) |
BBB/NR | 315,000 | 342,689 | |||||||
b Clifton Higher Education Finance Corp., 5.00% due 8/15/2018 (IDEA Public Schools) |
BBB/NR | 325,000 | 355,037 | |||||||
b Clifton Higher Education Finance Corp., 5.00% due 8/15/2019 (IDEA Public Schools) |
BBB/NR | 445,000 | 485,086 | |||||||
b Clifton Higher Education Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools) |
BBB/NR | 1,100,000 | 1,161,369 | |||||||
Collin County GO, 5.00% due 2/15/2016 (Road and Highway Construction) |
AAA/Aaa | 1,465,000 | 1,616,598 | |||||||
Corpus Christi Business & Job Development Corp., 5.00% due 3/1/2021 (Seawall Project) |
A+/A2 | 625,000 | 704,075 | |||||||
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018 |
A+/A1 | 5,240,000 | 4,655,583 | |||||||
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019 |
A+/A1 | 5,200,000 | 5,866,068 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) |
BBB+/A3 | 1,160,000 | 1,295,662 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) |
BBB+/A3 | 1,260,000 | 1,407,357 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) |
BBB+/A3 | 1,935,000 | 2,150,578 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) |
BBB+/A3 | 2,035,000 | 2,261,719 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2019 (Insured: AMBAC) |
BBB+/A3 | 2,175,000 | 2,396,937 | |||||||
Decatur ISD GO, 3.00% due 8/15/2015 (Wise County; Guaranty: PSF) |
AAA/NR | 1,710,000 | 1,794,782 | |||||||
Grayson County GO, 1.625% due 1/1/2017 (State Highway Toll System) |
AA/Aa2 | 1,200,000 | 1,223,844 | |||||||
Grayson County GO, 4.00% due 1/1/2020 (State Highway Toll System) |
AA/Aa2 | 2,000,000 | 2,221,520 | |||||||
Grayson County GO, 5.00% due 1/1/2022 (State Highway Toll System) |
AA/Aa2 | 3,000,000 | 3,516,960 | |||||||
Guadalupe-Blanco River Authority PCR, 5.625% due 10/1/2017 (AEP Texas Central Co.) |
BBB/Baa2 | 5,000,000 | 5,601,750 | |||||||
Gulf Coast Waste Disposal Authority, 3.00% due 10/1/2014 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 210,000 | 215,212 | |||||||
Gulf Coast Waste Disposal Authority, 4.00% due 10/1/2016 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 500,000 | 543,060 | |||||||
Gulf Coast Waste Disposal Authority, 4.00% due 10/1/2017 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 800,000 | 878,648 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2019 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,150,120 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2020 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,302,380 |
Certified Annual Report 61
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2022 pre-refunded 10/1/2014 (Bayport Area System; Insured: AMBAC) |
A/NR | $ | 2,265,000 | $ | 2,371,976 | |||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2022 (Bayport Area Wastewater Treatment System; Insured: AGM) |
AA-/A2 | 1,635,000 | 1,869,475 | |||||||
Harris County Cultural Education Facilities Finance Corp., 0.06% due 9/1/2031 put 10/1/2013 (Texas Medical Center Loan Facility; LOC: JPMorgan Chase Bank) (daily demand notes) |
AAA/Aa1 | 9,185,000 | 9,185,000 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2015 (Texas Medical Center Central Heating and Cooling Services Corp.) |
AA/Aa3 | 1,450,000 | 1,586,213 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2018 (Texas Medical Center Central Heating and Cooling Services Corp.) |
AA/Aa3 | 1,365,000 | 1,583,195 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2019 (Texas Medical Center Central Heating and Cooling Services Corp.) |
AA/Aa3 | 1,000,000 | 1,167,110 | |||||||
Harris County GO, 4.00% due 10/1/2015 (County Permanent Improvements) |
AAA/NR | 2,995,000 | 3,211,089 | |||||||
Harris County GO, 5.00% due 10/1/2015 (County Permanent Improvements) |
AAA/NR | 4,000,000 | 4,368,320 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 11/15/2015 pre-refunded 11/15/2013 (Thermal Energy Corp. (TECO); Insured: Natl-Re) |
AA/Aa3 | 1,500,000 | 1,508,910 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 7/1/2016 (CHRISTUS Health System; Insured: AGM) |
AA-/A1 | 6,260,000 | 6,938,146 | |||||||
Harris County Health Facilities Development Corp., 7.00% due 12/1/2027 pre-refunded 12/1/2018 (Memorial Hermann Healthcare System; LOC: JPMorgan Chase Bank) |
A+/A1 | 1,245,000 | 1,589,205 | |||||||
Harris County Health Facilities Development Corp., 0.06% due 10/1/2041 put 10/1/2013 (Texas Childrens Hospital; SPA: Wells Fargo Bank N.A.) (daily demand notes) |
AA/Aa2 | 10,865,000 | 10,865,000 | |||||||
Harris County Hospital District, 5.00% due 2/15/2014 (Insured: Natl-Re) |
A/A2 | 1,275,000 | 1,294,801 | |||||||
Harris County Hospital District, 5.00% due 2/15/2017 (Insured: Natl-Re) |
A/A2 | 1,500,000 | 1,652,010 | |||||||
Houston Higher Education Finance Corp., 5.875% due 5/15/2021 (Cosmos Foundation, Inc.) |
BBB/NR | 910,000 | 999,189 | |||||||
Houston ISD GO, 5.00% due 2/15/2014 (Harris County School Buildings) |
AA+/Aaa | 2,000,000 | 2,035,840 | |||||||
Houston ISD GO, 5.00% due 2/15/2015 (Harris County School Buildings) |
AA+/Aaa | 2,450,000 | 2,605,942 | |||||||
Houston ISD GO, 3.00% due 7/15/2015 (Harris County School Buildings) |
AA+/Aaa | 2,000,000 | 2,094,300 | |||||||
Houston ISD GO, 1.50% due 6/1/2036 put 6/1/2015 (Harris County School Buildings; Guaranty: PSF) |
AAA/Aaa | 10,000,000 | 10,136,400 | |||||||
Houston ISD GO, 2.00% due 6/1/2037 put 6/1/2016 (Harris County School Buildings; Guaranty: PSF) |
AAA/Aaa | 10,000,000 | 10,278,300 | |||||||
Houston ISD Public Facility Corp., 0% due 9/15/2014 (West Side High School; Insured: AMBAC) |
AA/Aa2 | 6,190,000 | 6,159,545 | |||||||
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF) |
AAA/NR | 2,170,000 | 1,988,306 | |||||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) |
AAA/Aaa | 1,000,000 | 927,640 | |||||||
Kerrville Health Facilities Development Corp., 5.25% due 8/15/2021 (Sid Peterson Memorial Hospital) |
BBB-/NR | 4,000,000 | 4,102,160 | |||||||
Lower Colorado River Authority, 5.875% due 5/15/2016 (Insured: BHAC/FSA) |
NR/Aa1 | 2,210,000 | 2,220,144 | |||||||
Mission Economic Development Corp., 3.75% due 12/1/2018 put 5/1/2015 (Waste Management, Inc.) |
BBB/NR | 8,500,000 | 8,749,900 | |||||||
New Caney ISD GO, 5.00% due 2/15/2024 (Guaranty: PSF) |
AAA/Aaa | 865,000 | 999,456 | |||||||
North East ISD GO, 5.00% due 8/1/2016 (Guaranty: PSF) |
AAA/Aaa | 2,000,000 | 2,244,460 | |||||||
North East ISD GO, 2.00% due 8/1/2043 put 8/1/2015 (Educational Facilities; Guaranty: PSF) |
AAA/Aaa | 44,745,000 | 45,769,660 | |||||||
North Texas University, 5.00% due 4/15/2014 |
NR/Aa2 | 1,250,000 | 1,282,113 | |||||||
North Texas University, 5.00% due 4/15/2016 |
NR/Aa2 | 2,250,000 | 2,492,055 | |||||||
Nueces River Authority, 5.00% due 7/15/2015 (City of Corpus Christi Lake Texana Project; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,078,310 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2017 |
BBB+/NR | 1,000,000 | 1,122,430 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2019 |
BBB+/NR | 2,565,000 | 2,903,580 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2020 |
BBB+/NR | 1,620,000 | 1,836,383 | |||||||
San Juan Higher Education Finance Authority, 5.125% due 8/15/2020 (IDEA Public Schools) |
BBB/NR | 1,825,000 | 1,930,394 | |||||||
State of Texas, 2.00% due 8/28/2014 (General Revenue Fund-Cash Flow Management) |
SP-1+/Mig1 | 121,000,000 | 122,992,870 | |||||||
Tarrant County Cultural Educational Facilities Finance Corp., 5.00% due 8/15/2016 (Scott & White Memorial Hospital) |
A/A1 | 2,280,000 | 2,524,462 |
62 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Tarrant County Cultural Educational Facilities Finance Corp., 5.00% due 8/15/2017 (Scott & White Memorial Hospital) |
A/A1 | $ | 2,000,000 | $ | 2,258,220 | |||||
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: AGM) |
AA-/A2 | 10,000,000 | 11,416,100 | |||||||
Texas Public Finance Authority, 5.00% due 1/1/2014 (Unemployment Compensation) |
AAA/Aaa | 5,000,000 | 5,061,100 | |||||||
Texas Public Finance Authority, 5.00% due 7/1/2014 (Unemployment Compensation) |
AAA/Aaa | 5,000,000 | 5,181,200 | |||||||
Texas Public Finance Authority, 5.00% due 10/15/2014 (Stephen F. Austin University; Insured: Natl-Re) |
NR/A1 | 1,305,000 | 1,367,196 | |||||||
Texas Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University; Insured: Natl-Re) |
NR/A1 | 1,450,000 | 1,576,194 | |||||||
Texas Public Finance Authority, 5.00% due 7/1/2017 (Unemployment Compensation) |
AAA/Aaa | 15,500,000 | 16,932,045 | |||||||
Tyler Junior College District GO, 4.00% due 2/15/2015 (Higher Education Building Projects) |
AA+/NR | 1,300,000 | 1,364,987 | |||||||
Uptown Development Authority, 5.00% due 9/1/2015 (Infrastructure Improvements) |
BBB/NR | 1,370,000 | 1,468,202 | |||||||
Uptown Development Authority, 5.00% due 9/1/2017 (Infrastructure Improvements) |
BBB/NR | 1,580,000 | 1,745,236 | |||||||
Uptown Development Authority, 5.00% due 9/1/2018 (Infrastructure Improvements) |
BBB/NR | 1,870,000 | 2,080,525 | |||||||
Uptown Development Authority, 5.00% due 9/1/2019 (Infrastructure Improvements) |
BBB/NR | 1,945,000 | 2,160,059 | |||||||
West Harris County Regional Water Authority, 5.00% due 12/15/2020 (Insured: Natl-Re) |
A+/A1 | 2,140,000 | 2,357,531 | |||||||
Ysleta ISD GO, 2.00% due 8/15/2014 (Guaranty: PSF) |
AAA/Aaa | 3,115,000 | 3,165,307 | |||||||
U.S. VIRGIN ISLANDS 0.19% |
||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Matching Fund Loan Diageo Project) |
NR/Baa3 | 7,690,000 | 8,443,082 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2015 |
BBB-/Baa3 | 1,000,000 | 1,017,270 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2016 |
BBB-/Baa3 | 1,225,000 | 1,251,215 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2017 |
BBB-/Baa3 | 1,300,000 | 1,328,132 | |||||||
UTAH 0.30% |
||||||||||
Murray City, 0.06% due 5/15/2037 put 10/1/2013 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA+/Aa1 | 16,635,000 | 16,635,000 | |||||||
South Valley Water Reclamation Facility, 5.00% due 8/15/2024 (Sewer Treatment Facility Improvements; Insured: AMBAC) |
A+/NR | 2,110,000 | 2,235,418 | |||||||
State of Utah Building Ownership Authority, 5.00% due 5/15/2014 (State Facilities Master Lease Program) |
AA+/Aa1 | 500,000 | 514,895 | |||||||
VERMONT 0.34% |
||||||||||
Vermont Colleges GO, 4.00% due 7/1/2017 |
A+/NR | 5,375,000 | 5,893,526 | |||||||
Vermont Economic Development Authority, 5.00% due 12/15/2020 (Vermont Public Service Corp.) |
NR/NR | 14,250,000 | 16,008,023 | |||||||
VIRGINIA 0.39% |
||||||||||
City of Portsmouth GO, 5.00% due 7/1/2017 pre-refunded 7/1/2014 (Insured: AGM) |
AA/Aa2 | 2,000,000 | 2,072,160 | |||||||
Fairfax County EDA, 5.00% due 8/1/2016 (Wiehle Avenue Metrorail Station Parking Project) |
AA+/Aa2 | 2,600,000 | 2,906,098 | |||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) |
AAA/Aaa | 5,000,000 | 5,361,800 | |||||||
Fairfax County GO, 5.00% due 10/1/2016 (Public Facilities and Improvements) (State Aid Withholding) |
AAA/Aaa | 1,100,000 | 1,242,406 | |||||||
Fairfax County IDA, 4.00% due 5/15/2022 (Inova Health System) |
AA+/Aa2 | 5,500,000 | 5,906,670 | |||||||
Fairfax County IDA, 5.00% due 5/15/2022 (Inova Health System) |
AA+/Aa2 | 5,000,000 | 5,746,850 | |||||||
Northwestern Regional Jail Authority, 5.00% due 7/1/2033 pre-refunded 7/1/2015 (Community Corrections Center; Insured: Natl-Re) |
A+/Aa2 | 900,000 | 973,224 | |||||||
Virginia Public Building Authority, 5.00% due 8/1/2014 (Public Facilities Projects) |
AA+/Aa1 | 1,300,000 | 1,305,135 | |||||||
WASHINGTON 2.15% |
||||||||||
Bremerton School District No. 100C GO, 0% due 12/1/2015 (Insured: AGM) |
NR/Aa1 | 1,270,000 | 1,245,197 |
Certified Annual Report 63
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Central Puget Sound Regional Transit Authority, 4.00% due 2/1/2015 |
AAA/Aa1 | $ | 840,000 | $ | 881,555 | |||||
County of Mason GO, 2.00% due 12/1/2013 (Insured: AGM) |
AA-/NR | 2,010,000 | 2,015,286 | |||||||
Energy Northwest, 5.00% due 7/1/2014 (Wind Project; Insured: AMBAC) |
A/A2 | 2,575,000 | 2,660,361 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 3) |
AA-/Aa1 | 5,470,000 | 6,275,075 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 1) |
AA-/Aa1 | 5,000,000 | 5,735,900 | |||||||
Energy Northwest, 5.00% due 7/1/2018 (Bonneville Power Administration Project 3) |
AA-/Aa1 | 475,000 | 537,866 | |||||||
King County Federal Way School District No. 210 GO, 4.125% due 12/1/2019 (Insured: Natl-Re) |
AA+/Aa1 | 2,000,000 | 2,180,020 | |||||||
Marysville School District No. 25 GO, 4.00% due 12/1/2017 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,000,000 | 1,113,120 | |||||||
Marysville School District No. 25 GO, 4.00% due 12/1/2018 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,100,000 | 1,228,227 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2019 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,390,000 | 1,632,597 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2020 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,625,000 | 1,920,165 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2021 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,750,000 | 2,063,827 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2022 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 2,620,000 | 3,090,893 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2023 (Snohomish County Educational Facilities) (State Aid Withholding) |
NR/Aa1 | 1,700,000 | 1,991,108 | |||||||
Port of Seattle, 5.50% due 9/1/2018 (Insured: Natl-Re) |
A/A1 | 5,000,000 | 5,804,850 | |||||||
Seattle Municipal Light & Power, 5.00% due 2/1/2016 |
AA/Aa2 | 1,000,000 | 1,102,800 | |||||||
Seattle Municipal Light & Power, 5.00% due 2/1/2017 |
AA/Aa2 | 2,000,000 | 2,269,500 | |||||||
Skagit County Public Hospital District No. 1, 4.00% due 12/1/2016 (Skagit Regional Health) |
NR/Baa2 | 1,000,000 | 1,065,750 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2018 (Skagit Regional Health) |
NR/Baa2 | 800,000 | 883,680 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2019 (Skagit Regional Health) |
NR/Baa2 | 835,000 | 917,356 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2021 (Skagit Regional Health) |
NR/Baa2 | 1,160,000 | 1,246,710 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2022 (Skagit Regional Health) |
NR/Baa2 | 500,000 | 531,945 | |||||||
Skagit County Public Hospital District No. 1, 5.375% due 12/1/2022 (Skagit Valley Hospital) |
NR/Baa2 | 500,000 | 517,445 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2023 (Skagit Regional Health) |
NR/Baa2 | 500,000 | 526,975 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2017 (Skagit Regional Health) |
NR/A1 | 1,000,000 | 1,097,500 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2018 (Skagit Regional Health) |
NR/A1 | 1,270,000 | 1,398,600 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2019 (Skagit Regional Health) |
NR/A1 | 1,695,000 | 1,956,335 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2020 (Skagit Regional Health) |
NR/A1 | 1,570,000 | 1,814,763 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2021 (Skagit Regional Health) |
NR/A1 | 3,135,000 | 3,593,274 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2022 (Skagit Regional Health) |
NR/A1 | 3,635,000 | 4,137,539 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2018 (Island Hospital) |
NR/A1 | 1,000,000 | 1,098,670 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2019 (Island Hospital) |
NR/A1 | 1,000,000 | 1,093,970 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2020 (Island Hospital) |
NR/A1 | 1,000,000 | 1,084,070 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2021 (Island Hospital) |
NR/A1 | 1,000,000 | 1,066,640 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2022 (Island Hospital) |
NR/A1 | 1,700,000 | 1,922,071 | |||||||
Snohomish County Public Utilities District, 5.00% due 12/1/2015 pre-refunded 6/1/2014 (Insured: AGM) |
AA-/Aa3 | 5,015,000 | 5,175,681 | |||||||
State of Washington COP, 5.00% due 7/1/2016 (State Agency Real Property Projects) (State Aid Withholding) |
NR/Aa2 | 2,415,000 | 2,691,324 | |||||||
State of Washington COP, 5.00% due 7/1/2017 (State Agency Real Property Projects) (State Aid Withholding) |
NR/Aa2 | 2,555,000 | 2,918,858 | |||||||
State of Washington COP, 5.00% due 7/1/2018 (State Agency Real Property Projects) (State Aid Withholding) |
NR/Aa2 | 2,670,000 | 3,083,903 | |||||||
State of Washington COP, 5.00% due 7/1/2019 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) |
NR/Aa2 | 1,000,000 | 1,163,750 | |||||||
State of Washington COP, 5.00% due 7/1/2020 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) |
NR/Aa2 | 3,290,000 | 3,815,808 |
64 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
State of Washington COP, 5.00% due 7/1/2021 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) |
NR/Aa2 | $ | 3,125,000 | $ | 3,604,656 | |||||
State of Washington COP, 5.00% due 7/1/2022 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) |
NR/Aa2 | 3,000,000 | 3,466,350 | |||||||
State of Washington GO, 5.00% due 7/1/2015 (Public Highway, Bridge, Ferry Capital and Operating Costs) |
AA+/Aa1 | 5,355,000 | 5,787,738 | |||||||
State of Washington GO, 0% due 1/1/2018 (Stadium and Exhibition Center; Insured: Natl-Re) |
AA+/Aa1 | 4,000,000 | 3,725,280 | |||||||
State of Washington GO, 0% due 1/1/2019 (Stadium and Exhibition Center; Insured: Natl-Re) |
AA+/Aa1 | 3,000,000 | 2,689,620 | |||||||
State of Washington GO, 0% due 12/1/2019 (Public Highway, Bridge, Ferry Capital and Operating Costs; Insured: Natl-Re) |
AA+/Aa1 | 3,030,000 | 2,619,647 | |||||||
State of Washington Public Power Supply Systems, 0% due 7/1/2015 (Nuclear Project No. 3; Insured: Natl-Re/IBC) |
AA-/Aa1 | 3,000,000 | 2,965,050 | |||||||
Washington Health Care Facilities Authority, 4.00% due 10/1/2013 (Seattle Childrens Hospital) |
NR/Aa3 | 1,500,000 | 1,500,150 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2014 (Multicare Health Systems) |
AA-/A1 | 1,500,000 | 1,555,860 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2015 (Multicare Health Systems) |
AA-/A1 | 2,000,000 | 2,144,260 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2016 (Multicare Health Systems) |
AA-/A1 | 2,075,000 | 2,283,226 | |||||||
Washington Health Care Facilities Authority, 5.375% due 12/1/2016 (Group Health Cooperative of Puget Sound; Insured: AMBAC) |
BB+/NR | 2,000,000 | 2,002,820 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2017 (Overlake Hospital Medical Center) |
A-/A2 | 1,245,000 | 1,375,800 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2017 (Multicare Health Systems) |
AA-/A1 | 1,000,000 | 1,119,900 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/1/2018 (Highline Medical Center; Insured: FHA 242) |
AA-/NR | 7,935,000 | 9,001,067 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2018 (Multicare Health Systems) |
AA-/A1 | 2,000,000 | 2,265,740 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2019 (Overlake Hospital Medical Center) |
A-/A2 | 1,050,000 | 1,168,671 | |||||||
Washington Health Care Facilities Authority, 4.75% due 7/1/2020 (Overlake Hospital Medical Center) |
A-/A2 | 1,000,000 | 1,093,430 | |||||||
WEST VIRGINIA 0.18% |
||||||||||
Kanawha, Mercer, Nicholas Counties Single Family Mtg, 0% due 2/1/2015 pre-refunded 2/1/2014 |
NR/Aaa | 2,260,000 | 2,028,847 | |||||||
Mason County PCR, 2.00% due 10/1/2022 put 10/1/2014 (Appalachian Power Co.) |
NR/Baa2 | 1,500,000 | 1,516,425 | |||||||
Monongalia County Building Commission, 5.25% due 7/1/2020 (Monongalia General Hospital) |
A-/NR | 3,545,000 | 3,659,787 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2020 (Higher Education Facilities) |
A+/Aa3 | 1,000,000 | 1,162,220 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2021 (Higher Education Facilities) |
A+/Aa3 | 1,000,000 | 1,162,860 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2022 (Higher Education Facilities) |
A+/Aa3 | 1,500,000 | 1,742,970 | |||||||
West Virginia University Board of Governors, 5.00% due 10/1/2018 pre-refunded 10/1/2014 (West Virginia University Projects; Insured: Natl-Re) |
A+/Aa3 | 450,000 | 471,393 | |||||||
WISCONSIN 1.02% |
||||||||||
City of La Crosse GO, 2.00% due 12/1/2013 |
AA/NR | 1,400,000 | 1,404,284 | |||||||
Fox Valley Technical College District GO, 2.00% due 12/1/2014 (Higher Education Facility Projects) |
NR/Aaa | 4,520,000 | 4,606,874 | |||||||
Fox Valley Technical College District GO, 3.00% due 12/1/2015 (Higher Education Facility Projects) |
NR/Aaa | 4,515,000 | 4,749,825 | |||||||
State of Wisconsin, 5.00% due 7/1/2015 (Petroleum Environmental Cleanup Fund Award Program) |
AA/Aa2 | 4,000,000 | 4,322,520 | |||||||
State of Wisconsin GO, 5.00% due 5/1/2016 (General Governmental Purposes; Insured: Natl-Re) |
AA/Aa2 | 1,665,000 | 1,711,354 | |||||||
Village of Union Grove GO, 5.05% due 12/1/2019 pre-refunded 12/1/2013 (Tax Incremental District No. 3 Community Development) |
NR/NR | 130,000 | 131,075 |
Certified Annual Report 65
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2014 (Aurora Health Care, Inc.) |
NR/A3 | $ | 4,265,000 | $ | 4,416,919 | |||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2015 (Aurora Health Care, Inc.) |
NR/A3 | 4,100,000 | 4,399,587 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2016 (Aurora Health Care, Inc.) |
NR/A3 | 3,695,000 | 4,067,752 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 4/15/2017 (Aurora Health Care, Inc.) |
NR/A3 | 1,295,000 | 1,436,090 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2017 (Agnesian Healthcare, Inc.) |
A-/A3 | 1,000,000 | 1,116,560 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2017 (Aurora Health Care, Inc.) |
NR/A3 | 5,025,000 | 5,606,292 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2018 (Agnesian Healthcare, Inc.) |
A-/A3 | 1,855,000 | 2,098,024 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2019 (Agnesian Healthcare, Inc.) |
A-/A3 | 1,000,000 | 1,131,720 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2020 (Agnesian Healthcare, Inc.) |
A-/A3 | 2,110,000 | 2,392,360 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2020 (ProHealth Care, Inc.) |
A+/A1 | 1,075,000 | 1,234,820 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2021 (ProHealth Care, Inc.) |
A+/A1 | 2,575,000 | 2,936,015 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2022 (ProHealth Care, Inc.) |
A+/A1 | 1,600,000 | 1,791,520 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.125% due 8/15/2027 put 8/15/2016 (Aurora Health Care, Inc.) |
NR/A3 | 4,500,000 | 4,944,825 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2043 put 6/1/2021 (Ascension Health Alliance System) |
AA+/Aa2 | 10,000,000 | 11,326,600 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 97.20% (Cost $6,142,370,466) |
$ | 6,294,787,932 | ||||||||
OTHER ASSETS LESS LIABILITIES 2.80% |
181,161,374 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 6,475,949,306 | ||||||||
|
|
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | Segregated as collateral for a when-issued security. |
b | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
66 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Portfolio Abbreviations (continued)
See notes to financial statements.
Certified Annual Report 67
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $6,142,370,466) (Note 2) |
$ | 6,294,787,932 | ||
Cash |
15,220,183 | |||
Receivable for investments sold |
117,784,058 | |||
Receivable for fund shares sold |
20,750,781 | |||
Interest receivable |
74,617,942 | |||
Prepaid expenses and other assets |
92,347 | |||
|
|
|||
Total Assets |
6,523,253,243 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
28,177,167 | |||
Payable for fund shares redeemed |
14,982,052 | |||
Payable to investment advisor and other affiliates (Note 3) |
2,639,996 | |||
Accounts payable and accrued expenses |
453,694 | |||
Dividends payable |
1,051,028 | |||
|
|
|||
Total Liabilities |
47,303,937 | |||
|
|
|||
NET ASSETS |
$ | 6,475,949,306 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Distribution in excess of net investment income |
$ | (1,051,028 | ) | |
Net unrealized appreciation |
152,417,466 | |||
Accumulated net realized gain (loss) |
(2,402,971 | ) | ||
Net capital paid in on shares of beneficial interest |
6,326,985,839 | |||
|
|
|||
$ | 6,475,949,306 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($2,178,317,396 applicable to 151,475,554 shares of beneficial interest outstanding - Note 4) |
$ | 14.38 | ||
Maximum sales charge, 1.50% of offering price |
0.22 | |||
|
|
|||
Maximum offering price per share |
$ | 14.60 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($795,052,277 applicable to 55,185,132 shares of beneficial interest outstanding - Note 4) |
$ | 14.41 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($3,502,579,633 applicable to 243,526,947 shares of beneficial interest outstanding - Note 4) |
$ | 14.38 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
68 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg Limited Term Municipal Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Interest income (net of premium amortized of $ 83,563,417) |
$ | 162,633,870 | ||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
17,266,646 | |||
Administration fees (Note 3) |
||||
Class A Shares |
2,787,985 | |||
Class C Shares |
1,032,635 | |||
Class I Shares |
1,697,673 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
5,575,970 | |||
Class C Shares |
4,148,700 | |||
Transfer agent fees |
||||
Class A Shares |
763,705 | |||
Class C Shares |
390,938 | |||
Class I Shares |
808,835 | |||
Registration and filing fees |
||||
Class A Shares |
169,644 | |||
Class C Shares |
49,714 | |||
Class I Shares |
244,439 | |||
Custodian fees (Note 3) |
658,037 | |||
Professional fees |
116,281 | |||
Accounting fees |
189,705 | |||
Trustee fees |
214,500 | |||
Other expenses |
494,916 | |||
|
|
|||
Total Expenses |
36,610,323 | |||
Less: |
||||
Fees paid indirectly (Note 3) |
(93,901 | ) | ||
|
|
|||
Net Expenses |
36,516,422 | |||
|
|
|||
Net Investment Income |
126,117,448 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
689,473 | |||
Net change in unrealized appreciation (depreciation) on investments |
(146,825,824 | ) | ||
|
|
|||
Net Realized and Unrealized Loss |
(146,136,351 | ) | ||
|
|
|||
Net Decrease in Net Assets Resulting from Operations |
$ | (20,018,903 | ) | |
|
|
See notes to financial statements.
Certified Annual Report 69
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term Municipal Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 126,117,448 | $ | 116,928,261 | ||||
Net realized gain (loss) on investments |
689,473 | (253,680 | ) | |||||
Net unrealized appreciation (depreciation) on investments |
(146,825,824 | ) | 109,312,126 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(20,018,903 | ) | 225,986,707 | |||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(40,405,210 | ) | (40,670,113 | ) | ||||
Class C Shares |
(12,785,802 | ) | (11,881,023 | ) | ||||
Class I Shares |
(72,926,436 | ) | (64,377,125 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
96,586,210 | 441,112,029 | ||||||
Class C Shares |
36,889,825 | 237,635,398 | ||||||
Class I Shares |
495,171,312 | 801,326,547 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
482,510,996 | 1,589,132,420 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
5,993,438,310 | 4,404,305,890 | ||||||
|
|
|
|
|||||
End of Year |
$ | 6,475,949,306 | $ | 5,993,438,310 | ||||
|
|
|
|
|||||
Distribution in excess of net investment income |
$ | (1,051,028 | ) | $ | (1,177,027 | ) |
See notes to financial statements.
70 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Limited Term Municipal Fund (the Fund) is a diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds 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 Funds investment advisor, with the preservation of capital. The Funds secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class C, and Institutional Class (Class I). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Certified Annual Report 71
NOTES TO FINANCIAL STATEMENTS , CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 6,294,787,932 | $ | | $ | 6,294,787,932 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 6,294,787,932 | $ | | $ | 6,294,787,932 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
72 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
Certified Annual Report 73
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $23,378 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $115,468 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $93,901.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
49,484,325 | $ | 722,735,868 | 54,107,919 | $ | 787,098,134 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
2,462,968 | 35,875,356 | 2,233,518 | 32,542,776 | ||||||||||||
Shares repurchased |
(45,505,738 | ) | (662,025,014 | ) | (25,997,455 | ) | (378,528,881 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
6,441,555 | $ | 96,586,210 | 30,343,982 | $ | 441,112,029 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
14,778,549 | $ | 216,826,246 | 21,938,370 | $ | 320,066,110 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
722,140 | 10,538,739 | 617,961 | 9,021,510 | ||||||||||||
Shares repurchased |
(13,088,746 | ) | (190,475,160 | ) | (6,273,080 | ) | (91,452,222 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
2,411,943 | $ | 36,889,825 | 16,283,251 | $ | 237,635,398 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
107,226,983 | $ | 1,565,881,920 | 86,658,506 | $ | 1,262,228,836 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
4,478,918 | 65,237,854 | 3,667,418 | 53,444,458 | ||||||||||||
Shares repurchased |
(78,049,845 | ) | (1,135,948,462 | ) | (35,332,908 | ) | (514,346,747 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
33,656,056 | $ | 495,171,312 | 54,993,016 | $ | 801,326,547 | ||||||||||
|
|
|
|
|
|
|
|
74 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $2,249,201,767 and $1,021,657,012, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 6,142,377,412 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 193,353,822 | ||
Gross unrealized depreciation on a tax basis |
(40,943,302 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 152,410,520 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012, of $299,746. For tax purposes, such losses will be reflected in the year ended September 30, 2014.
During the year ended September 30, 2013, the Fund utilized $574,320 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2013, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2015 |
$ | 1,903,834 | ||
2016 |
192,444 | |||
|
|
|||
$ | 2,096,278 | |||
|
|
In order to account for permanent book/tax differences, the Fund decreased distribution in excess of net investment income by $125,999 and decreased net capital paid in on shares of beneficial interest by $125,999. This reclassification has no impact on the net asset value of the Fund. Reclassification resulted primarily from the over distribution of current year net investment income.
At September 30, 2013, the Fund did not have any tax basis undistributed net tax-exempt income, net ordinary investment income, or tax basis undistributed capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 125,793,229 | $ | 116,700,482 | ||||
Ordinary income |
324,219 | 227,779 | ||||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 126,117,448 | $ | 116,928,261 | ||||
|
|
|
|
Certified Annual Report 75
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
76 Certified Annual Report
This page intentionally left blank.
Certified Annual Report 77
Thornburg Limited Term Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net ( Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions(%) |
Expenses, After Expense Reductions and Net of Custody Credits(%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio (%)(a) |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 14.70 | 0.26 | (0.32 | ) | (0.06 | ) | (0.26 | ) | | (0.26 | ) | $14.38 | 1.81 | 0.71 | 0.71 | 0.71 | (0.39 | ) | 17.47 | $ | 2,178,317 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 14.39 | 0.31 | 0.31 | 0.62 | (0.31 | ) | | (0.31 | ) | $14.70 | 2.13 | 0.72 | 0.72 | 0.72 | 4.36 | 12.72 | $ | 2,131,540 | |||||||||||||||||||||||||||||||||
2011(b) |
$ | 14.27 | 0.36 | 0.12 | 0.48 | (0.36 | ) | | (0.36 | ) | $14.39 | 2.53 | 0.74 | 0.74 | 0.74 | 3.43 | 16.15 | $ | 1,649,965 | |||||||||||||||||||||||||||||||||
2010(b) |
$ | 14.00 | 0.37 | 0.28 | 0.65 | (0.38 | ) | | (0.38 | ) | $14.27 | 2.66 | 0.78 | 0.78 | 0.78 | 4.70 | 12.57 | $ | 1,613,582 | |||||||||||||||||||||||||||||||||
2009(b) |
$ | 13.22 | 0.47 | 0.78 | 1.25 | (0.47 | ) | | (0.47 | ) | $14.00 | 3.50 | 0.86 | 0.86 | 0.86 | 9.67 | 12.18 | $ | 1,040,628 | |||||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 14.72 | 0.23 | (0.31 | ) | (0.08 | ) | (0.23 | ) | | (0.23 | ) | $14.41 | 1.55 | 0.97 | 0.97 | 0.97 | (0.58 | ) | 17.47 | $ | 795,052 | ||||||||||||||||||||||||||||||
2012 |
$ | 14.41 | 0.27 | 0.31 | 0.58 | (0.27 | ) | | (0.27 | ) | $14.72 | 1.85 | 0.99 | 0.99 | 0.99 | 4.08 | 12.72 | $ | 777,026 | |||||||||||||||||||||||||||||||||
2011 |
$ | 14.30 | 0.32 | 0.11 | 0.43 | (0.32 | ) | | (0.32 | ) | $14.41 | 2.27 | 1.00 | 1.00 | 1.00 | 3.08 | 16.15 | $ | 525,923 | |||||||||||||||||||||||||||||||||
2010 |
$ | 14.02 | 0.33 | 0.29 | 0.62 | (0.34 | ) | | (0.34 | ) | $14.30 | 2.36 | 1.05 | 1.05 | 1.55 | 4.48 | 12.57 | $ | 481,808 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.24 | 0.43 | 0.79 | 1.22 | (0.44 | ) | | (0.44 | ) | $14.02 | 3.21 | 1.13 | 1.13 | 1.63 | 9.37 | 12.18 | $ | 206,952 | |||||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 14.70 | 0.31 | (0.32 | ) | (0.01 | ) | (0.31 | ) | | (0.31 | ) | $14.38 | 2.15 | 0.37 | 0.37 | 0.37 | (0.05 | ) | 17.47 | $ | 3,502,580 | ||||||||||||||||||||||||||||||
2012 |
$ | 14.39 | 0.36 | 0.31 | 0.67 | (0.36 | ) | | (0.36 | ) | $14.70 | 2.46 | 0.39 | 0.39 | 0.39 | 4.71 | 12.72 | $ | 3,084,872 | |||||||||||||||||||||||||||||||||
2011 |
$ | 14.27 | 0.41 | 0.12 | 0.53 | (0.41 | ) | | (0.41 | ) | $14.39 | 2.87 | 0.40 | 0.40 | 0.40 | 3.78 | 16.15 | $ | 2,228,418 | |||||||||||||||||||||||||||||||||
2010 |
$ | 14.00 | 0.41 | 0.28 | 0.69 | (0.42 | ) | | (0.42 | ) | $14.27 | 2.98 | 0.44 | 0.44 | 0.44 | 5.04 | 12.57 | $ | 1,890,196 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.22 | 0.51 | 0.79 | 1.30 | (0.52 | ) | | (0.52 | ) | $14.00 | 3.81 | 0.53 | 0.53 | 0.53 | 10.03 | 12.18 | $ | 865,827 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
78 Certified Annual Report | Certified Annual Report 79 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Limited Term Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
80 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 988.40 | $ | 3.57 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.48 | $ | 3.63 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 987.90 | $ | 4.88 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.16 | $ | 4.96 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 990.10 | $ | 1.88 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,023.18 | $ | 1.91 |
| Expenses are equal to the annualized expense ratio for each class (A: 0.72%; C: 0.98%; I: 0.38%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 81
INDEX COMPARISON | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Limited Term Municipal Fund versus BofA Merrill Lynch 110 Year U.S. Municipal Securities Index,
and Consumer Price Index (September 30, 2003 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 9/28/84) |
-1.86 | % | 3.99 | % | 3.04 | % | 5.23 | % | ||||||||
C Shares (Incep: 9/1/94) |
-1.07 | % | 4.04 | % | 2.91 | % | 3.67 | % | ||||||||
I Shares (Incep: 7/5/96) |
-0.05 | % | 4.65 | % | 3.54 | % | 4.30 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 1.50% . Class C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.
82 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES(1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 83
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE(1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
84 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 85
OTHER INFORMATION | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Fund of $125,793,229 (or the maximum allowed) are tax exempt dividends and $324,219 are taxable ordinary investment income dividends, for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Limited Term Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent annual consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
86 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over different periods of time relative to two categories of municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund produced positive returns in accordance with expectations in all years, that the Funds investment return for the most recent calendar year exceeded the average return of the mutual fund category for which calendar year data was presented, and that the Funds returns exceeded or were comparable to the average returns of the category in all of the preceding nine years. Other noted quantitative data showed that the Funds annualized investment returns fell within the third quartile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year, fell within the top quartile of performance for the one-year period and fell within the top decile of performance for the category for the three-year and five-year periods, and that the Funds annualized investment returns fell within the top quartile of performance for the second fund category for the year-to-date, one-year and three-year periods ended with the second quarter of the current year and fell within the top decile of performance for the fund category for the five-year period. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to these measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient, and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, a comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectus, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of municipal debt mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data noted by the Trustees showed that the management fee charged to the Fund was comparable to the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was comparable to the median and average expense ratios for the fund category. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses
Certified Annual Report 87
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund has realized economies of scale and may reasonably be expected to realize economies of scale as the Fund grows in size, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor from its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectus, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
88 Certified Annual Report
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TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
90 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 91
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH858 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THIMX | 885-215-202 | ||
Class C |
THMCX | 885-215-780 | ||
Class I |
THMIX | 885-215-673 |
Glossary
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Core Personal Consumption Expenditure Price Index A measure of the Personal Consumption Expenditure Price Index that excludes the more volatile and seasonal food and energy prices.
Personal Consumption Expenditure Price Index (PCEPI) This index is one measure of U.S. inflation that assesses the percentage change in prices of goods and services purchased by consumers throughout the economy. Of all the measures of consumer price inflation, the PCEPI covers the broadest set of goods and services.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a
This page is not part of the Annual Report. 3
IMPORTANT INFORMATION,
CONTINUED
combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG INTERMEDIATE MUNICIPAL FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| Diversifying among a large number of generally high-quality bonds. |
Portfolio Managers
Josh Gonze, Chris Ryon, cfa, and Chris Ihlefeld
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 2.00%. The total annual fund operating expense of Class A shares is 0.93%, as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from July 22, 1991 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 7/22/91) |
||||||||||||||||||||
Without sales charge |
(0.91 | )% | 3.29 | % | 5.47 | % | 3.80 | % | 5.07 | % | ||||||||||
With sales charge |
(2.89 | )% | 2.59 | % | 5.05 | % | 3.58 | % | 4.97 | % |
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
2.36% |
1.66 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
532 | |||
Effective Duration |
5.1 Yrs | |||
Average Maturity |
7.6 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg Intermediate Municipal Fund
September 30, 2013
7 | ||||
13 | ||||
30 | ||||
31 | ||||
32 | ||||
33 | ||||
38 | ||||
40 | ||||
41 | ||||
42 | ||||
43 | ||||
46 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Intermediate Municipal Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 46 cents to $13.76 per share during the fiscal year ended September 30, 2013. If you were with us for the entire period, you received dividends of 33.4 cents per share. If you reinvested your dividends, you received 33.8 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund outperformed the Index with a total return of negative 0.91% at NAV for the fiscal year ended September 30, 2013, compared to the negative 1.14% total return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index. The Fund generated 2.00% less price decline and 1.77% less income than its benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, subtracted 0.16% of relative price performance. Our sector allocations subtracted 0.23% of relative price performance, and our overweight to lower-credit-quality securities added 0.92% of relative price performance, compared to the benchmark. Other risk factors accounted for another 1.47% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint recovery with little inflation. Investors must ask themselves: why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around midyear. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013 to a high of 2.99% on September 5, 2013.
On September 18, 2013, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlook including economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objective were close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed income markets.
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Chart I: Changes in AAA General Obligation Municipal Yield Curve
9/30/12 9/30/13
Past performance does not guarantee future results
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased, and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013, and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Certain of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the impact of this type of investor behavior. If inflation is the worst enemy of the fixed income investor, then it can be used as an input to a relative-value measure of fixed-income securities. That relative measure is referred to as real yield. The real yield of a fixed income security is derived by subtracting an inflation measure (in this case, the Core U.S. Personal Consumption Expenditure Price Index, which is the Feds favored infla-
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
tion measure) from the yield of that instrument. Chart II shows the real yield of a 10-year AAA-rated general obligation municipal bond from June 1, 1994 through the end of the fiscal year.
Chart II: 10 Year AAA GO Real Yield (using Core PCE)
6/1/1994 8/31/2013
On November 30, 2012, the real yield of a generic 10-year AAA general obligation municipal bond was negative 0.26% versus a long-term average of 2.13%. That is the richest level ever for the time series. In plain English: this means that after adjusting for inflation, investors in 10-year AAA-rated general-obligation bonds were losing 0.26% of purchasing power on a purchase made on that date. Over the long term, investors typically earned 2.13% above the inflation rate in purchasing power. By August 31, 2013 (the last available data point), as inflation came down and yields increased, the real yield of the 10-year AAA-rated general obligation municipal bond reached a fairer value of 1.75%. So, how can yields increase in a slow growth, low inflation environment? This conundrum is answered by the acute over-valuation levels reached at the middle of the fiscal year. Investors, in their search for income, pushed fixed-income security prices to unsustainably high levels that needed to be corrected, and they were.
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
| Bloomberg State Stock Index |
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It
10 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
ranged from an 7.4% increase to an 8.1% decrease. For the comparable period of the second quarter of 2011 through the second quarter of 2012, the average was a decrease of 0.87%, with a range from a positive 11.5% to a decrease of 9.0%. State pension funds are still wrestling with issues: median funding levels have gone from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests a funding level of 80% is adequate).
Against this backdrop, several high profile credit events have taken place in the municipal bond market over the course of the fiscal year. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. The Thornburg Intermediate Municipal Fund does not own any Detroit general-obligation bonds. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, at 84% and $70,000, respectively.
Thornburg has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75% to 77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We will continue to rely on that same fundamental, bottom-up credit research to determine what securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
Conclusion
Your Thornburg Intermediate Municipal Fund currently maintains a laddered portfolio structure of 333 municipal obligors. This structure has the potential to maximize an investors income. By our calculations, laddering outperforms the other bullet and barbell structures two-thirds of the time.1 This approach effectively manages a portfolios yield-curve exposure via a roughly equal weighting of each maturity, thereby mitigating a major risk factor. Chart I illustrates that yield changes are
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
not uniform across the Thornburg Intermediate Municipal Funds investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year, so it can be reinvested. Chart III describes the percentages of your Funds bond portfolio maturing in each of the coming years.
Chart III: Percent of Portfolio Maturing
We recognize that fiscal 2013 has been a tough one for fixed income investors. We continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Sincerely,
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Christopher Ihlefeld Portfolio Manager Managing Director |
Christopher Ryon, CFA Portfolio Manager Managing Director |
Josh Gonze Portfolio Manager Managing Director |
1 | For a copy of the study, go to www.thornburg.com/whyladder |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
ALABAMA 2.37% |
||||||||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2016 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | $ | 160,000 | $ | 171,490 | |||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2017 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 750,000 | 811,508 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2019 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 815,000 | 879,931 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2020 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 845,000 | 958,188 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2021 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 890,000 | 999,879 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2022 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 930,000 | 1,038,140 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2023 (Montgomery Materials Recovery Facility) (AMT) |
AA/NR | 980,000 | 1,084,380 | |||||||
a Alabama Drinking Water Finance Authority, 5.25% due 8/15/2015 (Insured: AMBAC) |
NR/NR | 1,200,000 | 1,285,668 | |||||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 (Educational Facilities) |
NR/Aa1 | 2,000,000 | 2,218,760 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Educational Facilities) |
AA/Aa1 | 775,000 | 906,308 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2026 (Educational Facilities) |
AA/Aa1 | 4,380,000 | 4,962,890 | |||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) |
A/A2 | 2,000,000 | 2,002,840 | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2027 (Health Care Facilities Capital Improvements) |
A/NR | 1,250,000 | 1,290,400 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 4.00% due 9/1/2014 |
AAA/Aa1 | 1,310,000 | 1,354,710 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 5.00% due 9/1/2017 |
AAA/Aa1 | 2,185,000 | 2,499,815 | |||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2025 |
A+/A1 | 2,000,000 | 2,129,560 | |||||||
ALASKA 0.52% |
||||||||||
Alaska Municipal Bond Bank, 5.00% due 10/1/2017 (Insured: Natl-Re) |
AA/Aa2 | 2,470,000 | 2,610,790 | |||||||
City of Valdez, 5.00% due 1/1/2014 (BP Pipelines (Alaska), Inc. Project) |
A/A2 | 500,000 | 505,750 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) |
A/A2 | 2,000,000 | 2,298,240 | |||||||
ARIZONA 2.53% |
||||||||||
Arizona Board of Regents for the Benefit of the University of Arizona, 5.00% due 8/1/2024 (Stimulus Plan for Economic and Educational Development) |
AA-/Aa3 | 1,635,000 | 1,847,354 | |||||||
Arizona HFA, 5.00% due 7/1/2017 (Catholic Healthcare West) |
A/A3 | 1,450,000 | 1,619,012 | |||||||
Arizona State University Energy Management LLC, 5.00% due 7/1/2017 (Tempe Campus Project) |
AA-/A1 | 465,000 | 526,636 | |||||||
City of Flagstaff GO, 2.00% due 7/1/2014 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | 160,000 | 161,934 | |||||||
City of Flagstaff GO, 1.75% due 7/1/2015 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | 165,000 | 168,361 | |||||||
City of Flagstaff GO, 1.75% due 7/1/2016 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | 200,000 | 204,336 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Flagstaff GO, 3.00% due 7/1/2020 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | $ | 700,000 | $ | 727,587 | |||||
City of Flagstaff GO, 4.00% due 7/1/2022 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | 420,000 | 456,166 | |||||||
City of Flagstaff GO, 4.00% due 7/1/2023 (Urban Trail, Street and Utilities Improvements) |
AA/Aa2 | 200,000 | 215,834 | |||||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) |
BBB+/NR | 4,630,000 | 4,899,096 | |||||||
Phoenix Civic Improvement Corp., 5.00% due 7/1/2017 (Insured: Natl-Re) |
AA/Aa3 | 1,000,000 | 1,136,090 | |||||||
Pima County IDA, 5.00% due 12/1/2030 (Providence Day School Project) |
BBB+/NR | 2,000,000 | 1,870,660 | |||||||
Salt Verde Financial Corporation, 5.25% due 12/1/2022 (Salt River Project Agricultural Improvement and Power District) |
A-/Baa2 | 2,000,000 | 2,219,980 | |||||||
a Salt Verde Financial Corporation, 5.25% due 12/1/2028 (Salt River Project Agricultural Improvement and Power District) |
A-/Baa2 | 735,000 | 768,700 | |||||||
State of Arizona, 5.00% due 7/1/2019 (Insured: AGM) |
AA/A1 | 7,280,000 | 8,416,335 | |||||||
University Medical Center Corp. GO, 5.00% due 7/1/2015 (UMCC Health Care Facilities) |
BBB+/Baa1 | 1,000,000 | 1,061,560 | |||||||
CALIFORNIA 9.71% |
||||||||||
b Alameda County Joint Powers Authority, 5.00% due 12/1/2024 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 2,500,000 | 2,795,500 | |||||||
b Alameda County Joint Powers Authority, 5.25% due 12/1/2027 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 1,000,000 | 1,100,180 | |||||||
b Alameda County Joint Powers Authority, 5.25% due 12/1/2028 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 1,150,000 | 1,251,028 | |||||||
b Alameda County Joint Powers Authority, 5.25% due 12/1/2029 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 1,500,000 | 1,613,730 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2026 (Insured: AGM) |
AA-/NR | 2,000,000 | 2,078,740 | |||||||
California Educational Facilities Authority, 5.50% due 4/1/2029 (Pitzer College) |
NR/A2 | 3,000,000 | 3,207,600 | |||||||
California HFFA, 5.00% due 11/15/2022 (Childrens Hospital Los Angeles) |
BBB+/Baa2 | 1,000,000 | 1,086,040 | |||||||
California HFFA, 5.00% due 11/15/2023 (Childrens Hospital Los Angeles) |
BBB+/Baa2 | 1,000,000 | 1,068,980 | |||||||
California HFFA, 5.00% due 3/1/2026 (Adventist Health System/West) |
A/NR | 3,020,000 | 3,197,848 | |||||||
California HFFA, 5.25% due 3/1/2027 (Catholic Healthcare West) |
A/A3 | 5,250,000 | 5,572,927 | |||||||
California Infrastructure & Economic Development Bank, 5.75% due 8/15/2029 (King City Joint Union High School District) |
A/NR | 1,500,000 | 1,574,010 | |||||||
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) |
BBB/Baa3 | 2,000,000 | 2,143,420 | |||||||
California State Housing Finance Agency, 4.55% due 2/1/2015 (Home Mtg.) (AMT) |
BBB/Baa2 | 2,640,000 | 2,715,636 | |||||||
California State Public Works Board, 5.00% due 6/1/2017 (Regents of University of California; Insured: Natl-Re) |
AA-/Aa2 | 2,000,000 | 2,288,900 | |||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) |
A-/A2 | 2,500,000 | 2,662,000 | |||||||
California Statewide Community Development Authority, 6.25% due 8/15/2028 (Enloe Medical Center; Insured: California Mtg Insurance) |
A/NR | 1,050,000 | 1,199,048 | |||||||
California Statewide Community Development Authority, 6.00% due 7/1/2030 (Aspire Public Schools) |
NR/NR | 7,015,000 | 7,026,715 | |||||||
Carson Redevelopment Agency, 6.25% due 10/1/2022 (Redevelopment Project Area No. 1) |
A-/NR | 1,620,000 | 1,797,536 | |||||||
Carson Redevelopment Agency, 6.375% due 10/1/2024 (Redevelopment Project Area No. 1) |
A-/NR | 1,300,000 | 1,467,752 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) |
A+/NR | 4,000,000 | 3,973,360 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2018 (Insured: AGM) |
AA-/A1 | 1,245,000 | 1,403,986 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2021 (Insured: AGM) |
AA-/A1 | 1,000,000 | 1,111,620 | |||||||
Delano Financing Authority, 5.00% due 12/1/2025 (City of Delano Police Station and Woollomes Avenue Bridge) |
A-/NR | 2,555,000 | 2,695,372 | |||||||
El Camino Hospital District, 6.25% due 8/15/2017 (Insured: AMBAC) (ETM) |
NR/NR | 560,000 | 624,445 | |||||||
Franklin-McKinley School District GO, 5.25% due 8/1/2027 (Insured: Natl-Re) |
NR/A1 | 1,000,000 | 1,104,200 | |||||||
Fresno USD GO, 6.00% due 8/1/2026 (Educational Facilities and Improvements; Insured: Natl-Re) |
A+/Baa1 | 1,165,000 | 1,367,221 | |||||||
Jurupa Public Financing Authority, 5.50% due 9/1/2025 (Insured: AGM) |
AA-/NR | 1,195,000 | 1,322,984 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Jurupa Public Financing Authority, 5.50% due 9/1/2027 (Insured: AGM) |
AA-/NR | $ | 1,335,000 | $ | 1,448,235 | |||||
Kern Community College District COP, 4.00% due 4/1/2014 |
SP-1+/NR | 5,000,000 | 5,083,550 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2023 (City Police Building and Jail) |
A/NR | 1,120,000 | 1,214,125 | |||||||
Los Angeles Regional Airport Improvement Corp., 5.00% due 1/1/2017 (LAX Fuel Corp.; Insured: AGM) (AMT) |
AA-/A2 | 1,120,000 | 1,174,320 | |||||||
M-S-R Energy Authority, 6.125% due 11/1/2029 |
A-/NR | 2,500,000 | 2,755,875 | |||||||
Mojave USD COP, 0% due 9/1/2021 (Insured: AGM) |
AA-/NR | 1,095,000 | 784,929 | |||||||
Mojave USD COP, 0% due 9/1/2023 (Insured: AGM) |
AA-/NR | 1,100,000 | 685,872 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2024 (Carmel Valley Educational Facilities; Insured: AGM) |
AA-/NR | 1,080,000 | 1,189,814 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2023 (Redevelopment |
A-/NR | 2,060,000 | 1,287,479 | |||||||
Sacramento County Sanitation Districts Financing Authority, 0.07% due 12/1/2039 put 10/1/2013 (Sacramento Regional Wastewater Treatment Plant; LOC: Morgan Stanley) (daily demand notes) |
AAA/Aa2 | 5,000,000 | 5,000,000 | |||||||
San Jose Redevelopment Agency, 5.25% due 8/1/2027 (Merged Area Redevelopment Project) |
A/Ba1 | 2,400,000 | 2,438,376 | |||||||
San Jose Redevelopment Agency, 5.375% due 8/1/2028 (Merged Area Redevelopment Project) |
A/Ba1 | 1,175,000 | 1,199,487 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities; Insured: Natl-Re) |
AA/Aa1 | 3,000,000 | 2,615,550 | |||||||
Saratoga Union School District GO, 0% due 9/1/2023 (Insured: Natl-Re) |
AA+/Aa2 | 900,000 | 619,542 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) |
A+/A2 | 1,000,000 | 1,006,750 | |||||||
State of California GO, 5.25% due 9/1/2026 (Kindergarten University Facilities) |
A/A1 | 5,000,000 | 5,622,550 | |||||||
Tuolumne Wind Project Authority, 5.875% due 1/1/2029 (Tuolumne Co.) |
A+/A2 | 3,000,000 | 3,398,970 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2021 |
A+/A2 | 1,750,000 | 1,985,462 | |||||||
Westminster Redevelopment Agency, 5.00% due 8/1/2024 (Commercial Redevelopment Project No. 1; Insured: AGM) |
AA-/A3 | 1,205,000 | 1,301,798 | |||||||
William S. Hart Union High School District GO, 0% due 9/1/2021 (Educational Facilities) |
AA-/A2 | 800,000 | 602,912 | |||||||
COLORADO 1.73% |
||||||||||
Adams County, 5.00% due 8/1/2014 (Platte Valley Medical Center; Insured: Natl-Re/FHA 242) (ETM) |
A/NR | 965,000 | 1,002,789 | |||||||
City & County of Denver COP, 0.07% due 12/1/2031 put 10/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) |
AA+/Aa1 | 2,000,000 | 2,000,000 | |||||||
Colorado Water Resources & Power Development Authority, 3.00% due 9/1/2014 (Water System Facilities Improvements) |
AAA/Aaa | 1,745,000 | 1,790,457 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2023 (Insured: Syncora) |
BBB-/Baa3 | 2,530,000 | 2,641,042 | |||||||
El Paso County School District GO, 7.10% due 12/1/2013 (State Aid Withholding) |
AA-/Aa2 | 500,000 | 505,830 | |||||||
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 pre-refunded 11/1/2017 (Three Towers Rehabilitation; Insured: AGM) (AMT) |
NR/Aaa | 1,220,000 | 1,416,725 | |||||||
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: AGM) (AMT) |
NR/A2 | 1,335,000 | 1,412,190 | |||||||
Northwest Parkway Public Highway Authority, 5.20% due 6/15/2014 (Insured: AGM) (ETM) |
AA-/A2 | 1,005,000 | 1,039,823 | |||||||
Park Creek Metropolitan District, 5.25% due 12/1/2020 (Insured: AGM) |
AA-/NR | 1,120,000 | 1,281,022 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2022 (FasTracks Transportation System) |
A-/Aa3 | 3,000,000 | 3,428,760 | |||||||
Southlands Metropolitan District GO, 7.00% due 12/1/2024 pre-refunded 12/1/2014 |
AA+/NR | 1,370,000 | 1,477,285 | |||||||
CONNECTICUT 0.32% |
||||||||||
Connecticut Health & Educational Facilities Authority, 5.75% due 7/1/2029 (Ethel Walker School) |
BBB-/NR | 1,350,000 | 1,371,641 | |||||||
State of Connecticut GO Floating Rate Note, 0.59% due 9/15/2017 (Public Improvements) |
AA/Aa3 | 2,000,000 | 1,986,520 | |||||||
DELAWARE 0.29% |
||||||||||
Delaware HFA, 5.50% due 6/1/2024 (Beebe Medical Center) |
BBB-/Baa3 | 1,785,000 | 1,796,103 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Delaware River and Bay Authority, 5.00% due 1/1/2018 (Delaware Memorial Bridge and Cape May-Lewis Ferry; Insured: Natl-Re) |
A/A1 | $ | 500,000 | $ | 527,475 | |||||
Delaware Solid Waste Authority, 5.00% due 6/1/2021 (Capital Improvement Program; Insured: Natl-Re) |
AA+/A2 | 615,000 | 661,666 | |||||||
DISTRICT OF COLUMBIA 1.61% |
||||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) (ETM) |
NR/NR | 1,000,000 | 1,125,320 | |||||||
District of Columbia COP, 5.25% due 1/1/2014 (Insured: Natl-Re) |
A+/Aa3 | 2,000,000 | 2,024,980 | |||||||
District of Columbia COP, 5.00% due 1/1/2020 (Insured: Natl-Re) |
A+/Aa3 | 3,900,000 | 4,192,149 | |||||||
District of Columbia GO, 6.00% due 6/1/2015 (Insured: Natl-Re) |
AA-/Aa2 | 3,000,000 | 3,278,430 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2023 (Dulles Toll Road; Insured: AGM) |
AA-/A3 | 4,890,000 | 3,158,598 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2024 (Dulles Toll Road; Insured: AGM) |
AA-/A3 | 5,000,000 | 3,008,700 | |||||||
FLORIDA 8.16% |
||||||||||
City of Gainesville, 0.07% due 10/1/2026 put 10/1/2013 (Utilities Systems; SPA: SunTrust Bank) (daily demand notes) |
AA/Aa2 | 4,940,000 | 4,940,000 | |||||||
City of Jacksonville, 5.00% due 10/1/2026 (Better Jacksonville Plan) |
A/A1 | 2,075,000 | 2,219,648 | |||||||
City of Lakeland, 5.00% due 10/1/2018 (Energy System; Insured: AGM) |
AA/A1 | 2,000,000 | 2,311,620 | |||||||
City of Lakeland, 5.25% due 10/1/2027 (Electric Power System Smart Grid Project; Insured: AGM) |
AA/A1 | 3,680,000 | 4,129,549 | |||||||
a City of Lakeland, 5.25% due 10/1/2036 (Energy System) |
AA/A1 | 2,770,000 | 2,966,587 | |||||||
City of Miami GO, 5.375% due 9/1/2015 (Insured: Natl-Re) |
A/A2 | 1,000,000 | 1,003,470 | |||||||
Correctional Privatization Commission COP, 5.00% due 8/1/2017 (Insured: AMBAC) |
AA+/Aa2 | 1,000,000 | 1,037,380 | |||||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan; Insured: AMBAC) |
NR/NR | 2,035,000 | 2,139,131 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2020 (Insured: AGM) |
AA-/A2 | 2,560,000 | 2,749,312 | |||||||
Florida Department of Management Services, 5.00% due 9/1/2018 (Financing or Acquisition of State-Owned Office Buildings; Insured: AMBAC) |
AA+/Aa2 | 500,000 | 547,300 | |||||||
Florida Department of Management Services COP, 3.50% due 8/1/2016 (Correctional Facilities Construction and Improvements; Insured: AGM) |
AA+/Aa2 | 500,000 | 536,125 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2020 (Insured: Natl-Re) |
A/Baa1 | 1,000,000 | 1,085,120 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: Natl-Re) |
A/Baa1 | 2,235,000 | 2,367,558 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) |
AA+/NR | 2,090,000 | 2,237,449 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) |
AA+/NR | 2,255,000 | 2,414,090 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) |
AA-/Aa3 | 1,100,000 | 1,193,313 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) |
AA-/Aa3 | 1,750,000 | 1,898,452 | |||||||
Hillsborough County, 5.00% due 3/1/2017 (Water & Wastewater System; Insured: Natl-Re) |
A+/A1 | 5,630,000 | 6,037,218 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Insured: Syncora) |
NR/A3 | 3,000,000 | 3,162,480 | |||||||
Lake County School Board Master Lease Program COP, 5.00% due 6/1/2026 (School District Facility Projects) |
A/NR | 1,210,000 | 1,270,028 | |||||||
a Manatee County, 2.00% due 10/1/2013 (Various County Capital Projects) |
NR/Aa2 | 460,000 | 460,023 | |||||||
Manatee County, 5.00% due 10/1/2015 (Various County Capital Projects) |
NR/Aa2 | 500,000 | 544,675 | |||||||
Manatee County, 5.00% due 10/1/2016 pre-refunded 10/1/2014 (Transportation Capital Improvements; Insured: AMBAC) |
AA-/Aa2 | 1,000,000 | 1,047,540 | |||||||
Miami-Dade County Educational Facilities Authority, 5.25% due 4/1/2018 (University of Miami) |
A-/A3 | 250,000 | 272,535 | |||||||
Miami-Dade County Educational Facilities Authority, 5.25% due 4/1/2024 (University of Miami; Insured: AMBAC) |
A-/A3 | 1,000,000 | 1,147,260 | |||||||
Miami-Dade County Expressway Authority, 5.25% due 7/1/2026 pre-refunded 7/1/2014 (Toll System Five-Year Work Program; Insured: Natl-Re) |
A/A3 | 375,000 | 389,209 | |||||||
Miami-Dade County GO, 5.00% due 10/1/2023 (Seaport Properties) |
AA-/Aa2 | 1,040,000 | 1,141,972 | |||||||
Miami-Dade County GO, 6.25% due 7/1/2026 (Building Better Communities) |
AA-/Aa2 | 2,130,000 | 2,498,618 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) |
A/A1 | 3,035,000 | 3,433,465 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Miami-Dade County School Board COP, 5.25% due 5/1/2022 (Insured: AGM) |
AA-/A1 | $ | 2,600,000 | $ | 2,920,216 | |||||
Orange County HFA, 6.25% due 10/1/2013 (Orlando Regional Hospital; Insured: Natl-Re) |
A/A2 | 440,000 | 440,070 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Regional Hospital; Insured: Natl-Re) |
A/A2 | 2,545,000 | 2,739,871 | |||||||
Orange County HFA, 5.125% due 10/1/2026 (Orlando Health, Inc.) |
A/A2 | 2,000,000 | 2,104,840 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 |
NR/Aa3 | 1,500,000 | 1,666,710 | |||||||
Sarasota County Public Hospital Board, 4.92% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) |
A/A1 | 2,000,000 | 2,026,180 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2020 (Educational Facilities and Equipment; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,093,820 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2026 (Educational Facilities and Equipment) |
A/Aa3 | 3,000,000 | 3,250,710 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2027 (Educational Facilities and Equipment) |
A/Aa3 | 2,000,000 | 2,141,780 | |||||||
Solid Waste Authority of Palm Beach County, 2.00% due 10/1/2013 (Renewable Energy Facility) |
AA+/Aa2 | 300,000 | 300,015 | |||||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) |
AA/Aa2 | 1,500,000 | 1,678,935 | |||||||
St. Johns County IDA, 5.85% due 8/1/2024 (Presbyterian Retirement) |
NR/NR | 4,885,000 | 5,001,068 | |||||||
Tampa Health Systems, 5.50% due 11/15/2013 (Catholic Health East Group; Insured: Natl-Re) |
A/Aa2 | 1,050,000 | 1,056,804 | |||||||
University of Central Florida COP Convocation Corp., 5.00% due 10/1/2019 (Insured: Natl-Re) |
A/Baa1 | 1,135,000 | 1,161,911 | |||||||
GEORGIA 2.20% |
||||||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2024 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 485,000 | 541,876 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2025 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 510,000 | 560,821 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2027 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 735,000 | 788,163 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2028 (UGAREF Bolton Commons, LLC) |
NR/Aa2 | 590,000 | 626,792 | |||||||
City of Atlanta, 5.50% due 11/1/2022 (Water & Wastewater System; Insured: Natl-Re) |
A+/Aa3 | 530,000 | 618,494 | |||||||
City of Atlanta, 5.50% due 11/1/2024 (Water & Wastewater System; Insured: AGM) |
AA-/Aa3 | 5,000,000 | 5,589,650 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2023 (Athens Regional Medical Center) |
AA/Aa1 | 2,060,000 | 2,320,611 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2024 (Athens Regional Medical Center) |
AA/Aa1 | 2,310,000 | 2,537,281 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2025 (Athens Regional Medical Center) |
AA/Aa1 | 525,000 | 570,019 | |||||||
a Clarke County Hospital Authority, 5.00% due 1/1/2026 (Athens Regional Medical Center) |
AA/Aa1 | 725,000 | 777,069 | |||||||
Clayton County and Clayton County Water Authority, 2.00% due 5/1/2014 (Water & Sewerage System) |
AA+/NR | 585,000 | 591,347 | |||||||
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.) |
NR/A2 | 3,000,000 | 3,453,990 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: |
A/A1 | 2,345,000 | 2,555,769 | |||||||
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2024 (South Medical Center) |
AA-/Aa2 | 1,200,000 | 1,305,900 | |||||||
GUAM 0.70% |
||||||||||
Guam Power Authority, 5.00% due 10/1/2023 (Electric Power System; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,276,320 | |||||||
Guam Power Authority, 5.00% due 10/1/2024 (Electric Power System; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,231,180 | |||||||
Guam Power Authority, 5.00% due 10/1/2025 (Electric Power System; Insured: AGM) |
AA-/A2 | 2,500,000 | 2,750,950 | |||||||
HAWAII 1.18% |
||||||||||
City and County of Honolulu GO, 5.00% due 7/1/2016 (Insured: Natl-Re) |
NR/Aa1 | 1,000,000 | 1,075,320 | |||||||
State of Hawaii GO, 5.00% due 12/1/2027 |
AA/Aa2 | 10,000,000 | 11,194,300 | |||||||
ILLINOIS 6.20% |
||||||||||
Chicago Housing Authority, 5.00% due 7/1/2018 pre-refunded 7/01/2016 (Low-Income Public Housing Program; Insured: AGM) |
AA-/A2 | 5,295,000 | 5,894,606 | |||||||
Chicago Transit Authority, 5.00% due 12/1/2018 (Bombardier Transit Rail System) |
AA/Aa3 | 1,500,000 | 1,710,000 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Chicago, 6.25% due 11/15/2013 (Near South Redevelopment; Insured: ACA) |
NR/NR | $ | 875,000 | $ | 874,781 | |||||
City of Chicago, 5.00% due 1/1/2014 (Wastewater Transmission Project) |
A+/A2 | 1,485,000 | 1,500,474 | |||||||
a City of Chicago, 5.30% due 1/1/2014 (Lincoln Belmont; Insured: ACA) |
NR/NR | 855,000 | 856,436 | |||||||
City of Chicago, 0% due 11/15/2014 (Near South Redevelopment; Insured: ACA) |
NR/NR | 1,510,000 | 1,430,951 | |||||||
City of Chicago, 5.00% due 1/1/2019 (Midway Airport; Insured: AMBAC) (AMT) |
A-/A3 | 1,210,000 | 1,264,196 | |||||||
City of Chicago, 5.75% due 11/1/2030 (Water System; Insured: AMBAC) |
AA+/Aa1 | 1,270,000 | 1,440,904 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Municipal Facilities Projects; Insured: AMBAC) |
A+/A3 | 1,000,000 | 1,044,750 | |||||||
City of Chicago GO, 5.00% due 12/1/2022 (Modern Schools Across Chicago Program; Insured: AMBAC) |
A+/A3 | 415,000 | 425,848 | |||||||
City of Chicago GO, 5.00% due 12/1/2024 (Modern Schools Across Chicago Program; Insured: AMBAC) |
A+/A3 | 500,000 | 504,325 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2025 (Various Municipal Capital Improvements; Insured: AGM) |
AA-/A2 | 1,900,000 | 1,897,226 | |||||||
City of Waukegan GO, 4.00% due 12/30/2015 (Insured: AGM) |
NR/A2 | 500,000 | 528,810 | |||||||
City of Waukegan GO, 5.00% due 12/30/2016 (Insured: AGM) |
NR/A2 | 1,500,000 | 1,650,855 | |||||||
City of Waukegan GO, 5.00% due 12/30/2017 (Insured: AGM) |
NR/A2 | 1,680,000 | 1,872,746 | |||||||
City of Waukegan GO, 5.00% due 12/30/2018 (Insured: AGM) |
NR/A2 | 2,000,000 | 2,238,320 | |||||||
Community College District No. 525 GO, 6.25% due 6/1/2024 (Joliet Junior College) |
AA/NR | 500,000 | 559,590 | |||||||
Community Consolidated School District No. 93, DuPage County GO, 2.00% due 1/1/2015 (Carol Stream Educational Facilities) (State Aid Withholding) |
AA+/NR | 465,000 | 473,579 | |||||||
Community Consolidated School District No. 93, DuPage County GO, 2.00% due 1/1/2016 (Carol Stream Educational Facilities) (State Aid Withholding) |
AA+/NR | 485,000 | 498,624 | |||||||
Community Unit School District No. 3, Champaign and Piatt Counties GO, 5.80% due 11/1/2013 pre-refunded 11/1/2013 (Mahomet-Seymour Educational Facilities; Insured: AGM) (ETM) |
NR/A1 | 955,000 | 959,651 | |||||||
Cook County GO, 5.25% due 11/15/2024 |
AA/A1 | 3,000,000 | 3,222,450 | |||||||
Cook County School District GO, 0% due 12/1/2022 (ETM) |
NR/NR | 2,000,000 | 1,534,540 | |||||||
Forest Preserve District of DuPage County GO, 4.00% due 11/1/2022 (Land Acquisition and Development) |
AAA/NR | 750,000 | 814,620 | |||||||
Illinois Educational Facilities Authority, 5.00% due 11/1/2016 (Rush University Medical Center) |
A/A2 | 1,000,000 | 1,098,560 | |||||||
a Illinois Educational Facilities Authority, 5.75% due 11/1/2028 (Rush University Medical Center) |
A/A2 | 1,000,000 | 1,054,820 | |||||||
Illinois Finance Authority, 5.25% due 9/1/2015 (Water & Wastewater Facilities) |
AAA/Aaa | 420,000 | 446,977 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2016 (Central DuPage Health) |
AA/NR | 2,000,000 | 2,212,840 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Central DuPage Health) |
AA/NR | 2,000,000 | 2,257,020 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: Syncora) |
A/NR | 1,000,000 | 1,047,510 | |||||||
Illinois Finance Authority, 6.125% due 11/1/2023 (Advocate Health Care Network) |
AA/Aa2 | 5,175,000 | 5,975,831 | |||||||
Illinois Finance Authority, 5.50% due 8/15/2043 pre-refunded 8/15/2014 (Northwestern Memorial Hospital) |
NR/NR | 400,000 | 418,252 | |||||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Centers, Inc.; Insured: FHA) |
NR/Aa1 | 630,000 | 631,386 | |||||||
Illinois Toll Highway Authority, 5.00% due 1/1/2021 (Congestion-Relief Plan; Insured: AGM) |
AA-/Aa3 | 350,000 | 374,325 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) (ETM) |
NR/Aa2 | 45,000 | 43,353 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) |
NR/Aa2 | 955,000 | 890,537 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2022 (McCormick Place Expansion Project) |
AAA/NR | 1,000,000 | 1,144,700 | |||||||
Niles Park District GO, 2.00% due 12/1/2014 (Parks and Recreation Projects) |
NR/Aa2 | 315,000 | 320,210 | |||||||
Niles Park District GO, 2.00% due 12/1/2015 (Parks and Recreation Projects) |
NR/Aa2 | 325,000 | 333,405 | |||||||
Niles Park District GO, 2.00% due 12/1/2016 (Parks and Recreation Projects) |
NR/Aa2 | 330,000 | 339,917 | |||||||
Niles Park District GO, 3.00% due 12/1/2017 (Parks and Recreation Projects) |
NR/Aa2 | 340,000 | 362,403 | |||||||
Niles Park District GO, 3.00% due 12/1/2018 (Parks and Recreation Projects) |
NR/Aa2 | 350,000 | 368,687 | |||||||
Niles Park District GO, 3.00% due 12/1/2019 (Parks and Recreation Projects) |
NR/Aa2 | 360,000 | 375,815 | |||||||
Niles Park District GO, 3.00% due 12/1/2020 (Parks and Recreation Projects) |
NR/Aa2 | 370,000 | 382,717 | |||||||
Southern Illinois University, 0% due 4/1/2014 (Insured: Natl-Re) |
A/A3 | 1,425,000 | 1,415,894 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Southern Illinois University, 5.00% due 4/1/2014 (Housing & Auxiliary Facilities System; Insured: Natl-Re) |
A+/A3 | $ | 1,350,000 | $ | 1,379,713 | |||||
Southern Illinois University, 5.25% due 4/1/2019 (Housing & Auxiliary Facilities System; Insured: Natl-Re) |
A+/A3 | 1,000,000 | 1,141,150 | |||||||
State of Illinois, 5.00% due 6/15/2018 (Build Illinois) |
AAA/NR | 2,000,000 | 2,285,100 | |||||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: Natl-Re) |
NR/A1 | 1,205,000 | 1,765,204 | |||||||
University of Illinois, 0% due 4/1/2014 (Insured: Natl-Re) |
A/Aa3 | 1,590,000 | 1,585,898 | |||||||
Village of Tinley Park GO, 4.00% due 12/1/2021 |
AA+/NR | 585,000 | 629,132 | |||||||
Village of Tinley Park GO, 5.00% due 12/1/2024 |
AA+/NR | 870,000 | 974,348 | |||||||
INDIANA 4.13% |
||||||||||
Allen County Jail Building Corp., 5.00% due 4/1/2018 (Insured: Syncora) |
NR/Aa2 | 2,495,000 | 2,740,832 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2018 |
NR/A2 | 1,560,000 | 1,649,061 | |||||||
Board of Trustees for the Vincennes University, 5.375% due 6/1/2022 |
NR/Aa3 | 895,000 | 1,029,358 | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2016 (Performing Arts Center) |
AA+/Aa1 | 1,730,000 | 1,687,459 | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2021 (Performing Arts Center) |
AA+/Aa1 | 2,000,000 | 1,597,740 | |||||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) |
NR/NR | 2,730,000 | 2,743,787 | |||||||
City of Petersburg, 5.40% due 8/1/2017 (Indianapolis Power and Light Company; Insured: Natl-Re/IBC) |
A/A3 | 1,325,000 | 1,490,002 | |||||||
Clay Multi-School Building Corp., 5.00% due 1/15/2018 (State Aid Withholding) |
AA+/NR | 1,735,000 | 1,972,556 | |||||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 (Harrison Square; Insured: AGM) |
NR/Aa2 | 2,290,000 | 2,521,679 | |||||||
Franklin Township Multi-School Building Corp., 5.00% due 7/10/2017 (Franklin Central High School) (State Aid Withholding) |
AA+/NR | 630,000 | 715,875 | |||||||
Hobart Building Corp., 6.50% due 7/15/2019 (Insured: Natl-Re) (State Aid Withholding) |
AA+/Baa1 | 1,000,000 | 1,221,710 | |||||||
Indiana Bond Bank, 5.25% due 2/1/2015 (Safe Drinking Water & Wastewater Programs) |
AAA/NR | 500,000 | 532,645 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2020 (Natural Gas Utility Improvements) |
NR/A2 | 5,340,000 | 5,960,508 | |||||||
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional Health Financing Program; Insured: AMBAC) |
AA/NR | 2,000,000 | 2,292,680 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2019 (University Health) |
AA-/Aa3 | 5,000,000 | 5,683,700 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2021 (Sisters of St. Francis Health Services, Inc.) |
NR/Aa3 | 605,000 | 658,288 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2022 (Marian University) |
BBB-/NR | 2,480,000 | 2,518,614 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2023 (Marian University) |
BBB-/NR | 2,605,000 | 2,620,083 | |||||||
Indiana Finance Authority, 4.10% due 11/15/2046 put 11/3/2016 (Ascension Health) |
AA+/Aa2 | 1,000,000 | 1,086,050 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 (146th Street Extension) |
AA-/NR | 1,000,000 | 1,106,470 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 (146th Street Extension) |
AA-/NR | 1,000,000 | 1,087,440 | |||||||
IOWA 0.39% |
||||||||||
City of Coralville COP, 5.25% due 6/1/2022 (Marriott Hotel and Convention Center) |
NR/Ba1 | 2,980,000 | 2,801,587 | |||||||
Iowa Higher Education Loan Authority, 4.00% due 12/1/2013 (Grinnell College Project) |
AAA/Aaa | 1,200,000 | 1,207,716 | |||||||
KANSAS 0.17% |
||||||||||
Kansas Development Finance Authority, 5.00% due 6/1/2020 (Wichita State University) |
NR/Aa3 | 575,000 | 670,341 | |||||||
Wyandotte County School District GO, 5.00% due 9/1/2014 (Insured: Natl-Re) |
NR/A1 | 1,030,000 | 1,072,879 | |||||||
KENTUCKY 0.81% |
||||||||||
Adair County Public Properties Corp., 3.75% due 12/1/2013 (Justice Center Project) |
NR/Aa3 | 250,000 | 251,498 | |||||||
Jefferson County School District Finance Corp., 4.00% due 9/1/2018 (Educational Facility Acquisition and Improvements; Insured: AGM) |
AA-/Aa2 | 610,000 | 627,141 | |||||||
Kentucky EDA, 5.85% due 10/1/2015 (Norton Healthcare; Insured: Natl-Re) |
A/Baa1 | 2,845,000 | 2,885,769 | |||||||
a Kentucky EDA, 5.75% due 12/1/2028 (Louisville Arena; Insured: AGM) |
AA-/A3 | 1,500,000 | 1,549,995 | |||||||
Louisville/Jefferson County Metro Government, 5.25% due 10/1/2026 (Norton Healthcare- Norton Suburban Hospital and Kosair Childrens Hospital) |
A-/NR | 2,320,000 | 2,437,438 | |||||||
Turnpike Authority of Kentucky, 5.00% due 7/1/2017 (Revitalization Projects-Highway Capital Planning; Insured: AMBAC) |
AA+/Aa2 | 650,000 | 701,694 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
LOUISIANA 2.94% |
||||||||||
City of New Orleans, 6.00% due 6/1/2024 (Sewerage System; Insured: AGM) |
AA-/A3 | $ | 750,000 | $ | 841,425 | |||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2023 |
BBB+/NR | 1,230,000 | 1,293,111 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2025 |
BBB+/NR | 1,350,000 | 1,398,398 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.15% due 9/1/2027 |
BBB+/NR | 1,490,000 | 1,536,920 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.30% due 9/1/2029 |
BBB+/NR | 1,650,000 | 1,699,714 | |||||||
Louisiana Local Govt Environment Facilities & Community Development Authority, 5.00%due 3/1/2014 (City of Shreveport-Independence Stadium) |
A/NR | 1,000,000 | 1,017,120 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 (Deepwater Oil Port-Loop LLC) |
A-/A3 | 2,500,000 | 2,549,100 | |||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) |
AA-/A3 | 1,590,000 | 1,678,293 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) |
BBB/Baa3 | 3,000,000 | 3,014,880 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: AGM) (AMT) |
AA-/A2 | 1,000,000 | 1,127,480 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: AGM) |
AA-/A2 | 2,000,000 | 2,221,360 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2023 (Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,112,530 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2024 (Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,101,600 | |||||||
Office Facilities Corp., 5.00% due 5/1/2014 (State Capitol Complex Program) |
NR/Aa3 | 1,000,000 | 1,027,060 | |||||||
Office Facilities Corp., 5.00% due 3/1/2019 (State Capitol Complex Program) |
AA-/Aa3 | 255,000 | 292,824 | |||||||
a Parish of Lafourche, 5.00% due 1/1/2024 (Roads, Highways and Bridges) |
A/NR | 1,065,000 | 1,206,485 | |||||||
Parish of Lafourche, 5.00% due 1/1/2025 (Roads, Highways and Bridges) |
A/NR | 2,620,000 | 2,959,369 | |||||||
St. Tammany Parish, 5.00% due 6/1/2019 pre-refunded 6/1/2016 (Insured: CIFG) |
AA-/NR | 1,300,000 | 1,462,227 | |||||||
St. Tammany Parish, 5.00% due 6/1/2020 pre-refunded 6/1/2016 (Insured: CIFG) |
AA-/NR | 1,000,000 | 1,124,790 | |||||||
State of Louisiana GO, 5.00% due 8/1/2018 (Insured: AGM) |
AAA/Aa3 | 300,000 | 325,518 | |||||||
Terrebonne Parish Hospital Service District 1, 5.00% due 4/1/2028 (General Medical Center) |
A+/A2 | 1,500,000 | 1,535,925 | |||||||
MAINE 0.48% |
||||||||||
Maine Health and Higher Educational Facilities Authority, 6.00% due 10/1/2013 (Maine Medical Center) (ETM) |
NR/Aaa | 650,000 | 650,104 | |||||||
Maine Health and Higher Educational Facilities Authority, 5.00% due 7/1/2025 (Health and Educational Institution Facilities and Equipment; Insured: Natl-Re) |
NR/A1 | 3,105,000 | 3,185,730 | |||||||
Maine Municipal Bond Bank, 5.00% due 11/1/2013 (Governmental Entity Loans) |
AA+/Aa2 | 330,000 | 331,376 | |||||||
Maine Municipal Bond Bank, 5.00% due 11/1/2013 (Governmental Entity Loans) |
AA+/Aa2 | 250,000 | 251,043 | |||||||
Town of Falmouth GO, 2.00% due 11/15/2013 (Elementary School Project) |
AA+/Aa1 | 540,000 | 541,193 | |||||||
MARYLAND 0.10% |
||||||||||
Mayor and City Council of Baltimore GO, 3.00% due 10/15/2013 (City Public Capital Improvement Projects; Insured: AGM) |
AA-/Aa2 | 250,000 | 250,298 | |||||||
Mayor and City Council of Baltimore GO, 4.00% due 10/15/2013 (City Public Capital Improvement Projects) |
AA-/Aa2 | 250,000 | 250,402 | |||||||
Washington Suburban Sanitary District GO, 4.00% due 6/1/2015 (Water Supply System) |
AAA/Aaa | 500,000 | 512,345 | |||||||
MASSACHUSETTS 1.55% |
||||||||||
Commonwealth of Massachusetts GO, 4.00% due 6/1/2015 (Commonwealth Capital Investment Plan) |
AA+/Aa1 | 525,000 | 557,261 | |||||||
Massachusetts Bay Transportation Authority, 5.25% due 7/1/2020 pre-refunded 7/1/2014 (Transportation Capital Program) |
AAA/Aa1 | 300,000 | 311,436 | |||||||
Massachusetts Bay Transportation Authority, 5.25% due 7/1/2030 (Transportation Capital Program) |
AAA/Aa1 | 1,000,000 | 1,138,310 | |||||||
Massachusetts Development Finance Agency, 5.50% due 10/1/2028 (Simmons College) |
BBB+/Baa1 | 1,330,000 | 1,436,174 | |||||||
Massachusetts Development Finance Agency, 5.50% due 10/1/2025 (Simmons College) |
BBB+/Baa1 | 460,000 | 514,013 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2022 (Higher Education Student Loans) |
AA/NR | 1,130,000 | 1,267,329 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2030 pre-refunded 8/15/2015 (SMART Fund; Insured: AGM) |
AA-/Aa2 | $ | 10,000,000 | $ | 10,866,800 | |||||
MICHIGAN 4.78% |
||||||||||
Brighton Area Schools GO, 5.00% due 5/1/2016 (Livingston County School Building and Site; Insured: Q-SBLF) |
NR/Aa2 | 370,000 | 405,498 | |||||||
City of Detroit, 5.00% due 7/1/2015 (Water Supply System; Insured: AGM) |
AA-/A2 | 1,260,000 | 1,273,747 | |||||||
City of Detroit, 4.00% due 7/1/2016 (Water Supply System; Insured: BHAC) |
AA+/Aa1 | 855,000 | 875,118 | |||||||
City of Detroit, 4.25% due 7/1/2016 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 1,100,000 | 1,087,570 | |||||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; Insured: |
A/Baa1 | 3,000,000 | 2,999,940 | |||||||
City of Troy GO, 5.00% due 10/1/2016 |
AAA/NR | 1,060,000 | 1,173,144 | |||||||
City of Troy GO, 5.00% due 11/1/2025 (Downtown Development Auhority-Community Center Facilities) |
AAA/NR | 300,000 | 329,667 | |||||||
b County of Genesee, 5.00% due 11/1/2024 (Water Supply System; Insured: BAM) |
AA/A2 | 610,000 | 655,872 | |||||||
b County of Genesee, 5.00% due 11/1/2025 (Water Supply System; Insured: BAM) |
AA/A2 | 345,000 | 366,856 | |||||||
b County of Genesee, 5.25% due 11/1/2026 (Water Supply System; Insured: BAM) |
AA/A2 | 900,000 | 961,074 | |||||||
b County of Genesee, 5.25% due 11/1/2027 (Water Supply System; Insured: BAM) |
AA/A2 | 1,375,000 | 1,451,601 | |||||||
b County of Genesee, 5.25% due 11/1/2028 (Water Supply System; Insured: BAM) |
AA/A2 | 645,000 | 675,141 | |||||||
b County of Genesee, 5.00% due 11/1/2029 (Water Supply System; Insured: BAM) |
AA/A2 | 1,210,000 | 1,229,299 | |||||||
b County of Genesee, 5.00% due 11/1/2030 (Water Supply System; Insured: BAM) |
AA/A2 | 1,195,000 | 1,207,643 | |||||||
b County of Genesee, 5.125% due 11/1/2032 (Water Supply System; Insured: BAM) |
AA/A2 | 750,000 | 757,605 | |||||||
Detroit City School District GO, 5.25% due 5/1/2026 (School Building & Site Improvement; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 3,150,000 | 3,313,170 | |||||||
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site Improvement; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 1,100,000 | 1,150,446 | |||||||
Fraser Public School District GO, 5.00% due 5/1/2018 (School Building & Site Improvement; Insured: AGM/Q-SBLF) |
AA-/Aa2 | 910,000 | 959,977 | |||||||
Kalamazoo Hospital Finance Authority, 6.25% due 6/1/2014 (Borgess Medical Center) (ETM) |
AA+/Aaa | 650,000 | 676,117 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2019 (Bronson Hospital; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,232,020 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 (Bronson Hospital; Insured: AGM) |
NR/A2 | 2,470,000 | 2,741,404 | |||||||
a Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 (Bronson Hospital) |
NR/A2 | 1,285,000 | 1,360,609 | |||||||
LAnse Creuse Public Schools GO, 5.00% due 5/1/2014 (Macomb County School District Building & Site; Insured: AGM/Q-SBLF) |
AA/Aa2 | 500,000 | 513,820 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2026 (Government Loan Program) |
A+/NR | 1,580,000 | 1,672,620 | |||||||
Michigan Public Educational Facilities Authority, 5.50% due 9/1/2022 (Black River School) |
NR/NR | 1,110,000 | 1,034,975 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) |
NR/NR | 960,000 | 974,928 | |||||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: Natl-Re) |
A+/Aa3 | 5,000,000 | 2,950,250 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Sparrow Health System) |
A+/A1 | 2,140,000 | 2,208,822 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Health System) |
A/A2 | 3,000,000 | 3,073,530 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: AGM) |
AA-/A1 | 1,000,000 | 1,070,930 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2016 (William Beaumont Hospital) |
A/A1 | 2,000,000 | 2,192,980 | |||||||
Royal Oak Hospital Finance Authority, 8.00% due 9/1/2029 (William Beaumont Hospital) |
A/A1 | 2,540,000 | 3,031,642 | |||||||
South Lyon Community Schools GO, 4.00% due 5/1/2019 (Oakland, Washtenaw, Livingston Counties School District Building & Site; Insured: Natl-Re) |
A+/Aa2 | 450,000 | 471,740 | |||||||
State of Michigan Trunk Line Fund, 5.50% due 11/1/2020 (Insured: AGM) |
AA+/Aa2 | 1,500,000 | 1,786,545 | |||||||
Warren Consolidated Schools District GO, 4.00% due 5/1/2018 (School Buildings and Sites; Insured: AGM) |
AA-/Aa3 | 750,000 | 790,223 | |||||||
MINNESOTA 1.58% |
||||||||||
City of St. Cloud, 5.00% due 5/1/2014 (CentraCare Health System) |
NR/A1 | 835,000 | 857,829 | |||||||
Clay County GO, 3.00% due 4/1/2014 (Construction of County State-Aid Road Improvements) |
AA/NR | 725,000 | 735,193 | |||||||
Housing & Redevelopment Authority of the City of St. Paul, 5.25% due 5/15/2020 (HealthPartners Health System) |
A-/A2 | 1,965,000 | 2,099,092 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Housing & Redevelopment Authority of the City of St. Paul & the City of Minneapolis, 6.00%due 12/1/2018 (HealthPartners Health System) |
A-/A2 | $ | 1,000,000 | $ | 1,009,140 | |||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2023 (Airport, Marina & Port Improvements; Insured: AMBAC) (AMT) |
AA+/Aa1 | 3,885,000 | 4,060,990 | |||||||
Minnesota Agriculture & Economic Development Board, 5.50% due 2/15/2025 (Essentia Health; Insured: AGM) |
AA-/NR | 2,500,000 | 2,771,150 | |||||||
State of Minnesota GO, 5.00% due 8/1/2015 (Public Facility Capital Projects) |
AA+/Aa1 | 4,500,000 | 4,883,760 | |||||||
MISSISSIPPI 1.18% |
||||||||||
Medical Center Educational Building Corp., 4.00% due 6/1/2014 (University of Mississippi Medical Center) |
AA-/Aa2 | 1,240,000 | 1,268,954 | |||||||
Mississippi Development Bank, 5.00% due 3/1/2018 (Municipal Energy Agency Power Supply; Insured: Syncora) |
NR/Baa1 | 1,920,000 | 2,037,562 | |||||||
Mississippi Development Bank, 5.00% due 7/1/2022 (City of Canton Parking Facilities) |
NR/NR | 1,935,000 | 2,066,038 | |||||||
Mississippi Development Bank, 5.25% due 8/1/2027 (Department of Corrections) |
AA-/NR | 3,415,000 | 3,680,277 | |||||||
Mississippi Development Bank GO, 5.00% due 3/1/2025 (Capital City Convention Center) |
AA-/Aa2 | 2,850,000 | 3,192,599 | |||||||
MISSOURI 1.64% |
||||||||||
Bolivar R-I School District of Polk County GO, 5.25% due 3/1/2024 pre-refunded 3/1/2014 (Educational Facilities) |
AA+/NR | 500,000 | 510,640 | |||||||
Kansas City Metropolitan Community Colleges Building Corp., 5.00% due 7/1/2017 (Junior College District; Insured: Natl-Re) |
NR/Aa2 | 1,000,000 | 1,107,260 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) |
A-/NR | 1,000,000 | 1,071,900 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) |
A-/NR | 2,000,000 | 2,103,480 | |||||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) |
A-/NR | 2,000,000 | 2,121,480 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2019 (Webster University) |
NR/A2 | 2,235,000 | 2,574,966 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2021 (Webster University) |
NR/A2 | 2,520,000 | 2,904,426 | |||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project- Public Improvements) |
NR/NR | 925,000 | 964,905 | |||||||
Tax Increment Financing Commission of Kansas City, 5.00% due 5/1/2022 (Union Hill Redevelopment Project) |
NR/NR | 3,805,000 | 3,731,525 | |||||||
NEVADA 1.16% |
||||||||||
Carson City, 5.00% due 9/1/2027 (Carson Tahoe Regional Medical Center) |
BBB+/NR | 2,450,000 | 2,472,124 | |||||||
Washoe County GO, 5.00% due 7/1/2026 (Reno Sparks Convention & Visitors Authority) |
AA/Aa2 | 5,000,000 | 5,390,750 | |||||||
Washoe County GO, 5.00% due 7/1/2029 (Reno Sparks Convention & Visitors Authority) |
AA/Aa2 | 2,000,000 | 2,096,720 | |||||||
Washoe County GO, 5.00% due 7/1/2032 (Reno Sparks Convention & Visitors Authority) |
AA/Aa2 | 2,000,000 | 2,066,020 | |||||||
NEW HAMPSHIRE 1.55% |
||||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian/ACA) |
NR/Caa1 | 4,990,000 | 4,300,582 | |||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) |
BBB+/Baa1 | 3,920,000 | 4,018,392 | |||||||
New Hampshire Health & Education Facilities Authority, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) |
A-/NR | 1,000,000 | 1,056,320 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2026 |
AA/Aa3 | 1,860,000 | 2,101,577 | |||||||
State of New Hampshire, 5.00% due 2/1/2022 (Turnpike System) |
A+/A1 | 2,250,000 | 2,622,127 | |||||||
State of New Hampshire, 5.00% due 2/1/2024 (Turnpike System) |
A+/A1 | 1,755,000 | 1,988,678 | |||||||
NEW JERSEY 1.20% |
||||||||||
Burlington County Bridge Commission, 2.00% due 12/1/2013 (County Governmental Loan Program) |
AA/Aa2 | 660,000 | 661,980 | |||||||
Burlington County Bridge Commission, 4.00% due 12/1/2017 (County Governmental Loan Program) |
AA/Aa2 | 850,000 | 946,518 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Cape May County Industrial Pollution Control Financing Authority, 6.80% due 3/1/2021 (Atlantic City Electric Company; Insured: Natl-Re) |
A/Baa1 | $ | 560,000 | $ | 685,362 | |||||
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & State Court Facilities; Insured: Natl-Re) |
NR/Aa2 | 2,500,000 | 2,980,425 | |||||||
Garden State Preservation Trust, 6.375% due 11/1/2013 (Open Space and Farmland Preservation Program; Insured: Natl-Re) |
AAA/Aa3 | 300,000 | 301,599 | |||||||
New Jersey EDA, 5.50% due 9/1/2026 (School Facilities Construction; Insured: AMBAC) |
A+/A1 | 2,000,000 | 2,304,660 | |||||||
New Jersey Water Supply Authority, 5.00% due 8/1/2019 (Manasquan Reservoir Water Supply System; Insured: Natl-Re) |
AA/Aa3 | 635,000 | 681,958 | |||||||
Passaic Valley Sewage Commissioners GO, 5.75% due 12/1/2022 |
NR/A2 | 3,000,000 | 3,559,020 | |||||||
Southeast Morris County Municipal Utilities Authority, 4.00% due 1/1/2014 (Water Supply and Distribution System) |
NR/Aa2 | 405,000 | 408,353 | |||||||
NEW MEXICO 1.05% |
||||||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) |
BBB+/Baa1 | 3,000,000 | 3,108,570 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2030 |
NR/Aa3 | 2,040,000 | 2,153,383 | |||||||
Incorporated County of Los Alamos, 5.00% due 7/1/2014 (Department of Public Utilities; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,007,960 | |||||||
Regents of New Mexico State University, 3.00% due 4/1/2014 (NMSU Golf Course and Corbett Center Student Union) |
AA/Aa2 | 555,000 | 562,776 | |||||||
Rio Rancho Public School District No. 94, 5.00% due 8/1/2015 (State Aid Withholding) |
NR/Aa1 | 1,715,000 | 1,856,350 | |||||||
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2014 (Insured: AGM) (State Aid Withholding) |
NR/Aa1 | 1,205,000 | 1,242,813 | |||||||
NEW YORK 5.35% |
||||||||||
City of New York GO, 5.00% due 8/1/2019 pre-refunded 8/1/2015 (Insured: Natl-Re) |
A/Aa2 | 410,000 | 444,846 | |||||||
City of New York GO, 5.00% due 8/1/2019 (Insured: Natl-Re) |
AA/Aa2 | 195,000 | 210,499 | |||||||
City of New York GO, 0.45% due 8/1/2021 (Capital Projects) |
AA/Aa2 | 2,700,000 | 2,699,298 | |||||||
Erie County Industrial Development Agency, 5.00% due 5/1/2019 (City of Buffalo School District) |
AA-/Aa3 | 3,000,000 | 3,486,750 | |||||||
Erie County Industrial Development Agency, 5.00% due 5/1/2027 (City of Buffalo School District) (State Aid Withholding) |
AA-/Aa3 | 5,000,000 | 5,441,800 | |||||||
Ilion Central School District, 1.25% due 1/30/2014 (Educational Facilities) (State Aid Withholding) |
NR/Mig1 | 5,000,000 | 5,016,800 | |||||||
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Elementary, Middle/High School Projects; Insured: Natl-Re) (State Aid Withholding) |
NR/A1 | 505,000 | 568,484 | |||||||
New York City Municipal Water Finance Authority, 0.07% due 6/15/2039 put 10/1/2013 (Water and Sewer System; SPA: Landesbank Hessen-Thuringen) (daily demand notes) |
AA+/Aa2 | 20,000,000 | 20,000,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2013 (City Capital Projects; Insured: Natl-Re) |
AAA/Aa1 | 250,000 | 251,050 | |||||||
New York City Transitional Finance Authority, 4.00% due 8/1/2014 (City Capital Projects) |
AAA/Aa1 | 3,340,000 | 3,447,247 | |||||||
New York City Transitional Finance Authority, 0.09% due 8/1/2031 put 10/1/2013 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes) |
AAA/Aaa | 1,700,000 | 1,700,000 | |||||||
New York State Dormitory Authority, 5.625% due 7/1/2016 (City University System) |
AA-/Aa3 | 990,000 | 1,075,516 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop |
NR/Aa1 | 850,000 | 934,039 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2021 (State University Educational Facilities) |
AA-/Aa3 | 500,000 | 587,160 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2023 (Miriam Osborn Memorial Home Assoc.) |
NR/NR | 2,180,000 | 2,317,972 | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2027 (State Educational & Medical Facilities) |
AAA/NR | 5,000,000 | 5,589,950 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza Project) |
NR/A1 | 1,700,000 | 1,824,423 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
NORTH CAROLINA 0.31% |
||||||||||
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2018 (Carolinas HealthCare System) |
AA-/Aa3 | $ | 600,000 | $ | 633,588 | |||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2028 (Carolinas HealthCare System) |
AA-/Aa3 | 2,190,000 | 2,330,445 | |||||||
County of Henderson COP, 5.25% due 5/1/2017 pre-refunded 5/1/2015 (Dana Elementary School and Depts. of Social Services, Public Health and Veterans Services; Insured: AMBAC) |
AA/Aa3 | 230,000 | 247,747 | |||||||
NORTH DAKOTA 0.26% |
||||||||||
City of Bismarck GO, 2.50% due 5/1/2014 (Street, Sewer and Water Systems) |
NR/Aa1 | 250,000 | 253,135 | |||||||
County of Ward, 5.125% due 7/1/2021 (Trinity Health System) |
BBB-/NR | 1,000,000 | 1,027,810 | |||||||
North Dakota Building Authority, 4.25% due 12/1/2015 (Insured: Natl-Re) |
AA/Aa2 | 1,305,000 | 1,412,663 | |||||||
OHIO 5.37% |
||||||||||
Akron, Bath and Copley Joint Township Hospital District, 5.00% due 11/15/2024 (Childrens Hospital Medical Center of Akron) |
NR/A1 | 1,000,000 | 1,079,680 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2028 (AMP Fremont Energy Center) |
A/A1 | 4,000,000 | 4,308,400 | |||||||
City of Cleveland, 2.00% due 10/1/2014 (Parks and Recreation Facilities) |
AA/A1 | 470,000 | 477,544 | |||||||
City of Cleveland, 2.00% due 10/1/2015 (Public Safety, Health and Welfare Facilities) |
AA/A1 | 375,000 | 385,170 | |||||||
City of Cleveland, 2.00% due 10/1/2015 (Parks and Recreation Facilities) |
AA/A1 | 475,000 | 487,882 | |||||||
City of Cleveland, 3.00% due 10/1/2017 (Parks and Recreation Facilities) |
AA/A1 | 490,000 | 518,155 | |||||||
City of Cleveland, 5.00% due 10/1/2028 (Bridges and Roadways) |
AA/A1 | 2,420,000 | 2,607,550 | |||||||
City of Cleveland, 5.00% due 10/1/2029 (Bridges and Roadways) |
AA/A1 | 100,000 | 106,985 | |||||||
City of Cleveland GO, 5.00% due 12/1/2016 (Various Municipal Capital Improvements) |
AA/A1 | 1,000,000 | 1,120,960 | |||||||
City of Cleveland GO, 5.00% due 12/1/2024 (Various Municipal Capital Improvements) |
AA/A1 | 1,000,000 | 1,123,270 | |||||||
a City of Cleveland GO, 5.00% due 12/1/2026 (Various Municipal Capital Improvements) |
AA/A1 | 1,230,000 | 1,353,812 | |||||||
City of Hamilton, 5.25% due 10/1/2017 (Wastewater System; Insured: AGM) |
NR/A1 | 1,500,000 | 1,630,005 | |||||||
Cleveland Municipal School District GO, 5.25% due 12/1/2019 pre-refunded 6/1/2014 (Educational Facilities Improvements; Insured: AGM) (State Aid Withholding) |
AA/Aa2 | 1,045,000 | 1,080,227 | |||||||
Cleveland Municipal School District GO, 5.25% due 12/1/2023 pre-refunded 6/1/2014 (Educational Facilities Improvements; Insured: AGM) (State Aid Withholding) |
AA/Aa2 | 1,000,000 | 1,033,710 | |||||||
Cleveland-Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) |
BBB+/NR | 710,000 | 710,483 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2021 (Cleveland Museum of Art) |
AA+/NR | 1,330,000 | 1,527,425 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 7/1/2025 (County Administration Offices) |
AA/Aa2 | 1,780,000 | 2,021,635 | |||||||
County of Allen, 5.00% due 5/1/2025 (Catholic Health Partners-Mercy Health West Facility) |
AA-/A1 | 4,470,000 | 4,820,090 | |||||||
County of Allen, 5.00% due 5/1/2026 (Catholic Health Partners-Mercy Health West Facility) |
AA-/A1 | 3,855,000 | 4,099,099 | |||||||
County of Hamilton, 5.00% due 12/1/2015 pre-refunded 12/1/2013 (Metropolitan Sewer District of Greater Cincinnati; Insured: Natl-Re) |
AA+/Aa2 | 350,000 | 352,835 | |||||||
Deerfield Township, 5.00% due 12/1/2016 |
NR/A1 | 1,035,000 | 1,137,620 | |||||||
Deerfield Township, 5.00% due 12/1/2025 |
NR/A1 | 1,000,000 | 1,024,550 | |||||||
Lucas County Health Care Facility, 5.00% due 8/15/2021 (Sunset Retirement Community) |
NR/NR | 1,000,000 | 1,074,750 | |||||||
Lucas County Health Care Facility, 5.125% due 8/15/2025 (Sunset Retirement Community) |
NR/NR | 1,250,000 | 1,284,362 | |||||||
Ohio Air Quality Development Authority, 5.70% due 8/1/2020 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa3 | 3,000,000 | 3,317,340 | |||||||
Ohio Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa2 | 1,000,000 | 1,073,180 | |||||||
Ohio Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa3 | 3,000,000 | 3,021,540 | |||||||
State of Ohio GO, 5.00% due 8/1/2015 (Educational Facilities Projects) |
AA+/Aa1 | 10,775,000 | 11,691,845 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 pre-refunded 7/1/2016 (Kenyon College) |
A+/A1 | 1,200,000 | 1,341,708 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
OKLAHOMA 2.03% |
||||||||||
Oklahoma DFA, 0.07% due 8/15/2033 put 10/1/2013 (Integris Health; Insured: AGM; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA-/Aa3 | $ | 14,685,000 | $ | 14,685,000 | |||||
Oklahoma State Industries Authority, 5.50% due 7/1/2023 (Oklahoma Medical Research Foundation) |
NR/A1 | 3,730,000 | 4,059,807 | |||||||
Oklahoma State Power Authority, 5.00% due 1/1/2018 (Insured: AGM) |
AA-/A2 | 1,000,000 | 1,141,440 | |||||||
Tulsa County Industrial Authority, 5.00% due 12/15/2024 (St. Francis Health System, Inc.) |
AA+/Aa2 | 1,130,000 | 1,264,515 | |||||||
OREGON 0.03% |
||||||||||
Oregon State Department of Administrative Services COP, 4.00% due 5/1/2014 (Correctional Facilities Improvements; Insured: Natl-Re) |
AA/Aa2 | 320,000 | 327,235 | |||||||
PENNSYLVANIA 3.51% |
||||||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) |
A+/Aa3 | 2,500,000 | 2,885,725 | |||||||
Allegheny County IDA, 5.90% due 8/15/2026 (Propel Charter School-McKeesport) |
BBB-/NR | 1,090,000 | 1,099,712 | |||||||
Allegheny County IDA, 6.375% due 8/15/2035 (Propel Charter School-McKeesport) |
BBB-/NR | 1,130,000 | 1,149,357 | |||||||
Ambridge Area School District GO, 5.50% due 11/1/2031 pre-refunded 11/1/2014 (Senior High School; Insured: Natl-Re) (State Aid Withholding) |
A/NR | 350,000 | 369,786 | |||||||
Bethlehem Area School District GO, 5.00% due 10/15/2020 (Educational Facilities; Insured: AGM) (State Aid Withholding) |
AA-/NR | 475,000 | 531,454 | |||||||
Bradford County IDA, 5.20% due 12/1/2019 (International Paper Company) (AMT) |
BBB/Baa3 | 2,620,000 | 2,661,658 | |||||||
Chartiers Valley Industrial & Community Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) |
NR/NR | 900,000 | 914,355 | |||||||
County of Lehigh GO, 5.00% due 11/15/2016 |
NR/Aa1 | 5,725,000 | 6,473,200 | |||||||
Dallastown Area School District GO, 4.00% due 5/1/2021 (State Aid Withholding) |
AA/NR | 460,000 | 499,252 | |||||||
Pennsylvania Economic Development Financing Authority, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) |
BBB-/Ba1 | 6,570,000 | 6,482,093 | |||||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) |
NR/NR | 2,032,839 | 1,238,832 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) |
A-/A3 | 4,000,000 | 3,696,160 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) |
AA/NR | 405,000 | 442,726 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding) |
AA/NR | 365,000 | 400,963 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding) |
AA/NR | 355,000 | 390,436 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) |
AA/NR | 385,000 | 420,863 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) |
AA/NR | 425,000 | 460,390 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) |
AA/NR | 430,000 | 496,263 | |||||||
School District of Philadelphia GO, 5.00% due 9/1/2018 (School Reform Commission) (State Aid Withholding) |
A+/Aa3 | 5,250,000 | 5,894,332 | |||||||
RHODE ISLAND 0.47% |
||||||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2024 (Training School Project) |
AA-/Aa3 | 3,595,000 | 4,029,851 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2023 (Consolidated Capital Development Loan) |
AA/Aa2 | 800,000 | 859,208 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
SOUTH CAROLINA 2.05% |
||||||||||
Greenwood Fifty School Facilities, Inc., 5.00% due 12/1/2025 (School District No. 50 Project; Insured: AGM) |
AA-/A1 | $ | 2,400,000 | $ | 2,635,200 | |||||
Lexington County Health Services District, Inc., 5.00% due 11/1/2016 (Lexington Medical Center) |
AA-/A1 | 250,000 | 277,405 | |||||||
Lexington One School Facilities Corp., 5.00% due 12/1/2019 (School District No. 1 Project) |
NR/Aa3 | 1,000,000 | 1,105,300 | |||||||
Lexington One School Facilities Corp., 5.25% due 12/1/2021 pre-refunded 12/1/2015 (School District No. 1 Project) |
NR/Aa3 | 1,700,000 | 1,874,454 | |||||||
Medical University Hospital Authority, 5.25% due 8/15/2022 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) |
A/Baa1 | 300,000 | 312,846 | |||||||
Medical University Hospital Authority, 5.25% due 8/15/2023 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) |
A/Baa1 | 1,550,000 | 1,616,371 | |||||||
Medical University Hospital Authority, 5.25% due 2/15/2024 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) |
A/Baa1 | 725,000 | 756,044 | |||||||
Medical University Hospital Authority, 4.85% due 2/15/2026 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) |
A/Baa1 | 300,000 | 311,796 | |||||||
Medical University Hospital Authority, 5.25% due 2/15/2027 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) |
A/Baa1 | 250,000 | 260,705 | |||||||
Scago Educational Facilities Corp., 5.00% due 12/1/2017 (Colleton School District; Insured: AGM) |
AA-/A3 | 1,000,000 | 1,111,280 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2019 (Spartanburg School District; Insured: AGM) |
AA-/Aa3 | 2,740,000 | 2,950,816 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2021 (Spartanburg School District; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,070,550 | |||||||
Securing Assets For Education, 5.00% due 12/1/2019 (School District of Berkeley County Project) |
A+/Aa3 | 2,000,000 | 2,225,700 | |||||||
South Carolina Housing Finance & Development Authority, 5.875% due 7/1/2022 (AMT) |
NR/Aa1 | 805,000 | 847,834 | |||||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 (AMT) |
NR/Aa1 | 860,000 | 882,713 | |||||||
Sumter Two School Facilities, Inc., 5.00% due 12/1/2021 (School District No. 2 Project; Insured: AGM) |
AA-/A3 | 2,855,000 | 3,081,458 | |||||||
SOUTH DAKOTA 0.34% |
||||||||||
a South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2023 (Avera Health) |
AA-/A1 | 1,575,000 | 1,700,260 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health) |
A+/A1 | 1,700,000 | 1,819,391 | |||||||
TENNESSEE 1.08% |
||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 |
NR/Baa2 | 1,000,000 | 1,047,910 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 |
BBB/Baa3 | 2,500,000 | 2,623,650 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 |
A-/Baa2 | 7,000,000 | 7,562,870 | |||||||
TEXAS 8.35% |
||||||||||
Arlington ISD GO, 5.00% due 2/15/2018 pre-refunded 2/15/2015 (Tarrant County Educational Facilities; Guaranty: PSF) |
NR/Aaa | 300,000 | 319,344 | |||||||
Austin Community College District, 5.50% due 8/1/2023 (Round Rock Campus) |
AA/Aa2 | 2,180,000 | 2,493,026 | |||||||
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence) |
BBB/NR | 1,825,000 | 1,844,765 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2021 (Waterworks System; Insured: Syncora) |
A/A1 | 1,300,000 | 1,453,998 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2022 (Waterworks System; Insured: Syncora) |
A/A1 | 2,300,000 | 2,572,458 | |||||||
Board of Regents of the Texas A&M University System, 5.25% due 5/15/2017 (Revenue Financing System and Capital Plan Projects) |
AA+/Aaa | 200,000 | 214,836 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2015 (DFW International Airport Development Plan) |
A+/A2 | 1,000,000 | 1,091,100 | |||||||
City of Arlington GO, 5.00% due 8/15/2019 (Insured: AGM) |
AAA/Aa1 | 600,000 | 648,648 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Recreational Facility Improvements; Insured: Natl-Re) |
A/Aa2 | $ | 75,000 | $ | 76,348 | |||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Recreational Facility Improvements; Insured: Natl-Re) |
AA/Aa2 | 560,000 | 570,063 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Recreational Facility Improvements; Insured: Natl-Re) |
A/Aa2 | 365,000 | 371,588 | |||||||
City of Dallas, 5.00% due 10/1/2031 pre-refunded 10/1/2015 (Waterworks & Sewer System; Insured: AGM) |
AAA/Aa1 | 4,710,000 | 5,140,258 | |||||||
City of Galveston, 5.00% due 9/1/2021 (Galveston Island Convention Center; Insured: AGM) |
NR/A2 | 545,000 | 614,346 | |||||||
City of Galveston, 5.00% due 9/1/2024 (Galveston Island Convention Center; Insured: AGM) |
NR/A2 | 1,115,000 | 1,227,481 | |||||||
City of Laredo, 5.00% due 3/15/2018 (Sports Venue Improvements; Insured: AMBAC) |
A+/A1 | 2,040,000 | 2,126,006 | |||||||
City of Laredo GO, 5.00% due 8/15/2017 (Waterworks and Sewer System; Insured: AMBAC) |
AA/Aa2 | 500,000 | 539,270 | |||||||
City of Pharr Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) |
BBB/NR | 5,050,000 | 5,359,060 | |||||||
City of San Antonio Passenger Facility, 5.00% due 7/1/2024 (Airport System Improvements) (AMT) |
A-/A2 | 2,065,000 | 2,205,916 | |||||||
City of San Antonio Passenger Facility, 5.00% due 7/1/2025 (Airport System Improvements) (AMT) |
A-/A2 | 1,160,000 | 1,228,208 | |||||||
Dallas County Utilities & Reclamation District, 5.15% due 2/15/2022 (Insured: AMBAC) |
BBB+/A3 | 3,000,000 | 3,265,440 | |||||||
Eagle Mountain & Saginaw Texas ISD GO, 2.50% due 8/1/2050 put 8/1/2014 (School Improvements; Guaranty: PSF) |
AAA/NR | 1,000,000 | 1,017,250 | |||||||
Grapevine-Colleyville ISD GO, 5.25% due 8/15/2023 (Educational Facilities; Insured: Natl-Re) |
AA/Aa2 | 20,000 | 21,648 | |||||||
Grapevine-Colleyville ISD GO, 5.25% due 8/15/2023 pre-refunded 8/15/2015 (Educational Facilities; Insured: Natl-Re) |
A/Aa2 | 545,000 | 594,677 | |||||||
Harris County Hospital District, 5.00% due 2/15/2015 (Insured: Natl-Re) |
A/A2 | 2,075,000 | 2,181,759 | |||||||
Houston Airport System, 5.00% due 7/1/2014 |
A/NR | 1,000,000 | 1,034,930 | |||||||
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 (Cosmos Foundation, Inc.) |
BBB/NR | 775,000 | 837,698 | |||||||
Houston ISD GO, 1.00% due 6/1/2035 put 6/1/2014 (Harris County Educational Facilities; Guaranty: PSF) |
AAA/Aaa | 2,000,000 | 2,008,540 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2017 |
NR/NR | 510,000 | 568,976 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2018 |
NR/NR | 525,000 | 589,869 | |||||||
La Vernia Higher Education Finance Corp., 5.75% due 8/15/2024 (Kipp, Inc.) |
BBB/NR | 3,000,000 | 3,183,600 | |||||||
North Central Texas Health Facilities Development Corp., 5.00% due 8/15/2019 (Childrens Medical Center of Dallas) |
NR/Aa3 | 270,000 | 309,053 | |||||||
North East ISD GO, 2.00% due 8/1/2043 put 8/1/2015 (Educational Facilities; Guaranty: PSF) |
AAA/Aaa | 7,130,000 | 7,293,277 | |||||||
North Texas Tollway Authority, 5.00% due 9/1/2017 (DOT-President George Bush Turnpike Western Extension) |
AA+/NR | 450,000 | 514,341 | |||||||
Nueces River Authority, 5.00% due 7/15/2020 (Corpus Christi Lake Texana Water Supply Facilities; Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,071,330 | |||||||
San Juan Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) |
BBB/NR | 1,590,000 | 1,687,022 | |||||||
Socorro ISD GO, 5.25% due 8/15/2014 (Educational Facility Projects; Guaranty: PSF) |
AAA/NR | 1,100,000 | 1,149,016 | |||||||
Stafford Economic Development Corp., 6.00% due 9/1/2017 (Convention Center-Performing Arts Center Theater Complex; Insured: Natl-Re) |
A+/A1 | 1,775,000 | 1,950,210 | |||||||
State of Texas, 2.00% due 8/28/2014 (General Revenue Fund-Cash Flow Management) |
SP-1+/Mig1 | 15,500,000 | 15,755,285 | |||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) |
A/A2 | 2,705,000 | 3,516,987 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools; Insured: ACA) |
BBB/NR | 3,000,000 | 3,079,470 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.00% due 2/15/2030 (Cosmos Foundation, Inc.) |
BBB/NR | 1,750,000 | 1,834,682 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (IDEA Public Schools; Insured: ACA) |
BBB/NR | 2,000,000 | 1,922,720 | |||||||
Uptown Development Authority, 5.50% due 9/1/2029 (Infrastructure Improvements) |
BBB/NR | 1,250,000 | 1,300,450 | |||||||
U.S. VIRGIN ISLANDS 0.53% |
||||||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 |
NR/Baa3 | 5,000,000 | 5,464,250 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
UTAH 0.32% |
||||||||||
City of Herriman, 5.75% due 11/1/2027 (Towne Center Assessment Area) |
AA-/NR | $ | 480,000 | $ | 515,592 | |||||
Local Building Authority of Salt Lake Valley Fire Service Area, 5.25% due 4/1/2020 |
NR/Aa2 | 1,250,000 | 1,409,163 | |||||||
Murray City, 0.06% due 5/15/2037 put 10/1/2013 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) |
AA+/Aa1 | 1,360,000 | 1,360,000 | |||||||
VIRGINIA 1.06% |
||||||||||
County of Hanover IDA, 6.00% due 10/1/2021 (FirstHealth Richmond Memorial Hospital) (ETM) |
A/NR | 795,000 | 860,047 | |||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) |
AAA/Aaa | 3,050,000 | 3,270,698 | |||||||
Pittsylvania County GO, 3.00% due 7/15/2017 (Educational Capital Projects) (State Aid Withholding) |
A+/Aa3 | 280,000 | 281,621 | |||||||
Virginia Housing Development Authority GO, 4.85% due 4/1/2019 (Multi-Family Housing Development) (AMT) |
AAA/Aaa | 3,100,000 | 3,300,043 | |||||||
Virginia Housing Development Authority GO, 4.85% due 10/1/2019 (Multi-Family Housing Development) (AMT) |
AAA/Aaa | 3,100,000 | 3,343,753 | |||||||
WASHINGTON 2.30% |
||||||||||
City of Seattle, 5.00% due 2/1/2019 (Light and Power Improvements) |
AA/Aa2 | 3,000,000 | 3,507,840 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.125% due 12/1/2015 (Skagit Valley Hospital; Insured: Natl-Re) |
NR/A1 | 1,900,000 | 2,070,924 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2025 (Skagit Regional Health) |
NR/A1 | 4,860,000 | 5,304,447 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2028 (Skagit Regional Health) |
NR/A1 | 3,000,000 | 3,148,290 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2028 (Island Hospital) |
NR/A1 | 2,195,000 | 2,281,593 | |||||||
State of Washington COP, 5.00% due 7/1/2014 (Higher Education Capital Projects) |
NR/Aa2 | 1,905,000 | 1,973,370 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/15/2024 (Multi-care Systems; Insured: AGM) |
AA-/A1 | 1,000,000 | 1,086,070 | |||||||
Washington Health Care Facilities Authority, 6.25% due 8/1/2028 (Highline Medical Centers; Insured: FHA 242) |
AA-/NR | 3,985,000 | 4,542,621 | |||||||
WEST VIRGINIA 0.26% |
||||||||||
State of West Virginia GO, 5.00% due 6/1/2022 (Division of Highways State Road Fund; Insured: Natl-Re) |
AA/Aa1 | 1,000,000 | 1,072,600 | |||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) |
A/A2 | 1,530,000 | 1,619,918 | |||||||
WISCONSIN 1.89% |
||||||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Agnesian Healthcare, Inc.) |
A-/A3 | 2,170,000 | 2,408,939 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2023 (ProHealth Care, Inc.) |
A+/A1 | 1,980,000 | 2,187,306 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2024 (ProHealth Care, Inc.) |
A+/A1 | 2,460,000 | 2,687,648 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.50% due 7/1/2025 (Agnesian Healthcare, Inc.) |
A-/A3 | 5,000,000 | 5,424,300 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2025 (ProHealth Care, Inc.) |
A+/A1 | 3,180,000 | 3,423,492 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2026 (ProHealth Care, Inc.) |
A+/A1 | 3,305,000 | 3,519,660 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 97.74% (Cost $986,975,966) |
$ | 1,015,695,240 | ||||||||
OTHER ASSETS LESS LIABILITIES 2.26% |
23,474,200 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 1,039,169,440 | ||||||||
|
|
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | Segregated as collateral for a when-issued security. |
b | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
Certified Annual Report 29
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $986,975,966) (Note 2) |
$ | 1,015,695,240 | ||
Cash |
22,061,063 | |||
Receivable for investments sold |
4,149,522 | |||
Receivable for fund shares sold |
5,598,565 | |||
Interest receivable |
12,373,401 | |||
Prepaid expenses and other assets |
33,834 | |||
|
|
|||
Total Assets |
1,059,911,625 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
16,929,333 | |||
Payable for fund shares redeemed |
2,810,952 | |||
Payable to investment advisor and other affiliates (Note 3) |
633,896 | |||
Accounts payable and accrued expenses |
117,873 | |||
Dividends payable |
250,131 | |||
|
|
|||
Total Liabilities |
20,742,185 | |||
|
|
|||
NET ASSETS |
$ | 1,039,169,440 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Distribution in excess of net investment income |
$ | (3,781 | ) | |
Net unrealized appreciation |
28,719,274 | |||
Accumulated net realized gain (loss) |
(745,824 | ) | ||
Net capital paid in on shares of beneficial interest |
1,011,199,771 | |||
|
|
|||
$ | 1,039,169,440 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($429,941,310 applicable to 31,237,919 shares of beneficial interest outstanding - Note 4) |
$ | 13.76 | ||
Maximum sales charge, 2.00% of offering price |
0.28 | |||
|
|
|||
Maximum offering price per share |
$ | 14.04 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($159,727,214 applicable to 11,590,333 shares of beneficial interest outstanding - Note 4) |
$ | 13.78 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($449,500,916 applicable to 32,701,629 shares of beneficial interest outstanding - Note 4) |
$ | 13.75 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
30 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg Intermediate Municipal Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Interest income (net of premium amortized of $ 8,774,393) |
$ | 34,388,999 | ||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
4,930,203 | |||
Administration fees (Note 3) |
||||
Class A Shares |
576,390 | |||
Class C Shares |
217,019 | |||
Class I Shares |
205,172 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
1,152,779 | |||
Class C Shares |
1,046,113 | |||
Transfer agent fees |
||||
Class A Shares |
157,427 | |||
Class C Shares |
86,161 | |||
Class I Shares |
162,216 | |||
Registration and filing fees |
||||
Class A Shares |
41,170 | |||
Class C Shares |
31,005 | |||
Class I Shares |
60,349 | |||
Custodian fees (Note 3) |
151,067 | |||
Professional fees |
50,763 | |||
Accounting fees |
30,675 | |||
Trustee fees |
35,000 | |||
Other expenses |
87,681 | |||
|
|
|||
Total Expenses |
9,021,190 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(105,828 | ) | ||
Fees paid indirectly (Note 3) |
(25,522 | ) | ||
|
|
|||
Net Expenses |
8,889,840 | |||
|
|
|||
Net Investment Income |
25,499,159 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
1,075,284 | |||
Net change in unrealized appreciation (depreciation) on investments |
(36,445,474 | ) | ||
|
|
|||
Net Realized and Unrealized Loss |
(35,370,190 | ) | ||
|
|
|||
Net Decrease in Net Assets Resulting from Operations |
$ | (9,871,031 | ) | |
|
|
See notes to financial statements.
Certified Annual Report 31
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Intermediate Municipal Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 25,499,159 | $ | 25,277,295 | ||||
Net realized gain (loss) on investments |
1,075,284 | 2,323,034 | ||||||
Net unrealized appreciation (depreciation) on investments |
(36,445,474 | ) | 35,830,543 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(9,871,031 | ) | 63,430,872 | |||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(10,928,600 | ) | (12,120,165 | ) | ||||
Class C Shares |
(3,566,005 | ) | (3,778,248 | ) | ||||
Class I Shares |
(11,004,554 | ) | (9,378,882 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(11,257,015 | ) | 56,002,136 | |||||
Class C Shares |
(4,502,452 | ) | 38,025,992 | |||||
Class I Shares |
98,257,908 | 120,086,204 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
47,128,251 | 252,267,909 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
992,041,189 | 739,773,280 | ||||||
End of Year |
$ | 1,039,169,440 | $ | 992,041,189 | ||||
|
|
|
|
|||||
Distribution in excess of net investment income |
$ | (3,781 | ) | $ | (3,781 | ) | ||
|
|
|
|
See notes to financial statements.
32 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Intermediate Municipal Fund (the Fund) is a diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds 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 Funds investment advisor, with the preservation of capital. The Funds secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class C, and Institutional Class (Class I). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use
Certified Annual Report 33
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 1,015,695,240 | $ | | $ | 1,015,695,240 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,015,695,240 | $ | | $ | 1,015,695,240 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
34 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the
Certified Annual Report 35
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Fund that it earned net commissions aggregating $5,924 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $15,331 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .35 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class C expenses do not exceed 1.24%. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $105,828 for Class C shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $25,522.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
5,965,417 | $ | 84,404,539 | 7,619,891 | $ | 106,230,975 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
669,580 | 9,424,691 | 644,066 | 8,991,046 | ||||||||||||
Shares repurchased |
(7,502,932 | ) | (105,086,245 | ) | (4,246,912 | ) | (59,219,885 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(867,935 | ) | $ | (11,257,015 | ) | 4,017,045 | $ | 56,002,136 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
2,531,450 | $ | 35,950,972 | 3,973,096 | $ | 55,487,969 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
207,139 | 2,919,971 | 195,519 | 2,733,791 | ||||||||||||
Shares repurchased |
(3,093,344 | ) | (43,373,395 | ) | (1,444,650 | ) | (20,195,768 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(354,755 | ) | $ | (4,502,452 | ) | 2,723,965 | $ | 38,025,992 | ||||||||
|
|
|
|
|
|
|
|
36 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
17,143,818 | $ | 240,924,202 | 11,479,675 | $ | 160,071,744 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
580,482 | 8,138,676 | 424,006 | 5,917,617 | ||||||||||||
Shares repurchased |
(10,756,211 | ) | (150,804,970 | ) | (3,290,060 | ) | (45,903,157 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
6,968,089 | $ | 98,257,908 | 8,613,621 | $ | 120,086,204 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $404,513,107 and $278,715,191, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 986,975,966 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 34,644,417 | ||
Gross unrealized depreciation on a tax basis |
(5,925,143 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation)on investments (tax basis) |
$ | 28,719,274 | ||
|
|
During the year ended September 30, 2013, the Fund utilized $1,075,284 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2013, the Fund had cumulative tax basis capital losses of $745,825 generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire in 2019.
At September 30, 2013, the Fund had $246,350 tax basis undistributed net tax-exempt income and no net ordinary investment income or tax basis undistributed capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 25,374,964 | $ | 25,125,981 | ||||
Ordinary income |
124,195 | 151,314 | ||||||
|
|
|
|
|||||
Total |
$ | 25,499,159 | $ | 25,277,295 | ||||
|
|
|
|
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 37
Thornburg Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year)+ |
RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net of Year |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 14.22 | 0.33 | (0.46 | ) | (0.13 | ) | (0.33 | ) | | (0.33 | ) | $13.76 | 2.37 | 0.92 | 0.92 | 0.92 | (0.91 | ) | 29.18 | $ | 429,941 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 13.59 | 0.40 | 0.63 | 1.03 | (0.40 | ) | | (0.40 | ) | $14.22 | 2.88 | 0.93 | 0.93 | 0.93 | 7.69 | 16.94 | $ | 456,527 | |||||||||||||||||||||||||||||||||
2011(b) |
$ | 13.64 | 0.48 | (0.05 | ) | 0.43 | (0.48 | ) | | (0.48 | ) | $13.59 | 3.59 | 0.95 | 0.95 | 0.95 | 3.27 | 18.33 | $ | 381,839 | ||||||||||||||||||||||||||||||||
2010(b) |
$ | 13.40 | 0.49 | 0.24 | 0.73 | (0.49 | ) | | (0.49 | ) | $13.64 | 3.68 | 0.97 | 0.97 | 0.97 | 5.61 | 9.87 | $ | 409,844 | |||||||||||||||||||||||||||||||||
2009(b) |
$ | 12.47 | 0.54 | 0.93 | 1.47 | (0.54 | ) | | (0.54 | ) | $13.40 | 4.26 | 0.98 | 0.98 | 0.98 | 12.12 | 15.15 | $ | 337,037 | |||||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 14.24 | 0.29 | (0.46 | ) | (0.17 | ) | (0.29 | ) | | (0.29 | ) | $13.78 | 2.05 | 1.24 | 1.24 | 1.30 | (1.22 | ) | 29.18 | $ | 159,727 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.61 | 0.36 | 0.63 | 0.99 | (0.36 | ) | | (0.36 | ) | $14.24 | 2.56 | 1.24 | 1.24 | 1.31 | 7.36 | 16.94 | $ | 170,071 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.65 | 0.44 | (0.04 | ) | 0.40 | (0.44 | ) | | (0.44 | ) | $13.61 | 3.29 | 1.24 | 1.24 | 1.32 | 3.05 | 18.33 | $ | 125,512 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.42 | 0.45 | 0.24 | 0.69 | (0.46 | ) | | (0.46 | ) | $13.65 | 3.39 | 1.24 | 1.24 | 1.73 | 5.25 | 9.87 | $ | 128,449 | |||||||||||||||||||||||||||||||||
2009 |
$ | 12.48 | 0.50 | 0.94 | 1.44 | (0.50 | ) | | (0.50 | ) | $13.42 | 3.99 | 1.24 | 1.24 | 1.76 | 11.90 | 15.15 | $ | 80,571 | |||||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 14.20 | 0.38 | (0.45 | ) | (0.07 | ) | (0.38 | ) | | (0.38 | ) | $13.75 | 2.68 | 0.61 | 0.61 | 0.61 | (0.53 | ) | 29.18 | $ | 449,501 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.58 | 0.44 | 0.63 | 1.07 | (0.45 | ) | | (0.45 | ) | $14.20 | 3.18 | 0.61 | 0.61 | 0.61 | 7.96 | 16.94 | $ | 365,443 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.62 | 0.52 | (0.04 | ) | 0.48 | (0.52 | ) | | (0.52 | ) | $13.58 | 3.90 | 0.63 | 0.63 | 0.63 | 3.67 | 18.33 | $ | 232,422 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.39 | 0.53 | 0.23 | 0.76 | (0.53 | ) | | (0.53 | ) | $13.62 | 3.99 | 0.65 | 0.65 | 0.65 | 5.87 | 9.87 | $ | 202,859 | |||||||||||||||||||||||||||||||||
2009 |
$ | 12.45 | 0.57 | 0.94 | 1.51 | (0.57 | ) | | (0.57 | ) | $13.39 | 4.59 | 0.66 | 0.66 | 0.68 | 12.56 | 15.15 | $ | 125,709 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
38 Certified Annual Report | Certified Annual Report 39 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
40 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 978.90 | $ | 4.60 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.42 | $ | 4.69 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 981.10 | $ | 6.16 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.85 | $ | 6.27 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 977.40 | $ | 3.05 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.98 | $ | 3.12 |
| Expenses are equal to the annualized expense ratio for each class (A: 0.93%; C: 1.24%; I: 0.62%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 41
INDEX COMPARISON | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Intermediate Municipal Fund versus BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index
and Consumer Price Index (September 30, 2003 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 7/22/91) |
(2.89 | )% | 5.05 | % | 3.58 | % | 4.97 | % | ||||||||
C Shares (Incep: 9/1/94) |
(1.80 | )% | 5.18 | % | 3.51 | % | 4.20 | % | ||||||||
I Shares (Incep: 7/5/96) |
(0.53 | )% | 5.82 | % | 4.13 | % | 4.74 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 2.00%. Class C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.
42 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 43
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
44 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 45
OTHER INFORMATION | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Fund of $25,374,964 (or the maximum allowed) are tax exempt dividends and $124,195 are taxable ordinary investment income dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the evaluation of the Advisors performance, and to discuss the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
46 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over various periods of time relative to two categories of municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating the quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund had produced positive investment returns in accordance with expectations in nine of ten years, that the Funds return for the most recent calendar year had been comparable to the average return of the mutual fund category for which calendar year data was presented, and that the Funds returns had exceeded or had been comparable to the average returns of the category in eight of the preceding nine calendar years. Other noted quantitative data showed that the Funds annualized investment returns fell within the top quartile of performance for the first fund category for the three-year and five-year periods ended with the second quarter of the current year and fell within or near the top decile of the category for the year-to-date and one-year periods, and that the Funds annualized returns also fell within or near the top decile of performance for the second fund category for the same periods. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to these measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fees charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of municipal debt mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was slightly higher than the median and average fee levels for the fund category, and that the expense ratio for a reference share class of the Fund was slightly higher than the median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment manage-
Certified Annual Report 47
OTHER INFORMATION, CONTINUED | ||
Thornburg Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
ment clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund grows in size, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
48 Certified Annual Report
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TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
50 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
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52 This page is not part of the Annual Report.
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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Investment Advisor: Thornburg Investment Management® 800.847.0200 |
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TH079 |
IMPORTANT INFORMATION
The information presented on the following pages is current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. This effect is more pronounced for longer-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Investments in lower-rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher-rated bonds. Investments in derivatives are subject to counterparty risk and the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TSSAX | 885-216-101 | ||
Class C |
TSSCX | 885-216-200 | ||
Class I |
TSSIX | 885-216-309 |
Glossary
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch Municipal Master Index This index tracks the performance of the investment-grade U.S. tax-exempt bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and an investment grade rating (based on an average of Moodys, S&P, and Fitch).
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Core Personal Consumption Expenditure Price Index A measure of the Personal Consumption Expenditure Price Index that excludes the more volatile and seasonal food and energy prices.
Personal Consumption Expenditure Price Index (PCEPI) This index is one measure of U.S. inflation that assesses the percentage change in prices of goods and services purchased by consumers throughout the economy. Of all the measures of consumer price inflation, the PCEPI covers the broadest set of goods and services.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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IMPORTANT INFORMATION,
CONTINUED
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG STRATEGIC MUNICIPAL INCOME FUND
The Thornburg Strategic Municipal Income Fund differentiates itself in four ways from other general municipal funds.
| First, it has a more flexible mandate; we go where we perceive value. This allows us to search various sectors, issuers, credit qualities, geographic areas, and segments of the yield curve. |
| Second, we dont have a legacy of bonds purchased prior to the credit meltdown of 20072008. |
| Third, the Fund does not use leverage, as do many high-yield muni funds. |
| Finally, we believe that we can apply some of the risk-management skills we have demonstrated in our investment grade funds. Our portfolio managers have over 55 years of combined experience in the municipal market. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | Since Inception |
||||||||||
A Shares (Incep: 4/1/09) |
||||||||||||
Without sales charge |
(2.21 | )% | 4.17 | % | 8.63 | % | ||||||
With sales charge |
(4.17 | )% | 3.47 | % | 8.15 | % |
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thorn-burg.com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 2.00%. The total annual fund operating expense of Class A shares is 1.31%, as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, so that actual expenses for Class A shares do not exceed 1.25%.
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
2.90% |
2.53 | % |
Without fee waivers and expense reimburse- ments, the 30-day SEC Yield would have been 2.45% and the Annualized Distribution Yield would have been 2.82%.
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
190 | |||
Effective Duration |
6.3Yrs | |||
Average Maturity |
12.1Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg Strategic Municipal Income Fund
September 30, 2013
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Strategic Municipal Income Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 77 cents to $14.40 per share during the fiscal year. If you were with us for the entire period, you received dividends of 41.1 cents per share. If you reinvested your dividends, you received 41.6 cents per share. Dividends were lower for Class C shares and higher for Class I shares, to account for varying class-specific expenses. The Class A shares of your Fund outperformed the Index with a total return of negative 2.21% at NAV for the fiscal year ended September 30, 2013, compared to the negative 2.75% total return for the BofA Merrill Lynch U.S. Municipal Master Index. The Fund generated 1.92% less price decline and 1.38% less income than the benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Our interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, added 0.60% of relative price performance. Our sector allocations subtracted 1.37% of relative price performance, our overweight to lower credit quality securities subtracted 1.57% of relative price performance compared to the benchmark, and our underweight to securities priced well above par added 2.21%. Other risk factors subtracted another 0.68% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 30, 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
recovery with little inflation. Investors must ask themselves: Why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around midyear. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013, to a high of 2.99% on September 5, 2013.
On September 18, 2013, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlook including economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objective were close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed income markets.
Chart I: Changes in AAA General Obligation Municipal Yield Curve
9/30/2012 9/30/2013
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013 and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Some of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the impact of this type of investor
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
behavior. If inflation is the worst enemy of the fixed income investor, then it can be used as an input to a relative-value measure of fixed-income securities. That relative measure is referred to as real yield. The real yield of a fixed income security is arrived at by subtracting an inflation measure (in this case, the Core Personal Consumption Expenditure Price Index, which is the Feds favored inflation measure) from the yield of that instrument. Chart II shows the real yield of a 30-year AAA-rated general obligation municipal bond from June 1, 1994 through August 31, 2013.
Chart II: 30-Year AAA GO Real Yield (using Core PCE)
6/1/1994 8/31/2013
On November 30, 2012, the real yield of a generic 30-year AAA general obligation municipal bond was 0.83%, versus a long-term average of 3.04%. That is the richest level for the time series. In plain English: this means that after adjusting for inflation, investors in 30-year AAA-rated general-obligation bonds were only earning 0.83% of purchasing power on any purchase made on that date. Over the long term, investors typically earned 3.04% above the inflation rate in purchasing power. By August 31, 2013 (the last available data point), as inflation came down and yields increased, the real yield of the 30-year AAA-rated general obligation municipal bond reached a fairer value of 3.51%. So, how can yields increase in a slow growth, low inflation environment? This conundrum is answered by the acute over-valuation levels reached at the middle of the fiscal year. Investors, in their search for income, pushed fixed-income security prices to unsustainably high levels that needed to be corrected, and they were.
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
10 Certified Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
| Bloomberg State Stock Index |
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It ranged from a 7.4% increase to an 8.1% decrease. For the comparable period of the second quarter of 2011 through the second quarter of 2012, the average was a decrease of 0.87%, with a range from an increase of 11.5% to a decrease of 9.0%. State pension funds are still wrestling with issues: median funding levels have gone from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests a funding level of 80% is adequate).
Against this backdrop, several high profile credit events have taken place in the municipal bond market over the course of the fiscal year. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. The Thornburg Strategic Municipal Income Fund does not own any Detroit general-obligation bonds. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, at 84% and $70,000, respectively.
The Thornburg Strategic Municipal Income Fund has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75% to 77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We will continue to rely on that same fundamental, bottom-up credit research to determine what securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
Conclusion
Your Thornburg Strategic Municipal Income Fund will continue to search for undervalued securities that provide you with the right combination of reward potential for the risks assumed. Contrary to our practice with the core Thornburg municipal bond funds, we do not ladder this portfolio. We recognize that fiscal 2013 has been a tough one for fixed-income investors. In the long term, having a personal portfolio of stocks, fixed-income securities, and money market equivalents can provide investors with well-diversified returns. Investors should be mindful that these diversification effects are only achieved over relatively long time periods. Having a short-term investment horizon can lead to increased volatility and disappointing results. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Sincerely,
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Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
ALABAMA 0.61% |
||||||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) |
A/A2 | $ | 1,000,000 | $ | 1,001,420 | |||||
ARIZONA 0.95% |
||||||||||
Maricopa County PCR, 6.00% due 5/1/2029 put 5/1/2014 (Arizona Public Service Co.) |
BBB+/Baa1 | 500,000 | 515,260 | |||||||
Pima County IDA, 5.875% due 4/1/2022 (Cambridge Academy) |
NR/NR | 405,000 | 399,549 | |||||||
Pima County IDA, 5.125% due 12/1/2040 (Providence Day School) |
BBB+/NR | 710,000 | 628,037 | |||||||
CALIFORNIA 14.69% |
||||||||||
Benicia USD GO, 0% due 8/1/2026 (Benicia High School; Insured: AGM) |
AA-/A2 | 830,000 | 444,108 | |||||||
California HFFA, 6.25% due 2/1/2026 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) |
A/NR | 1,500,000 | 1,698,120 | |||||||
California HFFA, 5.00% due 11/15/2034 (Childrens Hospital Los Angeles) |
BBB+/Baa2 | 420,000 | 400,995 | |||||||
California Housing Finance Agency, 4.625% due 8/1/2016 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) |
BBB/Baa2 | 1,175,000 | 1,226,900 | |||||||
California Housing Finance Agency, 4.625% due 8/1/2026 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) |
BBB/Baa2 | 560,000 | 528,618 | |||||||
California Municipal Finance Authority, 8.50% due 11/1/2039 (Harbor Regional Center) |
NR/Baa1 | 1,000,000 | 1,171,920 | |||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) |
A-/A2 | 1,000,000 | 1,064,800 | |||||||
California State Public Works Board, 6.25% due 4/1/2034 (Department of General Services- Offices Renovation) |
A-/A2 | 100,000 | 113,537 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) |
NR/NR | 200,000 | 200,168 | |||||||
California Statewide Communities Development Authority, 6.125% due 7/1/2046 (Aspire Public Schools) |
NR/NR | 995,000 | 976,274 | |||||||
Calipatria USD GO, 4.00% due 8/1/2017 (Educational Facilities; Insured: AMBAC) |
NR/NR | 150,000 | 150,644 | |||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA) |
NR/NR | 2,425,000 | 1,097,700 | |||||||
Carson Redevelopment Agency, 7.00% due 10/1/2036 (Project Area 1) |
A-/NR | 500,000 | 557,335 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) |
A+/NR | 1,000,000 | 993,340 | |||||||
City of Moorpark Mobile Home Park, 6.15% due 5/15/2031 (Villa Del Arroyo) |
A/NR | 1,000,000 | 1,041,860 | |||||||
City of Santa Monica, 4.00% due 1/1/2017 (Hyperion Project-Wastewater Enterprise; Insured: Natl-Re) |
AAA/Aa2 | 75,000 | 75,197 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2031 (Insured: AGM) |
AA-/A1 | 1,750,000 | 1,785,157 | |||||||
County of El Dorado, 5.00% due 9/1/2026 (El Dorado Hills Development-Community Facilities) |
A/NR | 630,000 | 657,140 | |||||||
Daly County Housing Development Finance Agency, 5.25% due 12/15/2023 (Franciscan Country Club Mobile Home Park Acquisition) |
A/NR | 650,000 | 672,860 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 |
SP-1+/NR | 2,500,000 | 2,541,775 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Los Angeles County Public Works Financing Authority, 4.00% due 9/1/2014 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re) |
A/NR | $ | 75,000 | $ | 77,217 | |||||
Los Angeles County Public Works Financing Authority, 4.00% due 9/1/2015 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re) |
A/NR | 50,000 | 52,385 | |||||||
Los Angeles County Public Works Financing Authority, 3.625% due 9/1/2016 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re) |
A/Baa1 | 200,000 | 209,294 | |||||||
a M-S-R Energy Authority, 6.50% due 11/1/2039 |
A-/NR | 1,000,000 | 1,152,930 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2021 (Redevelopment Project Area 2; Insured: AMBAC) |
A-/NR | 1,285,000 | 910,487 | |||||||
Riverside Community College District GO, 5.00% due 8/1/2021 (Insured: AGM) |
AA/Aa2 | 150,000 | 161,894 | |||||||
Riverside County Asset Leasing Corp., 0% due 6/1/2021 (Riverside County Hospital; Insured: Natl-Re) |
A/A2 | 535,000 | 376,035 | |||||||
San Francisco City & County Redevelopment Financing Authority, 0% due 8/1/2023 (Redevelopment Project; Insured: Natl-Re) |
A/Baa1 | 1,025,000 | 652,023 | |||||||
San Francisco City & County Redevelopment Financing Authority, 6.50% due 8/1/2039 (Mission Bay North Redevelopment) |
A-/NR | 250,000 | 274,588 | |||||||
San Francisco City & County Redevelopment Financing Authority, 6.75% due 8/1/2041 (Mission Bay North Redevelopment) |
A-/NR | 500,000 | 557,690 | |||||||
San Jose Redevelopment Agency, 5.50% due 8/1/2035 (Merged Area Redevelopment) |
A/Ba1 | 1,000,000 | 1,017,570 | |||||||
Sonoma County Community Redevelopment Agency, 6.50% due 8/1/2034 (The Springs Redevelopment; Insured: AGM) |
AA-/NR | 100,000 | 100,374 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2016 (Insured: AMBAC) |
A+/A2 | 500,000 | 503,945 | |||||||
Union Elementary School District, 0% due 9/1/2027 (Santa Clara County District Schools; Insured: Natl-Re) |
AA+/NR | 905,000 | 475,324 | |||||||
COLORADO 4.48% |
||||||||||
Colorado Housing & Finance Authority, 0% due 9/1/2014 (ETM) |
NR/Aa1 | 200,000 | 199,492 | |||||||
Denver Convention Center Hotel Authority, 5.125% due 12/1/2026 (Insured: Syncora) |
BBB-/Baa3 | 2,450,000 | 2,494,100 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2030 (Insured: Syncora) |
BBB-/Baa3 | 450,000 | 448,429 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2035 (Insured: Syncora) |
BBB-/Baa3 | 605,000 | 575,391 | |||||||
Eagle Bend Metropolitan District GO, 5.00% due 12/1/2020 (Insured: Radian) |
A-/NR | 920,000 | 943,442 | |||||||
Eagle River Fire District, 6.625% due 12/1/2024 |
NR/NR | 225,000 | 236,968 | |||||||
Eagle River Fire District, 6.875% due 12/1/2030 |
NR/NR | 400,000 | 415,072 | |||||||
Public Authority for Colorado Energy, 5.75% due 11/15/2018 (Natural Gas Purchase) |
A-/Baa2 | 700,000 | 779,436 | |||||||
Public Authority for Colorado Energy, 6.50% due 11/15/2038 (Natural Gas Purchase) |
A-/Baa2 | 260,000 | 297,105 | |||||||
Regional Transportation District COP, 4.50% due 6/1/2016 pre-refunded 6/1/2012 (Transit Vehicles Project; Insured: AMBAC) |
A-/Aa3 | 350,000 | 373,982 | |||||||
Regional Transportation District COP, 5.375% due 6/1/2031 |
A-/Aa3 | 500,000 | 529,510 | |||||||
CONNECTICUT 1.71% |
||||||||||
Borough of Naugatuck COP, 5.00% due 6/15/2017 (Incineration Facilities; Insured: AMBAC) (AMT) |
NR/Aa3 | 775,000 | 780,100 | |||||||
Connecticut Health & Educational Facilities Authority, 6.00% due 7/1/2039 (Ethel Walker School) |
BBB-/NR | 1,000,000 | 1,016,880 | |||||||
State of Connecticut GO Floating Rate Note, 0.59% due 9/15/2017 (Public Improvements) |
AA/Aa3 | 1,000,000 | 993,260 | |||||||
DELAWARE 1.24% |
||||||||||
Delaware HFA, 5.00% due 7/1/2021 (Nanticoke Memorial Hospital) |
BB+/NR | 1,000,000 | 1,020,530 | |||||||
Delaware HFA, 5.50% due 6/1/2024 (Beebe Medical Center) |
BBB-/Baa3 | 1,000,000 | 1,006,220 | |||||||
DISTRICT OF COLUMBIA 0.45% |
||||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2027 (Dulles Toll Road; Insured: AGM) |
AA-/A3 | 1,500,000 | 728,730 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
FLORIDA 6.42% |
||||||||||
City of Miami GO, 5.00% due 1/1/2017 (Homeland Defense/Neighborhood Capital Improvements) |
BBB-/A3 | $ | 1,245,000 | $ | 1,328,340 | |||||
City of Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements) |
BBB-/A3 | 1,790,000 | 1,909,733 | |||||||
County of Orange, 0% due 10/1/2016 (County Correctional Facilities and Communications System; Insured: AMBAC) |
NR/NR | 410,000 | 383,813 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2027 (Nova Southeastern University) |
BBB/Baa1 | 1,000,000 | 1,033,930 | |||||||
Hollywood Community Redevelopment Agency, 5.625% due 3/1/2024 |
NR/A3 | 340,000 | 342,717 | |||||||
Miami-Dade County School Board COP, 5.00% due 8/1/2027 (District School Facilities and Infrastructure) |
A/A1 | 1,100,000 | 1,170,884 | |||||||
Pinellas County Educational Facilities Authority, 5.25% due 10/1/2030 (Barry University) |
BBB/NR | 500,000 | 501,065 | |||||||
Sarasota County Public Hospital Board, 4.92% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) |
A/A1 | 1,000,000 | 1,013,090 | |||||||
School Board of Marion County COP, 5.25% due 6/1/2022 (Educational Facilities; Insured: AMBAC) |
NR/A1 | 1,000,000 | 1,063,950 | |||||||
St. Johns County IDA, 5.625% due 8/1/2034 (Presbyterian Retirement Communities Project) |
NR/NR | 230,000 | 232,364 | |||||||
Tampa Sports Authority, 5.75% due 10/1/2020 (Tampa Bay Arena; Insured: Natl-Re) |
A/Baa1 | 1,000,000 | 1,080,070 | |||||||
University of Southern Florida Financing Corp. COP, 5.00% due 7/1/2021 (Student Housing & Parking Facilities; Insured: AMBAC) |
A/A1 | 375,000 | 401,539 | |||||||
GEORGIA 1.88% |
||||||||||
City of Atlanta, 6.25% due 11/1/2034 (Water and Wastewater Capital Improvement Program) |
A+/Aa3 | 500,000 | 571,185 | |||||||
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.) |
NR/A2 | 1,000,000 | 1,151,330 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) |
A/A2 | 515,000 | 569,909 | |||||||
Main Street Natural Gas, Inc., 5.50% due 9/15/2023 (Georgia Gas) |
A-/Baa2 | 350,000 | 386,712 | |||||||
Municipal Gas Authority of Georgia GO, 5.00% due 4/1/2016 (Public Gas Partners, Inc.-Gas Portfolio III Project) |
AA-/A1 | 350,000 | 384,566 | |||||||
GUAM 1.95% |
||||||||||
Guam Government, 5.75% due 12/1/2034 (Layon Solid Waste Disposal Facility) |
BBB+/NR | 500,000 | 521,815 | |||||||
Guam Government Department of Education COP, 6.875% due 12/1/2040 (John F. Kennedy High School) |
B/NR | 1,000,000 | 1,034,250 | |||||||
Guam Government GO, 7.00% due 11/15/2039 |
B+/NR | 520,000 | 547,908 | |||||||
Guam Power Authority, 5.00% due 10/1/2027 (Electric Power System; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,076,940 | |||||||
ILLINOIS 8.15% |
||||||||||
Board of Education of the City of Chicago GO, 5.00% due 12/1/2020 (Education Capital Improvement Program; Insured: AGM) |
AA-/A2 | 365,000 | 390,897 | |||||||
City of Chicago, 4.70% due 11/15/2013 (Near South Redevelopment; Insured: AMBAC) |
NR/NR | 800,000 | 802,512 | |||||||
City of Chicago, 5.25% due 1/1/2016 (Municipal Residential Street Improvements; Insured: AMBAC) |
AA+/Baa1 | 800,000 | 803,120 | |||||||
City of Chicago, 5.75% due 1/1/2021 (OHare International Airport Capital Improvement Program; Insured: AGM) (AMT) |
AA-/A2 | 3,000,000 | 3,035,520 | |||||||
City of Chicago, 6.75% due 6/1/2022 (Pilsen Redevelopment) |
NR/NR | 1,000,000 | 1,015,660 | |||||||
City of Chicago, 5.00% due 1/1/2035 (Midway Airport Development Plan; Insured: Natl-Re) |
A/A2 | 1,055,000 | 1,057,458 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Insured: AGM) |
AA-/A2 | 475,000 | 487,697 | |||||||
Cook County GO, 5.25% due 11/15/2033 |
AA/A1 | 1,000,000 | 1,005,250 | |||||||
Illinois Finance Authority, 5.75% due 11/15/2037 (OSF Healthcare System) |
A/A3 | 330,000 | 340,837 | |||||||
Illinois Finance Authority, 6.00% due 5/15/2039 (OSF Healthcare System) |
A/A3 | 1,545,000 | 1,661,756 | |||||||
Kane County Community Unit School District No. 101 GO, 5.00% due 1/1/2017 (Educational Facilities; Insured: AGM) |
NR/Aa2 | 100,000 | 109,357 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 6/15/2050 (McCormick Place) |
AAA/Baa1 | $ | 1,500,000 | $ | 1,465,365 | |||||
Village of Melrose Park GO, 6.75% due 12/15/2016 (Redevelopment Project Costs; Insured: Natl-Re) |
NR/Baa1 | 250,000 | 270,748 | |||||||
Village of Melrose Park GO, 6.75% due 12/15/2021 (Redevelopment Project Costs; Insured: Natl-Re) |
NR/Baa1 | 410,000 | 488,699 | |||||||
Will County School District No. 114 GO, 0% due 12/1/2023 (Educational Facilities; Insured: Natl-Re) |
NR/Baa1 | 570,000 | 341,800 | |||||||
INDIANA 3.10% |
||||||||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) |
NR/NR | 1,000,000 | 1,005,050 | |||||||
Indiana Finance Authority, 6.00% due 12/1/2019 (U.S. Steel Corp.) |
BB-/B1 | 3,000,000 | 3,025,830 | |||||||
Indiana Finance Authority, 6.375% due 9/15/2041 (Marian University) |
BBB-/NR | 1,000,000 | 1,016,780 | |||||||
KANSAS 0.76% |
||||||||||
City of Wichita MFR, 5.90% due 12/1/2016 (Brentwood Apartments) |
B/NR | 330,000 | 324,377 | |||||||
City of Wichita MFR, 5.85% due 12/1/2025 (Brentwood Apartments) |
B/NR | 895,000 | 752,480 | |||||||
Kansas City Community College COP, 3.00% due 4/1/2016 (Higher Education Campus Facilities) |
AA/NR | 150,000 | 157,197 | |||||||
KENTUCKY 1.80% |
||||||||||
County of Owen, 6.25% due 6/1/2039 (Kentucky-American Water Co. Project) |
A-/Baa1 | 540,000 | 570,467 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 715,000 | 523,752 | |||||||
Kentucky Economic DFA, 0% due 10/1/2022 (Norton Healthcare, Inc.; Insured: Natl-Re) |
A/Baa1 | 2,650,000 | 1,832,448 | |||||||
LOUISIANA 1.60% |
||||||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2032 (Black & Gold Facilities; Insured: CIFG) |
AA-/A3 | 120,000 | 120,276 | |||||||
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 (Ochsner Clinic Foundation) |
NR/Baa1 | 500,000 | 502,170 | |||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) |
BBB/Baa2 | 2,000,000 | 1,991,360 | |||||||
MASSACHUSETTS 0.24% |
||||||||||
Massachusetts Educational Financing Authority, 6.00% due 1/1/2028 |
AA/NR | 370,000 | 393,976 | |||||||
MICHIGAN 9.11% |
||||||||||
City of Detroit, 0% due 7/1/2017 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 100,000 | 80,848 | |||||||
City of Detroit, 5.00% due 7/1/2017 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 100,000 | 100,426 | |||||||
City of Detroit, 0% due 7/1/2018 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 330,000 | 251,130 | |||||||
City of Detroit, 5.00% due 7/1/2018 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 350,000 | 350,599 | |||||||
City of Detroit, 5.00% due 7/1/2020 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 1,000,000 | 992,020 | |||||||
City of Detroit, 5.25% due 7/1/2021 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 200,000 | 199,996 | |||||||
City of Detroit, 5.00% due 7/1/2022 (Water Supply System; Insured: Natl-Re) |
A/Baa1 | 260,000 | 252,801 | |||||||
City of Detroit, 5.25% due 7/1/2023 (Sewage Disposal System; Insured: Natl-Re) |
A/Baa1 | 180,000 | 176,888 | |||||||
City of Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 (Bronson Methodist Hospital) |
NR/A2 | 1,000,000 | 991,910 | |||||||
City of Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 (Bronson Nursing and Rehabilitation Center) |
NR/A2 | 1,000,000 | 1,013,100 | |||||||
City of Troy GO, 5.25% due 11/1/2032 (Downtown Development Authority-Community Center Facilities) |
AAA/NR | 1,025,000 | 1,092,322 | |||||||
b County of Genesee GO, 5.375% due 11/1/2038 (Water Supply System; Insured: BAM) |
AA/A2 | 1,000,000 | 1,010,400 | |||||||
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site; Insured: AGM) |
AA-/Aa2 | 1,000,000 | 1,045,860 | |||||||
Livonia Public School District GO, 5.00% due 5/1/2036 (School Building & Site) |
AA-/A1 | 225,000 | 226,523 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2031 (State Dept. of Human Services Office Buildings) |
A+/NR | 1,000,000 | 1,000,000 | |||||||
Michigan Finance Authority, 8.125% due 4/1/2041 (Hope Academy Project) |
NR/NR | 990,000 | 1,057,419 | |||||||
Michigan Housing Development Authority, 3.375% due 11/1/2016 (AMT) |
AA/NR | 655,000 | 671,388 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) |
NR/NR | $ | 1,050,000 | $ | 1,066,327 | |||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2015 (Edward W. Sparrow Hospital Assoc.) |
A+/A1 | 200,000 | 214,812 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Southshore Medical Center) |
A/A2 | 650,000 | 665,931 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 11/15/2039 (Henry Ford Health System) |
A/A2 | 1,000,000 | 1,019,540 | |||||||
Michigan Strategic Fund, 7.00% due 5/1/2021 (The Detroit Edison Company; Insured: Natl- Re/AMBAC) |
NR/NR | 250,000 | 305,743 | |||||||
School District of the City of Detroit, 5.00% due 5/1/2025 (School Building & Site; Insured: Q-SBLF) |
AA-/Aa2 | 1,000,000 | 1,055,690 | |||||||
MINNESOTA 0.95% |
||||||||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2023 (Airport, Marina & Port Improvements; Insured: AMBAC) (AMT) |
AA+/Aa1 | 1,000,000 | 1,045,300 | |||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2023 |
A-/A2 | 115,000 | 121,040 | |||||||
Washington County Housing Redevelopment Authority, 5.625% due 6/1/2037 (Birchwood & Woodbury) |
NR/NR | 415,000 | 377,658 | |||||||
MISSISSIPPI 0.09% |
||||||||||
Jackson Public School District, 4.00% due 2/1/2018 (District Long Range Capital Expenditure Program; Insured: AGM) (State Aid Withholding) |
NR/Aa3 | 140,000 | 146,125 | |||||||
MISSOURI 2.24% |
||||||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project- Public Improvements) |
NR/NR | 1,170,000 | 1,220,474 | |||||||
Tax Increment Financing Commission of Kansas City, 6.00% due 5/1/2030 (Union Hill Redevelopment Project) |
NR/NR | 2,505,000 | 2,432,705 | |||||||
NEVADA 0.93% |
||||||||||
Redevelopment Agency of the City of Mesquite, 7.00% due 6/1/2019 (Public Facility and Redevelopment Projects) |
BBB+/NR | 700,000 | 711,354 | |||||||
Redevelopment Agency of the City of Mesquite, 7.125% due 6/1/2021 (Public Facility and Redevelopment Projects) |
BBB+/NR | 300,000 | 303,882 | |||||||
Redevelopment Agency of the City of Mesquite, 7.375% due 6/1/2024 (Public Facility and Redevelopment Projects) |
BBB+/NR | 500,000 | 506,030 | |||||||
NEW JERSEY 0.46% |
||||||||||
Higher Education Student Assistance Authority, 5.75% due 12/1/2039 (NJCLASS Student Loan Program) (AMT) |
A/A2 | 750,000 | 741,015 | |||||||
NEW MEXICO 0.64% |
||||||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) |
BBB+/Baa1 | 1,000,000 | 1,036,190 | |||||||
NEW YORK 0.46% |
||||||||||
City of Syracuse, 5.00% due 8/1/2017 (City Public and School Building Capital Projects; Insured: AGM) (State Aid Withholding) |
AA-/A1 | 400,000 | 427,232 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2016 (David Axelrod Institute for Public Health) |
AA-/Aa3 | 315,000 | 325,175 | |||||||
NORTH CAROLINA 0.27% |
||||||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2020 (Progress Energy Carolinas, Inc. Initial Project Acquisition; Insured: AMBAC) |
A-/NR | 410,000 | 446,531 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
OHIO 2.89% |
||||||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) |
A/A3 | $500,000 | $ | 570,675 | ||||||
Cleveland-Cuyahoga County Port Authority, 6.25% due 5/15/2016 (Council for Economic Opportunities in Greater Cleveland Project; LOC: FifthThird Bank) |
BBB+/NR | 270,000 | 270,184 | |||||||
Cleveland-Cuyahoga County Port Authority, 7.00% due 5/15/2040 (Flats East Development Project; LOC: FifthThird Bank) |
BBB+/NR | 1,000,000 | 1,054,830 | |||||||
Ohio State Air Quality Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa3 | 100,000 | 103,089 | |||||||
Ohio Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa2 | 1,000,000 | 1,073,180 | |||||||
Ohio Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) |
BBB-/Baa3 | 1,350,000 | 1,359,693 | |||||||
Wyoming City School District GO, 5.00% due 12/1/2018 (Educational Facilities; Insured: AGM) |
NR/A2 | 250,000 | 270,102 | |||||||
OREGON 0.91% |
||||||||||
City of Portland, 6.05% due 11/1/2034 (Multifamily Housing-Pacific Tower Apartments) (AMT) |
NR/Baa1 | 490,000 | 481,949 | |||||||
Western Generation Agency, 5.00% due 1/1/2016 (Wauna Cogeneration Project; Insured: ACA) |
NR/NR | 1,000,000 | 1,006,270 | |||||||
OTHER EXCHANGE-TRADED FUND 3.08% |
||||||||||
iShares National AMT-Free Muni Bond Exchange Traded Fund |
NR/NR | 48,000 | 5,015,520 | |||||||
PENNSYLVANIA 5.01% |
||||||||||
Allegheny County IDA, 6.75% due 8/15/2035 (Propel Charter School) |
BBB-/NR | 950,000 | 988,655 | |||||||
City of Philadelphia, 5.00% due 6/15/2027 (Philadelphia International and Northeast Philadelphia Airports) (AMT) |
A+/A2 | 2,000,000 | 2,051,420 | |||||||
Pennsylvania Economic Development Financing Authority, 5.00% due 12/1/2014 (Colver Project; Insured: AMBAC) (AMT) |
BBB-/Ba1 | 450,000 | 457,493 | |||||||
Pennsylvania Economic Development Financing Authority, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) |
BBB-/Ba1 | 1,800,000 | 1,775,916 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) |
A-/A3 | 2,000,000 | 1,848,080 | |||||||
Philadelphia IDA, 6.00% due 8/1/2035 (Mast Charter School) |
BBB+/NR | 1,000,000 | 1,038,460 | |||||||
RHODE ISLAND 0.47% |
||||||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2022 (Public Housing Development) |
AA-/NR | 315,000 | 364,370 | |||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2024 (Public Housing Development) |
AA-/NR | 350,000 | 395,972 | |||||||
SOUTH DAKOTA 0.72% |
||||||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2027 (Avera Health) |
AA-/A1 | 400,000 | 412,676 | |||||||
South Dakota Health & Educational Facilities Authority, 5.50% due 11/1/2040 (Sanford Health) |
A+/A1 | 750,000 | 761,573 | |||||||
TENNESSEE 0.39% |
||||||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2015 |
BBB/Baa3 | 100,000 | 104,230 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2024 |
A-/Baa2 | 500,000 | 532,120 | |||||||
TEXAS 12.96% |
||||||||||
Austin Convention Enterprises, Inc., 5.25% due 1/1/2024 (Austin Convention Center; Insured: Syncora) |
BB+/Ba1 | 720,000 | 725,069 | |||||||
Austin Convention Enterprises, Inc., 5.00% due 1/1/2034 (Austin Convention Center; Insured: Syncora) |
BB+/Ba1 | 665,000 | 598,374 | |||||||
City of Kerrville Health Facilities Development Corp., 5.45% due 8/15/2035 (Sid Peterson Memorial Hospital) |
BBB-/NR | 2,665,000 | 2,674,620 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Commissioners Court of Bexar County, 5.00% due 6/15/2018 (County Highway Construction and Maintenance) |
AA+/Aaa | $ | 200,000 | $ | 215,520 | |||||
Kimble County Hospital District, 6.25% due 8/15/2033 |
NR/NR | 500,000 | 547,400 | |||||||
La Vernia Higher Education Finance Corp., 6.25% due 8/15/2039 (Kipp, Inc.) |
BBB/NR | 1,000,000 | 1,039,680 | |||||||
San Antonio Energy Acquisition Public Facilities Corp., 5.50% due 8/1/2021 |
A-/Baa3 | 40,000 | 44,373 | |||||||
San Juan Higher Education Finance Authority, 6.70% due 8/15/2040 (IDEA Public Schools) |
BBB/NR | 1,000,000 | 1,070,800 | |||||||
State of Texas, 2.00% due 8/28/2014 (General Revenue Fund-Cash Flow Management) |
SP-1+/Mig1 | 3,500,000 | 3,557,645 | |||||||
Tarrant County Cultural Educational Facilities Finance Corp., 0.07% due 10/1/2041 put 10/1/2013 (Methodist Hospitals of Dallas; LOC: JPMorgan Chase Bank) (daily demand notes) |
AAA/Aa1 | 5,630,000 | 5,630,000 | |||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) |
A/A2 | 1,165,000 | 1,514,710 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 4.15% due 8/15/2016 (IDEA Public Schools; Insured: ACA) |
BBB/NR | 100,000 | 105,402 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 2/15/2018 (Cosmos Foundation, Inc.) |
BBB/NR | 670,000 | 686,984 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools; Insured: ACA) |
BBB/NR | 155,000 | 159,106 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (IDEA Public Schools; Insured: ACA) |
BBB/NR | 1,550,000 | 1,490,108 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.20% due 2/15/2040 (Cosmos Foundation, Inc.) |
BBB/NR | 1,000,000 | 1,045,330 | |||||||
U.S. VIRGIN ISLANDS 0.41% |
||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2037 |
NR/Baa3 | 500,000 | 548,285 | |||||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 |
NR/NR | 120,000 | 120,262 | |||||||
UTAH 0.81% |
||||||||||
Herriman City, 4.75% due 11/1/2022 (Towne Center Access and Utility Improvements) |
AA-/NR | 1,000,000 | 1,061,530 | |||||||
State Board of Regents of the State of Utah, 4.00% due 11/1/2013 (Student Loans) |
AAA/Aaa | 250,000 | 250,825 | |||||||
VIRGINIA 1.05% |
||||||||||
City of Lexington IDA, 5.375% due 1/1/2028 (Residential Care Facility-Kendal at Lexington) |
NR/NR | 1,000,000 | 964,700 | |||||||
Virginia Housing Development Authority GO, 4.66% due 1/1/2027 (Low-Moderate Income Mortgage Loan Program) (AMT) |
AAA/Aaa | 200,000 | 200,818 | |||||||
Virginia Small Business Financing Authority, 9.00% due 7/1/2039 pre-refunded 7/1/2014 (Hampton RDS Proton) |
NR/NR | 500,000 | 539,475 | |||||||
WASHINGTON 1.58% |
||||||||||
Skagit County Public Hospital District No. 1, 5.75% due 12/1/2028 (Skagit Valley Hospital) |
NR/Baa2 | 1,510,000 | 1,550,891 | |||||||
Washington Health Care Facilities Authority, 5.70% due 7/1/2038 (Overlake Hospital Medical Center) |
A-/A2 | 1,000,000 | 1,024,420 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 95.46% (Cost $150,439,207) |
$ | 155,487,234 | ||||||||
OTHER ASSETS LESS LIABILITIES 4.54% |
7,396,951 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 162,884,185 | ||||||||
|
|
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | Segregated as collateral for a when-issued security. |
b | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
20 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $150,439,207) (Note 2) |
$ | 155,487,234 | ||
Cash |
5,976,507 | |||
Receivable for investments sold |
930,880 | |||
Receivable for fund shares sold |
192,570 | |||
Interest receivable |
2,097,063 | |||
Prepaid expenses and other assets |
22,377 | |||
|
|
|||
Total Assets |
164,706,631 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
981,710 | |||
Payable for fund shares redeemed |
622,095 | |||
Payable to investment advisor and other affiliates (Note 3) |
124,582 | |||
Accounts payable and accrued expenses |
59,166 | |||
Dividends payable |
34,893 | |||
|
|
|||
Total Liabilities |
1,822,446 | |||
|
|
|||
NET ASSETS |
$ | 162,884,185 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 3,622 | ||
Net unrealized appreciation |
5,048,027 | |||
Accumulated net realized gain (loss) |
610,543 | |||
Net capital paid in on shares of beneficial interest |
157,221,993 | |||
|
|
|||
$ | 162,884,185 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($52,278,013 applicable to 3,631,605 shares of beneficial interest outstanding - Note 4) |
$ | 14.40 | ||
Maximum sales charge, 2.00% of offering price |
0.29 | |||
|
|
|||
Maximum offering price per share |
$ | 14.69 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($21,344,301 applicable to 1,481,178 shares of beneficial interest outstanding - Note 4) |
$ | 14.41 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($ 89,261,871 applicable to 6,194,914 shares of beneficial interest outstanding - Note 4) |
$ | 14.41 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 21
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Municipal Income Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income |
$ | 2,238 | ||
Interest income (net of premium amortized of $945,221) |
7,262,421 | |||
|
|
|||
Total Income |
7,264,659 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
1,366,892 | |||
Administration fees (Note 3) |
||||
Class A Shares |
78,159 | |||
Class C Shares |
30,793 | |||
Class I Shares |
47,545 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
156,317 | |||
Class C Shares |
147,807 | |||
Transfer agent fees |
||||
Class A Shares |
32,627 | |||
Class C Shares |
18,193 | |||
Class I Shares |
38,926 | |||
Registration and filing fees |
||||
Class A Shares |
27,482 | |||
Class C Shares |
22,490 | |||
Class I Shares |
29,080 | |||
Custodian fees (Note 3) |
61,891 | |||
Professional fees |
47,538 | |||
Accounting fees |
6,082 | |||
Trustee fees |
6,726 | |||
Other expenses |
32,913 | |||
|
|
|||
Total Expenses |
2,151,461 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(81,087 | ) | ||
Fees paid indirectly (Note 3) |
(4,204 | ) | ||
|
|
|||
Net Expenses |
2,066,170 | |||
|
|
|||
Net Investment Income |
5,198,489 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
610,582 | |||
Net change in unrealized appreciation (depreciation) on investments |
(9,694,162 | ) | ||
|
|
|||
Net Realized and Unrealized Loss |
(9,083,580 | ) | ||
|
|
|||
Net Decrease in Net Assets Resulting from Operations |
$ | (3,885,091 | ) | |
|
|
See notes to financial statements.
22 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Strategic Municipal Income Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 5,198,489 | $ | 4,940,467 | ||||
Net realized gain (loss) on investments |
610,582 | 431,431 | ||||||
Net unrealized appreciation (depreciation) on investments |
(9,694,162 | ) | 10,241,692 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(3,885,091 | ) | 15,613,590 | |||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(1,710,530 | ) | (1,821,624 | ) | ||||
Class C Shares |
(600,810 | ) | (577,455 | ) | ||||
Class I Shares |
(2,887,149 | ) | (2,541,388 | ) | ||||
From realized gains |
||||||||
Class A Shares |
(158,051 | ) | (35,959 | ) | ||||
Class C Shares |
(57,504 | ) | (13,233 | ) | ||||
Class I Shares |
(215,913 | ) | (48,816 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(10,039,182 | ) | 21,540,065 | |||||
Class C Shares |
(880,639 | ) | 6,778,829 | |||||
Class I Shares |
1,965,732 | 32,570,889 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets |
(18,469,137 | ) | 71,464,898 | |||||
NET ASSETS |
||||||||
Beginning of Year |
181,353,322 | 109,888,424 | ||||||
|
|
|
|
|||||
End of Year |
$ | 162,884,185 | $ | 181,353,322 | ||||
|
|
|
|
|||||
Undistributed net investment income |
$ | 3,622 | $ | 3,622 |
See notes to financial statements.
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Strategic Municipal Income Fund (the Fund) is a diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds primary investment objective is to seek a high level of current income exempt from federal individual income tax.
The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class C, and Institutional Class (Class I). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value. Exchange-traded funds are primarily valued using the closing price on the valuation date.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 150,471,714 | $ | | $ | 150,471,714 | $ | | ||||||||
Exchange-Traded Funds |
5,015,520 | 5,015,520 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 155,487,234 | $ | 5,015,520 | $ | 150,471,714 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .75 of 1% to .50 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
that it earned net commissions aggregating $720 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,854 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .35 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class A and Class C expenses do not exceed 1.25% and 1.55%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $33,445 for Class A shares and $43,463 for Class C shares and voluntarily reimbursed $4,179 for Class I shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For year ended September 30, 2013, fees paid indirectly were $4,204.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year
Ended September 30, 2013 |
Year
Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
1,268,566 | $ | 19,218,808 | 2,136,532 | $ | 31,110,750 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
112,412 | 1,684,533 | 97,853 | 1,436,857 | ||||||||||||
Shares repurchased |
(2,064,383 | ) | (30,942,523 | ) | (750,631 | ) | (11,007,542 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(683,405 | ) | $ | (10,039,182 | ) | 1,483,754 | $ | 21,540,065 | ||||||||
|
|
|
|
|
|
|
|
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares |
||||||||||||||||
Shares sold |
466,350 | $ | 7,039,591 | 727,947 | $ | 10,720,340 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
36,935 | 553,550 | 28,039 | 412,028 | ||||||||||||
Shares repurchased |
(571,287 | ) | (8,473,780 | ) | (296,969 | ) | (4,353,539 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(68,002 | ) | $ | (880,639 | ) | 459,017 | $ | 6,778,829 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
2,115,021 | $ | 31,792,973 | 3,079,352 | $ | 45,330,018 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
186,468 | 2,792,658 | 144,496 | 2,125,272 | ||||||||||||
Shares repurchased |
(2,192,296 | ) | (32,619,899 | ) | (1,027,578 | ) | (14,884,401 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
109,193 | $ | 1,965,732 | 2,196,270 | $ | 32,570,889 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $62,303,169 and $63,511,231, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 150,439,207 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 5,925,143 | ||
Gross unrealized depreciation on a tax basis |
(877,116 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 5,048,027 | ||
|
|
For the year ended September 30, 2013, the Fund had $38,515 of tax basis undistributed net tax-exempt income, $610,543 of tax basis undistributed capital gains and no undistributed net ordinary investment income.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 5,112,447 | $ | 4,841,870 | ||||
Ordinary income |
474,043 | 98,597 | ||||||
Capital gains |
43,467 | 98,008 | ||||||
|
|
|
|
|||||
Total |
$ | 5,629,957 | $ | 5,038,475 | ||||
|
|
|
|
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 29
Thornburg Strategic Municipal Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ |
RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Fiscal |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net of |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 15.17 | 0.41 | (0.74 | ) | (0.33 | ) | (0.41 | ) | (0.03) | (0.44 | ) | $14.40 | 2.74 | 1.25 | 1.25 | 1.31 | (2.21 | ) | 37.42 | $ | 52,278 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 14.06 | 0.49 | 1.13 | 1.62 | (0.50 | ) | (0.01) | (0.51 | ) | $15.17 | 3.34 | 1.25 | 1.25 | 1.31 | 11.71 | 12.52 | $ | 65,446 | |||||||||||||||||||||||||||||||||
2011(b) |
$ | 14.22 | 0.59 | (0.14 | ) | 0.45 | (0.59 | ) | (0.02) | (0.61 | ) | $14.06 | 4.37 | 1.25 | 1.25 | 1.38 | 3.47 | 19.45 | $ | 39,808 | ||||||||||||||||||||||||||||||||
2010(b) |
$ | 13.86 | 0.60 | 0.48 | 1.08 | (0.61 | ) | (0.11) | (0.72 | ) | $14.22 | 4.40 | 1.25 | 1.25 | 1.50 | 8.20 | 16.26 | $ | 28,166 | |||||||||||||||||||||||||||||||||
2009(b)(c) |
$ | 11.94 | 0.29 | 1.91 | 2.20 | (0.28 | ) | | (0.28 | ) | $13.86 | 4.71 | (d) | 1.25 | (d) | 1.25 | (d) | 2.92 | (d) | 18.65 | 14.37 | $ | 11,761 | |||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.18 | 0.37 | (0.74 | ) | (0.37 | ) | (0.37 | ) | (0.03) | (0.40 | ) | $14.41 | 2.44 | 1.55 | 1.55 | 1.73 | (2.50 | ) | 37.42 | $ | 21,344 | ||||||||||||||||||||||||||||||
2012 |
$ | 14.07 | 0.45 | 1.12 | 1.57 | (0.45 | ) | (0.01) | (0.46 | ) | $15.18 | 3.04 | 1.55 | 1.55 | 1.78 | 11.38 | 12.52 | $ | 23,521 | |||||||||||||||||||||||||||||||||
2011 |
$ | 14.23 | 0.55 | (0.14 | ) | 0.41 | (0.55 | ) | (0.02) | (0.57 | ) | $14.07 | 4.07 | 1.55 | 1.55 | 1.83 | 3.16 | 19.45 | $ | 15,344 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.87 | 0.55 | 0.49 | 1.04 | (0.57 | ) | (0.11) | (0.68 | ) | $14.23 | 4.05 | 1.55 | 1.55 | 2.36 | 7.88 | 16.26 | $ | 15,261 | |||||||||||||||||||||||||||||||||
2009(c) |
$ | 11.94 | 0.27 | 1.93 | 2.20 | (0.27 | ) | | (0.27 | ) | $13.87 | 4.40 | (d) | 1.55 | (d) | 1.55 | (d) | 6.40 | (d)(e) | 18.58 | 14.37 | $ | 3,684 | |||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.18 | 0.45 | (0.73 | ) | (0.28 | ) | (0.46 | ) | (0.03) | (0.49 | ) | $14.41 | 3.04 | 0.95 | 0.95 | 0.96 | (1.92 | ) | 37.42 | $ | 89,262 | ||||||||||||||||||||||||||||||
2012 |
$ | 14.07 | 0.53 | 1.13 | 1.66 | (0.54 | ) | (0.01) | (0.55 | ) | $15.18 | 3.62 | 0.95 | 0.95 | 0.95 | 12.03 | 12.52 | $ | 92,386 | |||||||||||||||||||||||||||||||||
2011 |
$ | 14.23 | 0.63 | (0.14 | ) | 0.49 | (0.63 | ) | (0.02) | (0.65 | ) | $14.07 | 4.62 | 0.99 | 0.99 | 1.03 | 3.74 | 19.45 | $ | 54,736 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.87 | 0.64 | 0.48 | 1.12 | (0.65 | ) | (0.11) | (0.76 | ) | $14.23 | 4.66 | 0.99 | 0.99 | 1.11 | 8.48 | 16.26 | $ | 42,134 | |||||||||||||||||||||||||||||||||
2009(c) |
$ | 11.94 | 0.31 | 1.92 | 2.23 | (0.30 | ) | | (0.30 | ) | $13.87 | 4.90 | (d) | 0.99 | (d) | 0.99 | (d) | 2.12 | (d) | 18.87 | 14.37 | $ | 18,561 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Fund commenced operations on April 1, 2009. |
(d) | Annualized. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Annual Report | Certified Annual Report 31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Strategic Municipal Income Fund
To the Trustees and Shareholders of
Thornburg Strategic Municipal Income Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Strategic Municipal Income Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
32 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 963.10 | $ | 6.15 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 961.10 | $ | 7.61 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.30 | $ | 7.83 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 963.90 | $ | 4.78 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.20 | $ | 4.92 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.55%; I: 0.97%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 33
INDEX COMPARISON | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Strategic Municipal Income Fund versus BofA Merrill Lynch Municipal Master Index and Consumer Price Index (April 1, 2009 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | Since Inception |
||||||||||
A Shares (Incep: 4/1/09) |
(4.17 | )% | 3.47 | % | 8.15 | % | ||||||
C Shares (Incep: 4/1/09) |
(3.07 | )% | 3.86 | % | 8.33 | % | ||||||
I Shares (Incep: 4/1/09) |
(1.92 | )% | 4.46 | % | 8.94 | % | ||||||
BofA Merrill Lynch Municipal Master Index (Since: 4/1/09) |
(2.75 | )% | 3.28 | % | 5.84 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 2.00% . Class C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.
34 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 35
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
36 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | |||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc.International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trusteeserves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 37
OTHER INFORMATION | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013 dividends paid by the Fund of $5,112,447 (or the maximum allowed) are tax exempt dividends, $474,043 are taxable ordinary investment income dividends, and $43,467 are designated as taxable long-term capital gain dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Strategic Municipal Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
38 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance since inception relative to two categories of municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the three full calendar years since the Funds inception, which showed that the Funds investment return was lower in 2012 than the average return of the mutual fund category for which calendar year data was presented, was higher in 2011 and was comparable in 2010 to the average return of the category. Other noted quantitative data showed that the Funds annualized investment returns fell in the top decile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year, fell in the third quartile for the one-year period and fell above the midpoint of performance for the category for the three-year period, and that the Funds annualized investment returns fell within or immediately below the top decile of performance for the second fund category for the year-to-date, one-year and three-year periods ended with the second quarter of the current year.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectus, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of municipal debt mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was somewhat higher than the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was higher than the median and slightly higher than the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
Certified Annual Report 39
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Municipal Income Fund |
September 30, 2013 (Unaudited) |
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund increases in size due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectus, the investment performance of the Fund, comparisons of fees and costs charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
40 Certified Annual Report
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TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
42 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 43
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 45
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH1978 |
IMPORTANT INFORMATION
The information presented on the following pages is current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
LTCAX | 885-215-426 | ||
Class C |
LTCCX | 885-215-418 | ||
Class I |
LTCIX | 885-215-392 |
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index A subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
This page is not part of the Annual Report. 3
IMPORTANT INFORMATION, CONTINUED
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG CALIFORNIA LIMITED TERM MUNICIPAL FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market condi- tions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| Diversifying among a large number of generally high-quality bonds. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.95%, as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A Shares from February 19, 1987 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 2/19/87) |
||||||||||||||||||||
Without sales charge |
0.28 | % | 2.66 | % | 4.33 | % | 3.16 | % | 4.60 | % | ||||||||||
With sales charge |
(1.22 | )% | 2.16 | % | 4.02 | % | 3.01 | % | 4.54 | % |
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
1.80% |
0.92 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
291 | |||
Effective Duration |
3.5Yrs | |||
Average Maturity |
4.4Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg California Limited Term Municipal Fund
September 30, 2013
Table of Contents |
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Shareholder:
We are pleased to present the annual report for the Thornburg California Limited Term Municipal Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 21 cents to $13.54 per share during the fiscal year ended September 30, 2013. If you were with us for the entire period, you received dividends of 24.0 cents per share. If you reinvested your dividends, you received 24.2 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund outperformed the Index with a total return of 0.28% at NAV for the fiscal year ended September 30, 2013, compared to the negative 0.20% total return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index. The Fund generated 2.83% less price decline and 2.35% less income than its benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, subtracted 0.13% of relative price performance. Our sector allocations added 1.87% of relative price performance, and our overweight to lower-credit-quality securities added 0.19% of relative price performance, compared to its benchmark. Other risk factors accounted for another 0.89% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the national economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 30, 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint recovery with little inflation. Investors must ask themselves: Why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed-income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed
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LETTER TO SHAREHOLDERS,
CONTINUED
securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around mid-year. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013, to a high of 2.99% on September 5, 2013.
On September 18, 2013, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlook including economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objective were close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative
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LETTER TO SHAREHOLDERS,
CONTINUED
returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed income markets.
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013 and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Some of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I: Changes in AAA General Obligation Municipal Yield Curve
9/30/2012 9/30/2013
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the yield difference between a 5-year maturity AAA-rated general-obligation municipal bond and a 10-year maturity AAA-rated general-obligation bond. This difference in yield between long and shorter maturities is the slope of the yield curve. At the beginning of the fiscal year, an investor earned an extra 1.06% by investing in a 10-year, AAA-rated security versus a 5-year AAA-rated security. That difference decreased to 0.77% by the end of November 2012 as investors clamored for more income, under the impression that the Feds stimulative quantitative easing program (QE3) would remain intact for a prolonged period of time. In June, after the Fed announced its intent to taper purchases, longer-maturity yields increased more
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LETTER TO SHAREHOLDERS,
CONTINUED
than shorter-term securities, and the difference in yield increased to 1.55% on August 30, 2013. On September 18, 2013, when the Fed surprised the market, longer-maturity bonds decreased in yield more than shorter-maturity bonds, and this yield difference decreased to 1.30% by fiscal year end. On an all-in basis, the 10-year maturity AAA-rated general obligation municipal bond increased in yield 0.24% more than the 5-year AAA-rated general obligation municipal bond.
Chart II: 5-10 Year AAA General Obligation Yield Curve Slope
6/3/1994 8/31/2013
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
| Bloomberg State Stock Index |
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It ranged from a 7.4% increase to an 8.1% decrease. Californias overall reading is 6.3%, putting it at number five among the states. For the comparable period of the second quarter of 2011 through the second quarter of 2012, the average was a decrease of 0.87%, with a range from an increase of 11.5% to a decrease of 9.0%. California had a score of 0.01%, putting it in 18th place. State pension funds are still wrestling with issues: median funding levels have gone from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests a funding level of 80% is adequate). Californias pension system was 78.4% funded for 2011, down from 87.4% funded in 2007. At the current level, Californias pension system ranks 20th among the states in overall funding levels. At this writing, the city of Stockton has reached a settlement with the majority of its creditors, one that has has left many important questions unanswered. Reuters recently reported that Stockton has reached compromises with several of its major creditors:
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LETTER TO SHAREHOLDERS,
CONTINUED
The deals also could avert a major court fight promised by the creditors, bond insurers that led opposition to Stocktons bankruptcy and who had threatened to drag the state pension fund Calpers into their fight with the city.
In our estimation, these deals do not solve the citys underlying financial problems, and leave the issue of how pensions and bonds are to be treated to the litigation surrounding Detroits Chapter 9 filing.
Several high-profile out-of-state credit events took place in the municipal bond market over fiscal year 2013. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, 84% and $70,000, respectively.
The Thornburg California Limited Term Municipal Fund has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75% to 77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We continue to rely on that same fundamental, bottom-up credit research to determine which securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
In contrast, California has not fallen into the financial equivalent of the Pacific Ocean. In fact, another Barrons cover story reads:
California has undergone a dramatic fiscal turnaround, as projected annual budget deficits of $20 billion out of total spending of almost $100 billion have melted away. California got a lift from a huge income-tax hike approved by voters last November.
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Conclusion
Your Thornburg California Limited Term Municipal Fund currently maintains a laddered portfolio structure of 144 municipal obligors. This structure has the potential to maximize an investors income. By our calculations, laddering outperforms the other bullet and barbell structures two-thirds of the time.1 This approach effectively manages a portfolios yield-curve exposure via a roughly equal weighting of each maturity, thereby mitigating a major risk factor. Chart I illustrates that yield changes are not uniform across the California Limited Term Municipal Funds investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year, so it can be reinvested. Chart III describes the percentages of your Funds bond portfolio maturing in each of the coming years.
Chart III: Percent of Portfolio Maturing
We recognize that fiscal 2013 has been a tough one for fixed income investors. We continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Sincerely,
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Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
1 | For a copy of the study, go to www.thornburg.com/whyladder |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Alameda County COP, 5.625% due 12/1/2016 (Santa Rita Jail; Insured: AMBAC) |
AA/NR | $ | 1,830,000 | $ | 2,086,676 | |||||
a Alameda County Joint Powers Authority, 5.00% due 12/1/2018 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 400,000 | 465,368 | |||||||
a Alameda County Joint Powers Authority, 5.00% due 12/1/2019 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 750,000 | 874,777 | |||||||
a Alameda County Joint Powers Authority, 5.00% due 12/1/2020 (Alameda County Medical Center Highland Hospital) |
AA/Aa3 | 725,000 | 844,117 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Public Facility Capital Projects) |
AA/Aa3 | 1,000,000 | 1,157,700 | |||||||
Alvord USD GO, 5.25% due 2/1/2014 (Insured: Natl-Re) |
A+/Baa1 | 1,150,000 | 1,168,434 | |||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2020 (Electric System Distribution Facilities; Insured: AMBAC) |
NR/NR | 445,000 | 464,024 | |||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2021 (Electric System Distribution Facilities; Insured: AMBAC) |
NR/NR | 820,000 | 850,955 | |||||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) |
AA-/A2 | 3,000,000 | 2,096,130 | |||||||
Bay Area Toll Authority, 5.00% due 4/1/2016 (San Francisco Bay Area Toll Bridge) |
AA/Aa3 | 2,075,000 | 2,306,943 | |||||||
Bay Area Toll Authority, 0.77% due 4/1/2047 put 10/1/2019 (San Francisco Bay Area Toll Bridge) |
AA/Aa3 | 5,000,000 | 4,996,650 | |||||||
Bay Area Water Supply & Conservation Agency, 1.00% due 10/1/2014 (Regional Water System Improvements) |
AA-/Aa3 | 1,000,000 | 1,008,060 | |||||||
Bay Area Water Supply & Conservation Agency, 2.00% due 10/1/2015 (Regional Water System Improvements) |
AA-/Aa3 | 1,000,000 | 1,033,610 | |||||||
Bay Area Water Supply & Conservation Agency, 3.00% due 10/1/2016 (Regional Water System Improvements) |
AA-/Aa3 | 3,965,000 | 4,246,515 | |||||||
Bonita USD GO, 5.00% due 8/1/2024 (Educational Facilities) |
AA-/NR | 1,000,000 | 1,137,680 | |||||||
Calexico USD COP, 6.75% due 9/1/2017 |
A-/NR | 3,060,000 | 3,312,542 | |||||||
California Education Notes Program, 2.00% due 1/31/2014 (School Districts Capital Program Cash Flow Management) |
SP-1+/NR | 13,340,000 | 13,421,641 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2018 (Pitzer College) |
NR/A2 | 1,540,000 | 1,759,281 | |||||||
California Educational Facilities Authority, 0% due 10/1/2019 (Loyola Marymount University; Insured: Natl-Re) |
NR/A2 | 2,025,000 | 1,692,799 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2020 (Pitzer College) |
NR/A2 | 1,445,000 | 1,663,628 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2022 (Chapman University) |
NR/A2 | 2,000,000 | 2,269,540 | |||||||
California HFFA, 5.25% due 10/1/2013 (Providence Health and Services) |
AA/Aa2 | 650,000 | 650,091 | |||||||
California HFFA, 5.00% due 8/15/2014 (Cedars-Sinai Medical Center) |
NR/A2 | 1,500,000 | 1,561,230 | |||||||
California HFFA, 4.00% due 2/1/2016 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) |
A/NR | 2,475,000 | 2,636,593 | |||||||
California HFFA, 5.50% due 10/1/2017 (Providence Health and Services) |
AA/Aa2 | 1,100,000 | 1,282,325 | |||||||
California HFFA, 5.50% due 2/1/2018 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) |
A/NR | 2,715,000 | 3,122,494 | |||||||
California HFFA, 6.00% due 10/1/2018 (Providence Health and Services) |
AA/Aa2 | 1,000,000 | 1,207,660 | |||||||
California HFFA, 5.00% due 11/15/2018 (Childrens Hospital Los Angeles) |
BBB+/Baa2 | 1,235,000 | 1,383,114 | |||||||
California HFFA, 5.10% due 2/1/2019 (Episcopal Home; Insured: California Mtg Insurance) (ETM) |
A/NR | 1,460,000 | 1,621,359 | |||||||
California HFFA, 5.00% due 11/15/2020 (Childrens Hospital Los Angeles) |
BBB+/Baa2 | 1,190,000 | 1,324,875 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
California HFFA, 5.25% due 3/1/2022 (Catholic HealthCare West Health Facilities) |
A/A3 | $ | 1,000,000 | $ | 1,132,200 | |||||
California HFFA, 5.125% due 7/1/2022 (Catholic Healthcare West Health Facilities) |
A/A3 | 1,865,000 | 1,992,230 | |||||||
California HFFA, 1.45% due 8/15/2023 put 3/15/2017 (Lucile Salter Packard Childrens Hospital) |
AA/Aa3 | 3,000,000 | 3,016,320 | |||||||
California HFFA, 5.00% due 7/1/2024 (St. Joseph Health System) |
AA-/A1 | 1,000,000 | 1,122,110 | |||||||
California HFFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic HealthCare West Health Facilities) |
A/A3 | 2,000,000 | 2,067,060 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/17/2017 (St. Joseph Health System) |
AA-/A1 | 3,000,000 | 3,413,220 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System) |
AA-/A1 | 5,000,000 | 5,712,650 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2021 (Biola University Residential Hall and Parking Structure) |
NR/Baa1 | 150,000 | 164,025 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2022 (Biola University Residential Hall and Parking Structure) |
NR/Baa1 | 160,000 | 174,906 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2023 (Biola University Residential Hall and Parking Structure) |
NR/Baa1 | 125,000 | 135,733 | |||||||
California Pollution Control Financing Authority, 5.90% due 6/1/2014 (San Diego Gas & Electric; Insured: Natl-Re) |
A/A2 | 55,000 | 57,012 | |||||||
California Pollution Control Financing Authority, 5.90% due 6/1/2014 (San Diego Gas & Electric) |
A/A2 | 275,000 | 285,062 | |||||||
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) |
BBB/Baa3 | 2,820,000 | 3,022,222 | |||||||
California School Cash Reserve Program Authority, 2.00% due 10/1/2013 |
SP-1+/NR | 500,000 | 500,025 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) |
A/A2 | 1,580,000 | 1,586,541 | |||||||
California State Department of Veterans Affairs, 2.75% due 12/1/2018 (Farm and Home Purchase Program) |
AA/Aa3 | 1,000,000 | 1,013,770 | |||||||
California State Department of Veterans Affairs, 3.00% due 12/1/2019 (Farm and Home Purchase Program) |
AA/Aa3 | 500,000 | 507,530 | |||||||
California State Department of Veterans Affairs GO, 4.40% due 12/1/2022 (Farm and Home Purchase Program) (AMT) |
AA/Aa2 | 650,000 | 657,124 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2014 (DWR Power Supply Program) |
AA-/Aa3 | 1,000,000 | 1,028,000 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) |
AA-/Aa3 | 5,000,000 | 5,372,700 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) |
AA-/Aa3 | 3,400,000 | 3,653,436 | |||||||
California State Economic Recovery GO, 5.25% due 7/1/2014 (Insured; Natl-Re) |
A+/Aa2 | 1,045,000 | 1,084,919 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2015 (Insured: Natl-Re) |
A+/Aa2 | 585,000 | 606,610 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 |
A+/Aa2 | 3,000,000 | 3,519,840 | |||||||
California State Housing Finance Agency, 3.80% due 2/1/2014 (Single Family Housing) |
BBB/Baa2 | 770,000 | 774,682 | |||||||
California State Housing Finance Agency, 5.00% due 2/1/2014 (Single Family Housing) (AMT) |
BBB/Baa2 | 1,020,000 | 1,026,038 | |||||||
California State Housing Finance Agency, 4.85% due 8/1/2016 (Single Family Housing; Insured: AGM) (AMT) |
AA-/A2 | 1,000,000 | 1,060,890 | |||||||
California State Housing Finance Agency, 5.00% due 8/1/2017 (Single Family Housing; Insured: AGM) (AMT) |
AA-/A2 | 980,000 | 996,425 | |||||||
California State Housing Finance Agency, 5.125% due 8/1/2018 (Single Family Housing; Insured: AGM) (AMT) |
AA-/A2 | 1,000,000 | 1,015,110 | |||||||
California State Housing Finance Agency, 3.05% due 12/1/2019 (Multi-Family Housing; Insured: FHA) |
NR/Aa1 | 735,000 | 742,071 | |||||||
California State Infrastructure & Economic Development Bank, 5.25% due 8/15/2020 (King City High School) |
A/NR | 1,000,000 | 1,123,810 | |||||||
California State Public Works Board, 5.25% due 10/1/2013 (California State University) |
A-/Aa3 | 500,000 | 500,070 | |||||||
California State Public Works Board, 5.25% due 11/1/2014 (University of California; Insured: Natl-Re) |
AA-/Aa2 | 1,000,000 | 1,054,190 | |||||||
California State Public Works Board, 5.25% due 12/1/2014 (California Community Colleges) |
A-/A2 | 1,525,000 | 1,531,069 | |||||||
California State Public Works Board, 5.00% due 1/1/2015 (Correctional Facilities Improvements; Insured: AMBAC) |
A-/A2 | 2,000,000 | 2,118,480 | |||||||
California State Public Works Board, 5.00% due 11/1/2015 (University of California) |
AA-/Aa2 | 1,000,000 | 1,049,760 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
California State Public Works Board, 5.00% due 11/1/2016 (California |
A-/Aa3 | $ | 1,000,000 | $ | 1,126,940 | |||||
California State Public Works Board, 5.00% due 6/1/2020 (University of California; Insured: Natl-Re) |
AA-/Aa2 | 1,185,000 | 1,394,307 | |||||||
California State Public Works Board, 5.125% due 3/1/2021 (Various State Participating Agency Capital Projects) |
A-/A2 | 1,635,000 | 1,870,947 | |||||||
California State Public Works Board, 5.00% due 12/1/2021 (Judicial Council Projects) |
A-/A2 | 2,500,000 | 2,894,575 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus) |
A-/A2 | 565,000 | 649,835 | |||||||
California State Public Works Board, 5.00% due 6/1/2022 (Yuba City Courthouse) |
A-/A2 | 1,950,000 | 2,244,801 | |||||||
California State Public Works Board, 5.00% due 11/1/2022 (Correctional Facilities Improvements) |
A-/A2 | 1,500,000 | 1,730,325 | |||||||
California State Public Works Board, 5.00% due 12/1/2022 (Judicial Council Projects) |
A-/A2 | 1,200,000 | 1,367,016 | |||||||
California State Public Works Board, 5.00% due 3/1/2023 (Judicial Council Projects) |
A-/A2 | 1,400,000 | 1,603,966 | |||||||
California State Public Works Board, 5.00% due 6/1/2023 (Coalinga State Hospital) |
A-/A2 | 7,200,000 | 8,256,384 | |||||||
California State Public Works Board, 5.00% due 3/1/2024 (Judicial Council Projects) |
A-/A2 | 1,000,000 | 1,131,760 | |||||||
California Statewide Communities Development Authority, 5.50% due 8/15/2014 (Enloe Medical Center; Insured: California Mtg Insurance) |
A/NR | 750,000 | 782,887 | |||||||
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) |
A+/NR | 3,715,000 | 4,301,970 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) |
NR/NR | 1,445,000 | 1,446,214 | |||||||
California Statewide Communities Development Authority, 3.90% due 8/1/2031 put 7/1/2014 (Kaiser Foundation Hospitals) |
A+/NR | 800,000 | 817,472 | |||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA) |
NR/NR | 5,000,000 | 2,263,300 | |||||||
Carson Redevelopment Agency, 6.00% due 10/1/2019 (Project Area 1) |
A-/NR | 1,050,000 | 1,186,164 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re) |
A+/NR | 2,810,000 | 2,354,527 | |||||||
Centinela Valley USD GO, 4.00% due 12/1/2013 |
SP-1+/NR | 3,000,000 | 3,017,400 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2015 (Carson Ice) |
AA-/A1 | 1,000,000 | 1,077,160 | |||||||
Central Valley Financing Authority, 5.25% due 7/1/2020 (Carson Ice) |
AA-/A1 | 500,000 | 591,070 | |||||||
Cerritos Public Financing Authority, 5.00% due 11/1/2014 (Insured: AMBAC) |
A-/NR | 1,260,000 | 1,304,541 | |||||||
Chabot-Las Positas Community College District GO, 0% due 8/1/2018 (Capital Improvements; Insured: AMBAC) |
A+/Aa3 | 2,465,000 | 2,177,680 | |||||||
City and County of San Francisco COP, 5.00% due 11/1/2016 (525 Golden Gate Avenue- Public Utilities Commission Office Project) |
AA-/Aa3 | 200,000 | 224,278 | |||||||
City and County of San Francisco COP, 5.00% due 9/1/2018 (City Office Buildings-Multiple Properties Project; Insured: Natl-Re) |
AA-/Aa3 | 300,000 | 311,724 | |||||||
City and County of San Francisco COP, 5.00% due 11/1/2022 (525 Golden Gate Ave-Public Utilities Commission Office Project) |
AA-/Aa3 | 700,000 | 779,310 | |||||||
City and County of San Francisco Redevelopment Agency, 5.25% due 8/1/2014 |
A/Baa1 | 2,000,000 | 2,007,420 | |||||||
City and County of San Francisco Redevelopment Agency, 5.00% due 6/1/2020 |
AA-/A1 | 1,730,000 | 1,963,031 | |||||||
City of Burbank, 5.00% due 6/1/2015 (Burbank Water and Power System) |
AA-/A1 | 750,000 | 806,902 | |||||||
City of Burbank, 5.00% due 6/1/2016 (Burbank Water and Power System) |
AA-/A1 | 500,000 | 556,380 | |||||||
City of Burbank, 5.00% due 6/1/2017 (Burbank Water and Power System) |
AA-/A1 | 1,000,000 | 1,142,600 | |||||||
City of Burbank, 5.00% due 6/1/2018 (Burbank Water and Power System) |
AA-/A1 | 360,000 | 418,086 | |||||||
City of Burbank, 5.00% due 6/1/2020 (Burbank Water and Power System) |
AA-/A1 | 625,000 | 737,025 | |||||||
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.) |
A+/Aa3 | 3,000,000 | 2,998,440 | |||||||
City of Chula Vista COP, 5.25% due 3/1/2020 (Capital Facilities Project) |
AA-/NR | 1,300,000 | 1,451,684 | |||||||
City of Clovis, 5.00% due 3/1/2021 (Water System Facilities; Insured: BAM) |
AA/A2 | 550,000 | 624,597 | |||||||
City of Clovis, 5.00% due 3/1/2022 (Water System Facilities; Insured: BAM) |
AA/A2 | 720,000 | 815,573 | |||||||
City of Clovis, 5.00% due 3/1/2023 (Water System Facilities; Insured: BAM) |
AA/A2 | 1,000,000 | 1,117,800 | |||||||
City of Folsom, 4.00% due 12/1/2014 (Community Facilities District No. 2) |
A+/NR | 755,000 | 782,384 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Folsom, 5.00% due 12/1/2016 (Community Facilities District No. 2) |
A+/NR | $ | 1,100,000 | $ | 1,204,456 | |||||
City of Folsom, 5.00% due 12/1/2018 (Community Facilities District No. 2) |
A+/NR | 965,000 | 1,064,183 | |||||||
City of Los Angeles COP, 3.00% due 11/1/2030 put 2/1/2018 (American Academy of Dramatic Arts; LOC: TD Bank N.A.) |
NR/Aa3 | 2,880,000 | 2,969,482 | |||||||
City of Manteca, 2.00% due 12/1/2013 (Wastewater and Sewer System) |
AA-/Aa3 | 425,000 | 426,288 | |||||||
City of Manteca, 2.00% due 7/1/2014 (Water Supply System) |
AA-/A1 | 450,000 | 455,819 | |||||||
City of Manteca, 3.00% due 12/1/2015 (Wastewater and Sewer System) |
AA-/Aa3 | 280,000 | 294,056 | |||||||
City of Manteca, 4.00% due 7/1/2016 (Water Supply System) |
AA-/A1 | 300,000 | 326,259 | |||||||
City of Manteca, 3.00% due 12/1/2016 (Wastewater and Sewer System) |
AA-/Aa3 | 520,000 | 552,105 | |||||||
City of Manteca, 4.00% due 7/1/2018 (Water Supply System) |
AA-/A1 | 550,000 | 610,990 | |||||||
City of Manteca, 4.00% due 12/1/2018 (Wastewater and Sewer System) |
AA-/Aa3 | 375,000 | 414,398 | |||||||
City of Manteca, 5.00% due 7/1/2019 (Water Supply System) |
AA-/A1 | 400,000 | 466,448 | |||||||
City of Manteca, 5.00% due 7/1/2021 (Water Supply System) |
AA-/A1 | 1,000,000 | 1,169,440 | |||||||
City of Manteca, 5.00% due 7/1/2023 (Water Supply System) |
AA-/A1 | 650,000 | 747,253 | |||||||
City of Moorpark Mobile Home Park, 4.90% due 5/15/2017 (Villa Del Arroyo) |
A/NR | 790,000 | 818,108 | |||||||
City of Oxnard Financing Authority, 5.25% due 6/1/2014 (Wastewater Treatment Plants; Insured: Natl-Re) |
A/Baa1 | 1,000,000 | 1,007,940 | |||||||
City of Porterville COP, 6.30% due 10/1/2018 (Public Service Capital Projects; Insured: AMBAC) |
NR/NR | 1,075,000 | 1,138,307 | |||||||
City of Roseville COP, 5.00% due 2/1/2019 (Electric System; Insured: |
A+/A2 | 850,000 | 882,232 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2019 (Civic Center Project) |
AA/Aa3 | 650,000 | 756,139 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2020 (Civic Center Project) |
AA/Aa3 | 600,000 | 699,084 | |||||||
City of San Jose Financing Authority, 4.00% due 6/1/2021 (Civic Center Project) |
AA/Aa3 | 1,000,000 | 1,094,650 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2022 (Civic Center Project) |
AA/Aa3 | 745,000 | 863,485 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2023 (Civic Center Project) |
AA/Aa3 | 1,000,000 | 1,151,140 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2024 (Civic Center Project) |
AA/Aa3 | 750,000 | 844,477 | |||||||
City of Santa Fe Springs Community Development Commission, 5.00% due 9/1/2018 (Redevelopment Project; Insured: Natl-Re) |
A/Baa1 | 1,235,000 | 1,321,561 | |||||||
City of Seal Beach Redevelopment Agency, 5.20% due 12/15/2013 (Seal Beach Mobile Home Park; Insured: ACA) |
NR/NR | 125,000 | 125,308 | |||||||
City of Torrance, 5.00% due 9/1/2020 (Torrance Memorial Medical Center) |
A/A2 | 1,155,000 | 1,320,304 | |||||||
City of Torrance, 6.00% due 6/1/2022 (Torrance Memorial Medical Center) |
A/A2 | 2,600,000 | 2,610,244 | |||||||
City of Vallejo, 5.00% due 5/1/2017 (Water Improvement Project; Insured: Natl-Re) |
A/Baa1 | 1,240,000 | 1,338,493 | |||||||
City of Whittier, 5.375% due 8/1/2014 (Solid Waste; Insured: AMBAC) |
NR/NR | 190,000 | 190,477 | |||||||
b Colton Public Financing Authority, 4.00% due 4/1/2017 (Electric Generation Facility Project) |
NR/A2 | 530,000 | 576,767 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2018 (Electric Generation Facility Project) |
NR/A2 | 550,000 | 601,882 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2019 (Electric Generation Facility Project) |
NR/A2 | 400,000 | 436,056 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2020 (Electric Generation Facility Project) |
NR/A2 | 410,000 | 466,945 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2021 (Electric Generation Facility Project) |
NR/A2 | 650,000 | 736,080 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2022 (Electric Generation Facility Project) |
NR/A2 | 970,000 | 1,095,072 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM) |
AA-/NR | 250,000 | 281,148 | |||||||
Community Redevelopment Agency of the City of Union City, 4.50% due 10/1/2020 (Community Redevelopment Project; Insured: AMBAC) |
NR/Ba1 | 460,000 | 460,244 | |||||||
Contra Costa Water District, 2.50% due 10/1/2013 (ETM) |
AA/NR | 2,000,000 | 2,000,120 | |||||||
Corona-Norco USD GO, 0% due 9/1/2017 (Insured: AGM) |
AA-/Aa2 | 1,595,000 | 1,488,932 | |||||||
County of El Dorado Community Facilities District, 5.00% due 9/1/2019 (El Dorado Hills Development) |
A/NR | 1,700,000 | 1,892,848 | |||||||
County of Monterey COP, 5.00% due 8/1/2014 (Natividad Medical Center; Insured: AGM) |
AA/A1 | 2,000,000 | 2,071,300 | |||||||
County of Monterey COP, 5.25% due 8/1/2021 (Natividad Medical Center; Insured: AGM) |
AA/A1 | 3,700,000 | 4,183,664 | |||||||
County of San Joaquin COP, 5.50% due 11/15/2013 (Capital Facilities; Insured: Natl-Re) |
A/Baa1 | 355,000 | 356,867 | |||||||
County of Stanislaus, 5.75% due 5/1/2015 (Insured: Natl-Re) |
A+/Baa1 | 1,815,000 | 1,949,038 | |||||||
Delano Financing Authority, 5.00% due 12/1/2017 (Police Station and Capital Improvements) |
A-/NR | 1,085,000 | 1,214,440 | |||||||
Delano Financing Authority, 5.00% due 12/1/2018 (Police Station and Capital Improvements) |
A-/NR | 1,135,000 | 1,275,899 | |||||||
Delano Financing Authority, 5.00% due 12/1/2019 (Police Station and Capital Improvements) |
A-/NR | 1,195,000 | 1,343,670 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling Financing Project; Insured: CIFG) |
AA-/A3 | $ | 735,000 | $ | 801,253 | |||||
Fresno County USD GO, 5.90% due 8/1/2017 (Educational Facilities; Insured: Natl-Re) |
A+/Baa1 | 590,000 | 693,126 | |||||||
Fresno County USD GO, 5.90% due 8/1/2018 (Educational Facilities; Insured: Natl-Re) |
A+/Baa1 | 630,000 | 748,635 | |||||||
Fresno County USD GO, 5.90% due 8/1/2019 (Educational Facilities; Insured: Natl-Re) |
A+/Baa1 | 675,000 | 803,000 | |||||||
Fresno County USD GO, 5.00% due 2/1/2020 (Educational Facilities; Insured: Natl-Re) |
A+/Baa1 | 2,510,000 | 2,827,615 | |||||||
Fresno County USD GO, 5.90% due 8/1/2020 (Educational Facilities; Insured: Natl-Re) |
A+/Baa1 | 720,000 | 850,349 | |||||||
Fullerton Public Financing Authority, 5.00% due 9/1/2016 (Insured: AMBAC) |
A/NR | 1,775,000 | 1,906,669 | |||||||
Guam Power Authority, 5.00% due 10/1/2021 (Electric Power System; Insured: AGM) |
AA-/A2 | 1,275,000 | 1,466,722 | |||||||
Hemet USD GO, 4.00% due 8/1/2018 (Insured: AGM) |
AA-/NR | 1,335,000 | 1,466,377 | |||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2015 |
BBB+/NR | 565,000 | 579,148 | |||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2016 |
BBB+/NR | 1,290,000 | 1,327,126 | |||||||
b Jurupa Public Financing Authority, 4.50% due 9/1/2018 (Community Services District-Eastvale Area; Insured: AGM) |
AA-/NR | 870,000 | 945,142 | |||||||
b Jurupa Public Financing Authority, 4.50% due 9/1/2019 (Community Services District-Eastvale Area; Insured: AGM) |
AA-/NR | 905,000 | 979,119 | |||||||
Jurupa Public Financing Authority, 4.50% due 9/1/2020 (Community Services District-Eastvale Area; Insured: AGM) |
AA-/NR | 945,000 | 1,019,249 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 |
SP-1+/NR | 3,000,000 | 3,050,130 | |||||||
Kern High School District GO, 3.00% due 8/1/2014 (Insured: AGM) |
A+/Aa2 | 610,000 | 623,817 | |||||||
Kern High School District GO, 3.00% due 8/1/2015 (Insured: AGM) |
A+/Aa2 | 500,000 | 523,740 | |||||||
Kern High School District GO, 4.00% due 8/1/2016 (Insured: AGM) |
A+/Aa2 | 500,000 | 546,940 | |||||||
Kern High School District GO, 4.00% due 8/1/2017 (Insured: AGM) |
A+/Aa2 | 500,000 | 557,315 | |||||||
Kern High School District GO, 4.00% due 8/1/2018 (Insured: AGM) |
A+/Aa2 | 500,000 | 560,745 | |||||||
Lodi Public Financing Authority, 3.00% due 10/1/2016 (City Police Building and Jail) |
A/NR | 830,000 | 864,304 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2020 (City Police Building and Jail) |
A/NR | 965,000 | 1,069,365 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2021 (City Police Building and Jail) |
A/NR | 1,020,000 | 1,124,305 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2022 (City Police Building and Jail) |
A/NR | 1,040,000 | 1,141,837 | |||||||
Los Alamitos USD GO, 0% due 9/1/2016 (Educational Facilities) |
SP-1+/Aa2 | 2,000,000 | 1,947,840 | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2016 |
A+/A2 | 2,100,000 | 2,337,489 | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2017 |
A+/A2 | 1,660,000 | 1,879,485 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 9/1/2014 (Multiple Facilities Projects; Insured: Natl-Re) |
A/NR | 2,990,000 | 3,105,713 | |||||||
Los Angeles County Public Works Financing Authority, 4.25% due 6/1/2016 (Calabasas Landfill; Insured: AMBAC) |
AA-/A1 | 1,000,000 | 1,047,800 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) |
AA-/A1 | 2,060,000 | 2,381,051 | |||||||
Los Angeles County Schools Pooled Financing Program COP, 2.00% due 12/31/2013 (Cash Flow Management) |
SP-1+/NR | 6,000,000 | 6,026,520 | |||||||
Los Angeles County Schools Pooled Financing Program COP, 2.00% due 12/31/2013 (Cash Flow Management) |
SP-1+/NR | 2,000,000 | 2,008,620 | |||||||
Los Angeles County Schools Regionalized Business Services Corp. COP, |
NR/NR | 2,135,000 | 1,452,206 | |||||||
Los Angeles Department of Airports, 5.50% due 5/15/2018 (Los Angeles International Airport) (AMT) |
AA/Aa3 | 2,000,000 | 2,340,820 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 11/1/2017 (Capital Improvements) |
A+/A3 | 3,235,000 | 3,655,938 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 3/1/2018 (Capital Improvements) |
A+/A3 | 4,765,000 | 5,383,831 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2014 (Information Technology Projects; Insured: AMBAC) |
A+/A1 | 725,000 | 757,988 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2015 (Information Technology Projects; Insured: AMBAC) |
A+/A1 | 2,000,000 | 2,166,980 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2016 (Information Technology Projects; Insured: AMBAC) |
A+/A1 | 425,000 | 474,759 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Projects) |
A+/A1 | $ | 2,000,000 | $ | 2,330,400 | |||||
Lynwood USD GO, 5.00% due 8/1/2023 (Insured: AGM) |
AA-/A2 | 1,000,000 | 1,116,310 | |||||||
Manteca Financing Authority, 5.00% due 12/1/2033 pre-refunded 12/1/2013 (Wastewater Quality Control Facility; Insured: Natl-Re) |
NR/Aa3 | 1,535,000 | 1,547,510 | |||||||
Manteca USD Community Facilities District No. 1989-2, 3.00% due 9/1/2016 (Educational Facilities; Insured: AGM) |
AA-/A2 | 410,000 | 430,980 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2018 (Educational Facilities; Insured: AGM) |
AA-/A2 | 500,000 | 539,955 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2019 (Educational Facilities; Insured: AGM) |
AA-/A2 | 870,000 | 930,317 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2020 (Educational Facilities; Insured: AGM) |
AA-/A2 | 1,425,000 | 1,598,665 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2021 (Educational Facilities; Insured: AGM) |
AA-/A2 | 750,000 | 836,715 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2023 (Educational Facilities; Insured: AGM) |
AA-/A2 | 500,000 | 549,905 | |||||||
Mark West Union School District GO, 4.125% due 8/1/2020 (Educational Facilities; Insured: Natl-Re) |
AA-/Baa1 | 1,275,000 | 1,278,825 | |||||||
Milpitas Redevelopment Agency, 5.00% due 9/1/2015 (Insured: Natl-Re) |
A/Baa1 | 2,200,000 | 2,208,470 | |||||||
Modesto Irrigation District, 5.00% due 7/1/2022 (San Joaquin Valley Electric System) |
A+/A2 | 1,000,000 | 1,162,560 | |||||||
Mojave USD COP, 0% due 9/1/2017 (Educational Facilities; Insured: AGM) |
AA-/NR | 1,045,000 | 958,986 | |||||||
Mojave USD COP, 0% due 9/1/2018 (Educational Facilities; Insured: AGM) |
AA-/NR | 1,095,000 | 957,468 | |||||||
Murrieta Valley USD Public Financing Authority GO, 5.00% due 9/1/2023 (Educational Facilities; Insured: BAM) |
AA/NR | 1,080,000 | 1,205,464 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2021 (Carmel Valley Educational Facilities; Insured: AGM) |
AA-/NR | 2,155,000 | 2,429,202 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2022 (Carmel Valley Educational Facilities; Insured: AGM) |
AA-/NR | 2,260,000 | 2,539,200 | |||||||
Northern California Power Agency, 4.00% due 7/1/2015 (Hydroelectric Project) |
A+/A2 | 500,000 | 530,960 | |||||||
Northern California Power Agency, 5.00% due 7/1/2016 (Hydroelectric Project) |
A+/A2 | 500,000 | 557,500 | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) |
A+/A2 | 100,000 | 114,201 | |||||||
Northern California Power Agency, 5.00% due 7/1/2018 (Hydroelectric Project) |
A+/A2 | 1,250,000 | 1,446,887 | |||||||
Northern California Power Agency, 5.00% due 6/1/2019 (Lodi Energy Center) |
A-/A3 | 2,340,000 | 2,704,408 | |||||||
Norwalk Redevelopment Agency, 5.00% due 10/1/2014 (Insured: Natl-Re) |
A/Baa1 | 625,000 | 646,025 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2019 (Insured: AGM) |
AA-/A1 | 2,000,000 | 1,706,060 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2021 (Insured: Natl-Re) |
A+/A1 | 2,850,000 | 2,156,680 | |||||||
Pasadena USD GO, 5.00% due 11/1/2018 (Insured: AGM) |
NR/Aa2 | 1,200,000 | 1,327,824 | |||||||
Pomona USD GO, 6.10% due 2/1/2020 (Educational Facilities; Insured: Natl-Re) |
A/Baa1 | 465,000 | 553,341 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) |
NR/A2 | 2,500,000 | 2,819,225 | |||||||
Redevelopment Agency of the City of San Mateo, 4.00% due 8/1/2020 (Downtown and Shoreline Area Redevelopment Projects; Insured: Syncora) |
A/NR | 400,000 | 402,736 | |||||||
Regents of the University of California, 4.00% due 5/15/2017 (Campus Housing and Facilities) |
AA-/Aa2 | 1,250,000 | 1,392,050 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2016 (Redevelopment Project) |
A-/Ba1 | 1,055,000 | 1,132,384 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2017 (Redevelopment Project) |
A-/Ba1 | 1,055,000 | 1,140,033 | |||||||
Ridgecrest Redevelopment Agency, 5.25% due 6/30/2018 (Redevelopment Project) |
A-/Ba1 | 1,050,000 | 1,144,657 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2019 (Redevelopment Project) |
A-/Ba1 | 1,050,000 | 1,157,950 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2020 (Redevelopment Project) |
A-/Ba1 | 1,040,000 | 1,149,262 | |||||||
Riverside County Palm Desert Financing Authority, 6.00% due 5/1/2022 (Palm Desert Sheriffs Station Facilities) |
AA-/A2 | 2,600,000 | 2,937,792 | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2015 (Redevelopment Project Area No. 1; Insured: AMBAC) |
A+/NR | 1,015,000 | 1,092,993 | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2016 (Redevelopment Project Area No. 1; Insured: AMBAC) |
A+/NR | 700,000 | 757,708 |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 |
A-/Baa2 | $ | 1,390,000 | $ | 1,498,489 | |||||
Sacramento City Financing Authority, 0% due 11/1/2014 (Redevelopment Project Areas; Insured: Natl-Re) |
A/Baa1 | 3,495,000 | 3,416,013 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities) |
A+/A1 | 3,600,000 | 4,179,816 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2015 (Procter & Gamble Project) |
AA-/A1 | 1,100,000 | 1,184,876 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2019 (Procter & Gamble Project) |
AA-/A1 | 625,000 | 726,238 | |||||||
Sacramento County Sanitation Districts Financing Authority, 0.07% due 12/1/2039 put 10/1/2013 (Sacramento Regional Wastewater Treatment Plant; LOC: Morgan Stanley) (daily demand notes) |
AAA/Aa2 | 15,000,000 | 15,000,000 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) |
A/A3 | 3,000,000 | 3,256,890 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2014 (Centre City Redevelopment; Insured: AMBAC) |
NR/Baa3 | 200,000 | 205,862 | |||||||
San Diego Redevelopment Agency, 5.25% due 9/1/2015 (Centre City Redevelopment; Insured: AGM) |
AA-/A2 | 1,375,000 | 1,380,582 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2018 (Centre City Redevelopment; Insured: AMBAC) |
NR/Baa3 | 3,215,000 | 3,414,041 | |||||||
San Diego Redevelopment Agency, 0% due 9/1/2019 (Centre City Redevelopment; Insured: AGM) |
AA-/A2 | 1,910,000 | 1,594,793 | |||||||
San Diego Redevelopment Agency, 5.80% due 11/1/2021 (Horton Plaza) |
A-/Baa3 | 2,635,000 | 2,639,374 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) |
AA-/Aa3 | 1,390,000 | 1,663,816 | |||||||
San Francisco Bay Area Rapid Transit District, 5.00% due 7/1/2024 (Insured: Natl-Re) |
AA+/Aa2 | 5,675,000 | 6,096,255 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) |
AA-/Aa2 | 5,000,000 | 4,169,700 | |||||||
San Jose Evergreen Community College District GO, 5.25% due 9/1/2017 (Higher Education Facilities; Insured: AMBAC) |
AA-/Aa1 | 395,000 | 412,874 | |||||||
San Juan USD GO, 5.00% due 8/1/2014 (Sacramento County Educational Facilities) |
NR/Aa2 | 1,335,000 | 1,387,652 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development) (ETM) |
NR/NR | 1,585,000 | 1,613,134 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development) |
A+/NR | 415,000 | 421,897 | |||||||
San Mateo County Joint Powers Authority, 5.00% due 7/15/2018 (County Capital Projects) |
AA+/Aa2 | 800,000 | 919,752 | |||||||
San Mateo County Transit District, 4.50% due 6/1/2022 (Transit Services; Insured: Natl-Re) |
AA/Aa2 | 400,000 | 421,532 | |||||||
San Mateo Flood Control District COP, 5.25% due 8/1/2017 (Colma Creek; Insured: Natl-Re) |
A/Baa1 | 820,000 | 821,542 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities; Insured: Natl-Re) |
AA/Aa1 | 2,000,000 | 1,743,700 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) |
A/Baa1 | 2,000,000 | 2,282,960 | |||||||
Santa Ana USD GO, 0% due 8/1/2020 (Insured: Natl-Re) |
AA-/Baa1 | 2,035,000 | 1,648,960 | |||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2017 (Multiple Facilities) |
AA/A1 | 1,000,000 | 1,109,200 | |||||||
Santa Monica Community College District GO, 0% due 8/1/2018 pre-refunded 8/1/2015 (College District Capital Improvements; Insured: MBIA) |
AA/Aa2 | 1,320,000 | 1,137,470 | |||||||
Solano County COP, 5.00% due 11/15/2013 (Health & Social Services Headquarters) |
AA-/A1 | 1,780,000 | 1,790,484 | |||||||
Solano County COP, 5.00% due 11/15/2016 (Health & Social Services Headquarters) |
AA-/A1 | 1,000,000 | 1,114,040 | |||||||
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) |
SP-1+/NR | 5,000,000 | 5,510,400 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) |
A+/A2 | 1,060,000 | 1,067,155 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) |
A+/A2 | 1,000,000 | 1,007,700 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2018 (Insured: AMBAC) (AMT) |
A+/A2 | 2,000,000 | 2,015,820 | |||||||
Southern California Public Power Authority, 5.00% due 11/1/2013 (Gas Project No. 1) |
A-/A3 | 1,000,000 | 1,003,850 | |||||||
Southern California Public Power Authority, 0% due 7/1/2015 (Multiple Transmission Projects; Insured: Natl-Re) |
AA-/Aa3 | 1,500,000 | 1,476,330 | |||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Mead-Adelanto Projects; Insured: AMBAC) |
NR/Aa3 | 450,000 | 468,504 | |||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Mead-Phoenix Project; Insured: AMBAC) |
NR/Aa3 | 275,000 | 286,404 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Southern California Public Power Authority, 5.00% due 7/1/2016 (Southern Transmission Project) |
AA-/NR | $ | 2,000,000 | $ | 2,241,640 | |||||
State of California GO, 4.00% due 8/1/2016 (Kindergarten University Facilities) |
A/A1 | 500,000 | 546,830 | |||||||
State of California GO, 5.00% due 3/1/2017 (Various Capital Projects; Insured: Syncora) |
A/A1 | 2,860,000 | 3,149,518 | |||||||
State of California GO, 4.75% due 9/1/2018 (Various Capital Projects; Insured: AGM) |
AA-/A1 | 365,000 | 371,336 | |||||||
State of California GO, 5.00% due 9/1/2020 (Kindergarten University Facilities) |
A/A1 | 2,000,000 | 2,374,920 | |||||||
State of California GO, 5.125% due 2/1/2028 pre-refunded 2/1/2014 (Kindergarten University Facilities) |
AA+/A1 | 1,615,000 | 1,641,809 | |||||||
Sweetwater Union High School District COP, 4.00% due 9/1/2014 (Rancho Del Rey Middle School; Insured: Natl-Re) |
A/Baa1 | 1,020,000 | 1,045,296 | |||||||
Sweetwater Union High School District COP, 5.00% due 9/1/2021 (High Schools No. 11 & No. 12 Projects; Insured: AGM) |
AA-/A2 | 2,250,000 | 2,259,135 | |||||||
Tracy Area Public Facilities Financing Agency, 5.875% due 10/1/2019 (Community Facilities District No. 87) |
A/Baa1 | 590,000 | 596,950 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2015 |
A+/A2 | 500,000 | 528,125 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 |
A+/A2 | 1,690,000 | 1,931,281 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2015 |
A+/A2 | 1,125,000 | 1,189,597 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2019 |
A+/A2 | 1,000,000 | 1,149,390 | |||||||
Tustin Community Redevelopment Agency, 3.50% due 9/1/2014 (Public Improvements; Insured: AGM) |
AA-/NR | 760,000 | 780,482 | |||||||
Twin Rivers USD GO, 0% due 4/1/2014 (Educational Facilities) |
SP-1/NR | 1,000,000 | 997,590 | |||||||
Ukiah USD GO, 0% due 8/1/2019 (Insured: Natl-Re) |
A/A1 | 2,000,000 | 1,673,260 | |||||||
Upper Lake Union High School District GO, 0% due 8/1/2020 (Insured: Natl-Re) |
NR/Baa1 | 1,050,000 | 762,940 | |||||||
Val Verde USD COP, 5.00% due 1/1/2014 (Insured: Natl-Re) (ETM) |
NR/NR | 945,000 | 956,501 | |||||||
Virgin Islands Public Finance Authority, 5.00% due 10/1/2017 |
BBB-/Baa2 | 1,440,000 | 1,570,579 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2015 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 500,000 | 521,680 | |||||||
Walnut Improvement Agency, 2.00% due 3/1/2014 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 500,000 | 503,135 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2016 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 500,000 | 531,540 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2017 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 1,000,000 | 1,074,400 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2018 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 1,000,000 | 1,075,810 | |||||||
Walnut Improvement Agency, 5.00% due 3/1/2019 (City of Walnut Improvement Plan; Insured: BAM) |
AA/NR | 400,000 | 449,648 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2017 (West Sacramento High School; Insured: AMBAC) |
A/NR | 725,000 | 829,719 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2021 (West Sacramento High School; Insured: AMBAC) |
A/NR | 910,000 | 989,397 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2022 (West Sacramento High School; Insured: AMBAC) |
A/NR | 2,010,000 | 2,175,484 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 96.52% (Cost $445,634,058) |
$ | 457,027,997 | ||||||||
OTHER ASSETS LESS LIABILITIES 3.48% |
16,484,299 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 473,512,296 | ||||||||
|
|
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | When-issued security |
b | Segregated as collateral for a when-issued security |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
Certified Annual Report 21
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $445,634,058) (Note 2) |
$ | 457,027,997 | ||
Cash |
9,853,610 | |||
Receivable for investments sold |
1,090,000 | |||
Receivable for fund shares sold |
4,227,684 | |||
Interest receivable |
4,804,191 | |||
Prepaid expenses and other assets |
103 | |||
|
|
|||
Total Assets |
477,003,585 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
2,142,926 | |||
Payable for fund shares redeemed |
805,513 | |||
Payable to investment advisor and other affiliates (Note 3) |
279,688 | |||
Accounts payable and accrued expenses |
51,628 | |||
Dividends payable |
211,534 | |||
|
|
|||
Total Liabilities |
3,491,289 | |||
|
|
|||
NET ASSETS |
$ | 473,512,296 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 2,404 | ||
Net unrealized appreciation |
11,393,939 | |||
Accumulated net realized gain (loss) |
(90,582 | ) | ||
Net capital paid in on shares of beneficial interest |
462,206,535 | |||
|
|
|||
$ | 473,512,296 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($159,057,703 applicable to 11,748,766 shares of beneficial interest outstanding - Note 4) |
$ | 13.54 | ||
Maximum sales charge, 1.50% of offering price |
0.21 | |||
|
|
|||
Maximum offering price per share |
$ | 13.75 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($59,585,238 applicable to 4,397,602 shares of beneficial interest outstanding - Note 4) |
$ | 13.55 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($254,869,355 applicable to 18,807,927 shares of beneficial interest outstanding - Note 4) |
$ | 13.55 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
22 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg California Limited Term Municipal Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Interest income (net of premium amortized of $5,075,799) |
$ | 11,981,975 | ||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
2,225,759 | |||
Administration fees (Note 3) |
||||
Class A Shares |
197,772 | |||
Class C Shares |
77,634 | |||
Class I Shares |
112,413 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
395,544 | |||
Class C Shares |
311,206 | |||
Transfer agent fees |
||||
Class A Shares |
42,888 | |||
Class C Shares |
27,587 | |||
Class I Shares |
46,519 | |||
Registration and filing fees |
||||
Class A Shares |
38 | |||
Class C Shares |
38 | |||
Class I Shares |
38 | |||
Custodian fees (Note 3) |
88,065 | |||
Professional fees |
35,002 | |||
Accounting fees |
12,987 | |||
Trustee fees |
15,652 | |||
Other expenses |
38,705 | |||
|
|
|||
Total Expenses |
3,627,847 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(153 | ) | ||
Fees paid indirectly (Note 3) |
(12,204 | ) | ||
|
|
|||
Net Expenses |
3,615,490 | |||
|
|
|||
Net Investment Income |
8,366,485 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
(90,096 | ) | ||
Net change in unrealized appreciation (depreciation) on investments |
(7,001,914 | ) | ||
Net Realized and Unrealized Loss |
(7,092,010 | ) | ||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 1,274,475 | ||
|
|
See notes to financial statements.
Certified Annual Report 23
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg California Limited Term Municipal Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 8,366,485 | $ | 7,693,993 | ||||
Net realized gain (loss) on investments |
(90,096 | ) | 293,032 | |||||
Net unrealized appreciation (depreciation) on investments |
(7,001,914 | ) | 7,910,143 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
1,274,475 | 15,897,168 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(2,769,894 | ) | (2,954,435 | ) | ||||
Class C Shares |
(921,476 | ) | (975,200 | ) | ||||
Class I Shares |
(4,675,115 | ) | (3,764,358 | ) | ||||
From realized gains |
||||||||
Class A Shares |
(106,242 | ) | | |||||
Class C Shares |
(43,151 | ) | | |||||
Class I Shares |
(144,116 | ) | | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
11,413,740 | 22,903,988 | ||||||
Class C Shares |
1,026,904 | 12,392,594 | ||||||
Class I Shares |
62,667,864 | 71,789,804 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
67,722,989 | 115,289,561 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
405,789,307 | 290,499,746 | ||||||
|
|
|
|
|||||
End of Year |
$ | 473,512,296 | $ | 405,789,307 | ||||
|
|
|
|
|||||
Undistributed net investment income |
$ | 2,404 | $ | 2,404 |
See notes to financial statements.
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg California Limited Term Municipal Fund (the Fund) is a diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds 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 Funds investment advisor, with the preservation of capital. The Funds secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class C, and Institutional Class (Class I). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 457,027,997 | $ | | $ | 457,027,997 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 457,027,997 | $ | | $ | 457,027,997 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions of $1,790 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $13,059 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class C shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $153 for Class C shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $12,204.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
3,878,340 | $ | 53,027,648 | 3,337,311 | $ | 45,421,777 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
168,324 | 2,301,198 | 165,009 | 2,247,338 | ||||||||||||
Shares repurchased |
(3,219,888 | ) | (43,915,106 | ) | (1,821,571 | ) | (24,765,127 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
826,776 | $ | 11,413,740 | 1,680,749 | $ | 22,903,988 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
1,232,884 | $ | 16,912,368 | 1,559,315 | $ | 21,248,082 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
53,455 | 731,838 | 51,394 | 700,402 | ||||||||||||
Shares repurchased |
(1,217,594 | ) | (16,617,302 | ) | (701,947 | ) | (9,555,890 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
68,745 | $ | 1,026,904 | 908,762 | $ | 12,392,594 | ||||||||||
|
|
|
|
|
|
|
|
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
11,597,326 | $ | 158,667,124 | 7,459,712 | $ | 101,835,082 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
229,955 | 3,146,002 | 162,300 | 2,214,254 | ||||||||||||
Shares repurchased |
(7,267,821 | ) | (99,145,262 | ) | (2,366,192 | ) | (32,259,532 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
4,559,460 | $ | 62,667,864 | 5,255,820 | $ | 71,789,804 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $172,838,825 and $71,538,658, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 445,634,058 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 13,574,759 | ||
Gross unrealized depreciation on a tax basis |
(2,180,820 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 11,393,939 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012 of $90,582. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Fund had $213,938 of undistributed tax basis net tax-exempt income, no net ordinary investment income and no undistributed tax basis capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 8,366,472 | $ | 7,693,980 | ||||
Ordinary income |
13 | 13 | ||||||
Capital gains |
293,509 | | ||||||
|
|
|
|
|||||
Total |
$ | 8,659,994 | $ | 7,693,993 | ||||
|
|
|
|
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 29
Thornburg California Limited Term Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year)+ | RATIOS TO AVERAGE NET ASSETS |
SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net |
Expenses, After Expense Reductions (%) |
Expense, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio Turnover Rate (%)(a) |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 13.75 | 0.24 | (0.20 | ) | 0.04 | (0.24 | ) | (0.01) | (0.25 | ) | $13.54 | 1.75 | 0.94 | 0.94 | 0.94 | 0.28 | 17.57 | $ | 159,058 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 13.41 | 0.29 | 0.34 | 0.63 | (0.29 | ) | | (0.29 | ) | $13.75 | 2.15 | 0.95 | 0.95 | 0.95 | 4.78 | 13.06 | $ | 150,155 | |||||||||||||||||||||||||||||||
2011(b) |
$ | 13.38 | 0.36 | 0.03 | 0.39 | (0.36 | ) | | (0.36 | ) | $13.41 | 2.71 | 0.96 | 0.96 | 0.96 | 2.98 | 13.33 | $ | 123,910 | |||||||||||||||||||||||||||||||
2010(b) |
$ | 13.09 | 0.39 | 0.29 | 0.68 | (0.39 | ) | | (0.39 | ) | $13.38 | 2.94 | 0.97 | 0.97 | 0.97 | 5.29 | 13.69 | $ | 114,813 | |||||||||||||||||||||||||||||||
2009(b) |
$ | 12.49 | 0.44 | 0.60 | 1.04 | (0.44 | ) | | (0.44 | ) | $13.09 | 3.48 | 0.98 | 0.98 | 0.99 | 8.50 | 44.06 | $ | 79,455 | |||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.76 | 0.20 | (0.20 | ) | | (0.20 | ) | (0.01) | (0.21 | ) | $13.55 | 1.48 | 1.21 | 1.21 | 1.21 | 0.02 | 17.57 | $ | 59,585 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.42 | 0.26 | 0.34 | 0.60 | (0.26 | ) | | (0.26 | ) | $13.76 | 1.88 | 1.22 | 1.22 | 1.22 | 4.49 | 13.06 | $ | 59,563 | |||||||||||||||||||||||||||||||
2011 |
$ | 13.40 | 0.32 | 0.02 | 0.34 | (0.32 | ) | | (0.32 | ) | $13.42 | 2.45 | 1.22 | 1.22 | 1.22 | 2.63 | 13.33 | $ | 45,897 | |||||||||||||||||||||||||||||||
2010 |
$ | 13.10 | 0.35 | 0.30 | 0.65 | (0.35 | ) | | (0.35 | ) | $13.40 | 2.67 | 1.23 | 1.23 | 1.74 | 5.09 | 13.69 | $ | 42,039 | |||||||||||||||||||||||||||||||
2009 |
$ | 12.50 | 0.41 | 0.60 | 1.01 | (0.41 | ) | | (0.41 | ) | $13.10 | 3.23 | 1.24 | 1.24 | 1.76 | 8.22 | 44.06 | $ | 26,004 | |||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.76 | 0.28 | (0.19 | ) | 0.09 | (0.29 | ) | (0.01) | (0.30 | ) | $13.55 | 2.08 | 0.61 | 0.61 | 0.61 | 0.62 | 17.57 | $ | 254,869 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.42 | 0.33 | 0.35 | 0.68 | (0.34 | ) | | (0.34 | ) | $13.76 | 2.46 | 0.62 | 0.62 | 0.62 | 5.12 | 13.06 | $ | 196,071 | |||||||||||||||||||||||||||||||
2011 |
$ | 13.40 | 0.40 | 0.02 | 0.42 | (0.40 | ) | | (0.40 | ) | $13.42 | 3.03 | 0.63 | 0.62 | 0.63 | 3.24 | 13.33 | $ | 120,693 | |||||||||||||||||||||||||||||||
2010 |
$ | 13.10 | 0.43 | 0.30 | 0.73 | (0.43 | ) | | (0.43 | ) | $13.40 | 3.27 | 0.63 | 0.63 | 0.63 | 5.72 | 13.69 | $ | 78,948 | |||||||||||||||||||||||||||||||
2009 |
$ | 12.50 | 0.48 | 0.60 | 1.08 | (0.48 | ) | | (0.48 | ) | $13.10 | 3.81 | 0.65 | 0.65 | 0.65 | 8.86 | 44.06 | $ | 41,186 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Annual Report | Certified Annual Report 31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg California Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg California Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg California Limited Term Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
32 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 992.40 | $ | 4.72 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.33 | $ | 4.79 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 990.30 | $ | 6.08 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.96 | $ | 6.16 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 993.40 | $ | 3.06 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.99 | $ | 3.11 |
| Expenses are equal to the annualized expense ratio for each class (A: 0.95%; C: 1.22%; I: 0.61%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 33
INDEX COMPARISON | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg California Limited Term Municipal Fund versus BofA Merrill Lynch 1-10 Year U.S. and Consumer Price Index (September 30, 2003 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 2/19/87) |
(1.22 | )% | 4.02 | % | 3.01 | % | 4.54 | % | ||||||||
C Shares (Incep: 9/1/94) |
(0.48 | )% | 4.05 | % | 2.90 | % | 3.55 | % | ||||||||
I Shares (Incep: 4/1/97) |
0.62 | % | 4.68 | % | 3.51 | % | 4.08 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 1.50% . Class C shares assume deduction of a 0.50% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.
34 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 35
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
36 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 37
OTHER INFORMATION | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Fund of $8,366,472 (or the maximum allowed) are tax exempt dividends, $293,509 are being reported as taxable long-term capital gain dividends, and $13 are being reported as taxable ordinary investment income dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg California Limited Term Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
38 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii), measures of the Funds investment performance over different periods of time relative to two categories of California municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and comparative performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund had produced positive returns in accordance with expectations in all years, that the Funds investment return for the most recent calendar year exceeded the average return of the mutual fund category for which calendar year data was presented, and that the Funds returns exceeded or were comparable to the average returns of the category in all of the preceding nine years. Noted quantitative data further showed that the Funds annualized investment returns fell within the second quartile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year, and fell within the first quartile of performance for the category for the one-year and three-year periods and at the first decile of performance for the five-year period, and that the Funds annualized returns fell within the second quartile of performance of the second fund category for the year-to-date and one-year periods ended with the second quarter of the current year, and fell within the first quartile of performance for the second category for the three-year and five-year periods. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and return considered by the Trustees demonstrated that the Funds performance relative to these measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, also considered the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectus, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of municipal debt mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was comparable to the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was somewhat higher than the median
Certified Annual Report 39
OTHER INFORMATION, CONTINUED | ||
Thornburg California Limited Term Municipal Fund |
September 30, 2013 (Unaudited) |
and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as it grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of research services from broker dealer firms, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectus, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
40 Certified Annual Report
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TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
42 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 43
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 45
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH859 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THNMX | 885-215-301 | ||
Class D |
THNDX | 885-215-624 | ||
Class I |
THNIX | 885-215-285 |
Glossary
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Core Personal Consumption Expenditure Price Index A measure of the Personal Consumption Expenditure Price Index that excludes the more volatile and seasonal food and energy prices.
Personal Consumption Expenditure Price Index (PCEPI) This index is one measure of U.S. inflation that assesses the percentage change in prices of goods and services purchased by consumers throughout the economy. Of all the measures of consumer price inflation, the PCEPI covers the broadest set of goods and services.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
This page is not part of the Annual Report. 3
IMPORTANT INFORMATION,
CONTINUED
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG NEW MEXICO INTERMEDIATE MUNICIPAL FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| Diversifying among a large number of generally high-quality bonds. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 2.00%. The total annual fund operating expense of Class A shares is 0.95%, as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from June 18, 1991 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 6/18/91) |
||||||||||||||||||||
Without sales charge |
-1.61 | % | 2.00 | % | 4.37 | % | 3.28 | % | 4.64 | % | ||||||||||
With sales charge |
-3.55 | % | 1.32 | % | 3.94 | % | 3.07 | % | 4.54 | % |
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
2.86% |
1.64 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
113 | |||
Effective Duration |
5.3Yrs | |||
Average Maturity |
8.6Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg New Mexico Intermediate Municipal Fund
September 30, 2013
7 | ||||
13 | ||||
17 | ||||
18 | ||||
19 | ||||
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26 | ||||
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30 | ||||
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34 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg New Mexico Intermediate Municipal Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 60 cents to $13.35 per share during the fiscal year. If you were with us for the entire period, you received dividends of 37.9 cents per share. If you reinvested your dividends, you received 38.4 cents per share. Dividends were lower for Class D shares and higher for Class I shares, to account for varying class-specific expenses. The Class A shares of your Fund underperformed the Index with a total return of negative 1.61% at NAV for the fiscal year ended September 30, 2013, compared to the negative 1.14% total return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index. The Fund generated 0.94% less price decline and 1.41% less income than its benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, subtracted 0.28% of relative price performance. Our sector allocations added 0.07% of relative price performance and our overweight to lower-credit-quality securities subtracted 0.35% of relative price performance, compared to the benchmark. Other risk factors accounted for a positive 1.50% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the national economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 30, 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint recovery with little inflation. Investors must ask themselves: Why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed-income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around midyear. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013, to a high of 2.99% on September 5, 2013.
On September 18, 2013, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlookincluding economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objectivewere close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed income markets.
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Chart I: Changes in AAA General Obligation Municipal Yield Curve
9/30/12 9/30/13
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013 and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Some of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the impact of this type of investor behavior. If inflation is the worst enemy of the fixed income investor, then it can be used as an input to a relative-value measure of fixed-income securities. That relative measure is referred to as real yield. The real yield of a fixed income security is derived by subtracting an inflation measure (in
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
this case, the Core U.S. Personal Consumption Expenditure Price Index, which is the Feds favored inflation measure) from the yield of that instrument. Chart II shows the real yield of a 10-year AAA-rated general obligation municipal bond from June 1, 1994 through the end of the fiscal year.
Chart II: 10 Year AAA GO Real Yield (using Core PCE)
6/1/1994 - 8/31/2013
On November 30, 2012, the real yield of a generic 10-year AAA general obligation municipal bond was negative 0.26%, versus a long-term average of 2.13%. That is the richest level for the time series. In plain English: this means that after adjusting for inflation, investors in 10-year AAA-rated general obligation bonds were losing 0.26% of purchasing power on a purchase made on that date. Over the long term, investors typically earned 2.13% above the inflation rate in purchasing power. By August 31, 2013 (the last available data point), as inflation came down and yields increased, the real yield of the 10-year AAA-rated general obligation municipal bond reached a fairer value of 1.75%. So, how can yields increase in a slow growth, low inflation environment? This conundrum is answered by the acute over-valuation levels reached at the middle of the fiscal year. Investors, in their search for income, pushed fixed-income security prices to unsustainably high levels that needed to be corrected, and they were.
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
| Bloomberg State Stock Index |
10 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It ranged from a 7.4% increase to an 8.1% decrease. For the comparable period of the second quarter of 2011 through the second quarter of 2012, the average was a decrease of 0.87%, with a range from an increase of 11.5% to a decrease of 9.0%. New Mexico scored negative 9.0% for this period, placing it last based on this measure. And state pension funds are still wrestling with some issues. Median funding levels have declined from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests that a funding level of 80% is adequate). New Mexicos 2011 funding level was 67%, down 2% from 2007s level. This ranks the state at 32 of 50 in terms of overall pension funding.
Against this backdrop, several high profile credit events have taken place in the municipal bond market over the course of the fiscal year. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, at 84% and $70,000, respectively.
The Thornburg New Mexico Intermediate Municipal Fund has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75% to 77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We will continue to rely on our fundamental, bottom-up credit research to determine what securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
Conclusion
Your Thornburg New Mexico Intermediate Municipal Fund currently maintains a laddered portfolio structure of 44 municipal obligors. This structure has the potential to maximize an investors
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
income. By our calculations, laddering outperforms the other bullet and barbell structures two thirds of the time.1 This approach effectively manages a portfolios yield-curve exposure via a roughly equal weighting of each maturity, thereby mitigating a major risk factor. Chart I illustrates that yield changes are not uniform across the New Mexico Intermediate Municipal Funds investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year, so it can be reinvested. Chart III describes the percentages of your Funds bond portfolio maturing in each of the coming years.
Chart III: Percent of Portfolio Maturing
We recognize that fiscal 2013 has been a tough one for fixed income investors. We continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Sincerely,
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Christopher Ihlefeld Portfolio Manager Managing Director |
Christopher Ryon, CFA Portfolio Manager Managing Director |
Josh Gonze Portfolio Manager Managing Director |
1 | For a copy of the study, go to www.thornburg.com/whyladder |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATING
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2021 (New Mexico Utilities, Inc. Water System) |
AA+/Aa2 | $ | 1,760,000 | $ | 2,009,586 | |||||
Albuquerque Bernalillo County Water Utility Authority, 5.50% due 7/1/2025 (New Mexico Utilities, Inc. Water System) |
AA+/Aa2 | 1,000,000 | 1,164,360 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (San Juan- Chama Drinking Water Project) |
AA+/Aa2 | 1,420,000 | 1,586,310 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) |
AA/Aa1 | 5,885,000 | 6,941,652 | |||||||
Bernalillo County GRT, 5.00% due 4/1/2021 (Government Services; Insured: Natl-Re) |
AAA/Aa2 | 3,000,000 | 3,411,210 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2022 (Government Services; Insured: AMBAC) |
AAA/Aa2 | 3,170,000 | 3,804,507 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2023 (Government Services; Insured: AMBAC) |
AAA/Aa2 | 1,275,000 | 1,538,147 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2025 (Government Services; Insured: AMBAC) |
AAA/Aa2 | 3,850,000 | 4,451,485 | |||||||
Bernalillo County GRT, 5.25% due 4/1/2027 (Government Services) |
AAA/Aa2 | 300,000 | 349,557 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 (Juvenile Detention Facilities) |
AAA/Aa2 | 3,000,000 | 3,567,600 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 (Government Services; Insured: Natl-Re) |
AAA/Aa2 | 745,000 | 885,954 | |||||||
Central New Mexico Community College, 4.00% due 8/15/2023 |
AA+/Aa1 | 1,920,000 | 2,067,936 | |||||||
City of Albuquerque, 5.00% due 7/1/2014 (Albuquerque International Sunport & Double Eagle II Airports) |
A/A2 | 1,000,000 | 1,035,310 | |||||||
City of Albuquerque GRT, 5.00% due 7/1/2021 |
AAA/Aa2 | 1,340,000 | 1,516,920 | |||||||
City of Albuquerque GRT, 5.00% due 7/1/2021 |
AAA/Aa2 | 3,000,000 | 3,411,600 | |||||||
City of Albuquerque GRT, 5.00% due 7/1/2025 (I-25/Paseo del Norte Interchange) |
AAA/Aa2 | 540,000 | 625,034 | |||||||
City of Farmington, 5.00% due 6/1/2017 (San Juan Regional Medical Center) |
NR/A3 | 1,035,000 | 1,151,324 | |||||||
City of Farmington, 5.125% due 6/1/2018 (San Juan Regional Medical Center) |
NR/A3 | 570,000 | 581,303 | |||||||
City of Farmington, 5.125% due 6/1/2019 (San Juan Regional Medical Center) |
NR/A3 | 645,000 | 655,849 | |||||||
City of Farmington, 5.00% due 6/1/2022 (San Juan Regional Medical Center) |
NR/A3 | 2,825,000 | 2,974,668 | |||||||
City of Farmington PCR, 4.70% due 5/1/2024 (Arizona Public Service Co.-Four Corners Project) |
BBB+/Baa1 | 965,000 | 1,002,760 | |||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) |
BBB+/Baa1 | 4,000,000 | 4,144,760 | |||||||
City of Farmington PCR, 1.875% due 6/1/2032 put 9/1/2017 (El Paso Electric Co. Four Corners Project) |
BBB/Baa2 | 3,300,000 | 3,252,348 | |||||||
City of Gallup PCR, 5.00% due 8/15/2017 (Tri-State Generation & Transmission Assoc., Inc. Project; Insured: AMBAC) |
A/A3 | 3,540,000 | 3,741,391 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2021 |
NR/Aa3 | 730,000 | 836,960 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2022 |
NR/Aa3 | 765,000 | 865,399 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2023 |
NR/Aa3 | 800,000 | 895,744 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2024 |
NR/Aa3 | 840,000 | 933,232 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2030 |
NR/Aa3 | 2,000,000 | 2,111,160 | |||||||
City of Las Cruces State Shared GRT, 5.00% due 6/1/2037 |
NR/Aa3 | 5,000,000 | 5,136,550 | |||||||
City of Rio Rancho GRT, 5.00% due 6/1/2014 (Public Service Facility Projects; Insured: Natl-Re) |
AA-/Aa3 | 955,000 | 985,082 | |||||||
City of Rio Rancho GRT, 5.00% due 6/1/2016 pre-refunded 6/1/2015 (Public Service Facility Projects; Insured: Natl-Re) |
AA-/Aa3 | 555,000 | 597,935 | |||||||
City of Rio Rancho GRT, 5.00% due 6/1/2022 pre-refunded 6/1/2015 (Public Service Facility Projects; Insured: Natl-Re) |
AA-/Aa3 | 1,000,000 | 1,077,360 | |||||||
City of Santa Fe, 4.50% due 5/15/2027 (El Castillo Retirement Residences) |
BBB-/NR | 3,275,000 | 3,087,408 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
City of Santa Fe, 5.00% due 5/15/2034 (El Castillo Retirement Residences) |
BBB-/NR | $ | 1,465,000 | $ | 1,326,601 | |||||
Colfax County GRT, 5.00% due 9/1/2019 (Government Center Facility) |
A-/NR | 670,000 | 741,777 | |||||||
Colfax County GRT, 5.50% due 9/1/2029 (Government Center Facility) |
A-/NR | 2,510,000 | 2,664,490 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2016 (Public Facilities Projects) |
AA+/A1 | 1,315,000 | 1,486,989 | |||||||
County of Los Alamos GRT, 5.625% due 6/1/2023 pre-refunded 6/1/2018 (Public Facilities Projects) |
AA+/A1 | 1,000,000 | 1,195,250 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2024 pre-refunded 6/1/2018 (Public Facilities Projects) |
AA+/A1 | 3,000,000 | 3,602,670 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2025 pre-refunded 6/1/2018 (Public Facilities Projects) |
AA+/A1 | 1,000,000 | 1,200,890 | |||||||
Dona Ana County, 5.50% due 12/1/2014 (County Administrative Facilities; Insured: Radian) |
A/NR | 460,000 | 484,601 | |||||||
Dona Ana County GRT, 5.50% due 6/1/2016 (County Jail Improvement Project; Insured: AMBAC) |
NR/NR | 250,000 | 268,533 | |||||||
Government of Guam, 5.375% due 12/1/2024 |
BBB+/NR | 2,000,000 | 2,109,660 | |||||||
Grant County, 3.75% due 7/1/2014 (State Dept. of Health-Ft. Bayard Project) |
AA/Aa1 | 250,000 | 255,905 | |||||||
Grant County, 5.50% due 7/1/2020 (State Dept. of Health-Ft. Bayard Project) |
AA/Aa1 | 1,565,000 | 1,787,167 | |||||||
Grant County, 5.50% due 7/1/2021 (State Dept. of Health-Ft. Bayard Project) |
AA/Aa1 | 1,655,000 | 1,889,944 | |||||||
Grant County, 5.50% due 7/1/2022 (State Dept. of Health-Ft. Bayard Project) |
AA/Aa1 | 1,745,000 | 1,992,720 | |||||||
Guam Power Authority, 5.00% due 10/1/2026 (Electric Power System; Insured: AGM) |
AA-/A2 | 2,000,000 | 2,175,580 | |||||||
New Mexico Educational Assistance Foundation, 4.10% due 9/1/2015 (Student Loans; LOC: Royal Bank of Canada) (AMT) |
NR/Aaa | 2,000,000 | 2,107,360 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2016 (Student Loans) |
NR/Aaa | 690,000 | 752,597 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) |
NR/Aaa | 1,150,000 | 1,274,303 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2019 (Student Loans) |
AAA/Aaa | 1,000,000 | 1,172,680 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2022 (Student Loans) |
AAA/Aaa | 3,000,000 | 3,428,850 | |||||||
New Mexico Finance Authority, 5.25% due 6/1/2015 (Various Governmental Projects; Insured: AMBAC) |
AAA/Aa1 | 1,000,000 | 1,032,020 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2015 (Bernalillo County Metropolitan Court; Insured: AMBAC) |
NR/Aa2 | 2,360,000 | 2,539,620 | |||||||
New Mexico Finance Authority, 5.25% due 6/1/2016 (Bernalillo County Water Authority; Insured: AMBAC) |
AAA/Aa1 | 250,000 | 257,845 | |||||||
New Mexico Finance Authority, 2.00% due 6/15/2016 (State Highway Infrastructure) |
AAA/Aa1 | 3,000,000 | 3,107,010 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2018 (Bernalillo County Metropolitan Court; Insured: AMBAC) |
NR/Aa2 | 2,915,000 | 3,116,339 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (UNM Health Sciences Center; Insured: Natl-Re) |
NR/Aa2 | 1,215,000 | 1,297,839 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Various Governmental Projects; Insured: AMBAC) |
AAA/Aa1 | 365,000 | 402,719 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (Various Governmental Projects; Insured: Natl-Re) |
AA/Aa2 | 1,300,000 | 1,450,345 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (Various Governmental Projects; Insured: Natl-Re) |
AA/Aa2 | 7,000,000 | 7,734,720 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2017 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) |
NR/NR | 1,730,000 | 1,855,563 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2019 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) |
NR/NR | 1,000,000 | 1,072,580 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2021 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) |
NR/NR | 1,185,000 | 1,271,007 | |||||||
New Mexico Hospital Equipment Loan Council, 6.00% due 8/1/2023 (Presbyterian Healthcare Services) |
AA/Aa3 | 6,000,000 | 6,929,580 | |||||||
New Mexico Hospital Equipment Loan Council, 5.25% due 7/1/2025 pre-refunded 7/1/2015 (St. Vincent Hospital; Insured: Radian) |
NR/NR | 1,000,000 | 1,076,920 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group) |
NR/NR | 2,000,000 | 1,791,000 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2039 (Presbyterian Healthcare Services) |
AA/Aa3 | $ | 3,000,000 | $ | 3,014,880 | |||||
New Mexico Housing Authority MFR, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) |
NR/NR | 790,000 | 755,114 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2015 |
A+/A1 | 490,000 | 524,996 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2020 |
A+/A1 | 590,000 | 670,901 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2023 |
A+/A1 | 685,000 | 752,753 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2024 |
A+/A1 | 525,000 | 571,163 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2025 |
A+/A1 | 505,000 | 544,294 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2028 |
A+/A1 | 1,500,000 | 1,571,535 | |||||||
New Mexico MFA, 5.25% due 7/1/2023 (HERO Loan SFM Program; Collateralized: GNMA/ FNMA/FHLMC) (AMT) |
AA+/NR | 630,000 | 660,479 | |||||||
New Mexico MFA, 5.375% due 7/1/2023 (Saver Loan SFM Program; Collateralized: GNMA/ FNMA/FHLMC) (AMT) |
AA+/NR | 485,000 | 488,851 | |||||||
New Mexico MFA, 4.625% due 3/1/2028 (NIBP SFM Program; Collateralized: GNMA/ FNMA/FHLMC) |
AA+/NR | 1,705,000 | 1,780,344 | |||||||
New Mexico MFA, 5.50% due 7/1/2028 (HERO Loan SFM Program; Collateralized: GNMA/ FNMA/FHLMC) (AMT) |
AA+/NR | 1,370,000 | 1,421,320 | |||||||
New Mexico MFA, 5.60% due 7/1/2028 (Saver SFM Loan Program; Collateralized: GNMA/ FNMA/FHLMC) (AMT) |
AA+/NR | 435,000 | 454,532 | |||||||
New Mexico MFA, 5.40% due 9/1/2029 (Saver SFM Loan Program; Collateralized: GNMA/ FNMA/FHLMC) |
AA+/NR | 560,000 | 587,272 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2014 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 1,000,000 | 1,011,220 | |||||||
Regents of the University of New Mexico, 5.00% due 6/1/2015 (Campus Improvements; Insured: AMBAC) |
AA/Aa2 | 1,590,000 | 1,710,077 | |||||||
Regents of the University of New Mexico, 5.25% due 6/1/2015 (UNM Hospital Capital Improvements) |
AA/Aa2 | 1,195,000 | 1,199,888 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2016 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 2,920,000 | 2,986,138 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2017 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 2,000,000 | 2,039,700 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2018 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 2,000,000 | 2,034,260 | |||||||
Regents of the University of New Mexico, 5.25% due 6/1/2018 (UNM Hospital Capital Improvements) |
AA/Aa2 | 1,200,000 | 1,204,908 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2019 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 3,000,000 | 3,047,130 | |||||||
Regents of the University of New Mexico, 5.00% due 7/1/2019 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 3,000,000 | 3,046,680 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2020 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 2,310,000 | 2,345,597 | |||||||
Regents of the University of New Mexico, 5.00% due 7/1/2020 (Childrens Hospital and Critical Care Pavilion; Insured: AGM/FHA) |
AA-/A2 | 500,000 | 507,480 | |||||||
Regents of the University of New Mexico, 6.00% due 6/1/2021 (Campus Buildings Acquisition & Improvements) |
AA/Aa2 | 555,000 | 648,806 | |||||||
San Juan County GRT, 5.00% due 6/15/2014 (Insured: Natl-Re) |
A+/A2 | 1,225,000 | 1,264,139 | |||||||
Sandoval County, 4.00% due 6/1/2015 (Intel Corp.) |
A+/NR | 425,000 | 435,009 | |||||||
Sandoval County, 5.00% due 6/1/2020 (Intel Corp.) |
A+/NR | 6,440,000 | 6,726,065 | |||||||
Santa Fe County, 5.00% due 2/1/2018 (County Correctional System; Insured: AGM) |
AA-/A2 | 920,000 | 990,803 | |||||||
Santa Fe County, 6.00% due 2/1/2027 (County Correctional System; Insured: AGM) |
AA-/A2 | 1,520,000 | 1,779,160 | |||||||
Santa Fe County GO, 4.00% due 7/1/2019 (County Road and Water System Improvement Projects; Insured: Natl-Re) |
NR/Aaa | 750,000 | 803,580 | |||||||
Santa Fe County GRT, 5.00% due 6/1/2025 (County Courthouse and Other Public Facilities) |
AA+/Aa2 | 1,400,000 | 1,575,504 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
Santa Fe County GRT, 5.00% due 6/1/2026 (County Courthouse and Other Public Facilities) |
AA+/Aa2 | $ | 1,535,000 | $ | 1,647,055 | |||||
Town of Silver City GRT, 4.00% due 6/1/2029 (Public Facility Capital Projects) |
A+/NR | 1,000,000 | 1,003,240 | |||||||
Town of Silver City GRT, 4.25% due 6/1/2032 (Public Facility Capital Projects) |
A+/NR | 1,050,000 | 1,036,612 | |||||||
Ventana West Public Improvement District, 6.625% due 8/1/2023 |
NR/NR | 1,760,000 | 1,767,938 | |||||||
Village of Los Ranchos de Albuquerque, 4.50% due 9/1/2040 (Albuquerque Academy) |
A/NR | 3,000,000 | 2,913,240 | |||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 |
NR/Baa3 | 2,500,000 | 2,732,125 | |||||||
Virgin Islands Water & Power Authority, 5.00% due 7/1/2025 (Electric System) |
BB+/Ba1 | 990,000 | 904,929 | |||||||
Virgin Islands Water & Power Authority, 5.00% due 7/1/2026 (Electric System) |
BB+/Ba1 | 1,090,000 | 986,483 | |||||||
Zuni Public School District, 5.00% due 8/1/2028 (Teacher Housing Projects) |
A/NR | 1,600,000 | 1,664,800 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 95.36% (Cost $195,038,569) |
$ | 203,063,075 | ||||||||
OTHER ASSETS LESS LIABILITIES 4.64% |
9,884,388 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 212,947,463 | ||||||||
|
|
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
16 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $195,038,569) (Note 2) |
$ | 203,063,075 | ||
Cash |
5,386,506 | |||
Receivable for investments sold |
2,120,619 | |||
Receivable for fund shares sold |
248,238 | |||
Interest receivable |
2,753,477 | |||
|
|
|||
Total Assets |
213,571,915 | |||
|
|
|||
LIABILITIES |
||||
Payable for fund shares redeemed |
377,784 | |||
Payable to investment advisor and other affiliates (Note 3) |
151,833 | |||
Accounts payable and accrued expenses |
42,112 | |||
Dividends payable |
52,723 | |||
|
|
|||
Total Liabilities |
624,452 | |||
|
|
|||
NET ASSETS |
$ | 212,947,463 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Distribution in excess of net investment income |
$ | (25,896 | ) | |
Net unrealized appreciation |
8,024,506 | |||
Accumulated net realized gain (loss) |
(1,023,077 | ) | ||
Net capital paid in on shares of beneficial interest |
205,971,930 | |||
|
|
|||
$ | 212,947,463 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($158,499,744 applicable to 11,872,082 shares of beneficial interest outstanding - Note 4) |
$ | 13.35 | ||
Maximum sales charge, 2.00% of offering price |
0.27 | |||
|
|
|||
Maximum offering price per share |
$ | 13.62 | ||
|
|
|||
Class D Shares: |
||||
Net asset value, offering and redemption price per share ($28,857,822 applicable to 2,160,484 shares of beneficial interest outstanding - Note 4) |
$ | 13.36 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($25,589,897 applicable to 1,917,499 shares of beneficial interest outstanding - Note 4) |
$ | 13.35 | ||
|
|
See notes to financial statements.
Certified Annual Report 17
STATEMENT OF OPERATIONS | ||
Thornburg New Mexico Intermediate Municipal Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Interest income (net of premium amortized of $1,539,246) |
$ | 9,046,751 | ||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
1,217,793 | |||
Administration fees (Note 3) |
||||
Class A Shares |
222,926 | |||
Class D Shares |
39,520 | |||
Class I Shares |
16,801 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
445,851 | |||
Class D Shares |
156,898 | |||
Transfer agent fees |
||||
Class A Shares |
55,116 | |||
Class D Shares |
13,199 | |||
Class I Shares |
4,015 | |||
Registration and filing fees |
||||
Class A Shares |
511 | |||
Class D Shares |
1,457 | |||
Class I Shares |
984 | |||
Custodian fees (Note 3) |
53,716 | |||
Professional fees |
31,610 | |||
Accounting fees |
7,063 | |||
Trustee fees |
8,215 | |||
Other expenses |
21,739 | |||
|
|
|||
Total Expenses |
2,297,414 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(2,994 | ) | ||
Fees paid indirectly (Note 3) |
(7,307 | ) | ||
|
|
|||
Net Expenses |
2,287,113 | |||
|
|
|||
Net Investment Income |
6,759,638 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
139,966 | |||
Net change in unrealized appreciation (depreciation) on investments |
(10,844,544 | ) | ||
|
|
|||
Net Realized and Unrealized Loss |
(10,704,578 | ) | ||
|
|
|||
Net Decrease in Net Assets Resulting from Operations |
$ | (3,944,940 | ) | |
|
|
See notes to financial statements.
18 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New Mexico Intermediate Municipal Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 6,759,638 | $ | 7,504,074 | ||||
Net realized gain (loss) on investments |
139,966 | (1,163,043 | ) | |||||
Net unrealized appreciation (depreciation) on investments |
(10,844,544 | ) | 5,728,003 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(3,944,940 | ) | 12,069,034 | |||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(4,927,135 | ) | (5,492,712 | ) | ||||
Class D Shares |
(796,491 | ) | (748,415 | ) | ||||
Class I Shares |
(1,036,012 | ) | (1,262,947 | ) | ||||
From realized gains |
||||||||
Class A Shares |
| (142,643 | ) | |||||
Class D Shares |
| (19,090 | ) | |||||
Class I Shares |
| (32,129 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(21,162,302 | ) | (809,076 | ) | ||||
Class D Shares |
(1,677,868 | ) | 7,285,463 | |||||
Class I Shares |
(11,168,790 | ) | (4,267,820 | ) | ||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets |
(44,713,538 | ) | 6,579,665 | |||||
NET ASSETS |
||||||||
Beginning of Year |
257,661,001 | 251,081,336 | ||||||
|
|
|
|
|||||
End of Year |
$ | 212,947,463 | $ | 257,661,001 | ||||
|
|
|
|
|||||
Distribution in excess of net investment income |
$ | (25,896 | ) | $ | (25,896 | ) |
See notes to financial statements.
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg New Mexico Intermediate Municipal Fund (the Fund) is a non-diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds 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 Funds investment advisor, with the preservation of capital. The Funds secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest outstanding: Class A, Class D, and Institutional Class (Class I). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class D shares are sold at net asset value without a sales charge at the time of purchase or redemption, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 203,063,075 | $ | | $ | 203,063,075 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 203,063,075 | $ | | $ | 203,063,075 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $2,167 from the sale of Class A shares.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class D shares, under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class D shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
For the year ended September 30, 2013, the advisor voluntarily reimbursed certain class specific expenses and administrative fees of $1,306 for Class A shares and $1,688 for Class D shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $7,307.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
895,379 | $ | 12,378,090 | 1,301,259 | $ | 18,006,908 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
301,157 | 4,121,844 | 312,719 | 4,326,709 | ||||||||||||
Shares repurchased |
(2,766,936 | ) | (37,662,236 | ) | (1,673,821 | ) | (23,142,693 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,570,400 | ) | $ | (21,162,302 | ) | (59,843 | ) | $ | (809,076 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class D Shares |
||||||||||||||||
Shares sold |
415,691 | $ | 5,764,194 | 710,780 | $ | 9,852,694 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
56,544 | 774,236 | 51,740 | 716,479 | ||||||||||||
Shares repurchased |
(602,543 | ) | (8,216,298 | ) | (237,274 | ) | (3,283,710 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(130,308 | ) | $ | (1,677,868 | ) | 525,246 | $ | 7,285,463 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
259,542 | $ | 3,566,466 | 249,807 | $ | 3,463,659 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
67,264 | 922,972 | 78,558 | 1,086,275 | ||||||||||||
Shares repurchased |
(1,141,246 | ) | (15,658,228 | ) | (633,977 | ) | (8,817,754 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(814,440 | ) | $ | (11,168,790 | ) | (305,612 | ) | $ | (4,267,820 | ) | ||||||
|
|
|
|
|
|
|
|
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $27,431,748 and $49,958,617, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 195,038,569 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 9,821,230 | ||
Gross unrealized depreciation on a tax basis |
(1,796,724 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 8,024,506 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012, of $85,197. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Fund had cumulative tax basis capital losses of $937,880 (of which $2,216 is short-term and $935,664 is long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.
At September 30, 2013, the Fund had $26,827 tax basis undistributed net tax-exempt income, no tax basis undistributed net ordinary investment income and no tax basis undistributed capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 6,757,492 | $ | 7,497,663 | ||||
Ordinary income |
2,146 | 62,223 | ||||||
Capital gains |
| 138,050 | ||||||
|
|
|
|
|||||
Total |
$ | 6,759,638 | $ | 7,697,936 | ||||
|
|
|
|
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
24 Certified Annual Report
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Certified Annual Report 25
Thornburg New Mexico Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 13.95 | 0.38 | (0.60 | ) | (0.22 | ) | (0.38 | ) | | (0.38 | ) | $13.35 | 2.76 | 0.96 | 0.95 | 0.96 | (1.61 | ) | 11.78 | $ | 158,499 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 13.72 | 0.41 | 0.24 | 0.65 | (0.41 | ) | (0.01) | (0.42 | ) | $13.95 | 2.95 | 0.95 | 0.95 | 0.95 | 4.80 | 11.66 | $ | 187,578 | |||||||||||||||||||||||||||||||||
2011(b) |
$ | 13.78 | 0.44 | (0.05 | ) | 0.39 | (0.44 | ) | (0.01) | (0.45 | ) | $13.72 | 3.23 | 0.96 | 0.96 | 0.96 | 2.93 | 10.64 | $ | 185,208 | ||||||||||||||||||||||||||||||||
2010(b) |
$ | 13.63 | 0.43 | 0.15 | 0.58 | (0.43 | ) | | (0.43 | ) | $13.78 | 3.19 | 0.96 | 0.96 | 0.96 | 4.38 | 7.70 | $ | 202,870 | |||||||||||||||||||||||||||||||||
2009(b) |
$ | 12.64 | 0.47 | 0.99 | 1.46 | (0.47 | ) | | (0.47 | ) | $13.63 | 3.62 | 0.96 | 0.96 | 0.96 | 11.79 | 14.12 | $ | 187,940 | |||||||||||||||||||||||||||||||||
Class D Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.96 | 0.34 | (0.59 | ) | (0.25 | ) | (0.35 | ) | | (0.35 | ) | $13.36 | 2.51 | 1.21 | 1.21 | 1.22 | (1.85 | ) | 11.78 | $ | 28,858 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.72 | 0.37 | 0.26 | 0.63 | (0.38 | ) | (0.01) | (0.39 | ) | $13.96 | 2.71 | 1.18 | 1.18 | 1.22 | 4.62 | 11.66 | $ | 31,984 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.78 | 0.40 | (0.05 | ) | 0.35 | (0.40 | ) | (0.01) | (0.41 | ) | $13.72 | 2.97 | 1.22 | 1.21 | 1.22 | 2.66 | 10.64 | $ | 24,228 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.63 | 0.28 | 0.27 | 0.55 | (0.40 | ) | | (0.40 | ) | $13.78 | 2.92 | 1.22 | 1.22 | 1.71 | 4.11 | 7.70 | $ | 24,068 | |||||||||||||||||||||||||||||||||
2009 |
$ | 12.64 | 0.44 | 0.99 | 1.43 | (0.44 | ) | | (0.44 | ) | $13.63 | 3.35 | 1.23 | 1.23 | 1.73 | 11.50 | 14.12 | $ | 17,301 | |||||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.95 | 0.43 | (0.61 | ) | (0.18 | ) | (0.42 | ) | | (0.42 | ) | $13.35 | 3.09 | 0.61 | 0.61 | 0.61 | (1.29 | ) | 11.78 | $ | 25,590 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.71 | 0.46 | 0.25 | 0.71 | (0.46 | ) | (0.01) | (0.47 | ) | $13.95 | 3.30 | 0.61 | 0.61 | 0.61 | 5.24 | 11.66 | $ | 38,099 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.77 | 0.48 | (0.05 | ) | 0.43 | (0.48 | ) | (0.01) | (0.49 | ) | $13.71 | 3.57 | 0.62 | 0.61 | 0.62 | 3.28 | 10.64 | $ | 41,645 | ||||||||||||||||||||||||||||||||
2010 |
$ | 13.62 | 0.67 | (0.04 | ) | 0.63 | (0.48 | ) | | (0.48 | ) | $13.77 | 3.53 | 0.61 | 0.61 | 0.61 | 4.74 | 7.70 | $ | 26,971 | ||||||||||||||||||||||||||||||||
2009 |
$ | 12.63 | 0.52 | 0.99 | 1.51 | (0.52 | ) | | (0.52 | ) | $13.62 | 3.96 | 0.62 | 0.62 | 0.62 | 12.18 | 14.12 | $ | 27,508 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
26 Certified Annual Report | Certified Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | ||
Thornburg New Mexico Intermediate Municipal Fund |
To the Trustees and Shareholders of
Thornburg New Mexico Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New Mexico Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
28 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 979.20 | $ | 4.78 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.24 | $ | 4.88 | ||||||
Class D Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 977.90 | $ | 6.07 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.94 | $ | 6.19 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 980.90 | $ | 3.08 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.96 | $ | 3.15 |
| Expenses are equal to the annualized expense ratio for each class (A: 0.96%; D: 1.22%; I: 0.62%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 29
INDEX COMPARISON | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg New Mexico Intermediate Municipal Fund versus BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index and Consumer Price Index (September 30, 2003 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 6/18/91) |
-3.55 | % | 3.94 | % | 3.07 | % | 4.54 | % | ||||||||
D Shares (Incep: 6/1/99) |
-1.85 | % | 4.12 | % | 3.01 | % | 3.47 | % | ||||||||
I Shares (Incep: 2/1/07) |
-1.29 | % | 4.74 | % | | 3.99 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 2.00% . For Class D shares and Class I shares there is no sales charge.
30 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
32 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 33
OTHER INFORMATION | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Fund of $6,757,492 (or the maximum allowed) are tax exempt dividends and $2,146 are taxable ordinary investment income dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg New Mexico Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan for the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the specified information with the Trustees and addressed questions by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
34 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over various periods of time relative to two categories of single-state municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk, and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating the quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund generally produced positive investment returns in accordance with expectations for the years considered, that the Funds return for the most recent calendar year was lower than the average return of the mutual fund category for which calendar year data was presented, but that the Funds returns exceeded or were comparable to the average returns of the category in seven of the preceding nine calendar years. Other noted quantitative data showed that the Funds annualized investment returns fell in the first decile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year, fell in the second quartile for the one-year period, the fourth quartile for the three-year period and the third quartile for the three-year period, and that the Funds annualized returns fell in the second quartile of performance of the second fund category for the one-year period, and within the third quartile for the year-to-date, three-year and five-year periods. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to those measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of fixed income mutual funds assembled by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was slightly higher than the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was comparable to the average and
Certified Annual Report 35
OTHER INFORMATION, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
slightly higher than the median expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as it grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
36 Certified Annual Report
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This page is not part of the Annual Report. 37
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
38 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 39
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH080 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THNYX | 885-215-665 | ||
Class I |
TNYIX | 885-216-705 |
Glossary
Bloomberg Economic Evaluation of States (BEES) Index A survey, updated quarterly, that examines the pace of states growth following the 18-month recession that officially ended in June 2009.
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index This index is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 3 years and less than 15 years.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Core Personal Consumption Expenditure Price Index A measure of the Personal Consumption Expenditure Price Index that excludes the more volatile and seasonal food and energy prices.
Personal Consumption Expenditure Price Index (PCEPI) This index is one measure of U.S. inflation that assesses the percentage change in prices of goods and services purchased by consumers throughout the economy. Of all the measures of consumer price inflation, the PCEPI covers the broadest set of goods and services.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Alternative Minimum Tax (AMT) A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Barbell Structure A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.
Basis Point (bps) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a
This page is not part of the Annual Report. 3
combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Bullet Structure A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Fed Funds Rate The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.
General Obligation Bond A municipal bond backed by the credit and taxing power of the issuing jurisdiction rather than the revenue from a given project.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
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.
4 This page is not part of the Annual Report.
THORNBURG NEW YORK INTERMEDIATE MUNICIPAL FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting in-depth fundamental research on each issue and actively monitoring positions for subsequent credit events. |
| Diversifying among a large number of generally high-quality bonds. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thorn-burg.com or call 800.847.0200.
The maximum sales charge for the Funds Class A shares is 2.00%. The total annual operating expenses of Class A shares are 1.05%, as disclosed in the most recent Prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, resulting in a net expense ratio of 0.99%. For more detailed information, please see the funds prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from September 5, 1997 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 9/5/97) |
||||||||||||||||||||
Without sales charge |
-1.32 | % | 3.20 | % | 4.96 | % | 3.53 | % | 4.16 | % | ||||||||||
With sales charge |
-3.26 | % | 2.52 | % | 4.54 | % | 3.32 | % | 4.03 | % |
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
2.44% |
1.36 | % |
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 1.22% and the Annualized Distribution Yield would have been 2.30%.
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
61 | |||
Effective Duration |
4.8Yrs | |||
Average Maturity |
7.2Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 13.
This page is not part of the Annual Report. 5
Thornburg New York Intermediate Municipal Fund
September 30, 2013
7 | ||||
13 | ||||
16 | ||||
17 | ||||
18 | ||||
19 | ||||
24 | ||||
26 | ||||
27 | ||||
28 | ||||
29 | ||||
32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Shareholder:
We are pleased to present the annual report for the Thornburg New York Intermediate Municipal Fund for the year ended September 30, 2013. The net asset value (NAV) of the Class A shares decreased by 51 cents to $12.93 per share during the fiscal year. If you were with us for the entire period, you received dividends of 33.7 cents per share. If you reinvested your dividends, you received 34.1 cents per share. Dividends were higher for Class I shares, to account for varying class-specific expenses. The Class A shares of your Fund underperformed the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index with a total return of negative 1.32% at NAV for the fiscal year ended September 30, 2013, compared to the negative 1.14% total return for the index. The Fund generated 1.44% less price decline and 1.62% less income compared to its benchmark.
The markets negative returns were primarily due to rising interest rates; credit spreads narrowed marginally throughout the fiscal year, in spite of several well publicized credit events, which provided a fresh example of how greed sometimes trumps fear in investing. Interest rates increased more for longer maturities, reversing last years trend, so longer-maturity bonds underperformed shorter-maturity bonds. The Funds price performed positively in relation to the benchmark, but negatively in absolute terms. This is due to several factors. Interest-rate sensitivity, as measured by the Funds duration and differing allocations along the yield curve, added 1.00% of relative price performance. Our sector allocations added 0.28% of relative price performance, and our overweight to lower-credit-quality securities subtracted 0.20% of relative price performance compared to the benchmark. Other risk factors added another 0.36% of relative price performance.
The Economy and the Federal Reserve (the Fed)
The health of the national economy, as measured by gross domestic product (GDP), was somewhat weaker in fiscal year 2013 versus fiscal year 2012. The average of quarter-over-quarter GDP growth comparisons was 1.23% for the first nine months of fiscal 2013 compared to 3.15% for all of fiscal 2012. The employment picture was a little brighter, but nothing to write home about. The nonfarm payroll jobs number averaged 188,000 for the first 11 months of fiscal 2013 versus 178,000 for fiscal 2012. As of the date of this letter, data for the last month of fiscal 2013 were not released due to the government shutdown, which well touch on later. The unemployment rate declined to 7.3% by the end of August 2013 (the last data point available) from 7.8% in September 2012. Inflation, the bondholders worst enemy, has been declining in fiscal year 2013. The year-over-year change in the Consumer Price Index (CPI) declined to 1.5% as of August 31, 2013 from 2.0% as of September 30, 2012. Subtracting the food and energy components to arrive at the core measure (because economists neither eat nor drive!) paints a similar picture, with a narrower decline of 1.8% as of August 31, 2013, from 2.0% as of September 30, 2012. The picture of the economy now coming into view is of a faint recovery with little inflation. Investors must ask themselves: Why did most bonds decline in value with an economic backdrop of slow growth and low inflation?
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
On June 19, 2013, Federal Reserve Chairman Ben Bernanke roiled the fixed income markets by alluding to the prospect of a decrease in the Feds monthly purchases of Treasury and mortgage-backed securities. The market quickly became anxious about the Feds initiation of tapering its third quantitative easing program, or QE3. Bernanke stated:
Although the Committee left the pace of purchases unchanged at todays meeting, it has stated that it may vary the pace of purchases as economic conditions evolve. Any such change would reflect the incoming data and their implications for the outlook, as well as the cumulative progress made toward the Committees objectives since the program began in September. Going forward, the economic outcomes that the Committee sees as most likely involve continuing gains in labor markets, supported by moderate growth that picks up over the next several quarters as the near-term restraint from fiscal policy and other headwinds diminishes. We also see inflation moving back toward our 2% objective over time. If the incoming data are broadly consistent with this forecast, the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year. In addition, if the subsequent data remain broadly aligned with our current expectations for the economy, we would continue to reduce the pace of purchases in measured steps through the first half of next year, ending purchases around mid-year. In this scenario, when asset purchases ultimately come to an end, the unemployment rate would likely be in the vicinity of 7%, with solid economic growth supporting further job gains, a substantial improvement from the 8.1% unemployment rate that prevailed when the Committee announced this program.
Investors interpreted the statement to mean that fixed-income markets were going to lose a large marginal buyer of Treasury and mortgage-backed securities whose motivation for buying those securities was very different from that of the rest of the market. Yields on 10-year Treasury notes increased from 2.19% on June 18, 2013, to a high of 2.99% on September 5, 2013.
On September 18, 2013, the Fed confounded the markets again. Market participants were all set up for a tapering announcement, when they instead received this:
At the meeting concluded earlier today, the sense of the Committee was that the broad contours of the medium-term economic outlook including economic growth sufficient to support ongoing gains in the labor market, and inflation moving towards its objective were close to the views it held in June. However, in evaluating whether a modest reduction in the pace of asset purchases would be appropriate at this meeting the Committee concluded that the economic data do not yet provide sufficient confirmation of its baseline outlook to warrant such a reduction. Moreover, the Committee has some concern that the rapid tightening of financial conditions in recent months could have the effect of slowing growth, as I noted earlier, a concern that would be exacerbated if conditions tightened further. Finally, the extent of the effects of restrictive fiscal policies remain unclear, and upcoming fiscal debates may involve additional risks to financial markets and to the broader economy. In light of these uncertainties, the Committee decided to await more evidence that the recoverys progress will be sustained before adjusting the pace of asset purchases.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
The passage highlighted the risk to the economy of a government shutdown. This caused the yield on the 10-year Treasury to decrease to 2.61% on September 30, 2013 from 2.99% on September 5, 2013. The recent transparency from the Fed contributed to most fixed-income markets posting negative returns for the fiscal year. Yields on the 10-year Treasury note began the fiscal year at 1.63% and ended the fiscal year at 2.61%, a 0.98% increase.
After the end of the fiscal year, the President announced the nomination of Federal Reserve Vice Chair Janet Yellen to Federal Reserve Board Chair. Given the acrimony in Washington between the two parties, Yellens confirmation hearing should prove spirited at best, which may inject more volatility into the fixed income markets.
The Municipal Market
Interest rates increased in the municipal market throughout the fiscal year. Chart I illustrates these increases during the fiscal year ended September 30, 2013.
Interest-rate increases were much more pronounced for securities with longer maturity dates. As rates increased, the price of outstanding bonds decreased and so did the price of the mutual funds that held them. Shareholders began taking their money out of municipal bond mutual funds in the third quarter of fiscal 2013 and continued to do so through the end of the fiscal year. This exacerbated those price declines. For the fiscal year, municipal bond mutual funds lost $32 billion to shareholder withdrawals, or about 4.5% of assets as of the beginning of the third fiscal quarter. Some of our municipal bond funds did see outflows, but nothing of this magnitude.
Chart I: Changes in AAA General Obligation Municipal Yield Curve 9/30/2012 9/30/2013
Past performance does not guarantee future results.
Chart I shows that short-maturity yields increased less than longer-maturity yields. The main reason for this is that investors, in their search for income, had driven up the price of longer-maturity securities relative to short-maturity securities. Chart II illustrates the impact of this type of investor behavior. If inflation is the worst enemy of the fixed income investor, then it can be used as an input to a relative-value measure of fixed-income securities. That relative measure is referred to as real yield. The real yield of a fixed income security is derived by subtracting an inflation measure (in this case, the Core U.S. Personal Consumption Expenditure Price Index, which is the Feds favored infla-
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
tion measure) from the yield of that instrument. Chart II shows the real yield of a 10-year AAA-rated general obligation municipal bond from June 1, 1994 through August 31, 2013.
On November 30, 2012, the real yield of a generic 10-year AAA general obligation municipal bond was negative 0.26%, versus a long-term average of 2.13%. That is the richest level for the time series. In plain English: after adjusting for inflation, investors who on that date bought 10-year AAA-rated general-obligation bonds were losing 0.26% of purchasing power. Over the long term, investors typically earned 2.13% above the inflation rate in purchasing power. By August 31, 2013 (the last available data point), as inflation came down and yields increased, the real yield of the 10-year AAA-rated general obligation municipal bond reached a fairer value of 1.75%. So, how can yields increase in a slow growth, low inflation environment? This conundrum is answered by the acute over-valuation levels reached at the middle of the fiscal year. Investors, in their search for income, pushed fixed-income security prices to unsustainably high levels that needed to be corrected, and they were.
Chart II: 10-Year AAA GO Real Yield (using Core PCE) 6/1/1994 8/31/2013
The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of the States Index, which includes:
| Mortgage delinquencies from the Mortgage Bankers Association |
| State personal income from the Bureau of Economic Analysis |
| Tax revenue from the U.S. Census Bureau |
| Employment from the Bureau of Labor Statistics |
| Home prices from the Federal Housing Finance Agency |
| Bloomberg State Stock Index |
For the period from the second quarter of 2012 through the second quarter of 2013 (the time period for which the latest data are available) the Bloomberg index has increased, on average, 1.39%. It ranged from a 7.4% increase to an 8.1% decrease. For the comparable period of the second quarter of
10 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
2011 through the second quarter of 2012, the average was a decrease of 0.87%, with a range from an increase of 11.5% to a decrease of 9.0%. New Yorks reading for that period was negative 1.8%, placing it 34th out of the 50 states in terms of economic health, as measured by this methodology. State pension funds are still wrestling with issues: median funding levels have gone from 82.6% in 2007 to 71.67% in 2011 (The Pew Center on the States suggests a funding level of 80% is adequate). New Yorks 2011 pension funding level was 94%, ranking it 5th highest in the United States. Even with that distinction, its pension funding level was down from 2007s 104%.
Against this backdrop, several high profile credit events have taken place in the municipal bond market over the course of the fiscal year. First, the city of Detroit filed for Chapter 9 protection. This came as no surprise to market participants. Detroit has seen significant population declines over the past several decades, a 25% decline since 1993, and a 62% decline since 1950. Tax collections and median home prices are among the lowest in the country, at 84% and $70,000, respectively.
The Thornburg New York Intermediate Municipal Fund has, for years, also avoided investing in the Commonwealth of Puerto Rico and any of its associated entities. Some of the issues facing the island are:
| A pension system that is 11.2% funded; this converts to a $33.1 billion shortfall with which to fund future benefits |
| Total outstanding debt of $70 billion, or $18,919 per capita |
| An unemployment rate of 13.2% |
Morningstar has calculated that 75% to 77% of municipal bond mutual funds own some Puerto Rico bonds or associated securities. Since the article Puerto Rico in Trouble appeared in Barrons Magazine on August 26th of this year, prices of these securities declined significantly, hurting the performance of the municipal bond funds that owned them. State-specific funds use Puerto Rico bonds as a substitute for bonds domiciled in their state because, as a U.S. territory, Puerto Ricos municipal bonds are tax-exempt in all 50 states. They like the fact that Puerto Rico bonds yield more than other securities in the municipal market (now considerably more). The latter reason is yet another example of greed trumping fear in investing. We continue to analyze the situation to determine whether the price erosion (given the credit condition) makes any of these securities suitable for any of the Thornburg municipal bond funds. At present, our fundamental, bottom-up credit analysis has not yielded a positive answer.
We will continue to rely on our fundamental, bottom-up credit research to determine what securities are appropriate for the Fund, even if it means giving up incremental yield over the short-term.
Conclusion
Your Thornburg New York Intermediate Municipal Fund currently maintains a laddered portfolio structure of 41 municipal obligors. This structure has the potential to maximize an investors income. By our calculations, laddering outperforms other bullet and barbell structures two-thirds of the time.1 This approach effectively manages a portfolios yield-curve exposure via a roughly equal weighting of each maturity, thereby mitigating a major risk factor. Chart I illustrates that yield
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
changes are not uniform across the New York Intermediate Municipal Funds investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year, so it can be reinvested. Chart III describes the percentages of your Funds bond portfolio maturing in each of the coming years.
We recognize that fiscal 2013 has been a tough one for fixed-income investors. We continue to search for opportunities in the municipal market, using our fundamental, bottom-up approach to portfolio management, and the discipline of the laddered structure. Thank you for the trust you have placed with us. We will continue to keep it foremost in our minds as new opportunities and challenges present themselves.
Chart III: Percent of Portfolio Maturing
Sincerely,
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![]() | ||
Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
1 | For a copy of the study, go to www.thornburg.com/whyladder |
Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager of the Fund. Josh Gonze and Christopher Ryon continue to serve as portfolio managers for the Fund.
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
12 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Standard & Poors (S&P). Where S&P ratings are not available, we have used Moodys Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as AAA in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
City of New York GO, 5.00% due 6/1/2019 (Government Financial Management; Insured: AGM) |
AA/Aa2 | $ | 255,000 | $ | 280,854 | |||||
City of New York GO, 5.00% due 8/1/2025 (Government Financial Management) |
AA/Aa2 | 400,000 | 450,720 | |||||||
Dutchess County IDA, 5.00% due 8/1/2020 (Bard College) |
NR/Baa1 | 825,000 | 879,813 | |||||||
Dutchess County IDA, 5.00% due 8/1/2021 (Bard College) |
NR/Baa1 | 1,100,000 | 1,161,908 | |||||||
Erie County Industrial Development Agency, 5.25% due 5/1/2025 (Buffalo City School District) |
AA-/Aa3 | 1,000,000 | 1,132,190 | |||||||
Government of Guam, 5.375% due 12/1/2024 |
BBB+/NR | 1,000,000 | 1,054,830 | |||||||
Hempstead Town Local Development Corp., 5.00% due 7/1/2028 (Hofstra University) |
A/A3 | 500,000 | 527,895 | |||||||
Ilion Central School District, 1.25% due 1/30/2014 (Educational Facilities) (State Aid Withholding) |
NR/Mig1 | 900,000 | 903,024 | |||||||
Long Island Power Authority, 5.25% due 9/1/2029 |
NR/Baa1 | 645,000 | 700,309 | |||||||
Monroe County Industrial Development Corp., 4.00% due 6/1/2016 (St. John Fisher College) |
BBB+/NR | 880,000 | 931,920 | |||||||
Nassau County IDA, 4.75% due 3/1/2026 (New York Institute of Technology) |
BBB+/Baa2 | 1,000,000 | 1,021,340 | |||||||
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements) |
A+/Aa3 | 770,000 | 882,651 | |||||||
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2025 (Healthcare Facilities Improvements) |
A+/Aa3 | 1,000,000 | 1,068,350 | |||||||
New York City Metropolitan Transportation Authority, 6.25% due 11/15/2023 |
A/A2 | 1,000,000 | 1,172,870 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2020 (World Trade Center Recovery) (State Aid Withholding) |
AA-/Aa3 | 1,000,000 | 1,142,540 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2020 (World Trade Center Recovery) |
AAA/Aaa | 1,000,000 | 1,089,470 | |||||||
New York City Trust For Cultural Resources, 5.25% due 12/1/2018 (Lincoln Center for the Performing Arts) |
A+/A2 | 175,000 | 201,763 | |||||||
New York Convention Center Development Corp., 5.00% due 11/15/2017 (Hotel Unit Fee; Insured: AMBAC) |
NR/A1 | 1,000,000 | 1,077,780 | |||||||
New York Environmental Facilities Corp. PCR, 6.875% due 6/15/2014 |
AAA/Aaa | 110,000 | 110,618 | |||||||
New York Municipal Bond Bank Agency, 5.00% due 4/15/2018 (Insured: AGM) |
AA-/A2 | 1,000,000 | 1,140,550 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) |
AA-/A2 | 500,000 | 509,255 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2014 (School District Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A1 | 1,000,000 | 1,046,040 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2015 (Mental Health Services Facilities; Insured: AMBAC) |
AA-/NR | 1,000,000 | 1,062,730 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2016 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) |
NR/Aa1 | 600,000 | 666,990 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School District Financing Program; Insured: AGM) |
AA-/A1 | 1,000,000 | 1,124,730 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2018 (School District Financing Program; Insured: AGM) |
AA-/A1 | 775,000 | 896,039 | |||||||
New York State Dormitory Authority, 5.00% due 3/15/2019 pre-refunded 3/15/2015 (University & College Improvements; Insured: AGM) |
AA-/NR | 950,000 | 1,014,799 | |||||||
New York State Dormitory Authority, 5.00% due 3/15/2019 (University & College Improvements; Insured: AGM) |
AAA/NR | 50,000 | 53,091 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) |
NR/Aa3 | $ | 1,175,000 | $ | 1,354,881 | |||||
New York State Dormitory Authority, 4.00% due 10/1/2020 (School District Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A3 | 325,000 | 358,111 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2021 (Interfaith Medical Center) |
AA-/NR | 2,000,000 | 2,297,980 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2021 (State University of New York; Insured: Natl-Re) |
AA-/NR | 300,000 | 321,939 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2022 (St. Johns University; Insured: Natl-Re) |
A/A3 | 1,000,000 | 1,168,290 | |||||||
New York State Dormitory Authority, 5.00% due 1/15/2023 (Municipal Health Facilities) |
AA-/Aa3 | 1,000,000 | 1,111,580 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Miriam Osborn Memorial Home Assoc.) |
NR/NR | 1,540,000 | 1,640,346 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) |
NR/Aa1 | 1,000,000 | 1,043,130 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2024 (School District Financing Program; Insured: AGM) (State Aid Withholding) |
AA-/A1 | 1,000,000 | 1,109,800 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2025 (Miriam Osborn Memorial Home Assoc.) |
NR/NR | 1,105,000 | 1,158,327 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Interagency Council Pooled Loan Program) |
NR/Aa3 | 1,000,000 | 1,052,870 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Columbia University Teachers College) |
A+/A1 | 750,000 | 821,123 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2027 (Health Quest Systems; Insured: AGM) |
AA-/A3 | 500,000 | 545,570 | |||||||
New York State Dormitory Authority, 5.25% due 5/1/2030 (North Shore Long Island Jewish Medical) |
A-/A3 | 1,000,000 | 1,039,140 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) |
BBB+/Baa1 | 1,000,000 | 1,020,350 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2018 (Multi-Year Highway and Bridge Capital Program; Insured: AMBAC) |
AA/NR | 445,000 | 483,408 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2019 (Multi-Year Highway and Bridge Capital Program; Insured: AMBAC) |
AA/A2 | 235,000 | 254,644 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2022 (Multi-Year Highway and Bridge Capital Program) |
AA/NR | 1,000,000 | 1,135,910 | |||||||
New York State Urban Development Corp., 5.25% due 1/1/2021 |
AA-/NR | 1,000,000 | 1,132,440 | |||||||
Oneida County IDA, 6.10% due 6/1/2020 (Presbyterian Home for Central New York; LOC: HSBC Bank USA) |
NR/A1 | 450,000 | 451,346 | |||||||
Onondaga Civic Development Corp., 5.00% due 7/1/2021 (Le Moyne College) |
NR/Baa2 | 1,000,000 | 1,078,570 | |||||||
Onondaga Civic Development Corp., 5.50% due 12/1/2031 (Upstate Properties Development) |
A+/NR | 1,000,000 | 1,064,150 | |||||||
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: AGM) |
AA-/Aa3 | 1,000,000 | 1,134,560 | |||||||
Syracuse Industrial Development Agency, 5.25% due 5/1/2026 (Syracuse City School District) |
AA-/Aa3 | 2,150,000 | 2,380,652 | |||||||
Tobacco Settlement Funding Corp., 5.50% due 6/1/2021 |
AA-/Aa3 | 1,000,000 | 1,004,420 | |||||||
Town of Amherst Development Corp., 5.00% due 10/1/2020 (University at Buffalo Foundation Facility-Student Housing; Insured: AGM) |
AA-/A2 | 1,000,000 | 1,135,440 | |||||||
Town of Babylon GO, 5.00% due 9/1/2015 (Insured: AMBAC) |
NR/NR | 465,000 | 484,460 | |||||||
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2025 |
AA-/Aa3 | 1,410,000 | 1,638,603 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza Project) |
NR/A1 | 230,000 | 264,951 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/ Moodys |
Principal Amount |
Value | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza Project) |
NR/A1 | $ | 710,000 | $ | 761,965 | |||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 |
NR/NR | 1,080,000 | 1,082,355 | |||||||
|
|
|||||||||
TOTAL INVESTMENTS 89.72% (Cost $52,361,637) |
$ | 54,836,380 | ||||||||
OTHER ASSETS LESS LIABILITIES 10.28% |
6,284,509 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 61,120,889 | ||||||||
|
|
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
Certified Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $52,361,637) (Note 2) |
$ | 54,836,380 | ||
Cash |
5,445,874 | |||
Receivable for fund shares sold |
505,221 | |||
Interest receivable |
735,930 | |||
Prepaid expenses and other assets |
1,215 | |||
|
|
|||
Total Assets |
61,524,620 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
267,503 | |||
Payable for fund shares redeemed |
44,681 | |||
Payable to investment advisor and other affiliates (Note 3) |
33,448 | |||
Accounts payable and accrued expenses |
32,798 | |||
Dividends payable |
25,301 | |||
|
|
|||
Total Liabilities |
403,731 | |||
|
|
|||
NET ASSETS |
$ | 61,120,889 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Distribution in excess of net investment income |
$ | (16,847 | ) | |
Net unrealized appreciation |
2,474,743 | |||
Accumulated net realized gain (loss) |
(210,756 | ) | ||
Net capital paid in on shares of beneficial interest |
58,873,749 | |||
|
|
|||
$ | 61,120,889 | |||
|
|
|||
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($54,061,392 applicable to 4,182,193 shares of beneficial interest outstanding - Note 4) |
$ | 12.93 | ||
Maximum sales charge, 2.00% of offering price |
0.26 | |||
|
|
|||
Maximum offering price per share |
$ | 13.19 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($7,059,497 applicable to 546,041 shares of beneficial interest outstanding - Note 4) |
$ | 12.93 | ||
|
|
See notes to financial statements.
16 Certified Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg New York Intermediate Municipal Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Interest income (net of premium amortized of $410,441) |
$ | 2,188,514 | ||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
309,796 | |||
Administration fees (Note 3) |
||||
Class A Shares |
70,357 | |||
Class I Shares |
2,837 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
140,714 | |||
Transfer agent fees |
||||
Class A Shares |
25,335 | |||
Class I Shares |
3,439 | |||
Registration and filing fees |
||||
Class A Shares |
292 | |||
Custodian fees (Note 3) |
29,313 | |||
Professional fees |
29,958 | |||
Accounting fees |
1,790 | |||
Trustee fees |
2,303 | |||
Other expenses |
14,235 | |||
|
|
|||
Total Expenses |
630,369 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(33,614 | ) | ||
Fees paid indirectly (Note 3) |
(1,571 | ) | ||
|
|
|||
Net Expenses |
595,184 | |||
|
|
|||
Net Investment Income |
1,593,330 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
(77,545 | ) | ||
Net change in unrealized appreciation (depreciation) on investments |
(2,373,054 | ) | ||
|
|
|||
Net Realized and Unrealized Loss |
(2,450,599 | ) | ||
|
|
|||
Net Decrease in Net Assets Resulting from Operations |
$ | (857,269 | ) | |
|
|
See notes to financial statements.
Certified Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New York Intermediate Municipal Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 | |||||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||||
OPERATIONS |
||||||||||
Net investment income |
$ | 1,593,330 | $ | 1,544,080 | ||||||
Net realized gain (loss) on investments |
(77,545 | ) | (1,824 | ) | ||||||
Net unrealized appreciation (depreciation) on investments |
(2,373,054 | ) | 2,135,272 | |||||||
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(857,269 | ) | 3,677,528 | |||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||||
From net investment income |
||||||||||
Class A Shares |
(1,431,117 | ) | (1,416,550 | ) | ||||||
Class I Shares |
(162,213 | ) | (127,530 | ) | ||||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||||
Class A Shares |
415,288 | 8,331,577 | ||||||||
Class I Shares |
2,587,250 | 1,038,620 | ||||||||
|
|
|
|
|||||||
Net Increase in Net Assets |
551,939 | 11,503,645 | ||||||||
NET ASSETS |
||||||||||
Beginning of Year |
60,568,950 | 49,065,305 | ||||||||
|
|
|
|
|||||||
End of Year |
$ | 61,120,889 | $ | 60,568,950 | ||||||
|
|
|
|
|||||||
Distribution in excess of net investment income |
$ | (16,847 | ) | $ | (16,847 | ) |
See notes to financial statements.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg New York Intermediate Municipal Fund (the Fund) is a non-diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds primary investment objective is to obtain as high a level of current income exempt from federal, New York State, and New York City individual income tax as is consistent, in the view of the Funds investment advisor, with the preservation of capital. The Funds secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios. The Fund will invest primarily in municipal obligations within the state of New York.
The Fund currently offers two classes of shares of beneficial interest outstanding: Class A and Institutional Class (Class I) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee and (ii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
Municipal Bonds |
$ | 54,836,380 | $ | | $ | 54,836,380 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 54,836,380 | $ | | $ | 54,836,380 | $ | |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the fund shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned no commissions from the sale of Class A shares.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class A and Class I expenses do not exceed 0.99% and 0.67%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $29,816 for Class A shares and $3,798 for Class I shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $1,571.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
901,050 | $ | 11,922,513 | 880,583 | $ | 11,619,127 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
80,325 | 1,062,658 | 74,364 | 982,762 | ||||||||||||
Shares repurchased |
(954,983 | ) | (12,569,883 | ) | (323,381 | ) | (4,270,312 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
26,392 | $ | 415,288 | 631,566 | $ | 8,331,577 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
456,801 | $ | 6,000,154 | 131,881 | $ | 1,742,051 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
11,720 | 154,702 | 8,665 | 114,614 | ||||||||||||
Shares repurchased |
(272,677 | ) | (3,567,606 | ) | (62,258 | ) | (818,045 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
195,844 | $ | 2,587,250 | 78,288 | $ | 1,038,620 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $6,725,824 and $6,537,843, respectively.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 |
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 52,361,637 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 2,690,572 | ||
Gross unrealized depreciation on a tax basis |
(215,829 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 2,474,743 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012 of $81,063. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
For the year ended September 30, 2013, the Fund utilized $1,785 of capital loss carryforwards generated after September 30, 2011.
At September 30, 2013, the Fund had cumulative tax basis capital losses of $96,862 (of which $46,442 is short-term and $50,420 is long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occurred in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At September 30, 2013, the Fund had tax basis capital losses of $32,830 generated prior to the fiscal year ended September 30, 2012 which may be carried forward to offset future capital gains. Such capital loss carryforwards expire in 2014.
At September 30, 2013, the Fund had $8,454 of tax basis undistributed net tax-exempt income and no net ordinary investment income or tax basis undistributed capital gains.
Distributions from tax-exempt income paid by the Fund for the years ended September 30, 2013 and September 30, 2012 are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Tax exempt income |
$ | 1,593,330 | $ | 1,544,080 | ||||
Ordinary income |
| | ||||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 1,593,330 | $ | 1,544,080 | ||||
|
|
|
|
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, liquidity risk, and the risks of investing primarily in the obligations of a single state. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 23
Thornburg New York Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net Asset Value End of Period |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total |
Portfolio |
Net Assets at End of Period (Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 13.44 | 0.34 | (0.51 | ) | (0.17) | (0.34 | ) | | (0.34 | ) | $ | 12.93 | 2.54 | 0.99 | 0.99 | 1.05 | (1.32) | 11.31 | $ | 54,061 | ||||||||||||||||||||||||||||||||||||||||||||
2012(b) |
$ | 12.93 | 0.37 | 0.51 | 0.88 | (0.37 | ) | | (0.37 | ) | $ | 13.44 | 2.80 | 0.99 | 0.99 | 1.05 | 6.90 | 13.37 | $ | 55,862 | |||||||||||||||||||||||||||||||||||||||||||||
2011(b) |
$ | 12.82 | 0.41 | 0.11 | 0.52 | (0.41 | ) | | (0.41 | ) | $ | 12.93 | 3.26 | 0.99 | 0.99 | 1.07 | 4.20 | 26.39 | $ | 45,551 | |||||||||||||||||||||||||||||||||||||||||||||
2010(b) |
$ | 12.79 | 0.42 | 0.04 | 0.46 | (0.43 | ) | | (0.43 | ) | $ | 12.82 | 3.38 | 0.99 | 0.99 | 1.07 | 3.68 | 11.79 | $ | 48,203 | |||||||||||||||||||||||||||||||||||||||||||||
2009(b) |
$ | 11.87 | 0.45 | 0.92 | 1.37 | (0.45 | ) | | (0.45 | ) | $ | 12.79 | 3.67 | 0.99 | 0.99 | 1.07 | 11.77 | 13.00 | $ | 40,115 | |||||||||||||||||||||||||||||||||||||||||||||
Class I Shares |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.44 | 0.38 | (0.51 | ) | (0.13) | (0.38 | ) | | (0.38 | ) | $ | 12.93 | 2.86 | 0.67 | 0.67 | 0.74 | (1.00) | 11.31 | $ | 7,060 | ||||||||||||||||||||||||||||||||||||||||||||
2012 |
$ | 12.92 | 0.41 | 0.52 | 0.93 | (0.41 | ) | | (0.41 | ) | $ | 13.44 | 3.12 | 0.67 | 0.67 | 0.77 | 7.33 | 13.37 | $ | 4,707 | |||||||||||||||||||||||||||||||||||||||||||||
2011 |
$ | 12.82 | 0.45 | 0.10 | 0.55 | (0.45 | ) | | (0.45 | ) | $ | 12.92 | 3.54 | 0.67 | 0.67 | 0.71 | 4.45 | 26.39 | $ | 3,514 | |||||||||||||||||||||||||||||||||||||||||||||
2010(c) |
$ | 12.48 | 0.29 | 0.35 | 0.64 | (0.30 | ) | | (0.30 | ) | $ | 12.82 | 3.53 | (d) | 0.67 | (d) | 0.67 | (d) | 1.32 | (d) | 5.22 | 11.79 | $ | 1,772 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Effective date of this class of shares was February 1, 2010. |
(d) | Annualized. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
24 Certified Annual Report | Certified Annual Report 25 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg New York Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg New York Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New York Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
26 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 980.80 | $ | 4.92 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 982.40 | $ | 3.32 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.71 | $ | 3.39 |
| Expenses are equal to the annualized expense ratio for each class (A: 0.99%; I: 0.67%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 27
INDEX COMPARISON | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg New York Intermediate Municipal Fund versus BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index and Consumer Price Index (September 5, 1997 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 9/5/97) |
-3.26 | % | 4.54 | % | 3.32 | % | 4.03 | % | ||||||||
I Shares (Incep: 2/1/10) |
-1.00 | % | | | 4.33 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charge. Class A shares are sold with a maximum sales charge of 2.00%. There is no sales charge for Class I shares.
28 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE(1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 | Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
30 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013 (6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc.International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 31
OTHER INFORMATION | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Fund of $1,593,330 (or the maximum allowed) are tax exempt dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg New York Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
32 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, The Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over various periods of time relative to two categories of New York municipal debt mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund produced positive investment returns in accordance with expectations in the years considered, that the Funds return for the most recent calendar year was comparable to the average return of the mutual fund category for which calendar year data was presented, and that the Funds returns exceeded or were comparable to the average returns of the category in eight of the preceding nine calendar years. Other noted quantitative data showed that the Funds annualized investment returns fell at or in the top quartile of performance for the first fund category for the year-to-date and five-year periods ended with the second quarter of the current year and within the top decile of the same category for the one-year and three-year periods, and similarly fell within the top quartile of performance for the second fund category for the year-to-date and five-year periods and at or in the top decile of performance for the same category for the one-year and three-year periods. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to those measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fees charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectus, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of municipal debt mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was comparable to the median and average management fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was somewhat higher than the median and comparable to the average expense ratios for the fund category. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual
Certified Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund |
September 30, 2013 (Unaudited) |
funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund grows in size, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectus, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
34 Certified Annual Report
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This page is not part of the Annual Report. 35
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
36 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 37
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 39
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH860 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Funds carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of a bond will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Funds invested in mortgage backed securities may bear additional risk. Please see each Funds Prospectus for a discussion of the risks associated with an investment in either Fund. Investments in the Funds are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Funds will meet their investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Minimum investments for Class I shares maybe higher than those for other classes. Class I, R3, and R5 shares may not be available to all investors.
Limited Term U.S. Government Fund |
NASDAQ Symbols | CUSIPS | ||
Class A |
LTUSX | 885-215-103 | ||
Class B |
LTUBX | 885-215-848 | ||
Class C |
LTUCX | 885-215-830 | ||
Class I |
LTUIX | 885-215-699 | ||
Class R3 |
LTURX | 885-215-491 | ||
Class R5 |
LTGRX | 885-216-861 | ||
Limited Term Income Fund |
||||
Class A |
THIFX | 885-215-509 | ||
Class C |
THICX | 885-215-764 | ||
Class I |
THIIX | 885-215-681 | ||
Class R3 |
THIRX | 885-215-483 | ||
Class R5 |
THRRX | 885-216-853 |
Glossary
Barclays Global Bond Index 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.
Barclays Intermediate Government/Credit Bond Index An unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities from one up to ten years.
Barclays Intermediate Government Bond Index An unmanaged, market-weighted index generally representative of all public obligations of the U.S. Government, its agencies and instrumentalities having maturities from one up to ten years.
S&P 500 Index An unmanaged broad measure of the U.S. stock market.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Basis Point (bp) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment-grade, speculative-grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and/or Fitch Ratings.
Consumer Price Index (CPI) Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Coupon The interest rate stated on a bond when its issued. The coupon is typically paid semiannually.
Credit Spread/Quality Spread The difference between the yields of securities with different credit qualities.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
This page is not part of the Annual Report. 3
IMPORTANT INFORMATION,
CONTINUED
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Option Adjusted Spread (OAS) The difference between the yield of a fixed income instrument and the duration-matched Treasury yield assuming the instrument had no embedded options (such as an issuers option to call a bond at a future date). Option-adjusted spreads enable investors to separate out embedded options and better judge the degree to which an instruments yield compensates them for credit risk, liquidity risk, or other such factors.
Lipper Short-Intermediate Investment-Grade Category Funds that invest at least 65% of their assets in investment-grade debt issues (rated in top four grades) with dollar-weighted average maturities of one to five years.
Lipper Short-Intermediate U.S. Government Bond Category Funds that invest at least 65% of assets in securities issued or guaranteed by the U.S. government, its agencies, or its instrumentalities, with dollar weighted average maturities of one to five years.
Quantitative Easing (QE) The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
U.S. Treasury Securities U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the full faith and credit of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
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.
4 This page is not part of the Annual Report.
THORNBURG LIMITED TERM U.S. GOVERNMENT FUND
At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.
We apply time-tested techniques to manage risk and pursue attractive returns. These include:
| Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest-rate risk. |
| Investing on a cash-only basis without using leverage. While leveraged strategies may enhance returns when conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducting careful research to invest where we see the best relative value among government and agency sectors. |
Portfolio Manager
Jason Brady, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for the Limited Term U.S. Government Funds Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.89%, as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from November 16, 1987 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 11/16/87) |
||||||||||||||||||||
Without sales charge |
(1.38 | )% | 1.18 | % | 3.06 | % | 3.05 | % | 5.42 | % | ||||||||||
With sales charge |
(2.85 | )% | 0.67 | % | 2.75 | % | 2.90 | % | 5.35 | % |
Portfolio Ladder
As of September 30, 2013
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
0.75% |
2.06 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
153 | |||
Effective Duration |
3.4 Yrs | |||
Average Maturity |
3.9 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 11.
This page is not part of the Annual Report. 5
THORNBURG LIMITED TERM INCOME FUND
The Thornburg Limited Term Income Fund takes the laddering strategy to the broader fixed-income market. Expanding beyond government and agency securities brings additional risks as well as potentially higher returns. Our team addresses these uncertainties by employing a comprehensive approach to risk management. While utilizing the ladder to balance interest-rate and reinvestment risk, the team also:
| Invests on a cash-only basis. While leveraged strategies may enhance returns when market conditions are favorable, they can quickly compound losses when sentiment shifts. |
| Conducts in-depth fundamental research on each credit issue under consideration. The goal of this research is identification of bonds which provide a reasonable return for their given level of risk. |
| Maintains a portfolio of high-quality bonds and diversifies among a large number of bonds to minimize the potential impact of default by any single issuer. |
Portfolio Managers
Jason Brady, CFA and Lon Erickson, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for the Limited Term Income Funds Class A shares is 1.50%. The total annual operating expenses of Class A shares are 0.93% as disclosed in the most recent Prospectus.
Long-Term Stability of Principal
Net Asset Value History of A shares from October 1, 1992 through September 30, 2013
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 10/1/92) |
||||||||||||||||||||
Without sales charge |
0.69 | % | 3.61 | % | 6.49 | % | 4.34 | % | 5.48 | % | ||||||||||
With sales charge |
(0.83 | )% | 3.10 | % | 6.17 | % | 4.18 | % | 5.40 | % |
Portfolio Ladder
As of September 30, 2013
30-Day Yields, A Shares
As of September 30, 2013
Annualized Distribution Yield |
SEC Yield |
|||
2.36% |
2.05 | % |
Key Portfolio Attributes
As of September 30, 2013
Number of Bonds |
502 | |||
Effective Duration |
3.4 Yrs | |||
Average Maturity |
4.4 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 15.
6 This page is not part of the Annual Report.
Thornburg Limited Term Income Funds
September 30, 2013
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11 | ||||
15 | ||||
30 | ||||
32 | ||||
34 | ||||
35 | ||||
36 | ||||
46 | ||||
48 | ||||
50 | ||||
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57 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
Certified Annual Report 7
October 14, 2013
Dear Fellow Shareholders:
We are pleased to present the annual report for the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund for the year ended September 30, 2013. The net asset value (NAV) of a Class A share of the Thornburg Limited Term U.S. Government Fund decreased 50 cents in the period to $13.36. If you were invested for the entire period, you received dividends of 31.2 cents per share. If you reinvested your dividends, you received 31.5 cents per share. The NAV of a Class A share of the Thornburg Limited Term Income Fund decreased 30 cents in the period to $13.42. If you were invested for the entire period, you received dividends of 33.6 cents per share. If you reinvested your dividends, you received 34.0 cents per share. Dividends per share were lower for Class B, C, and R3 shares and higher for Class I and R5 shares as a percentage of NAV to account for varying class-specific expenses. Please examine the accompanying exhibits for more detailed information.
Yields on U.S. Treasuries were volatile over the course of the past year, with a change in the shape of the yield curve and general price depreciation in U.S. Treasuries driving returns in that sector. This depreciation, and a poor starting point (from the standpoint of income generation), were the principal sources of weak investor returns in both Funds. This contrasts with previous years when U.S. Treasury price moves were broadly favorable. The two-year U.S. Treasury moved from a 0.23% yield to a 0.32% yield over the course of the past year, while the 10-year U.S. Treasury climbed from 1.63% to 2.61%. Securities at the front end of the yield curve moved relatively less in yield than longer-term securities. This steepening of the yield curve was mostly the result of a strengthening U.S. economy and the markets expectation that the Federal Reserve (the Fed) would cease purchasing fixed-income securities in an effort to keep long-term interest rates low and stimulate the economy.
Continued stagnation in the global economy has been the primary driver of the Feds actions. Despite this slow growth, credit spreads tightened slightly over the course of the year and have hovered around their long-term average. The change in the Barclays Global Bond Index from 1.56% on September 30, 2012 to 1.41% on September 30, 2013 reflects the additional spread investors received by investing in the average investment grade corporate bond.
While both Funds have outperformed their yield over the past five years, the math of fixed income securities remains inexorable: this could not and did not continue. We have, in past letters, discussed the relationship between changes in yield and the potential for future returns, underlining the fact that higher yields in high quality fixed income, particularly in relation to inflation, ultimately accrue better returns to longer-term investors. Over the past year weve seen notable moves to higher yields in longer-term U.S. Treasuries, in spite of persistently low inflation. In the short and medium term, we do not expect those moves to higher yields to continue dramatically higher. However, it is important that we, as shareholders, understand that while yield is a poor measure of year-to-year returns (look at last years returns for an example), over the life of an individual security, the best-case scenario for return is the initially promised income: a bonds coupon rate. Furthermore, yield is
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
not simply the income we will likely receive over time, but also represents something of a cushion or buffer, on a year-to-year basis, against negative events. In early 2009, for example, we could discuss the difficult economic environment, but at the same time note that many classes of fixed-income securities were providing a tremendous amount of income, which was likely to cushion the blow of future negative surprises. Earlier this year that cushion had eroded to near record lows. As a result, very little seemed to present good long-term value. The situation is marginally better today, but we caution shareholders that the prospect for real returns remains meager, and the likelihood that one or both Funds will have negative returns at some point over the next several years remains similarly high.
Putting income and change in price together, the Class A shares of the Thornburg Limited Term U.S. Government Fund produced a total return of negative 1.38% at NAV over the twelve-month period. The Barclays Intermediate Government Bond Index produced a negative 0.80% total return over the same time period. The average return for the Lipper Short-Intermediate U.S. Government Bond category was negative 1.53%. The Class A shares of the Thornburg Limited Term Income Fund produced a total return of 0.69% at NAV over the twelve-month period. The Barclays Intermediate Government/Credit Bond Index produced a negative 0.50% total return over the same time period. The average return for the Lipper Short-Intermediate Investment Grade category was negative 0.10%. Both Barclays indices reflect no deduction for fees, expenses, or taxes.
The Funds kept their durations somewhat shorter than the indices during much of the past year, and as a result were at something of an advantage because of the yield curve having steepened. At the same time, Thornburgs prudent credit selection and corporate bond overweight (within the Income Fund portfolio) continued to benefit the Fund. That overweight (which we decreased slightly over the course of the year, as prices appreciated) was the greatest contributor to Fund outperformance over the course of the year. In a time of tightening credit spreads, U.S. Treasuries often underperform other fixed income securities. However, while the Thornburg Limited Term U.S. Government Fund continues to hold only instruments guaranteed by the U.S. Government or government-sponsored entities (GSEs), the Funds holdings in non-Treasury securities, including federal agency debentures and mortgages (which we continue to hold as a notable overweight) underperformed U.S. Treasuries with the same duration. We remain quite comfortable with our holdings, and believe that over time each investment will yield satisfactory results, and, in aggregate, position the Funds well for continued solid returns.
We believe that the future outlook for significant price appreciation in fixed income is limited. At the same time, though the U.S. economic environment is stable to improving, we continue to have some significant misgivings. Changes in unemployment have been largely due to declines in the labor force participation rate (the percent of Americans who identify themselves as being in the labor force, versus those who for one reason or another, have ceased looking for employment and are thus outside the labor force). An untested and somewhat experimental Fed policy known as quantitative easing (QE) appears likely to come to an end over the next year (though we suspect that withdrawing from market stimulus will prove more challenging than entering into it was), with similarly untested results. Though the financial system has survived due to significant government interven-
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
tion, the distance between simple survival and significant, healthy growth remains wide and is a gap thats difficult to bridge. We are working hard to position the Funds in a prudent way such that you can remain comfortable holding them as a part of your overall asset allocation.
In this or any environment, we believe high-quality bond funds can represent a safe haven, despite limited potential for appreciation over the long term. Thornburg Investment Management will continue to strive to give you a consistent income stream and a set of Funds whose returns are not highly correlated to those of the equity markets. The store of value in your bond portfolio should benefit you through economic cycles and we strive to invest with that in mind.
No matter the direction of interest rates or credit spreads in the near term, we believe your Funds are well positioned to achieve their longer-term goals of principal stability and a reasonably attractive stream of income. Both Funds are laddered portfolios of short-to-intermediate bonds. The laddered strategy balances duration and yield in a manner that is designed to provide the best risk-adjusted returns over time. We believe that the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund remain appropriate vehicles for those looking for core bond investments.
Thank you very much for investing in our Funds.
Sincerely,
|
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Jason H. Brady, CFA | Lon R. Erickson, CFA | |||
Portfolio Manager | Portfolio Manager | |||
Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
10 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term U.S. Government Fund |
September 30, 2013 |
SUMMARY OF TYPES OF HOLDINGS
Issuer-Description |
Principal Amount |
Value | ||||||||
U.S. TREASURY SECURITIES 10.95% |
||||||||||
United States Treasury Notes, 2.625%, 12/31/2014 |
$ | 2,000,000 | $ | 2,061,172 | ||||||
United States Treasury Notes, 1.375%, 11/30/2015 |
2,500,000 | 2,553,491 | ||||||||
United States Treasury Notes, 2.625%, 2/29/2016 |
2,000,000 | 2,105,059 | ||||||||
United States Treasury Notes, 4.875%, 8/15/2016 |
5,000,000 | 5,607,519 | ||||||||
United States Treasury Notes, 4.625%, 2/15/2017 |
4,000,000 | 4,506,211 | ||||||||
United States Treasury Notes, 2.25%, 11/30/2017 |
3,500,000 | 3,660,576 | ||||||||
United States Treasury Notes, 3.625%, 2/15/2020 |
1,000,000 | 1,110,937 | ||||||||
United States Treasury Notes Inflationary Index, 2.00%, 7/15/2014 |
2,478,480 | 2,540,131 | ||||||||
United States Treasury Notes Inflationary Index, 1.875%, 7/15/2015 |
4,803,720 | 5,069,154 | ||||||||
United States Treasury Notes Inflationary Index, 2.00%, 1/15/2016 |
5,884,600 | 6,291,967 | ||||||||
|
|
|||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $33,345,446) |
35,506,217 | |||||||||
|
|
|||||||||
U.S. GOVERNMENT AGENCIES 19.65% |
||||||||||
Carobao Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.829%, 9/7/2024 |
4,445,833 | 4,322,048 | ||||||||
Federal Agricultural Mtg Corp., 6.71%, 7/28/2014 |
200,000 | 210,293 | ||||||||
Federal Farm Credit Bank, 3.98%, 1/22/2015 |
1,000,000 | 1,048,661 | ||||||||
Federal Home Loan Bank, 5.375%, 6/13/2014 |
2,000,000 | 2,072,332 | ||||||||
Federal Home Loan Bank, 5.00%, 12/8/2017 |
3,000,000 | 3,446,808 | ||||||||
Federal Home Loan Bank, 1.50%, 10/25/2022 |
3,700,000 | 3,416,523 | ||||||||
Federal National Mtg Assoc., 4.40%, 2/19/2015 |
1,585,000 | 1,674,936 | ||||||||
a Government of Tunisia, (Guaranty: U.S. Agency for International Development), 1.686%, 7/16/2019 |
5,000,000 | 4,858,355 | ||||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06%, 1/15/2022 |
1,468,288 | 1,483,586 | ||||||||
New Valley Generation I, Tennessee Valley Authority, 7.299%, 3/15/2019 |
2,433,454 | 2,828,238 | ||||||||
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70%, 12/20/2022 |
2,945,000 | 2,896,431 | ||||||||
Private Export Funding Corp., 5.45%, 9/15/2017 |
3,000,000 | 3,469,755 | ||||||||
Small Business Administration Participation Certificates, Series 2001-20D Class 1, 6.35%, 4/1/2021 |
2,974,621 | 3,264,494 | ||||||||
Small Business Administration Participation Certificates, Series 2001-20F Class 1, 6.44%, 6/1/2021 |
1,585,397 | 1,756,960 | ||||||||
Small Business Administration Participation Certificates, Series 2002-20A Class 1, 6.14%, 1/1/2022 |
861,734 | 945,499 | ||||||||
Small Business Administration Participation Certificates, Series 2002-20K Class 1, 5.08%, 11/1/2022 |
955,294 | 1,038,061 | ||||||||
Small Business Administration Participation Certificates, Series 2005-20H Class 1, 5.11%, 8/1/2025 |
715,825 | 781,246 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20D Class 1, 5.32%, 4/1/2027 |
1,434,934 | 1,578,851 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20F Class 1, 5.71%, 6/1/2027 |
799,258 | 889,290 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20I Class 1, 5.56%, 9/1/2027 |
2,598,596 | 2,879,797 | ||||||||
Small Business Administration Participation Certificates, Series 2007-20K Class 1, 5.51%, 11/1/2027 |
1,601,088 | 1,772,536 | ||||||||
Small Business Administration Participation Certificates, Series 2008-20G Class 1, 5.87%, 7/1/2028 |
3,973,025 | 4,473,823 | ||||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74%, 7/1/2031 |
3,575,351 | 3,683,509 | ||||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87%, 11/1/2031 |
3,706,114 | 3,688,497 | ||||||||
b,c U.S. Department of Transportation, 5.594%, 12/7/2021 |
2,330,967 | 2,604,074 | ||||||||
Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.87%, 6/28/2024 |
2,716,403 | 2,638,863 | ||||||||
|
|
|||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $62,858,848) |
63,723,466 | |||||||||
|
|
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
September 30, 2013 |
Issuer-Description |
Principal Amount |
Value | ||||||||
MORTGAGE BACKED 63.74% |
||||||||||
Federal Home Loan Mtg Corp., 4.875%, 6/13/2018 |
$ | 3,000,000 | $ | 3,461,653 | ||||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00%, 8/15/2022 |
270,664 | 298,043 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2420 Class MC, 6.00%, 2/15/2017 |
232,867 | 244,907 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2527 Class BP, 5.00%, 11/15/2017 |
548,140 | 579,659 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2529 Class MB, 5.00%, 11/15/2017 |
577,596 | 609,627 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2553 Class GB, 5.00%, 1/15/2018 |
429,674 | 454,974 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2558 Class BD, 5.00%, 1/15/2018 |
1,976,118 | 2,092,973 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2622 Class PE, 4.50%, 5/15/2018 |
956,325 | 1,005,069 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class DQ, 3.00%, 11/15/2017 |
33,841 | 34,014 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2641 Class WE, 4.50%, 1/15/2033 |
201,045 | 212,445 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2642 Class JE, 5.00%, 9/15/2032 |
1,401,752 | 1,465,814 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2649 Class QH, 4.50%, 7/15/2018 |
538,705 | 569,468 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2692 Class QD, 5.00%, 12/15/2022 |
794,704 | 814,178 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2731 Class Vl, 5.50%, 12/15/2014 |
640,436 | 643,471 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50%, 5/15/2015 |
2,259,347 | 2,338,722 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00%, 6/15/2019 |
145,790 | 149,115 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50%, 6/15/2015 |
1,586,107 | 1,593,581 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50%, 7/15/2019 |
1,547,626 | 1,605,707 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50%, 3/15/2022 |
2,531,894 | 2,681,373 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3477 Class VA, 5.50%, 7/15/2019 |
726,527 | 729,411 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3480 Class VA, 6.00%, 6/15/2019 |
1,828,239 | 1,914,843 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00%, 10/15/2021 |
579,604 | 602,974 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3640 Class EL, 4.00%, 3/15/2020 |
1,599,671 | 1,672,720 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3678 Class AL, 4.50%, 10/15/2027 |
359,391 | 368,508 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3704 Class DC, 4.00%, 11/15/2036 |
828,507 | 884,018 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3867 Class VA, 4.50%, 3/15/2024 |
2,459,829 | 2,660,949 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00%, 4/15/2041 |
2,402,517 | 2,422,978 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 3996 Class VN, 3.50%, 3/15/2025 |
4,505,321 | 4,691,754 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50%, 8/15/2023 |
3,154,147 | 3,272,818 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75%, 5/15/2039 |
3,770,181 | 3,562,333 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50%, 10/15/2027 |
4,503,272 | 4,291,645 | ||||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class UE, 2.00%, 10/15/2027 |
4,308,074 | 4,193,852 | ||||||||
Federal Home Loan Mtg Corp., CMO Series K709 Class A2, 2.086%, 3/25/2019 |
3,000,000 | 2,985,927 | ||||||||
Federal Home Loan Mtg Corp., Pool AK6768, 3.00%, 3/1/2027 |
3,408,158 | 3,531,038 | ||||||||
Federal Home Loan Mtg Corp., Pool B14155, 3.50%, 5/1/2019 |
288,060 | 303,397 | ||||||||
Federal Home Loan Mtg Corp., Pool C90041, 6.50%, 11/1/2013 |
165 | 166 | ||||||||
Federal Home Loan Mtg Corp., Pool D37120, 7.00%, 7/1/2023 |
8,420 | 9,476 | ||||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50%, 1/1/2032 |
2,371,487 | 2,455,786 | ||||||||
Federal Home Loan Mtg Corp., Pool E96575, 4.50%, 6/1/2018 |
1,009,123 | 1,069,118 | ||||||||
Federal Home Loan Mtg Corp., Pool G12079, 4.50%, 4/1/2019 |
939,473 | 995,328 | ||||||||
Federal Home Loan Mtg Corp., Pool G12140, 4.00%, 2/1/2020 |
250,759 | 265,628 | ||||||||
Federal Home Loan Mtg Corp., Pool G13804, 5.00%, 3/1/2025 |
1,243,091 | 1,329,200 | ||||||||
Federal Home Loan Mtg Corp., Pool J11371, 4.50%, 12/1/2024 |
1,230,136 | 1,305,578 | ||||||||
Federal Home Loan Mtg Corp., Pool J13583, 3.50%, 11/1/2025 |
1,819,791 | 1,918,955 | ||||||||
Federal Home Loan Mtg Corp., Pool J14888, 3.50%, 4/1/2026 |
1,769,618 | 1,863,837 | ||||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50%, 10/15/2023 |
2,740,535 | 2,847,678 | ||||||||
Federal National Mtg Assoc., CMO Series 1993-32 Class H, 6.00%, 3/25/2023 |
33,900 | 37,404 | ||||||||
Federal National Mtg Assoc., CMO Series 2002-18 Class PC, 5.50%, 4/25/2017 |
22,079 | 22,209 | ||||||||
Federal National Mtg Assoc., CMO Series 2003-15 Class CY, 5.00%, 3/25/2018 |
331,892 | 350,736 | ||||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00%, 2/25/2018 |
896,397 | 953,855 | ||||||||
Federal National Mtg Assoc., CMO Series 2003-49 Class YD, 5.50%, 6/25/2023 |
463,667 | 484,739 | ||||||||
Federal National Mtg Assoc., CMO Series 2003-9 Class DB, 5.00%, 2/25/2018 |
395,054 | 418,433 | ||||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00%, 8/25/2042 |
2,518,534 | 2,834,977 |
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
September 30, 2013 |
Issuer-Description |
Principal Amount |
Value | ||||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50%, 1/25/2030 |
$ | 904,898 | $ | 933,861 | ||||||
Federal National Mtg Assoc., CMO Series 2005-26 Class G, 5.00%, 6/25/2032 |
357,710 | 368,142 | ||||||||
Federal National Mtg Assoc., CMO Series 2005-99 Class VA, 5.50%, 11/25/2016 |
799,773 | 835,573 | ||||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00%, 7/25/2019 |
324,035 | 324,981 | ||||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.737%, 3/25/2039 |
710,880 | 718,828 | ||||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00%, 2/25/2024 |
279,974 | 293,132 | ||||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00%, 7/25/2024 |
715,175 | 747,410 | ||||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50%, 8/25/2019 |
449,015 | 470,497 | ||||||||
Federal National Mtg Assoc., CMO Series 2009-78 Class A, 4.50%, 8/25/2019 |
633,994 | 664,886 | ||||||||
Federal National Mtg Assoc., CMO Series 2010-46 Class VM, 5.00%, 5/25/2021 |
2,232,188 | 2,328,690 | ||||||||
Federal National Mtg Assoc., CMO Series 2010-6 Class VA, 5.00%, 2/25/2021 |
2,487,835 | 2,645,026 | ||||||||
Federal National Mtg Assoc., CMO Series 2010-69 Class EJ, 2.50%, 7/25/2024 |
424,874 | 431,839 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00%, 12/25/2022 |
2,553,518 | 2,685,202 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-106 Class LV, 3.50%, 1/25/2023 |
3,395,284 | 3,557,981 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-110 Class JV, 4.00%, 1/25/2023 |
2,848,426 | 2,995,202 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-118 Class V, 4.00%, 10/25/2029 |
2,949,647 | 3,100,912 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-124 Class QA, 2.00%, 12/25/2041 |
3,822,268 | 3,878,668 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-45 Class VA, 4.00%, 3/25/2024 |
3,394,321 | 3,634,660 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-63 Class MV, 3.50%, 7/25/2024 |
3,428,325 | 3,595,330 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-70 Class CA, 3.00%, 8/25/2026 |
6,254,788 | 6,396,335 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-72 Class KV, 3.50%, 11/25/2022 |
1,999,854 | 2,108,438 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50%, 9/25/2026 |
2,949,336 | 2,959,906 | ||||||||
Federal National Mtg Assoc., CMO Series 2011-98 Class VC, 3.50%, 1/25/2023 |
3,819,684 | 3,982,064 | ||||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00%, 6/25/2023 |
3,557,644 | 3,713,859 | ||||||||
Federal National Mtg Assoc., CMO Series 2012-48 Class PD, 2.00%, 7/25/2041 |
3,978,557 | 3,862,410 | ||||||||
Federal National Mtg Assoc., CMO Series 2012-50 Class LV, 3.50%, 8/25/2023 |
4,889,997 | 4,988,842 | ||||||||
Federal National Mtg Assoc., Pool 044003, 8.00%, 6/1/2017 |
4,982 | 5,432 | ||||||||
Federal National Mtg Assoc., Pool 076388, 9.25%, 9/1/2018 |
13,646 | 15,100 | ||||||||
Federal National Mtg Assoc., Pool 190555, 7.00%, 1/1/2014 |
83 | 84 | ||||||||
Federal National Mtg Assoc., Pool 252648, 6.50%, 5/1/2022 |
40,787 | 44,835 | ||||||||
Federal National Mtg Assoc., Pool 342947, 7.25%, 4/1/2024 |
86,749 | 99,250 | ||||||||
Federal National Mtg Assoc., Pool 443909, 6.50%, 9/1/2018 |
27,970 | 30,052 | ||||||||
Federal National Mtg Assoc., Pool 555207, 7.00%, 11/1/2017 |
13,476 | 15,274 | ||||||||
Federal National Mtg Assoc., Pool 726308, 4.00%, 7/1/2018 |
589,133 | 626,207 | ||||||||
Federal National Mtg Assoc., Pool 889906, 4.00%, 7/1/2023 |
471,294 | 500,953 | ||||||||
Federal National Mtg Assoc., Pool 895572, 2.572%, 6/1/2036 |
523,461 | 551,911 | ||||||||
Federal National Mtg Assoc., Pool 930986, 4.50%, 4/1/2019 |
922,388 | 980,506 | ||||||||
Federal National Mtg Assoc., Pool AA2870, 4.00%, 3/1/2024 |
1,186,586 | 1,261,257 | ||||||||
Federal National Mtg Assoc., Pool AB7997, 2.50%, 2/1/2023 |
2,173,038 | 2,239,332 | ||||||||
Federal National Mtg Assoc., Pool AD8191, 4.00%, 9/1/2025 |
1,641,776 | 1,749,196 | ||||||||
Federal National Mtg Assoc., Pool AJ1752, 3.50%, 9/1/2026 |
3,841,559 | 4,061,698 | ||||||||
Federal National Mtg Assoc., Pool AK6518, 3.00%, 3/1/2027 |
3,640,727 | 3,775,406 | ||||||||
Federal National Mtg Assoc., Pool MA0045, 4.00%, 4/1/2019 |
667,110 | 709,091 | ||||||||
Federal National Mtg Assoc., Pool MA0071, 4.50%, 5/1/2019 |
476,551 | 506,577 | ||||||||
Federal National Mtg Assoc., Pool MA0125, 4.50%, 7/1/2019 |
380,651 | 404,635 | ||||||||
Federal National Mtg Assoc., Pool MA0380, 4.00%, 4/1/2020 |
916,901 | 975,461 | ||||||||
Federal National Mtg Assoc., Pool MA1491, 3.00%, 7/1/2043 |
4,618,542 | 4,454,006 | ||||||||
Federal National Mtg Assoc., Pool MA1582, 3.50%, 9/1/2043 |
5,903,587 | 5,943,021 | ||||||||
Federal National Mtg Assoc., Pool MA1585, 2.00%, 9/1/2023 |
3,963,534 | 3,997,441 | ||||||||
Government National Mtg Assoc., CMO Series 2004-45 Class C, 5.67%, 10/16/2033 |
2,246,876 | 2,402,990 | ||||||||
Government National Mtg Assoc., CMO Series 2005-67 Class C, 4.907%, 3/16/2035 |
851,947 | 896,358 | ||||||||
Government National Mtg Assoc., CMO Series 2009-105 Class A, 3.456%, 12/16/2050 |
21,649 | 21,737 | ||||||||
Government National Mtg Assoc., CMO Series 2009-92 Class VA, 5.00%, 10/20/2020 |
1,107,154 | 1,181,179 | ||||||||
Government National Mtg Assoc., CMO Series 2010-160 Class VY, 4.50%, 1/20/2022 |
795,156 | 862,420 | ||||||||
Government National Mtg Assoc., Pool 000623, 8.00%, 9/20/2016 |
4,862 | 5,193 |
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund |
September 30, 2013 |
Issuer-Description |
Principal Amount |
Value | ||||||||
Government National Mtg Assoc., Pool 003550, 5.00%, 5/20/2019 |
$ | 389,101 | $ | 413,146 | ||||||
Government National Mtg Assoc., Pool 714631, 5.691%, 10/20/2059 |
1,752,183 | 1,892,920 | ||||||||
Government National Mtg Assoc., Pool 721652, 5.044%, 5/20/2061 |
4,223,201 | 4,686,246 | ||||||||
Government National Mtg Assoc., Pool 751388, 5.307%, 1/20/2061 |
3,028,585 | 3,379,992 | ||||||||
Government National Mtg Assoc., Pool 751392, 5.00%, 2/20/2061 |
5,076,887 | 5,718,052 | ||||||||
Government National Mtg Assoc., Pool 757313, 4.307%, 12/20/2060 |
5,963,093 | 6,411,911 | ||||||||
Government National Mtg Assoc., Pool 894205, 4.00%, 8/20/2039 |
1,494,189 | 1,597,877 | ||||||||
Government National Mtg Assoc., Pool MA0100, 2.50%, 5/20/2042 |
3,862,637 | 3,997,001 | ||||||||
|
|
|||||||||
TOTAL MORTGAGE BACKED (Cost $206,772,002) |
206,743,482 | |||||||||
|
|
|||||||||
SHORT TERM INVESTMENTS 4.62% |
||||||||||
Bank of New York Tri-Party Repurchase Agreement 0.13% dated 9/30/2013 due 10/1/2013, repurchase price $15,000,054 collateralized by 12 U.S. Government debt securities, having an average coupon of 3.11%, a minimum credit rating of BBB-, maturity dates from 12/25/2023 to 10/25/2038, and having an aggregate market value of $15,293,980 at 9/30/2013 |
15,000,000 | 15,000,000 | ||||||||
|
|
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $15,000,000) |
15,000,000 | |||||||||
|
|
|||||||||
TOTAL INVESTMENTS 98.96% (Cost $317,976,296) |
$ | 320,973,165 | ||||||||
OTHER ASSETS LESS LIABILITIES 1.04% |
3,388,413 | |||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 324,361,578 | ||||||||
|
|
Footnote Legend
a | Yankee Bond Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2013, the aggregate value of these securities in the Funds portfolio was $2,604,074, representing 0.8% of the Funds net assets. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
CMO | Collateralized Mortgage Obligation | |
Mtg | Mortgage | |
REMIC | Real Estate Mortgage Investment Conduit | |
VA | Veterans Affairs |
See notes to financial statements.
14 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
SUMMARY OF SECURITY CREDIT RATINGS
We have used ratings from Moodys Investors Service. Where Moodys ratings are not available, we have used Standard & Poors ratings. Where neither rating is available, we have used ratings from Fitch Ratings. NR = not rated.
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
U.S. TREASURY SECURITIES 0.73% |
||||||||||
United States Treasury Notes, 2.50% due 3/31/2015 |
NR/NR | $ | 6,500,000 | $ | 6,720,898 | |||||
United States Treasury Notes, 5.125% due 5/15/2016 |
NR/NR | 1,000,000 | 1,120,586 | |||||||
United States Treasury Notes, 4.875% due 8/15/2016 |
NR/NR | 2,000,000 | 2,243,008 | |||||||
United States Treasury Notes, 3.00% due 2/28/2017 |
NR/NR | 2,000,000 | 2,146,719 | |||||||
United States Treasury Notes, 1.375% due 5/31/2020 |
NR/NR | 5,000,000 | 4,824,610 | |||||||
United States Treasury Notes, 2.125% due 8/15/2021 |
NR/NR | 5,000,000 | 4,959,033 | |||||||
|
|
|||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $21,270,532) |
22,014,854 | |||||||||
|
|
|||||||||
U.S. GOVERNMENT AGENCIES 8.63% |
||||||||||
a Agribank FCB, 9.125% due 7/15/2019 |
A-/NR | 14,185,000 | 18,423,889 | |||||||
Alex Alpha LLC, (Guaranty: Export-Import Bank of the United States), 1.617% due 8/15/2024 |
NR/NR | 4,782,609 | 4,603,634 | |||||||
Carobao Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.829% due 9/7/2024 |
NR/NR | 9,166,667 | 8,911,439 | |||||||
b,c Durrah MSN 35603, (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025 |
NR/NR | 14,427,324 | 13,791,364 | |||||||
Federal Home Loan Bank, 1.50% due 10/25/2022 |
AA+/Aaa | 16,000,000 | 14,774,152 | |||||||
b,c Gate Capital Cayman One Ltd., (Guaranty: Export-Import Bank of the United States), 1.839% due 3/27/2021 |
NR/NR | 12,000,000 | 12,012,000 | |||||||
c Government of Tunisia, (Guaranty: U.S. Agency for International Development), 1.686% due 7/16/2019 |
NR/NR | 10,000,000 | 9,716,710 | |||||||
Helios Leasing I LLC, (Guaranty: Export-Import Bank of the United States), 1.562% due 9/28/2024 |
NR/NR | 5,544,029 | 5,282,306 | |||||||
c MSN 41079 and 41084 Ltd., (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024 |
NR/NR | 11,098,364 | 10,707,901 | |||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06% due 1/15/2022 |
AA+/NR | 2,018,896 | 2,039,931 | |||||||
c Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70% due 12/20/2022 |
NR/NR | 5,700,000 | 5,605,996 | |||||||
Private Export Funding Corp., 5.45% due 9/15/2017 |
AA+/Aaa | 3,000,000 | 3,469,755 | |||||||
Santa Rosa Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.693% due 8/15/2024 |
NR/NR | 5,540,719 | 5,343,426 | |||||||
Santa Rosa Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.472% due 11/3/2024 |
NR/NR | 15,088,994 | 14,312,318 | |||||||
Small Business Administration Participation Certificates, Series 2001-20J Class 1, 5.76% due 10/1/2021 |
NR/NR | 813,285 | 885,878 | |||||||
Small Business Administration Participation Certificates, Series 2008-20D Class 1, 5.37% due 4/1/2028 |
NR/NR | 2,380,643 | 2,605,781 | |||||||
Small Business Administration Participation Certificates, Series 2009-20K Class 1, 4.09% due 11/1/2029 |
NR/NR | 9,929,798 | 10,476,762 | |||||||
Small Business Administration Participation Certificates, Series 2011-20E Class 1, 3.79% due 5/1/2031 |
NR/NR | 13,357,201 | 13,761,687 |
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74% due 7/1/2031 |
NR/NR | $ | 14,301,406 | $ | 14,734,036 | |||||
Small Business Administration Participation Certificates, Series 2011-20I |
NR/NR | 17,993,462 | 17,895,576 | |||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87% due 11/1/2031 |
NR/NR | 14,426,048 | 14,357,473 | |||||||
Small Business Administration Participation Certificates, Series 2012-20D Class 1, 2.67% due 4/1/2032 |
NR/NR | 14,143,314 | 13,737,267 | |||||||
Small Business Administration Participation Certificates, Series 2012-20J Class 1, 2.18% due 10/1/2032 |
NR/NR | 10,768,803 | 10,114,397 | |||||||
Small Business Administration Participation Certificates, Series 2012-20K Class 1, 2.09% due 11/1/2032 |
NR/NR | 6,479,564 | 6,057,214 | |||||||
Small Business Administration, Series 2005-P10A Class 1, 4.638% due 2/10/2015 |
NR/NR | 552,031 | 575,951 | |||||||
Southaven Combined Cycle Generation LLC, 3.846% due 8/15/2033 |
AA-/Aaa | 6,300,000 | 6,366,093 | |||||||
a,b U.S. Department of Transportation, 5.594% due 12/7/2021 |
NR/NR | 2,136,720 | 2,387,068 | |||||||
a,b U.S. Department of Transportation, 6.001% due 12/7/2021 |
NR/NR | 3,000,000 | 3,378,495 | |||||||
Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.682% due 12/19/2024 |
NR/NR | 14,130,333 | 13,757,249 | |||||||
|
|
|||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $268,158,465) |
260,085,748 | |||||||||
|
|
|||||||||
OTHER GOVERNMENT 4.91% |
||||||||||
a,c Banco Nacional de Desenvolvimento Economico e Social, 3.375% due 9/26/2016 |
BBB/Baa2 | 6,000,000 | 6,018,000 | |||||||
a,c Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.004% due 9/18/2024 |
NR/NR | 10,578,430 | 10,546,533 | |||||||
a,b,c Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.581% due 11/11/2024 |
NR/NR | 14,720,832 | 14,543,345 | |||||||
a,c Eurasian Development Bank, 5.00% due 9/26/2020 |
BBB/A3 | 8,000,000 | 7,933,360 | |||||||
c Export-Import Bank of Korea, 8.125% due 1/21/2014 |
A+/Aa3 | 11,250,000 | 11,496,724 | |||||||
c Export-Import Bank of Korea, 5.875% due 1/14/2015 |
A+/Aa3 | 3,000,000 | 3,177,846 | |||||||
c Government of Aruba, 6.80% due 4/2/2014 |
BBB+/NR | 5,616,000 | 5,616,730 | |||||||
a,c Government of Bermuda, 5.603% due 7/20/2020 |
AA-/Aa3 | 3,000,000 | 3,225,000 | |||||||
a,c Government of Bermuda, 4.138% due 1/3/2023 |
AA-/Aa3 | 4,000,000 | 3,840,000 | |||||||
c Korea Finance Corp., 2.875% due 8/22/2018 |
A+/Aa3 | 5,000,000 | 5,021,565 | |||||||
c Korea Finance Corp., 4.625% due 11/16/2021 |
A+/Aa3 | 7,500,000 | 7,919,265 | |||||||
a,c Korea Housing Finance Co., 3.50% due 12/15/2016 |
NR/Aa1 | 6,000,000 | 6,299,908 | |||||||
c North American Development Bank, 4.375% due 2/11/2020 |
NR/Aaa | 15,500,000 | 16,815,361 | |||||||
a,c Republic of Iceland, 4.875% due 6/16/2016 |
BBB-/Baa3 | 4,375,000 | 4,576,250 | |||||||
a,c Republic of Iceland, 5.875% due 5/11/2022 |
BBB-/Baa3 | 2,100,000 | 2,157,750 | |||||||
a,c State of Qatar, 3.125% due 1/20/2017 |
AA/Aa2 | 4,000,000 | 4,166,000 | |||||||
c Swedish Export Credit Corp., 1.75% due 5/30/2017 |
AA+/Aa1 | 14,300,000 | 14,579,994 | |||||||
c Swedish Export Credit Corp. Floating Rate Note, 0.565% due 1/23/2017 |
AA+/Aa1 | 20,000,000 | 20,039,900 | |||||||
|
|
|||||||||
TOTAL OTHER GOVERNMENT (Cost $146,928,542) |
147,973,531 | |||||||||
|
|
|||||||||
MORTGAGE BACKED 7.85% |
||||||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K008 Class X1, 1.824% due 6/25/2020 |
NR/NR | 38,647,537 | 3,207,599 | |||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K710 Class X1, 1.914% due 5/25/2019 |
NR/NR | 49,749,891 | 4,170,946 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2528 Class HN, 5.00% due 11/15/2017 |
NR/NR | 347,683 | 364,709 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2627 Class GY, 4.50% due 6/15/2018 |
NR/NR | 1,921,097 | 2,016,318 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class AB, 4.50% due 6/15/2018 |
NR/NR | 439,706 | 454,394 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2654 Class OG, 5.00% due 2/15/2032 |
NR/NR | 127,459 | 129,665 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2682 Class JG, 4.50% due 10/15/2023 |
NR/NR | 1,628,218 | 1,738,983 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2778 Class JD, 5.00% due 12/15/2032 |
NR/NR | 586,898 | 601,024 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50% due 5/15/2015 |
NR/NR | $ | 1,015,072 | $ | 1,050,733 | |||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 |
NR/NR | 145,790 | 149,115 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50% due 6/15/2015 |
NR/NR | 1,171,945 | 1,177,468 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50% due 7/15/2019 |
NR/NR | 1,857,151 | 1,926,849 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2943 Class BV, 5.00% due 3/15/2016 |
NR/NR | 1,354,620 | 1,363,044 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3195 Class PD, 6.50% due 7/15/2036 |
NR/NR | 2,696,171 | 2,986,282 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50% due 3/15/2022 |
NR/NR | 3,375,858 | 3,575,164 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3504 Class PC, 4.00% due 1/15/2039 |
NR/NR | 447,136 | 466,048 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00% due 10/15/2021 |
NR/NR | 869,406 | 904,461 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3919 Class VB, 4.00% due 8/15/2024 |
NR/NR | 5,258,297 | 5,598,663 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00% due 4/15/2041 |
NR/NR | 3,603,776 | 3,634,467 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50% due 8/15/2023 |
NR/NR | 3,603,710 | 3,739,295 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4079 Class WV, 3.50% due 3/15/2027 |
NR/NR | 3,559,935 | 3,619,197 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75% due 5/15/2039 |
NR/NR | 11,310,542 | 10,686,999 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50% due 10/15/2027 |
NR/NR | 5,847,537 | 5,572,738 | |||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50% due 1/1/2032 |
AA+/Aaa | 7,938,541 | 8,220,731 | |||||||
Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026 |
AA+/Aaa | 3,944,311 | 4,083,133 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 3838 Class GV, 4.00% due 3/15/2024 |
NR/NR | 10,359,729 | 10,988,677 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50% due 10/15/2023 |
NR/NR | 2,757,730 | 2,865,546 | |||||||
Federal National Mtg Assoc., ARM Pool 20155, 7.491% due 8/1/2014 |
AA+/Aaa | 5,201 | 5,201 | |||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00% due 2/25/2018 |
NR/NR | 903,322 | 961,224 | |||||||
Federal National Mtg Assoc., CMO Series 2003-74 Class KN, 4.50% due 8/25/2018 |
NR/NR | 347,714 | 372,087 | |||||||
Federal National Mtg Assoc., CMO Series 2003-92 Class VG, 5.00% due 9/25/2014 |
NR/NR | 196,830 | 200,179 | |||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00% due 8/25/2042 |
NR/NR | 1,442,097 | 1,623,290 | |||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50% due 1/25/2030 |
NR/NR | 937,071 | 967,063 | |||||||
Federal National Mtg Assoc., CMO Series 2005-48 Class AR, 5.50% due 2/25/2035 |
NR/NR | 859,115 | 931,346 | |||||||
Federal National Mtg Assoc., CMO Series 2007-26 Class VH, 5.50% due 2/25/2018 |
NR/NR | 2,452,352 | 2,477,995 | |||||||
Federal National Mtg Assoc., CMO Series 2007-42 Class PA, 5.50% due 4/25/2037 |
NR/NR | 1,133,512 | 1,210,833 | |||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00% due 7/25/2019 |
NR/NR | 432,046 | 433,309 | |||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.737% due 3/25/2039 |
NR/NR | 1,184,801 | 1,198,047 | |||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00% due 2/25/2024 |
NR/NR | 653,274 | 683,974 | |||||||
Federal National Mtg Assoc., CMO Series 2009-5 Class A, 4.50% due 12/25/2023 |
NR/NR | 1,888,365 | 1,982,423 | |||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00% due 7/25/2024 |
NR/NR | 1,191,959 | 1,245,684 | |||||||
Federal National Mtg Assoc., CMO Series 2009-65 Class GA, 4.50% due 11/25/2023 |
NR/NR | 330,423 | 342,144 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50% due 8/25/2019 |
NR/NR | 1,122,537 | 1,176,242 | |||||||
Federal National Mtg Assoc., CMO Series 2011-100 Class VE, 4.00% due 12/25/2022 |
NR/NR | 6,580,295 | 6,637,128 | |||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00% due 12/25/2022 |
NR/NR | 2,529,685 | 2,660,140 | |||||||
Federal National Mtg Assoc., CMO Series 2011-15 Class VA, 4.00% due 4/25/2022 |
NR/NR | 1,609,071 | 1,715,404 | |||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50% due 9/25/2026 |
NR/NR | 2,396,335 | 2,404,923 | |||||||
Federal National Mtg Assoc., CMO Series 2011-89 Class VA, 4.00% due 9/25/2023 |
NR/NR | 5,814,890 | 5,888,169 | |||||||
Federal National Mtg Assoc., CMO Series 2012-129 Class LA, 3.50% due 12/25/2042 |
NR/NR | 15,239,334 | 15,583,226 | |||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00% due 6/25/2023 |
NR/NR | 3,245,461 | 3,387,968 | |||||||
Federal National Mtg Assoc., CMO Series 2012-48 Class PD, 2.00% due 7/25/2041 |
NR/NR | 13,129,238 | 12,745,952 | |||||||
Federal National Mtg Assoc., Pool 357384, 4.50% due 5/1/2018 |
AA+/Aaa | 285,775 | 303,781 | |||||||
Federal National Mtg Assoc., Pool 897936, 5.50% due 8/1/2021 |
AA+/Aaa | 1,340,224 | 1,441,137 | |||||||
Federal National Mtg Assoc., Pool AB7997, 2.50% due 2/1/2023 |
AA+/Aaa | 11,830,475 | 12,191,396 | |||||||
Federal National Mtg Assoc., Pool AK6518, 3.00% due 3/1/2027 |
AA+/Aaa | 5,078,351 | 5,266,210 | |||||||
Federal National Mtg Assoc., Pool MA1278, 2.50% due 12/1/2022 |
AA+/Aaa | 14,110,435 | 14,527,685 | |||||||
Federal National Mtg Assoc., Pool MA1585, 2.00% due 9/1/2023 |
AA+/Aaa | 15,011,885 | 15,140,307 | |||||||
Government National Mtg Assoc., CMO Series 2009-35 Series KV, 4.50% due 6/20/2020 |
NR/NR | 3,326,028 | 3,509,541 | |||||||
Government National Mtg Assoc., CMO Series 2009-68 Class DP, 4.50% due 11/16/2038 |
NR/NR | 1,140,329 | 1,210,574 | |||||||
Government National Mtg Assoc., Pool 003007, 8.50% due 11/20/2015 |
AA+/Aaa | 7,096 | 7,471 | |||||||
Government National Mtg Assoc., Pool 714631, 5.691% due 10/20/2059 |
AA+/Aaa | 4,730,894 | 5,110,884 |
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Government National Mtg Assoc., Pool 721652, 5.044% due 5/20/2061 |
AA+/Aaa | $ | 6,157,235 | $ | 6,832,333 | |||||
Government National Mtg Assoc., Pool 731491, 5.156% due 12/20/2060 |
AA+/Aaa | 3,759,106 | 4,193,925 | |||||||
Government National Mtg Assoc., Pool 751388, 5.307% due 1/20/2061 |
AA+/Aaa | 4,759,205 | 5,311,415 | |||||||
Government National Mtg Assoc., Pool 783299, 4.50% due 2/15/2022 |
AA+/Aaa | 5,112,174 | 5,414,149 | |||||||
Government National Mtg Assoc., Pool 827148, 1.625% due 2/20/2024 |
AA+/Aaa | 26,274 | 26,931 | |||||||
Government National Mtg Assoc., Pool MA0100, 2.50% due 5/20/2042 |
AA+/Aaa | 3,901,653 | 4,037,374 | |||||||
|
|
|||||||||
TOTAL MORTGAGE BACKED (Cost $238,779,048) |
236,651,312 | |||||||||
|
|
|||||||||
ASSET BACKED SECURITIES 13.29% |
||||||||||
ADVANCE RECEIVABLES 1.06% |
||||||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A1, 0.898% due 1/15/2044 |
AAA/NR | 8,000,000 | 7,995,200 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A2, 1.495% due 1/16/2046 |
AAA/NR | 5,000,000 | 4,983,000 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T3 Class A3, 1.793% due 5/15/2046 |
AAA/NR | 8,500,000 | 8,321,262 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T5 Class AT5, 1.979% due 8/15/2046 |
AAA/NR | 10,600,000 | 10,640,280 | |||||||
|
|
|||||||||
31,939,742 | ||||||||||
|
|
|||||||||
AUTO RECEIVABLES 0.32% |
||||||||||
a CFC LLC, 1.65% due 7/17/2017 |
NR/A3 | 1,597,764 | 1,597,829 | |||||||
Ford Credit Auto Owner Trust, 1.25% due 10/15/2018 |
AAA/NR | 1,200,000 | 1,202,661 | |||||||
Santander Drive Auto Receivables Trust, 2.16% due 1/15/2020 |
AA/Aa1 | 4,000,000 | 4,041,438 | |||||||
a Santander Drive Auto Receivables Trust, 2.86% due 6/15/2017 |
AA/NR | 448,542 | 450,670 | |||||||
Santander Drive Auto Receivables Trust, 2.72% due 5/16/2016 |
AA+/Aa1 | 2,500,000 | 2,531,437 | |||||||
|
|
|||||||||
9,824,035 | ||||||||||
|
|
|||||||||
COMMERCIAL MTG TRUST 3.60% |
||||||||||
Banc of America Commercial Mtg Inc., Series 2006-6 Class A3, 5.369% due 10/10/2045 |
AAA/Aaa | 3,000,000 | 3,170,096 | |||||||
a Banc of America Re-REMIC Trust, Series 2012-CLRN Class A Floating Rate Note, 1.332%due 8/15/2029 |
NR/Aaa | 5,000,000 | 5,026,256 | |||||||
a CFCRE Commercial Mtg Trust, Series 2011-C1 Class A4, 4.961% due 4/15/2044 |
NR/Aaa | 11,877,000 | 13,153,705 | |||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.923% due 3/25/2034 |
CCC/Caa2 | 332,091 | 187,850 | |||||||
a COMM Mtg Trust, Series 2012-MVP Class A Floating Rate Note, 2.124% due 11/17/2026 |
AAA/NR | 16,706,930 | 16,724,456 | |||||||
Credit Suisse Commercial Mtg Capital Certificates, Series 2007-C2 Class A2, 5.448% due 1/15/2049 |
AAA/Aaa | 107,638 | 109,485 | |||||||
a DBUBS Mtg Trust CMO, Series 2011-LC1A Class A1, 3.742% due 11/10/2046 |
NR/Aaa | 5,102,718 | 5,378,277 | |||||||
a DBUBS Mtg Trust CMO, Series 2011-LC2A Class A1FL, 1.532% due 7/12/2044 |
NR/Aaa | 1,206,271 | 1,201,524 | |||||||
a JPMorgan Chase Commercial Mtg, Series 2004-C3 Class A-5, 4.878% due 1/15/2042 |
NR/Aaa | 5,000,000 | 5,216,382 | |||||||
a JPMorgan Chase Commercial Mtg, Series 2013-JWRZ Class B Floating Rate Note, 1.332%due 4/15/2030 |
AA-/Aa3 | 15,000,000 | 14,885,260 | |||||||
JPMorgan Chase, Series 2011-FL1 Class B, 3.933% due 11/15/2028 |
AA+/Aa1 | 2,725,000 | 2,770,219 | |||||||
a Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.993% due 8/12/2045 |
NR/Aaa | 2,838,000 | 3,154,695 | |||||||
a Motel 6 Trust, Series 2012-MTL6 Class A2, 1.948% due 10/5/2025 |
AAA/NR | 7,000,000 | 6,900,203 | |||||||
a Motel 6 Trust, Series 2012-MTL6 Class C, 3.139% due 10/5/2025 |
A-/NR | 12,000,000 | 11,917,099 | |||||||
Wachovia Bank Commercial Mtg Trust, Series 2004-C10 Class C, 4.842% due 2/15/2041 |
AAA/Aaa | 4,000,000 | 4,036,092 | |||||||
a Wells Fargo Commercial Mtg Trust, Series 2013-120B Class A, 2.80% due 3/18/2028 |
AAA/NR | 15,000,000 | 14,531,190 | |||||||
|
|
|||||||||
108,362,789 | ||||||||||
|
|
|||||||||
CREDIT CARD 0.57% |
||||||||||
a First Financial Bank USA, 5.19% due 9/17/2018 |
AA-/NR | 2,000,000 | 2,007,721 | |||||||
a First Financial Bank USA, 3.72% due 6/17/2019 |
AAA/NR | 5,000,000 | 5,048,880 | |||||||
a,c Turquoise Card Backed Securities plc Floating Rate Note, 0.982% due 6/17/2019 |
NR/Aaa | 10,000,000 | 10,044,298 | |||||||
|
|
|||||||||
17,100,899 | ||||||||||
|
|
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
OTHER ASSET BACKED 3.88% |
||||||||||
a Ascentium Equipment Receivables LLC, 1.83% due 9/15/2019 |
NR/NR | $ | 4,163,184 | $ | 4,163,515 | |||||
a Beacon Container Finance LLC, 3.72% due 9/20/2027 |
A/NR | 9,025,349 | 9,137,001 | |||||||
a,c Cie Financement Foncier, 2.50% due 9/16/2015 |
AAA/Aaa | 6,000,000 | 6,179,724 | |||||||
a,b Concord Funding Co. LLC, 2.42% due 2/15/2015 |
A/NR | 10,000,000 | 9,743,750 | |||||||
a,b Concord Funding Co. LLC, 3.92% due 2/15/2015 |
BBB/NR | 4,000,000 | 3,895,000 | |||||||
a,c Cronos Containers Program Ltd., 3.08% due 4/18/2028 |
A/NR | 9,583,333 | 9,461,227 | |||||||
a,c Cronos Containers Program Ltd., 3.81% due 9/18/2027 |
A/NR | 6,030,000 | 6,124,944 | |||||||
a Fairway Outdoor Funding LLC, 4.212% due 10/15/2042 |
NR/NR | 6,831,325 | 6,775,160 | |||||||
a GTP Cellular Sites LLC, 3.721% due 3/15/2042 |
NR/NR | 9,437,407 | 9,664,990 | |||||||
a MIRAMAX LLC, Series 2011-1A Class A, 6.25% due 10/20/2021 |
BBB/Baa3 | 4,907,143 | 5,099,670 | |||||||
Northwest Airlines, Inc., 7.027% due 5/1/2021 |
BBB+/Baa1 | 4,696,948 | 5,072,704 | |||||||
a,b Northwind Holdings LLC Floating Rate Note, 1.057% due 12/1/2037 |
A/Baa1 | 3,981,250 | 3,662,750 | |||||||
a PFS Financing Corp. Floating Rate Note, 0.732% due 2/15/2018 |
AAA/Aaa | 9,000,000 | 8,973,643 | |||||||
a Sierra Receivables Funding Co. LLC, 2.28% due 11/20/2025 |
A/NR | 13,576,127 | 13,570,481 | |||||||
a Sierra Receivables Funding Co. LLC, 2.84% due 11/20/2028 |
A+/NR | 4,325,752 | 4,406,932 | |||||||
a Sonic Capital LLC, 5.438% due 5/20/2041 |
BBB/Baa2 | 4,658,800 | 4,974,839 | |||||||
a,c Trafigura Securitisation Finance plc Floating Rate Note, 2.582% due 10/15/2015 |
AAA/Aaa | 6,000,000 | 6,038,757 | |||||||
|
|
|||||||||
116,945,087 | ||||||||||
|
|
|||||||||
RESIDENTIAL MTG TRUST 2.10% |
||||||||||
Ameriquest Mtg Securities Inc., Series 2004-R12 Class A4 Floating Rate Note, 0.649% due 1/25/2035 |
A+/Aaa | 282,174 | 281,402 | |||||||
Banc of America Mtg Securities, Inc., Series 2004-4 Class 1A2, 5.50% due 5/25/2034 |
AA+/NR | 369,030 | 370,457 | |||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.165% due 2/25/2035 |
NR/NR | 2,245,428 | 190,779 | |||||||
Countrywide Home Loan, Series 2004 Class 1-A, 2.673% due 7/20/2034 |
A/B1 | 436,649 | 449,465 | |||||||
a FDIC Trust, Series 2013-R1 Class A, 1.15% due 3/25/2033 |
NR/NR | 6,115,802 | 6,102,321 | |||||||
FNBC Trust, Series 1993-A Pass-Through Trust, 8.08% due 1/5/2018 |
A+/Aa1 | 703,475 | 773,980 | |||||||
a FREMF Mtg Trust, Series 2012-K709 Class B, 3.872% due 4/25/2045 |
NR/NR | 10,000,000 | 9,723,431 | |||||||
a FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.787% due 10/25/2044 |
NR/A3 | 4,000,000 | 4,010,842 | |||||||
a FREMF Mtg Trust, Series 2013-K32 Class B, 3.536% due 7/25/2023 |
NR/NR | 10,753,000 | 9,282,105 | |||||||
Home Equity Asset Trust, Series 2006-3 Class 2A, 0.359% due 7/25/2036 |
BBB+/A1 | 410,423 | 408,264 | |||||||
Merrill Lynch Mtg Investors Trust, Series 2003 E Class B3, 2.429% due 10/25/2028 |
CCC/Caa2 | 1,035,234 | 574,690 | |||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.499% due 8/25/2034 |
CCC/NR | 763,237 | 625,015 | |||||||
New Century Home Equity Loan Trust, Series 2005-2 Class A2C, 0.479% due 6/25/2035 |
AAA/Aa1 | 465,297 | 464,635 | |||||||
Option One Mtg Loan Trust, Series 2005-5 Class A3 Floating Rate Note, 0.389% due 12/25/2035 |
AA+/Baa2 | 1,340,152 | 1,291,462 | |||||||
Popular ABS Mtg Pass-Through Trust, Series 2005-4 Class AF5, 5.242% due 9/25/2035 |
BBB+/A3 | 5,104,644 | 5,267,406 | |||||||
Residential Asset Mtg Products, Inc., 0.479% due 3/25/2035 |
NR/Aa3 | 389,394 | 380,882 | |||||||
Residential Asset Mtg Products, Inc., 7.125% due 4/25/2031 |
AA+/NR | 2,225,175 | 2,348,779 | |||||||
a RiverView HECM Trust, Series 2007-1 Class A, 0.60% due 5/25/2047 |
A-/Ba3 | 6,058,018 | 5,084,949 | |||||||
a Shellpoint Asset Funding Trust, Series 2013-1 Class A1, 3.75% due 7/25/2043 |
AAA/NR | 11,337,588 | 11,263,289 | |||||||
Structured Asset Securities Corp., 5.50% due 3/25/2019 |
A+/Ba2 | 878,677 | 893,145 | |||||||
Structured Asset Securities Corp., 2.393% due 3/25/2033 |
AA+/Baa1 | 2,598,960 | 2,562,652 | |||||||
Washington Mutual Mtg, Series 2003-S13 Class 21-A1, 4.50% due 12/25/2018 |
A+/NR | 743,490 | 745,918 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616% due 2/25/2035 |
D/C | 693,979 | 126,953 | |||||||
|
|
|||||||||
63,222,821 | ||||||||||
|
|
|||||||||
STUDENT LOAN 1.76% |
||||||||||
a Nelnet Student Loan Trust Floating Rate Note, 0.779% due 6/25/2041 |
NR/Aaa | 13,732,397 | 13,683,168 | |||||||
a Pennsylvania Higher Education Assistance Agency Floating Rate Note, 0.729% due 5/25/2027 |
AA+/NR | 6,135,800 | 6,059,026 |
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
SLM Student Loan Trust, Series 2003-C Class A2 Floating Rate Note, 0.644% due 9/15/2020 |
A+/Aa2 | $ | 2,659,090 | $ | 2,580,438 | |||||
SLM Student Loan Trust, Series 2006-B Class A3 Floating Rate Note, 0.394% due 12/15/2022 |
AA/Aaa | 795,326 | 793,103 | |||||||
a SLM Student Loan Trust, Series 2011-B Class A2, 3.74% due 2/15/2029 |
AAA/Aaa | 5,000,000 | 5,210,910 | |||||||
a SLM Student Loan Trust, Series 2013-R1 Class A Floating Rate Note, 1.679% due 3/25/2033 |
AAA/NR | 24,960,454 | 24,623,189 | |||||||
|
|
|||||||||
52,949,834 | ||||||||||
|
|
|||||||||
TOTAL ASSET BACKED SECURITIES (Cost $402,300,130) |
400,345,207 | |||||||||
|
|
|||||||||
CORPORATE BONDS 51.69% |
||||||||||
AUTOMOBILES & COMPONENTS 1.28% |
||||||||||
AUTOMOBILES 1.28% |
||||||||||
a American Honda Finance Corp., 2.60% due 9/20/2016 |
A+/A1 | 5,000,000 | 5,199,670 | |||||||
a American Honda Finance Corp., 1.00% due 8/11/2015 |
A+/A1 | 3,000,000 | 3,013,533 | |||||||
a Daimler Finance North America LLC, 1.25% due 1/11/2016 |
A-/A3 | 7,000,000 | 6,999,363 | |||||||
a,c Hyundai Capital Services, Inc., 6.00% due 5/5/2015 |
BBB+/Baa1 | 8,000,000 | 8,539,000 | |||||||
a Nissan Motor Acceptance Corp., 1.95% due 9/12/2017 |
BBB+/A3 | 15,000,000 | 14,915,445 | |||||||
|
|
|||||||||
38,667,011 | ||||||||||
|
|
|||||||||
BANKS 9.97% |
||||||||||
COMMERCIAL BANKS 9.21% |
||||||||||
a,c ABN AMRO Bank N.V., 4.25% due 2/2/2017 |
A/A2 | 1,000,000 | 1,068,310 | |||||||
a,c ANZ National International Ltd., 3.125% due 8/10/2015 |
AA-/Aa3 | 4,000,000 | 4,155,388 | |||||||
a,c Australia and New Zealand Bank, 2.40% due 11/23/2016 |
NR/Aaa | 6,000,000 | 6,224,400 | |||||||
a,c Banco Bradesco, 4.50% due 1/12/2017 |
BBB/Baa1 | 2,500,000 | 2,587,500 | |||||||
a,c Banco BTG Pactual SA/Cayman Islands N.A., 4.00% due 1/16/2020 |
NR/Baa3 | 7,000,000 | 6,247,500 | |||||||
a,c Banco Latinoamericano de Comercio Exterior, S.A., 3.75% due 4/4/2017 |
BBB/NR | 4,000,000 | 4,020,000 | |||||||
a,c Banco Santander Brasil Floating Rate Note, 2.352% due 3/18/2014 |
BBB/Baa1 | 7,883,000 | 7,874,210 | |||||||
a,c Banco Santander Chile Floating Rate Note, 2.133% due 6/7/2018 |
A/Aa3 | 21,000,000 | 21,105,000 | |||||||
a,c Bank of China Hong Kong, 3.75% due 11/8/2016 |
A+/Aa3 | 4,000,000 | 4,224,644 | |||||||
a,c Barclays Bank plc, 2.50% due 9/21/2015 |
AAA/Aaa | 14,650,000 | 15,139,237 | |||||||
a,c BNP Paribas Home Loan Covered Bonds SA, 2.20% due 11/2/2015 |
AAA/NR | 10,000,000 | 10,260,000 | |||||||
a,c,d Caixa Economica Federal, 4.50% due 10/3/2018 |
BBB/Baa2 | 15,000,000 | 14,920,500 | |||||||
a,c Commonwealth Bank of Australia, 2.25% due 3/16/2017 |
NR/Aaa | 7,500,000 | 7,720,830 | |||||||
c Corp Andina de Fomento, 3.75% due 1/15/2016 |
AA-/Aa3 | 11,000,000 | 11,491,469 | |||||||
a,c Credit Agricole London, 1.716% due 1/21/2014 |
A/A2 | 7,000,000 | 7,027,489 | |||||||
a,c Danske Bank A/S, 3.75% due 4/1/2015 |
A-/Baa1 | 4,000,000 | 4,145,400 | |||||||
a,c DNB Bank ASA, 3.20% due 4/3/2017 |
A+/A1 | 10,000,000 | 10,479,900 | |||||||
a,c HSBC Bank plc, 3.50% due 6/28/2015 |
AA-/Aa3 | 2,000,000 | 2,092,382 | |||||||
HSBC USA, Inc., 2.375% due 2/13/2015 |
A+/A2 | 2,000,000 | 2,044,892 | |||||||
a,c Kookmin Bank, 7.25% due 5/14/2014 |
AA/Aa1 | 7,000,000 | 7,266,329 | |||||||
a,c National Australia Bank, 2.00% due 6/20/2017 |
NR/Aaa | 16,000,000 | 16,302,400 | |||||||
National City Bank Floating Rate Note, 0.628% due 6/7/2017 |
A-/A3 | 4,000,000 | 3,931,260 | |||||||
a,c Oversea-Chinese Banking Corp. Ltd., 3.15% due 3/11/2023 |
A+/Aa3 | 29,650,000 | 29,601,344 | |||||||
c Rabobank Nederland, 3.375% due 1/19/2017 |
AA-/Aa2 | 2,000,000 | 2,128,072 | |||||||
c Royal Bank of Scotland Group plc, 9.50% due 3/16/2022 |
BBB-/NR | 12,000,000 | 13,800,000 | |||||||
a,c Societe Generale, 3.10% due 9/14/2015 |
A/A2 | 6,000,000 | 6,221,520 | |||||||
a Sovereign Bank Lease Pass-Through Trust, 12.18% due 6/30/2020 |
BBB/A2 | 5,920,404 | 7,933,342 | |||||||
a,c Standard Chartered plc, 3.20% due 5/12/2016 |
A+/A2 | 5,000,000 | 5,237,055 | |||||||
a,c Sumitomo Mitsui Trust Bank Ltd., 2.95% due 9/14/2018 |
A+/A1 | 25,000,000 | 25,388,088 | |||||||
a,c Swedbank Hypotek AB, 2.375% due 4/5/2017 |
AAA/Aaa | 5,000,000 | 5,176,000 | |||||||
Wells Fargo Bank NA, 0.473% due 5/16/2016 |
A+/A1 | 4,629,000 | 4,579,909 | |||||||
c Westpac Banking Corp., 3.00% due 8/4/2015 |
AA-/Aa2 | 2,000,000 | 2,085,836 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
a,c Westpac Banking Corp. Floating Rate Note, 1.068% due 7/17/2015 |
NR/Aaa | $ | 5,000,000 | $ | 5,050,210 | |||||
THRIFTS & MORTGAGE FINANCE 0.76% |
||||||||||
a,c Northern Rock Asset Management plc, 5.625% due 6/22/2017 |
AAA/Aaa | 20,000,000 | 22,690,800 | |||||||
|
|
|||||||||
300,221,216 | ||||||||||
|
|
|||||||||
CAPITAL GOODS 2.10% |
||||||||||
AEROSPACE & DEFENSE 0.43% |
||||||||||
Boeing Co., 5.00% due 3/15/2014 |
A/A2 | 1,500,000 | 1,530,473 | |||||||
Exelis, Inc., 5.55% due 10/1/2021 |
BBB-/Baa3 | 11,338,000 | 11,398,080 | |||||||
CONSTRUCTION & ENGINEERING 0.30% |
||||||||||
a URS Corp., 4.35% due 4/1/2017 |
BBB-/Baa3 | 8,995,000 | 9,191,028 | |||||||
INDUSTRIAL CONGLOMERATES 0.49% |
||||||||||
General Electric Co., 5.25% due 12/6/2017 |
AA+/Aa3 | 2,500,000 | 2,845,377 | |||||||
a,c Hutchison Whampoa Ltd., 3.50% due 1/13/2017 |
A-/A3 | 5,000,000 | 5,222,175 | |||||||
a,c Smiths Group plc, 7.20% due 5/15/2019 |
BBB+/Baa2 | 3,000,000 | 3,529,674 | |||||||
a,c Smiths Group plc, 6.05% due 5/15/2014 |
BBB+/Baa2 | 3,000,000 | 3,068,253 | |||||||
MACHINERY 0.63% |
||||||||||
Aeroquip Vickers, Inc., 6.875% due 4/9/2018 |
A-/NR | 1,500,000 | 1,718,584 | |||||||
Ingersoll Rand Co., 6.391% due 11/15/2027 |
BBB/Baa2 | 3,000,000 | 3,301,077 | |||||||
a,c Volvo Treasury AB, 5.95% due 4/1/2015 |
BBB/Baa2 | 13,100,000 | 13,981,630 | |||||||
TRADING COMPANIES & DISTRIBUTORS 0.25% |
||||||||||
a Aviation Capital Group Corp., 6.75% due 4/6/2021 |
BB+/NR | 3,000,000 | 3,166,689 | |||||||
a Aviation Capital Group Corp., 7.125% due 10/15/2020 |
BB+/NR | 3,912,000 | 4,266,232 | |||||||
|
|
|||||||||
63,219,272 | ||||||||||
|
|
|||||||||
CONSUMER DURABLES & APPAREL 0.18% |
||||||||||
HOUSEHOLD DURABLES 0.10% |
||||||||||
Newell Rubbermaid, Inc., 2.00% due 6/15/2015 |
BBB-/Baa3 | 3,000,000 | 3,041,535 | |||||||
TEXTILES, APPAREL & LUXURY GOODS 0.08% |
||||||||||
Nike, Inc., 5.15% due 10/15/2015 |
A+/A1 | 2,315,000 | 2,499,853 | |||||||
|
|
|||||||||
5,541,388 | ||||||||||
|
|
|||||||||
CONSUMER SERVICES 0.52% |
||||||||||
DIVERSIFIED CONSUMER SERVICES 0.52% |
||||||||||
George Washington University, 4.411% due 9/15/2017 |
A+/A1 | 1,750,000 | 1,881,588 | |||||||
Rensselaer Polytechnic I, 5.60% due 9/1/2020 |
A-/A3 | 10,925,000 | 11,939,047 | |||||||
University of Chicago, 3.065% due 10/1/2024 |
AA/Aa1 | 1,747,000 | 1,798,280 | |||||||
|
|
|||||||||
15,618,915 | ||||||||||
|
|
|||||||||
DIVERSIFIED FINANCIALS 7.77% |
||||||||||
CAPITAL MARKETS 3.80% |
||||||||||
Bank of New York Mellon, 2.40% due 1/17/2017 |
A+/Aa3 | 7,000,000 | 7,210,007 | |||||||
a,c BTG Investments LP, 4.50% due 4/17/2018 |
NR/NR | 20,000,000 | 19,050,000 | |||||||
a,c CDP Financial, Inc., 3.00% due 11/25/2014 |
AAA/Aaa | 4,000,000 | 4,113,280 | |||||||
a,c CDP Financial, Inc., 4.40% due 11/25/2019 |
AAA/Aaa | 5,000,000 | 5,547,110 | |||||||
a,c Credit Suisse Group AG Guernsey, 1.625% due 3/6/2015 |
NR/Aaa | 13,000,000 | 13,192,400 | |||||||
Deutsche Bank Financial LLC, 5.375% due 3/2/2015 |
BBB/Baa3 | 5,000,000 | 5,257,390 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 1.465% due 4/30/2018 |
A-/A3 | 7,465,000 | 7,481,662 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 0.666% due 7/22/2015 |
A-/A3 | 8,890,000 | 8,842,501 | |||||||
a,c IPIC GMTN Ltd., 3.125% due 11/15/2015 |
AA/Aa3 | 1,000,000 | 1,033,750 | |||||||
a,c IPIC GMTN Ltd., 5.00% due 11/15/2020 |
AA/Aa3 | 1,000,000 | 1,082,500 |
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
a,c IPIC GMTN Ltd., 3.75% due 3/1/2017 |
AA/Aa3 | $ | 3,000,000 | $ | 3,172,500 | |||||
a,c IPIC GMTN Ltd., 5.50% due 3/1/2022 |
AA/Aa3 | 3,500,000 | 3,823,750 | |||||||
Legg Mason, Inc., 5.50% due 5/21/2019 |
BBB/Baa1 | 13,065,000 | 14,229,836 | |||||||
a,c Macquarie Bank Ltd., 3.45% due 7/27/2015 |
A/A2 | 2,000,000 | 2,073,760 | |||||||
a,c Macquarie Group Ltd., 7.30% due 8/1/2014 |
BBB/A3 | 8,000,000 | 8,400,880 | |||||||
Merrill Lynch & Co., 6.875% due 4/25/2018 |
A-/Baa2 | 2,000,000 | 2,357,010 | |||||||
Merrill Lynch & Co., 0.816% due 5/2/2017 |
BBB+/Baa3 | 2,500,000 | 2,416,925 | |||||||
Murray Street Investment Trust, 4.647% due 3/9/2017 |
A-/A3 | 5,000,000 | 5,332,480 | |||||||
CONSUMER FINANCE 0.92% |
||||||||||
American Express Credit Co., 5.125% due 8/25/2014 |
A-/A2 | 3,000,000 | 3,122,979 | |||||||
American Express Credit Co., 2.80% due 9/19/2016 |
A-/A2 | 8,000,000 | 8,370,336 | |||||||
a,c Banque PSA Finance, 2.174% due 4/4/2014 |
BB+/Ba1 | 7,000,000 | 6,972,861 | |||||||
c DFS Funding Corp. Floating Rate Note, 1.079% due 6/15/2015 |
NR/Baa3 | 2,800,000 | 2,716,756 | |||||||
Western Union Co., 6.50% due 2/26/2014 |
BBB+/Baa1 | 1,000,000 | 1,023,060 | |||||||
Western Union Co., 3.65% due 8/22/2018 |
BBB+/Baa1 | 2,000,000 | 2,075,266 | |||||||
Western Union Co., 2.375% due 12/10/2015 |
BBB+/Baa1 | 1,000,000 | 1,022,115 | |||||||
Western Union Co., 2.875% due 12/10/2017 |
BBB+/Baa1 | 2,250,000 | 2,298,631 | |||||||
DIVERSIFIED FINANCIAL SERVICES 3.05% |
||||||||||
Bank of America Corp. Floating Rate Note, 1.32% due 3/22/2018 |
A-/Baa2 | 15,000,000 | 15,046,620 | |||||||
Citigroup, Inc., 6.00% due 12/13/2013 |
A-/Baa2 | 1,329,000 | 1,343,414 | |||||||
Citigroup, Inc., 5.00% due 9/15/2014 |
BBB+/Baa3 | 3,000,000 | 3,113,079 | |||||||
a CME Group Index Services, 4.40% due 3/15/2018 |
AA-/Aa3 | 4,530,000 | 4,942,262 | |||||||
General Electric Capital Corp. Floating Rate Note, 0.403% due 12/28/2018 |
AA+/A1 | 4,850,000 | 4,662,882 | |||||||
General Electric Capital Corp. Floating Rate Note, 1.254% due 3/15/2023 |
AA+/A1 | 7,725,000 | 7,650,238 | |||||||
a General Electric Capital Corp. /LJ VP Holdings LLC, 3.80% due 6/18/2019 |
AA+/A1 | 5,000,000 | 5,229,750 | |||||||
JPMorgan Chase & Co. Floating Rate Note, 1.166% due 1/25/2018 |
A/A2 | 16,900,000 | 17,007,366 | |||||||
e JPMorgan Chase Bank N.A. Floating Rate Note, 0.584% due 6/13/2016 |
A/A1 | 16,875,000 | 16,683,401 | |||||||
c Korea Development Bank, 8.00% due 1/23/2014 |
A/Aa3 | 3,000,000 | 3,066,441 | |||||||
a,c National Agricultural Cooperative Federation, 5.00% due 9/30/2014 |
A/A1 | 2,000,000 | 2,074,804 | |||||||
National Rural Utilities CFC, 10.375% due 11/1/2018 |
A+/A1 | 2,000,000 | 2,747,812 | |||||||
a USAA Capital Corp., 2.25% due 12/13/2016 |
AA+/Aa1 | 8,000,000 | 8,241,216 | |||||||
|
|
|||||||||
234,029,030 | ||||||||||
|
|
|||||||||
ENERGY 5.28% |
||||||||||
ENERGY EQUIPMENT & SERVICES 0.28% |
||||||||||
Rowan Companies, Inc., 7.875% due 8/1/2019 |
BBB-/Baa3 | 7,000,000 | 8,437,611 | |||||||
OIL, GAS & CONSUMABLE FUELS 5.00% |
||||||||||
a,c BG Energy Capital plc, 2.875% due 10/15/2016 |
A-/A2 | 5,000,000 | 5,234,405 | |||||||
c BP Capital Markets plc, 3.875% due 3/10/2015 |
A/A2 | 2,000,000 | 2,093,634 | |||||||
Buckeye Partners LP, 4.15% due 7/1/2023 |
BBB-/Baa3 | 7,000,000 | 6,830,929 | |||||||
c CNOOC Finance 2013 Ltd., 1.75% due 5/9/2018 |
AA-/Aa3 | 5,000,000 | 4,833,805 | |||||||
a,c CNPC General Capital Ltd., 1.45% due 4/16/2016 |
A+/A1 | 3,000,000 | 2,990,052 | |||||||
a,c CNPC General Capital Ltd., 2.75% due 4/19/2017 |
A+/A1 | 5,000,000 | 5,072,785 | |||||||
a DCP Midstream LLC, 9.75% due 3/15/2019 |
BBB/Baa2 | 6,500,000 | 8,280,954 | |||||||
Energen Corp., 4.625% due 9/1/2021 |
BBB/Baa3 | 10,000,000 | 9,906,770 | |||||||
Energy Transfer Partners LP, 9.70% due 3/15/2019 |
BBB-/Baa3 | 3,856,000 | 4,931,396 | |||||||
a Florida Gas Transmission, 4.00% due 7/15/2015 |
BBB/Baa2 | 2,000,000 | 2,097,590 | |||||||
a,c Gazprom, 4.95% due 5/23/2016 |
BBB/Baa1 | 4,000,000 | 4,220,000 | |||||||
Gulf South Pipeline Co. LP, 4.00% due 6/15/2022 |
BBB/Baa1 | 4,000,000 | 3,954,280 | |||||||
a,c Harvest Operations Corp., 2.125% due 5/14/2018 |
A+/A1 | 7,000,000 | 6,799,800 | |||||||
a,c Korea National Oil Corp., 4.00% due 10/27/2016 |
A+/A1 | 2,000,000 | 2,126,086 | |||||||
a Maritimes & Northeast Pipeline, LLC, 7.50% due 5/31/2014 |
BBB-/Ba1 | 2,521,200 | 2,608,489 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
c Norsk Hydro A/S, 6.70% due 1/15/2018 |
AA-/Aa2 | $ | 1,000,000 | $ | 1,187,919 | |||||
a Northern Natural Gas Co., 5.75% due 7/15/2018 |
A/A2 | 50,000 | 57,918 | |||||||
NuStar Logistics LP, 4.75% due 2/1/2022 |
BB+/Ba1 | 5,000,000 | 4,425,000 | |||||||
a,c Odebrecht Offshore Drilling Finance Ltd., 6.75% due 10/1/2022 |
BBB/Baa3 | 20,000,000 | 20,500,000 | |||||||
c Petroleos Mexicanos Floating Rate Note, 2.286% due 7/18/2018 |
BBB/Baa1 | 10,000,000 | 10,300,000 | |||||||
c Sasol Financing International plc, 4.50% due 11/14/2022 |
BBB/Baa1 | 4,000,000 | 3,660,000 | |||||||
a Semco Energy, Inc., 5.15% due 4/21/2020 |
A-/A3 | 3,000,000 | 3,176,232 | |||||||
a,c Sinopec Capital (2013) Ltd., 1.875% due 4/24/2018 |
A+/Aa3 | 20,000,000 | 19,422,720 | |||||||
a,c Sinopec Group Overseas Development Ltd., 2.75% due 5/17/2017 |
A+/Aa3 | 6,000,000 | 6,116,394 | |||||||
Sunoco Logistics, 8.75% due 2/15/2014 |
BBB-/Baa3 | 5,000,000 | 5,137,575 | |||||||
a Texas Gas Transmission LLC, 4.50% due 2/1/2021 |
BBB/Baa1 | 4,480,000 | 4,587,296 | |||||||
|
|
|||||||||
158,989,640 | ||||||||||
|
|
|||||||||
FOOD, BEVERAGE & TOBACCO 1.50% |
||||||||||
BEVERAGES 0.57% |
||||||||||
Coca Cola Enterprises, Inc., 5.71% due 3/18/2037 |
AA-/NR | 3,380,000 | 3,601,549 | |||||||
c Coca Cola HBC Finance BV, 5.50% due 9/17/2015 |
BBB/Baa1 | 7,985,000 | 8,618,394 | |||||||
a,c,d Coca Cola Icecek Uretim A.S., 4.75% due 10/1/2018 |
NR/Baa3 | 5,000,000 | 4,975,550 | |||||||
FOOD PRODUCTS 0.03% |
||||||||||
Corn Products International, Inc., 3.20% due 11/1/2015 |
BBB/Baa2 | 1,000,000 | 1,039,350 | |||||||
TOBACCO 0.90% |
||||||||||
Altria Group, Inc., 8.50% due 11/10/2013 |
BBB/Baa1 | 1,000,000 | 1,008,145 | |||||||
a,c B.A.T International Finance plc, 2.125% due 6/7/2017 |
A-/A3 | 8,000,000 | 8,132,800 | |||||||
Lorillard Tobacco Co., 8.125% due 6/23/2019 |
BBB-/Baa2 | 5,259,000 | 6,376,343 | |||||||
Lorillard Tobacco Co., 6.875% due 5/1/2020 |
BBB-/Baa2 | 5,000,000 | 5,750,020 | |||||||
e Lorillard Tobacco Co., 3.75% due 5/20/2023 |
BBB-/Baa2 | 6,230,000 | 5,722,193 | |||||||
|
|
|||||||||
45,224,344 | ||||||||||
|
|
|||||||||
HEALTH CARE EQUIPMENT & SERVICES 0.45% |
||||||||||
HEALTH CARE EQUIPMENT & SUPPLIES 0.17% |
||||||||||
d Edwards Lifesciences Corp., 2.875% due 10/15/2018 |
BBB-/Baa3 | 5,000,000 | 4,980,315 | |||||||
HEALTH CARE PROVIDERS & SERVICES 0.28% |
||||||||||
Catholic Health Initiatives, 1.60% due 11/1/2017 |
AA-/NR | 2,000,000 | 1,956,882 | |||||||
Catholic Health Initiatives, 2.95% due 11/1/2022 |
AA-/NR | 7,000,000 | 6,501,950 | |||||||
|
|
|||||||||
13,439,147 | ||||||||||
|
|
|||||||||
HOTELS RESTAURANTS & LEISURE 0.07% |
||||||||||
HOTELS, RESTAURANTS & LEISURE 0.07% |
||||||||||
a,c TDIC Finance Ltd., 6.50% due 7/2/2014 |
AA/A1 | 2,000,000 | 2,079,000 | |||||||
|
|
|||||||||
2,079,000 | ||||||||||
|
|
|||||||||
HOUSEHOLD & PERSONAL PRODUCTS 0.07% |
||||||||||
HOUSEHOLD PRODUCTS 0.07% |
||||||||||
Energizer Holdings, Inc., 4.70% due 5/24/2022 |
BBB-/Baa3 | 2,000,000 | 2,027,238 | |||||||
|
|
|||||||||
2,027,238 | ||||||||||
|
|
|||||||||
INSURANCE 2.42% |
||||||||||
INSURANCE 2.42% |
||||||||||
Aflac, Inc., 2.65% due 2/15/2017 |
A-/A3 | 2,000,000 | 2,072,570 | |||||||
a Forethought Financial Group, Inc., 8.625% due 4/15/2021 |
BBB-/Baa3 | 2,600,000 | 2,881,317 | |||||||
Hanover Insurance Group, 6.375% due 6/15/2021 |
BBB-/Baa3 | 2,480,000 | 2,717,519 |
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Infinity Property & Casualty Corp., 5.00% due 9/19/2022 |
BBB/Baa2 | $ | 3,000,000 | $ | 2,947,443 | |||||
Kemper Corp., 6.00% due 5/15/2017 |
BBB-/Baa3 | 1,950,000 | 2,130,143 | |||||||
a,c Lancashire Holdings Ltd., 5.70% due 10/1/2022 |
BBB/Baa2 | 10,000,000 | 9,082,606 | |||||||
a Liberty Mutual Group, Inc., 5.75% due 3/15/2014 |
BBB-/Baa2 | 1,000,000 | 1,018,421 | |||||||
a MassMutual Global Funding LLC, 2.00% due 4/5/2017 |
AA+/Aa2 | 8,000,000 | 8,002,800 | |||||||
a MetLife Institutional Funding II, 1.625% due 4/2/2015 |
AA-/Aa3 | 5,000,000 | 5,065,420 | |||||||
a Metropolitan Life Global Funding I, 1.019% due 1/10/2014 |
AA-/Aa3 | 6,000,000 | 6,011,544 | |||||||
a Metropolitan Life Global Funding I, 1.70% due 6/29/2015 |
AA-/Aa3 | 4,000,000 | 4,054,052 | |||||||
c Montpelier Re Holdings Ltd., 4.70% due 10/15/2022 |
BBB/NR | 5,000,000 | 4,903,600 | |||||||
a Principal Life Global Funding II, 1.00% due 12/11/2015 |
A+/Aa3 | 7,000,000 | 7,009,877 | |||||||
a Prudential Covered Trust Co., 2.997% due 9/30/2015 |
A/Baa1 | 2,550,021 | 2,630,005 | |||||||
e Unitrin, Inc., 6.00% due 11/30/2015 |
BBB-/Baa3 | 5,000,000 | 5,397,680 | |||||||
a,c White Mountains Re Group Ltd., 6.375% due 3/20/2017 |
BBB/Baa3 | 6,335,000 | 6,926,436 | |||||||
|
|
|||||||||
72,851,433 | ||||||||||
|
|
|||||||||
MATERIALS 3.58% |
||||||||||
CHEMICALS 0.46% |
||||||||||
a Incitec Pivot Finance LLC, 6.00% due 12/10/2019 |
BBB/Baa3 | 4,538,000 | 4,981,317 | |||||||
a,c Incitec Pivot Ltd., 4.00% due 12/7/2015 |
BBB/Baa3 | 4,325,000 | 4,496,621 | |||||||
RPM International, Inc., 6.125% due 10/15/2019 |
BBB-/Baa3 | 4,000,000 | 4,555,008 | |||||||
CONSTRUCTION MATERIALS 0.03% |
||||||||||
CRH America, Inc., 8.125% due 7/15/2018 |
BBB+/Baa2 | 650,000 | 791,225 | |||||||
METALS & MINING 3.09% |
||||||||||
a,c Anglo American Capital plc, 2.625% due 9/27/2017 |
BBB/Baa2 | 9,700,000 | 9,525,128 | |||||||
c Anglogold Holdings plc, 5.375% due 4/15/2020 |
BB+/Baa3 | 9,100,000 | 8,129,349 | |||||||
c Anglogold Holdings plc, 5.125% due 8/1/2022 |
BB+/Baa3 | 7,000,000 | 5,900,762 | |||||||
c ArcelorMittal, 4.25% due 8/5/2015 |
BB+/Ba1 | 3,000,000 | 3,090,000 | |||||||
c ArcelorMittal, 10.35% due 6/1/2019 |
BB+/Ba1 | 8,089,000 | 9,949,470 | |||||||
c ArcelorMittal, 5.00% due 2/25/2017 |
BB+/Ba1 | 3,000,000 | 3,120,000 | |||||||
Carpenter Technology Corp., 4.45% due 3/1/2023 |
BBB/Baa3 | 3,000,000 | 2,939,523 | |||||||
c Kinross Gold Corp., 3.625% due 9/1/2016 |
NR/Baa3 | 7,000,000 | 7,000,056 | |||||||
a,c Newcrest Finance Property Ltd., 4.45% due 11/15/2021 |
BBB-/Baa3 | 10,000,000 | 8,598,390 | |||||||
a,c Newcrest Finance Property Ltd., 4.20% due 10/1/2022 |
BBB-/Baa3 | 10,459,000 | 8,671,797 | |||||||
a,c Samarco Mineracao S.A., 4.125% due 11/1/2022 |
BBB/NR | 6,000,000 | 5,220,000 | |||||||
a,c Xstrata Finance Canada Ltd., 3.60% due 1/15/2017 |
BBB/Baa2 | 10,000,000 | 10,337,900 | |||||||
a,c Xstrata Finance Canada Ltd., 4.95% due 11/15/2021 |
BBB/Baa2 | 5,000,000 | 5,000,645 | |||||||
a,c Xstrata Finance Canada Ltd., 4.25% due 10/25/2022 |
BBB/Baa2 | 6,000,000 | 5,605,602 | |||||||
|
|
|||||||||
107,912,793 | ||||||||||
|
|
|||||||||
MEDIA 0.25% |
||||||||||
MEDIA 0.25% |
||||||||||
The Washington Post Co., 7.25% due 2/1/2019 |
BBB/Baa1 | 5,000,000 | 5,893,280 | |||||||
Time Warner Cable, Inc., 7.50% due 4/1/2014 |
BBB/Baa2 | 1,500,000 | 1,548,771 | |||||||
Time Warner Cable, Inc., 8.05% due 1/15/2016 |
BBB/Baa2 | 200,000 | 226,799 | |||||||
|
|
|||||||||
7,668,850 | ||||||||||
|
|
|||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 0.65% |
||||||||||
BIOTECHNOLOGY 0.11% |
||||||||||
Genzyme Corp., 3.625% due 6/15/2015 |
AA/A1 | 3,000,000 | 3,150,384 | |||||||
PHARMACEUTICALS 0.54% |
||||||||||
AbbVie, Inc., 1.20% due 11/6/2015 |
A/Baa1 | 9,650,000 | 9,684,914 | |||||||
c Teva Pharmaceuticals, 2.40% due 11/10/2016 |
A-/A3 | 4,500,000 | 4,639,765 |
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Tiers Inflation Linked Trust, Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 3.604% due 2/1/2014 |
AA/A1 | $ | 2,000,000 | $ | 2,015,860 | |||||
|
|
|||||||||
19,490,923 | ||||||||||
|
|
|||||||||
REAL ESTATE 1.60% |
||||||||||
REAL ESTATE INVESTMENT TRUSTS 1.17% |
||||||||||
Alexandria Real Estate Equities, Inc., 3.90% due 6/15/2023 |
BBB-/Baa2 | 11,700,000 | 10,987,926 | |||||||
Commonwealth REIT (HRPT Properties), 6.25% due 6/15/2017 |
BBB-/Baa3 | 4,000,000 | 4,281,232 | |||||||
Washington REIT, 4.95% due 10/1/2020 |
BBB/Baa2 | 19,100,000 | 20,058,133 | |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.43% |
||||||||||
a,c,d Deutsche Annington Finance B.V., 3.20% due 10/2/2017 |
NR/NR | 10,000,000 | 10,014,400 | |||||||
Jones Lang LaSalle, Inc., 4.40% due 11/15/2022 |
BBB-/Baa2 | 3,000,000 | 2,938,707 | |||||||
|
|
|||||||||
48,280,398 | ||||||||||
|
|
|||||||||
RETAILING 0.76% |
||||||||||
MULTILINE RETAIL 0.28% |
||||||||||
Family Dollar Stores, Inc., 5.00% due 2/1/2021 |
BBB-/Baa3 | 8,000,000 | 8,385,624 | |||||||
SPECIALTY RETAIL 0.48% |
||||||||||
Advance Auto Parts, Inc., 4.50% due 1/15/2022 |
BBB-/Baa3 | 6,400,000 | 6,305,165 | |||||||
Best Buy Co., Inc., 3.75% due 3/15/2016 |
BB/Baa2 | 8,000,000 | 8,240,000 | |||||||
|
|
|||||||||
22,930,789 | ||||||||||
|
|
|||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.56% |
||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.56% |
||||||||||
KLA Tencor Corp., 6.90% due 5/1/2018 |
BBB/Baa1 | 14,314,000 | 16,859,358 | |||||||
|
|
|||||||||
16,859,358 | ||||||||||
|
|
|||||||||
SOFTWARE & SERVICES 1.59% |
||||||||||
INFORMATION TECHNOLOGY SERVICES 1.49% |
||||||||||
Broadridge Financial Solutions, Inc., 3.95% due 9/1/2020 |
NR/NR | 8,000,000 | 8,078,184 | |||||||
Computer Sciences Corp., 6.50% due 3/15/2018 |
BBB/Baa2 | 6,075,000 | 7,009,299 | |||||||
Moodys Corp., 4.875% due 2/15/2024 |
BBB+/NR | 17,000,000 | 17,037,026 | |||||||
SAIC, Inc., 4.45% due 12/1/2020 |
BBB/Baa2 | 2,000,000 | 2,051,770 | |||||||
Total System Services, Inc., 2.375% due 6/1/2018 |
BBB+/Baa3 | 11,145,000 | 10,872,527 | |||||||
SOFTWARE 0.10% |
||||||||||
CA Technologies, Inc., 2.875% due 8/15/2018 |
NR/NR | 2,925,000 | 2,950,863 | |||||||
|
|
|||||||||
47,999,669 | ||||||||||
|
|
|||||||||
TECHNOLOGY HARDWARE & EQUIPMENT 1.45% |
||||||||||
COMMUNICATIONS EQUIPMENT 0.47% |
||||||||||
c Ericsson LM, 4.125% due 5/15/2022 |
BBB+/A3 | 14,300,000 | 13,985,400 | |||||||
COMPUTERS & PERIPHERALS 0.48% |
||||||||||
Hewlett-Packard Co., 3.30% due 12/9/2016 |
BBB+/Baa1 | 2,000,000 | 2,080,778 | |||||||
Lexmark International, Inc., 5.125% due 3/15/2020 |
BBB-/Baa3 | 12,000,000 | 12,369,996 | |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & |
||||||||||
Avnet, Inc., 4.875% due 12/1/2022 |
BBB-/Baa3 | 15,000,000 | 15,117,930 | |||||||
|
|
|||||||||
43,554,104 | ||||||||||
|
|
|||||||||
TELECOMMUNICATION SERVICES 3.69% |
||||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 2.00% |
||||||||||
c France Telecom, 5.375% due 7/8/2019 |
BBB+/A3 | 10,000,000 | 11,069,670 |
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit
Rating S&P/Moodys |
Principal Amount |
Value | |||||||
a,b Hidden Ridge Facility, 5.65% due 1/1/2022 |
NR/Baa2 | $3,858,482 | $ | 4,202,380 | ||||||
Michigan Bell Telephone Co., 7.85% due 1/15/2022 |
A-/NR | 3,000,000 | 3,660,993 | |||||||
a,c Oi S.A., 5.75% due 2/10/2022 |
BBB-/Baa3 | 5,000,000 | 4,375,000 | |||||||
a,c Qtel International Finance Ltd., 3.375% due 10/14/2016 |
A/A2 | 500,000 | 520,000 | |||||||
a,c Qtel International Finance Ltd., 6.50% due 6/10/2014 |
A/A2 | 1,000,000 | 1,037,500 | |||||||
Qwest Corp., 6.75% due 12/1/2021 |
BBB-/Baa3 | 3,000,000 | 3,221,763 | |||||||
c Telecom Italia Capital SA, 6.175% due 6/18/2014 |
BBB-/Baa3 | 1,950,000 | 2,007,004 | |||||||
c Telefonica Emisiones SAU, 6.421% due 6/20/2016 |
BBB/Baa2 | 10,000,000 | 10,987,920 | |||||||
Verizon Communications, Inc., 4.50% due 9/15/2020 |
BBB+/Baa1 | 4,775,000 | 5,078,050 | |||||||
Verizon Communications, Inc., 2.50% due 9/15/2016 |
BBB+/Baa1 | 4,830,000 | 4,978,213 | |||||||
Verizon Communications, Inc. Floating Rate Note, 2.002% due 9/14/2018 |
BBB+/Baa1 | 1,925,000 | 2,024,138 | |||||||
a,c Vivendi SA, 2.40% due 4/10/2015 |
BBB/Baa2 | 2,000,000 | 2,040,500 | |||||||
a,c Vivendi SA, 3.45% due 1/12/2018 |
BBB/Baa2 | 5,000,000 | 5,057,400 | |||||||
WIRELESS TELECOMMUNICATION SERVICES 1.69% |
||||||||||
c America Movil S.A.B. de C.V., 5.00% due 10/16/2019 |
A-/A2 | 5,000,000 | 5,436,135 | |||||||
a Crown Castle Towers LLC, 6.113% due 1/15/2040 |
NR/A2 | 4,395,000 | 4,971,022 | |||||||
a Crown Castle Towers LLC, 5.495% due 1/15/2037 |
NR/A2 | 8,220,000 | 8,943,894 | |||||||
a Richland Towers, 4.606% due 3/15/2041 |
NR/NR | 2,335,321 | 2,434,435 | |||||||
a SBA Tower Trust, 4.254% due 4/15/2040 |
NR/A2 | 14,225,000 | 14,491,548 | |||||||
a SBA Tower Trust, 5.101% due 4/15/2042 |
NR/A2 | 2,305,000 | 2,488,114 | |||||||
a Unison Ground Lease Funding LLC, 6.392% due 4/15/2040 |
NR/NR | 8,540,000 | 9,432,071 | |||||||
a Unison Ground Lease Funding LLC, 5.349% due 4/15/2040 |
NR/NR | 2,470,000 | 2,701,348 | |||||||
|
|
|||||||||
111,159,098 | ||||||||||
|
|
|||||||||
TRANSPORTATION 1.65% |
||||||||||
AIR FREIGHT & LOGISTICS 0.15% |
||||||||||
FedEx Corp., 8.76% due 5/22/2015 |
BBB/A3 | 260,099 | 267,902 | |||||||
a FedEx Corp., 2.625% due 1/15/2018 |
BBB/A3 | 4,129,748 | 4,214,190 | |||||||
AIRLINES 0.26% |
||||||||||
a,c BAA Funding Ltd., 2.50% due 6/25/2017 |
A-/NR | 5,000,000 | 5,077,105 | |||||||
b,c Iberbond plc, 4.826% due 12/24/2017 |
NR/Baa3 | 2,930,563 | 2,967,195 | |||||||
ROAD & RAIL 1.24% |
||||||||||
a,c Asciano Finance, 5.00% due 4/7/2018 |
BBB-/Baa2 | 2,000,000 | 2,121,642 | |||||||
a,c Asciano Finance, 4.625% due 9/23/2020 |
BBB-/Baa2 | 5,830,000 | 5,832,594 | |||||||
a,c Asciano Finance, 3.125% due 9/23/2015 |
BBB-/Baa2 | 3,000,000 | 3,060,573 | |||||||
a,c LeasePlan Corp. NV, 2.50% due 5/16/2018 |
BBB+/Baa2 | 10,000,000 | 9,714,170 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 3.75% due 5/11/2017 |
BBB-/Baa3 | 9,970,000 | 10,435,709 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 2.50% due 3/15/2016 |
BBB-/Baa3 | 6,000,000 | 6,111,222 | |||||||
|
|
|||||||||
49,802,302 | ||||||||||
|
|
|||||||||
UTILITIES 4.30% |
||||||||||
ELECTRIC UTILITIES 2.53% |
||||||||||
Detroit Edison Corporate Senior Note Series D, 5.40% due 8/1/2014 |
A/A1 | 2,000,000 | 2,075,660 | |||||||
a,c Electricite de France SA, 5.50% due 1/26/2014 |
A+/Aa3 | 1,250,000 | 1,269,475 | |||||||
a,c Enel Finance International S.A., 6.25% due 9/15/2017 |
BBB/Baa2 | 9,500,000 | 10,512,130 | |||||||
Entergy Louisiana LLC, 4.05% due 9/1/2023 |
A-/A3 | 8,000,000 | 8,192,000 | |||||||
Entergy Louisiana LLC, 4.80% due 5/1/2021 |
A-/A3 | 4,300,000 | 4,693,902 | |||||||
Entergy Texas, Inc., 3.60% due 6/1/2015 |
A-/Baa2 | 3,000,000 | 3,119,313 | |||||||
Entergy Texas, Inc., 7.125% due 2/1/2019 |
A-/Baa2 | 2,000,000 | 2,371,950 | |||||||
a Great River Energy, 5.829% due 7/1/2017 |
A/Baa1 | 2,005,143 | 2,144,179 | |||||||
a,c Iberdrola Finance Ireland Ltd., 3.80% due 9/11/2014 |
BBB/Baa1 | 6,000,000 | 6,143,028 | |||||||
Idaho Power Corp., 6.025% due 7/15/2018 |
A-/A2 | 1,000,000 | 1,169,276 |
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
a,c Korea East-West Power Co., 2.50% due 7/16/2017 |
A+/A1 | $ | 5,000,000 | $ | 5,001,770 | |||||
Metropolitan Edison Co., 7.70% due 1/15/2019 |
BBB-/Baa2 | 2,250,000 | 2,740,907 | |||||||
a Monongahela Power Co., 5.70% due 3/15/2017 |
BBB+/Baa1 | 4,785,000 | 5,207,056 | |||||||
MP Environmental, 4.982% due 7/15/2016 |
AAA/Aaa | 749,114 | 759,775 | |||||||
Public Service Co. of New Mexico, 5.35% due 10/1/2021 |
BBB/Baa3 | 3,000,000 | 3,218,070 | |||||||
a Rochester Gas & Electric, 5.90% due 7/15/2019 |
A/A3 | 11,732,000 | 13,600,016 | |||||||
a Steelriver Transmission Co. LLC, 4.71% due 6/30/2017 |
NR/Baa2 | 3,538,253 | 3,675,647 | |||||||
Toledo Edison Co., 7.25% due 5/1/2020 |
BBB/Baa1 | 167,000 | 202,770 | |||||||
GAS UTILITIES 0.35% |
||||||||||
a,c APT Pipelines Ltd., 3.875% due 10/11/2022 |
BBB/Baa2 | 5,500,000 | 5,086,274 | |||||||
a Southern Star Central Gas Pipeline, Inc., 6.00% due 6/1/2016 |
BBB-/Baa3 | 5,000,000 | 5,417,530 | |||||||
INDEPENDENT POWER PRODUCERS & ENERGY |
||||||||||
a Midland Cogeneration Venture, 6.00% due 3/15/2025 |
BBB-/NR | 7,523,712 | 7,360,857 | |||||||
MULTI-UTILITIES 1.18% |
||||||||||
Black Hills Corp., 5.875% due 7/15/2020 |
BBB/Baa2 | 5,000,000 | 5,515,210 | |||||||
a Enogex LLC, 6.25% due 3/15/2020 |
BBB-/Baa3 | 3,640,000 | 3,936,562 | |||||||
a Enogex LLC, 6.875% due 7/15/2014 |
BBB-/Baa3 | 4,000,000 | 4,137,440 | |||||||
a,c,d Korea Hydro & Nuclear Power Co. Ltd., 2.875% due 10/2/2018 |
A+/A1 | 7,000,000 | 6,975,892 | |||||||
a Niagara Mohawk Power Corp., 4.881% due 8/15/2019 |
A-/A3 | 10,000,000 | 11,181,680 | |||||||
SCANA Corp., 4.125% due 2/1/2022 |
BBB/Baa3 | 2,000,000 | 1,952,732 | |||||||
Union Electric Co., 4.65% due 10/1/2013 |
A-/NR | 2,000,000 | 2,000,000 | |||||||
|
|
|||||||||
129,661,101 | ||||||||||
|
|
|||||||||
TOTAL CORPORATE BONDS (Cost $1,529,979,380) |
1,557,227,019 | |||||||||
|
|
|||||||||
CONVERTIBLE BONDS 0.62% |
||||||||||
REAL ESTATE 0.62% |
||||||||||
REAL ESTATE INVESTMENT TRUSTS 0.62% |
||||||||||
a IAS Operating Partnership LP, 5.00% due 3/15/2018 |
NR/NR | 20,000,000 | 18,712,500 | |||||||
|
|
|||||||||
18,712,500 | ||||||||||
|
|
|||||||||
TOTAL CONVERTIBLE BONDS (Cost $20,000,000) |
18,712,500 | |||||||||
|
|
|||||||||
MUNICIPAL BONDS 6.23% |
||||||||||
American Municipal Power Ohio, Inc., 5.072% due 2/15/2018 |
A/A3 | 5,000,000 | 5,467,800 | |||||||
Anaheim California Public Financing Authority, 5.316% due 9/1/2017 (Insured: Natl Re/FGIC) |
A/A1 | 1,840,000 | 1,830,800 | |||||||
Anaheim California Public Financing Authority, 5.486% due 9/1/2020 (Insured: Natl-Re) |
A/A1 | 3,270,000 | 3,261,662 | |||||||
Brentwood California Infrastructure Financing Authority, 6.16% due 10/1/2019 |
AA-/NR | 2,110,000 | 2,268,356 | |||||||
California Health Facilities Financing Authority, 6.76% due 2/1/2019 |
A/NR | 3,905,000 | 4,260,746 | |||||||
California School Finance Authority, 5.041% due 7/1/2020 (LOC: City National Bank) |
AA+/NR | 4,000,000 | 4,138,680 | |||||||
Camden County New Jersey, 5.47% due 7/1/2018 |
A+/A2 | 2,140,000 | 2,297,311 | |||||||
Camden County New Jersey, 5.62% due 7/1/2019 |
A+/A2 | 3,025,000 | 3,224,771 | |||||||
Carson California Redevelopment Agency, 4.511% due 10/1/2016 |
A-/NR | 5,000,000 | 4,988,350 | |||||||
City of New York GO, 3.48% due 10/1/2018 |
AA/Aa2 | 3,500,000 | 3,692,360 | |||||||
e City of North Little Rock Arkansas, 3.562% due 7/1/2022 (Insured: AGM) |
AA-/NR | 8,185,000 | 7,857,682 | |||||||
City of Riverside California, 5.61% due 8/1/2017 |
A/Aa2 | 2,000,000 | 2,183,420 | |||||||
Connecticut Housing Finance Authority, 5.071% due 11/15/2019 |
AAA/Aaa | 3,070,000 | 3,107,976 | |||||||
Denver Public Schools COP, 2.018% due 12/15/2019 (School District No. 1 Educational Facilities) |
NR/Aa3 | 3,000,000 | 2,857,920 | |||||||
Florida Hurricane Catastrophe Fund Finance Corp., 1.298% due 7/1/2016 (Reimbursement Contracts for Covered Event Losses) |
AA-/Aa3 | 7,500,000 | 7,465,350 | |||||||
Florida State Board of Education, 3.60% due 6/1/2015 |
AAA/Aa1 | 3,000,000 | 3,133,020 | |||||||
Fort Collins Colorado Electric Utility, 4.92% due 12/1/2020 |
AA-/NR | 2,250,000 | 2,322,540 |
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
Illinois Finance Authority, 5.629% due 7/1/2016 (Insured: Syncora) |
AA-/NR | $ | 1,100,000 | $ | 1,141,338 | |||||
Irvine Ranch Water District Joint Powers Agency, 2.388% due 3/15/2014 |
A-/NR | 13,580,000 | 13,577,148 | |||||||
e JobsOhio Beverage System, 2.217% due 1/1/2019 |
AA/A2 | 11,345,000 | 10,969,707 | |||||||
Kentucky Asset/Liability Commission, 2.099% due 4/1/2019 (Commonwealth of Kentucky State Medical Insurance and Teachers Retirement System Obligations) |
A+/Aa3 | 3,000,000 | 2,886,780 | |||||||
Los Angeles California Department of Airports, 5.175% due 5/15/2017 |
AA-/A1 | 4,000,000 | 4,403,480 | |||||||
Los Angeles California Municipal Improvement Corp., 6.165% due 11/1/2020 (Build America Bonds) |
A+/A3 | 10,000,000 | 10,861,300 | |||||||
Los Angeles County California Public Works Financing Authority, 5.591% due 8/1/2020 |
AA-/A1 | 3,000,000 | 3,147,390 | |||||||
Louisiana Public Facilities Authority, 5.72% due 7/1/2015 (Insured: CIFG) |
AA-/A3 | 890,000 | 884,215 | |||||||
Maine Finance Authority, 4.55% due 10/1/2014 |
A/NR | 365,000 | 371,417 | |||||||
Massachusetts Housing Finance Agency, 1.45% due 12/1/2015 (Multi-Family Residential Development) |
A+/A2 | 8,650,000 | 8,649,567 | |||||||
Menomonee Falls Wisconsin GO, 4.25% due 11/1/2014 |
NR/Aa2 | 3,350,000 | 3,360,519 | |||||||
a Midwest Family Housing, 5.168% due 7/1/2016 (Insured: CIFG) |
AA-/Baa1 | 785,000 | 817,287 | |||||||
New York City Transitional Finance Authority, 4.075% due 11/1/2020 |
AAA/Aa1 | 2,500,000 | 2,631,175 | |||||||
Oakland California Redevelopment Agency, 8.00% due 9/1/2016 |
A-/NR | 4,200,000 | 4,483,206 | |||||||
Oklahoma Development Finance Authority, 8.00% due 5/1/2020 |
NR/NR | 7,675,000 | 7,779,533 | |||||||
Orleans Parish School Board Louisiana GO, 4.40% due 2/1/2021 (Insured: AGM) |
AA-/A2 | 10,000,000 | 10,258,100 | |||||||
Port St. Lucie Florida, 4.457% due 9/1/2014 (Wyndcrest) |
A/Aa3 | 1,470,000 | 1,485,905 | |||||||
Redlands California Redevelopment Agency, 5.818% due 8/1/2022 (Insured: AMBAC) |
A-/NR | 2,075,000 | 2,026,985 | |||||||
Rutgers State University GO, 2.342% due 5/1/2019 (New Brunswick, Newark and Camden Campus Facilities ) |
AA-/Aa3 | 3,485,000 | 3,390,069 | |||||||
Rutgers State University GO, 3.028% due 5/1/2021 (New Brunswick, Newark and Camden Campus Facilities) |
AA-/Aa3 | 1,500,000 | 1,449,270 | |||||||
San Bernardino County California San Sevaine Redevelopment Agency, 7.135% due 9/1/2020 |
BBB/NR | 1,665,000 | 1,723,974 | |||||||
San Francisco California City and County Redevelopment Financing Authority, 8.00% due 8/1/2019 |
A/Ba1 | 6,500,000 | 7,099,495 | |||||||
San Jose California Redevelopment Agency, 4.281% due 8/1/2014 |
A/Ba1 | 750,000 | 762,150 | |||||||
San Marcos California Redevelopment Agency, 6.125% due 10/1/2018 |
AA-/NR | 5,000,000 | 5,267,600 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.22% due 7/1/2018 (Electronic Tolling Program) |
A-/A3 | 2,000,000 | 1,939,120 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.49% due 7/1/2019 (Electronic Tolling Program) |
A-/A3 | 2,500,000 | 2,387,025 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.84% due 7/1/2020 (Electronic Tolling Program) |
A-/A3 | 1,750,000 | 1,658,930 | |||||||
Town of Victor, New York, 9.20% due 5/1/2014 |
NR/NR | 255,000 | 257,537 | |||||||
Wallenpaupack Pennsylvania Area School District GO, 3.80% due 9/1/2019, (State Aid Withholding) |
AA-/NR | 3,000,000 | 2,984,700 | |||||||
Wallenpaupack Pennsylvania Area School District GO, 4.00% due 9/1/2020, (State Aid Withholding) |
AA-/NR | 2,750,000 | 2,722,060 | |||||||
Wisconsin State Health & Educational Facilities Authority, 7.08% due 6/1/2016 (Richland Hospital, Inc.; Insured: ACA) |
NR/NR | 945,000 | 930,891 | |||||||
Yuba California Levee Financing Authority, 6.375% due 9/1/2021 |
AA-/NR | 1,000,000 | 1,035,760 | |||||||
|
|
|||||||||
TOTAL MUNICIPAL BONDS (Cost $184,098,053) |
187,702,377 | |||||||||
|
|
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund |
September 30, 2013 |
Issuer-Description |
Credit Rating S&P/Moodys |
Principal Amount |
Value | |||||||
SHORT TERM INVESTMENTS 6.51% |
||||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013, repurchase price $90,000,525 collateralized by 21 U.S. Government debt securities and 15 corporate debt securities, having an average coupon of 3.43%, a minimum credit rating of BBB-, maturity dates from 10/30/2015 to 9/15/2043, and having an aggregate market value of $93,588,690 at 9/30/2013 |
NR/NR | $ | 90,000,000 | $ | 90,000,000 | |||||
Diageo Capital plc, 0.20% due 10/7/2013 |
NR/NR | 54,500,000 | 54,498,183 | |||||||
Northern Illinois Gas Co., 0.18% due 10/1/2013 |
NR/NR | 51,484,000 | 51,484,000 | |||||||
|
|
|||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $195,982,183) |
195,982,183 | |||||||||
|
|
|||||||||
TOTAL INVESTMENTS 100.46% (Cost $3,007,496,333) |
$ | 3,026,694,731 | ||||||||
LIABILITIES NET OF OTHER ASSETS (0.46)% |
(13,886,374 | ) | ||||||||
|
|
|||||||||
NET ASSETS 100.00% |
$ | 3,012,808,357 | ||||||||
|
|
Footnote Legend
| Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moodys ratings from MIG-1 to MIG-4 and Standard and Poors ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2013, the aggregate value of these securities in the Funds portfolio was $1,327,846,780, representing 44.07% of the Funds net assets. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
c | Yankee Bond Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
d | When-issued security. |
e | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
Certified Annual Report 29
STATEMENTS OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
Thornburg Limited Term U.S. Government Fund |
Thornburg Limited Term Income Fund |
|||||||
ASSETS |
||||||||
Investments at value (cost $317,976,296 and $3,007,496,333) (Note 2) |
$ | 320,973,165 | $ | 3,026,694,731 | ||||
Cash |
3,055,291 | 1,421,503 | ||||||
Receivable for investments sold |
| 5,302,455 | ||||||
Receivable for fund shares sold |
288,820 | 11,188,306 | ||||||
Interest receivable |
1,420,708 | 21,434,511 | ||||||
Prepaid expenses and other assets |
227,364 | 78,486 | ||||||
|
|
|
|
|||||
Total Assets |
325,965,348 | 3,066,119,992 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Payable for investments purchased |
| 41,797,450 | ||||||
Payable for fund shares redeemed |
1,371,733 | 8,688,872 | ||||||
Payable to investment advisor and other affiliates (Note 3) |
192,076 | 1,642,086 | ||||||
Accounts payable and accrued expenses |
| 338,416 | ||||||
Dividends payable |
39,961 | 844,811 | ||||||
|
|
|
|
|||||
Total Liabilities |
1,603,770 | 53,311,635 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 324,361,578 | $ | 3,012,808,357 | ||||
|
|
|
|
|||||
NET ASSETS CONSIST OF: |
||||||||
Distribution in excess of net investment income |
$ | (39,963 | ) | $ | (673,030 | ) | ||
Net unrealized appreciation |
2,996,869 | 19,198,398 | ||||||
Accumulated net realized gain (loss) |
(5,642,656 | ) | 21,933,731 | |||||
Net capital paid in on shares of beneficial interest |
327,047,328 | 2,972,349,258 | ||||||
|
|
|
|
|||||
$ | 324,361,578 | $ | 3,012,808,357 | |||||
|
|
|
|
30 Certified Annual Report
STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
Thornburg Limited Term U.S. Government Fund |
Thornburg Limited Term Income Fund |
|||||||
NET ASSET VALUE: |
||||||||
Class A Shares: |
||||||||
Net asset value and redemption price per share ($159,224,887 and $1,029,692,117 applicable to 11,914,148 and 76,751,872 shares of beneficial interest outstanding - Note 4) |
$ | 13.36 | $ | 13.42 | ||||
Maximum sales charge, 1.50% of offering price |
0.20 | 0.20 | ||||||
|
|
|
|
|||||
Maximum offering price per share |
$ | 13.56 | $ | 13.62 | ||||
|
|
|
|
|||||
Class B Shares: |
||||||||
Net asset value per share* ($1,384,341 applicable to 103,823 shares of beneficialinterest outstanding - Note 4) |
$ | 13.33 | $ | | ||||
|
|
|
|
|||||
Class C Shares: |
||||||||
Net asset value and offering price per share* ($73,876,570 and $632,917,783 applicable to 5,494,579 and 47,252,390 shares of beneficial interest outstanding - Note 4) |
$ | 13.45 | $ | 13.39 | ||||
|
|
|
|
|||||
Class I Shares: |
||||||||
Net asset value, offering and redemption price per share ($73,644,678 and $1,260,448,623 applicable to 5,510,757 and 93,933,600 shares of beneficial interest outstanding - Note 4) |
$ | 13.36 | $ | 13.42 | ||||
|
|
|
|
|||||
Class R3 Shares: |
||||||||
Net asset value, offering and redemption price per share ($15,349,660 and $ 81,585,560 applicable to 1,147,856 and 6,076,660 shares of beneficial interest outstanding - Note 4) |
$ | 13.37 | $ | 13.43 | ||||
|
|
|
|
|||||
Class R5 Shares: |
||||||||
Net asset value, offering and redemption price per share ($ 881,442 and $ 8,164,274 applicable to 65,958 and 608,504 shares of beneficial interest outstanding - Note 4) |
$ | 13.36 | $ | 13.42 | ||||
|
|
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 31
STATEMENT OF OPERATIONS | ||
Thornburg Limited Term Income Funds |
Year Ended September 30, 2013 |
Thornburg Limited Term U.S. Government Fund |
Thornburg Limited Term Income Fund |
|||||||
INVESTMENT INCOME |
||||||||
Interest income (net of premium amortized of $1,402,081 and $10,538,173 and net of paydown losses of $2,882,510 and $2,919,561, respectively) |
$ | 9,207,079 | $ | 96,699,393 | ||||
|
|
|
|
|||||
EXPENSES |
||||||||
Investment advisory fees (Note 3) |
1,473,506 | 11,280,967 | ||||||
Administration fees (Note 3) |
||||||||
Class A Shares |
242,220 | 1,380,350 | ||||||
Class B Shares |
2,963 | | ||||||
Class C Shares |
114,068 | 812,330 | ||||||
Class I Shares |
44,660 | 586,664 | ||||||
Class R3 Shares |
19,816 | 98,748 | ||||||
Class R5 Shares |
180 | 2,395 | ||||||
Distribution and service fees (Note 3) |
||||||||
Class A Shares |
484,439 | 2,760,699 | ||||||
Class B Shares |
23,509 | | ||||||
Class C Shares |
456,633 | 3,269,032 | ||||||
Class R3 Shares |
79,235 | 394,885 | ||||||
Transfer agent fees |
||||||||
Class A Shares |
154,127 | 1,043,670 | ||||||
Class B Shares |
7,147 | | ||||||
Class C Shares |
88,745 | 516,071 | ||||||
Class I Shares |
54,089 | 745,609 | ||||||
Class R3 Shares |
15,165 | 64,336 | ||||||
Class R5 Shares |
3,284 | 3,929 | ||||||
Registration and filing fees |
||||||||
Class A Shares |
24,868 | 95,328 | ||||||
Class B Shares |
17,142 | | ||||||
Class C Shares |
20,437 | 50,046 | ||||||
Class I Shares |
23,314 | 111,847 | ||||||
Class R3 Shares |
19,135 | 21,386 | ||||||
Class R5 Shares |
21,242 | 22,541 | ||||||
Custodian fees (Note 3) |
86,516 | 320,652 | ||||||
Professional fees |
49,398 | 89,233 | ||||||
Accounting fees |
11,910 | 95,510 | ||||||
Trustee fees |
13,501 | 102,985 | ||||||
Other expenses |
44,076 | 337,988 | ||||||
|
|
|
|
|||||
Total Expenses |
3,595,325 | 24,207,201 | ||||||
Less: |
||||||||
Expenses reimbursed by investment advisor (Note 3) |
(75,141 | ) | (135,831 | ) | ||||
Fees paid indirectly (Note 3) |
(10,500 | ) | (10,259 | ) | ||||
|
|
|
|
|||||
Net Expenses |
3,509,684 | 24,061,111 | ||||||
|
|
|
|
|||||
Net Investment Income |
$ | 5,697,395 | $ | 72,638,282 | ||||
|
|
|
|
32 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Limited Term Income Funds |
Year Ended September 30, 2013 |
Thornburg Limited Term U.S. Government Fund |
Thornburg Limited Term Income Fund |
|||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||
Net realized gain (loss) on investments |
$ | 626,725 | $ | 28,225,169 | ||||
Net change in unrealized appreciation (depreciation) on investments |
(11,595,653 | ) | (83,862,744 | ) | ||||
Net Realized and Unrealized Loss |
(10,968,928 | ) | (55,637,575 | ) | ||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (5,271,533 | ) | $ | 17,000,707 | |||
|
|
|
|
See notes to financial statements.
Certified Annual Report 33
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term U.S. Government Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 5,697,395 | $ | 7,694,029 | ||||
Net realized gain (loss) on investments |
626,725 | 603,821 | ||||||
Net unrealized appreciation (depreciation) on investments |
(11,595,653 | ) | 1,453,008 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(5,271,533 | ) | 9,750,858 | |||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(4,531,628 | ) | (5,424,214 | ) | ||||
Class B Shares |
(24,774 | ) | (48,104 | ) | ||||
Class C Shares |
(1,885,254 | ) | (2,366,058 | ) | ||||
Class I Shares |
(2,383,641 | ) | (2,792,566 | ) | ||||
Class R3 Shares |
(347,980 | ) | (373,741 | ) | ||||
Class R5 Shares |
(7,818 | ) | (1,030 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(48,398,759 | ) | 12,467,979 | |||||
Class B Shares |
(1,982,954 | ) | (899,839 | ) | ||||
Class C Shares |
(25,554,347 | ) | 2,899,499 | |||||
Class I Shares |
(21,174,045 | ) | 15,374,578 | |||||
Class R3 Shares |
446,203 | 2,769,576 | ||||||
Class R5 Shares |
589,772 | 297,969 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets |
(110,526,758 | ) | 31,654,907 | |||||
NET ASSETS |
||||||||
Beginning of Year |
434,888,336 | 403,233,429 | ||||||
|
|
|
|
|||||
End of Year |
$ | 324,361,578 | $ | 434,888,336 | ||||
|
|
|
|
|||||
Undistributed (distribution in excess of) net investment income |
$ | (39,963 | ) | $ | 245,952 |
See notes to financial statements.
34 Certified Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term Income Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 72,638,282 | $ | 61,416,905 | ||||
Net realized gain (loss) on investments |
28,225,169 | 12,965,543 | ||||||
Net unrealized appreciation (depreciation) on investments |
(83,862,744 | ) | 73,342,069 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
17,000,707 | 147,724,517 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(27,240,915 | ) | (25,172,276 | ) | ||||
Class C Shares |
(14,464,450 | ) | (13,689,646 | ) | ||||
Class I Shares |
(32,980,072 | ) | (24,360,205 | ) | ||||
Class R3 Shares |
(1,861,254 | ) | (1,669,104 | ) | ||||
Class R5 Shares |
(125,608 | ) | (1,939 | ) | ||||
From realized gains |
||||||||
Class A Shares |
(4,830,257 | ) | (4,404,576 | ) | ||||
Class C Shares |
(2,753,549 | ) | (2,727,096 | ) | ||||
Class I Shares |
(4,644,607 | ) | (3,486,977 | ) | ||||
Class R3 Shares |
(328,154 | ) | (237,575 | ) | ||||
Class R5 Shares |
(7,863 | ) | | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
6,646,964 | 442,203,183 | ||||||
Class C Shares |
44,122,175 | 221,399,070 | ||||||
Class I Shares |
276,724,852 | 538,081,197 | ||||||
Class R3 Shares |
10,072,568 | 41,267,790 | ||||||
Class R5 Shares |
6,994,597 | 1,312,866 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
272,325,134 | 1,316,239,229 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
2,740,483,223 | 1,424,243,994 | ||||||
|
|
|
|
|||||
End of Year |
$ | 3,012,808,357 | $ | 2,740,483,223 | ||||
|
|
|
|
|||||
Distribution in excess of net investment income |
$ | (673,030 | ) | $ | (139,845 | ) |
Certified Annual Report 35
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the Government Fund) and Thornburg Limited Term Income Fund (the Income Fund), collectively the Funds, are diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Funds are currently two of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds primary objectives are to obtain as high a level of current income as is consistent, in the view of the Funds investment advisor, with the safety of capital. As a secondary objective, the Funds seek to reduce changes in their share prices compared to longer term portfolios.
The Government Fund currently has six classes of shares of beneficial interest: Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3 and Class R5). The Fund no longer offers Class B shares for sale. The Income Fund currently offers five classes of shares of beneficial interest outstanding, Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3 and Class R5). Each class of shares of the Funds represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class B shares were sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iv) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (v) Class R3 and Class R5 shares are sold at net asset value without a sales charge, but bear both a service fee and a distribution fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, administration fees, and certain registration and transfer agent expenses. Class B shares of the Government Fund outstanding for eight years will convert to Class A shares of the Government Fund.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Funds would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Funds upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Debt obligations held by the Funds have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and
36 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Funds, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Funds may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Funds categorize their investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Account Standards Board, (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable valuation inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect the Funds assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level of any input that is deemed significant to the asset or liabilitys fair value measurement. The inputs or methodologies used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds investments. These inputs are summarized according to the three-level hierarchy listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit ratings, etc.).
Level 3: Significant unobservable inputs, (including the Funds own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
GOVERNMENT FUND
The following table displays a summary of the fair value hierarchy measurements of the Government Funds net investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
U.S. Treasury Securities |
$ | 35,506,217 | $ | 35,506,217 | $ | | $ | | ||||||||
U.S. Government Agencies |
63,723,466 | | 61,119,392 | 2,604,074 | ||||||||||||
Mortgage Backed |
206,743,482 | | 206,743,482 | | ||||||||||||
Short Term Investments |
15,000,000 | | 15,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 320,973,165 | $ | 35,506,217 | $ | 282,862,874 | $ | 2,604,074 |
(a) | An unadjusted broker quote was applied to a portfolio security characterized as a Level 3 investment at September 30, 2013. |
Certified Annual Report 37
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels, and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2013.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2013 is as follows:
U.S. Government Agencies |
Total | |||||||
Beginning Balance 9/30/2012 |
$ | 2,946,080 | $ | 2,946,080 | ||||
Accrued Discounts (Premiums) |
3,102 | 3,102 | ||||||
Net Realized Gain (Loss)(a) |
1,834 | 1,834 | ||||||
Gross Purchases |
| | ||||||
Gross Sales |
(141,221 | ) | (141,221 | ) | ||||
Change in Unrealized Appreciation (Depreciation)(b) |
(205,721 | ) | (205,721 | ) | ||||
Transfers into Level 3(c) |
| | ||||||
Transfers out of Level 3(c) |
| | ||||||
|
|
|
|
|||||
Ending Balance 9/30/2013(d) |
$ | 2,604,074 | $ | 2,604,074 |
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(c) | Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the year ended September 30, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. (d) Level 3 investments represent 0.80% of total Net Assets at the year ended September 30, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
INCOME FUND
The following table displays a summary of the fair value hierarchy measurements of the Income Funds net investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities |
||||||||||||||||
U.S. Treasury Securities |
$ | 22,014,854 | $ | 22,014,854 | $ | | $ | | ||||||||
U.S. Government Agencies |
260,085,748 | | 228,516,821 | 31,568,927 | ||||||||||||
Other Government |
147,973,531 | | 133,430,186 | 14,543,345 | ||||||||||||
Mortgage Backed |
236,651,312 | | 236,651,312 | | ||||||||||||
Asset Backed Securities |
400,345,207 | | 383,043,707 | 17,301,500 | ||||||||||||
Corporate Bonds |
1,557,227,019 | | 1,550,057,444 | 7,169,575 | ||||||||||||
Convertible Bonds |
18,712,500 | | 18,712,500 | | ||||||||||||
Municipal Bonds |
187,702,377 | | 187,702,377 | | ||||||||||||
Short Term Investments |
195,982,183 | | 195,982,183 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 3,026,694,731 | $ | 22,014,854 | $ | 2,934,096,530 | $ | 70,583,347 |
(a) | Unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at September 30, 2013. A portfolio security characterized as a Level 3 investment representing $3,662,750 market value in Asset Backed Securities was fair valued by the Committee using an adjusted broker quote. |
38 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to disclose transfers between levels, and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2013.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2013 is as follows:
Asset Backed Securities |
Corporate Bonds |
U.S. & Other Government |
Municipal Bonds |
Total | ||||||||||||||||
Beginning Balance 9/30/2012 |
$ | 13,715,411 | $ | 33,987,735 | $ | 27,214,342 | $ | 1,019,153 | $ | 75,936,641 | ||||||||||
Accrued Discounts (Premiums) |
26,501 | 45,712 | (32,235 | ) | | 39,978 | ||||||||||||||
Net Realized Gain (Loss)(a) |
89,440 | 1,314,018 | 27,712 | | 1,431,170 | |||||||||||||||
Gross Purchases |
14,000,000 | | 42,181,549 | | 56,181,549 | |||||||||||||||
Gross Sales |
(584,888 | ) | (15,789,083 | ) | (4,003,754 | ) | | (20,377,725 | ) | |||||||||||
Change in Unrealized Appreciation(Depreciation)(b) |
117,536 | (467,475 | ) | (1,267,842 | ) | | (1,617,781 | ) | ||||||||||||
Transfers into Level 3(c) |
| | | | | |||||||||||||||
Transfers out of Level 3(c) |
(10,062,500 | ) | (11,921,332 | ) | (18,007,500 | ) | (1,019,153 | ) | (41,010,485 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ending Balance 9/30/2013(d) |
$ | 17,301,500 | $ | 7,169,575 | $ | 46,112,272 | $ | | $ | 70,583,347 |
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(c) | Transfers into or out of Level 3, if any, would be from or to Level 2, and would be due to changes in other significant observable inputs available during the year ended September 30, 2013. Transfers out of Level 3 would be indicative of pricing by an independent pricing service and/or increased market activity. Transfers into or out of Level 3 are based upon the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 2.34% of total Net Assets at the year ended September 30, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Funds. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of each Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent a Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with the Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time a Fund makes a commitment to purchase a security on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining the Funds net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Funds records at the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Funds is declared daily as a dividend on shares for which the Funds have received payment. Dividends are paid monthly and are reinvested in additional shares of the Funds at net asset value per share at the close of
Certified Annual Report 39
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.
Repurchase Agreements: The Funds may invest excess cash in repurchase agreements whereby the Funds purchase investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized over the life of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. The Funds invest in various mortgage-backed securities. Such securities pay interest and a portion of principal each month, which is then available for investment in securities at prevailing prices. Paydown gains and losses on these securities are included in interest income. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Foreign Currency Translation: With respect to the Income Fund, portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of portfolio securities and interest denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. Such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Income Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of interest recorded on the Income Funds books and the U.S. dollar equivalent of the amounts actually received or paid.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .375 of 1% to .275 of 1% per annum of the average daily net assets of the Government Fund and .50 of 1% to .275 of 1% per annum of the average daily net assets of the Income Fund depending on
40 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
each Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of each Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, and Class R3 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of each Funds shares. For the year ended September 30, 2013, the Distributor has advised the Funds that they earned net commissions aggregating $872 from the sale of Class A shares of the Government Fund and $7,716 from the sale of Class A shares of the Income Fund, and collected contingent deferred sales charges aggregating $13,579 and $106,533 from redemptions of Class C shares of the Government Fund and Income Fund, respectively.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Funds may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to the applicable Class A, Class B, Class C, Class I, and Class R3 shares of the Funds for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of each Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable to each Funds Class C and Class R3 shares, and also applicable to Government Funds Class B shares, under which the Funds compensate the Distributor for services in promoting the sale of Class B, C, and R3 shares of the Funds at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class B shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C and Class R3 shares. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statements of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Funds so that actual Class R3 and Class R5 of Government Fund and Class R3 and Class R5 of Income Fund expenses do not exceed 0.99%, 0.67%, 0.99%, and 0.67%, respectively. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Funds or the Distributor ceases to be the distributor of the Funds prior to that date. The Advisor and Distributor retain the right to be repaid by the Funds for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $6,524 for the Class B shares, $766 for the Class C shares, and contractually reimbursed $44,024 for the Class R3 shares, and $23,827 for the Class R5 shares of the Government Fund and $118,855 for the Class R3 shares and $16,976 for the Class R5 shares of the Income Fund.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by each Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statements of Operations. For the year ended September 30, 2013, fees paid indirectly were $10,500 for the Government Fund and $10,259 for the Income Fund.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
Certified Annual Report 41
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
3,744,649 | $ | 51,296,981 | 5,047,470 | $ | 69,868,966 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
262,627 | 3,580,624 | 295,188 | 4,086,639 | ||||||||||||
Shares repurchased |
(7,590,101 | ) | (103,276,364 | ) | (4,443,689 | ) | (61,487,626 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(3,582,825 | ) | $ | (48,398,759 | ) | 898,969 | $ | 12,467,979 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B Shares |
||||||||||||||||
Shares sold |
30,862 | $ | 424,973 | 57,885 | $ | 800,862 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,752 | 23,978 | 2,898 | 40,033 | ||||||||||||
Shares repurchased |
(178,491 | ) | (2,431,905 | ) | (126,040 | ) | (1,740,734 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(145,877 | ) | $ | (1,982,954 | ) | (65,257 | ) | $ | (899,839 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
1,186,290 | $ | 16,337,002 | 2,770,702 | $ | 38,593,798 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
114,069 | 1,565,457 | 131,511 | 1,831,613 | ||||||||||||
Shares repurchased |
(3,178,713 | ) | (43,456,806 | ) | (2,695,423 | ) | (37,525,912 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,878,354 | ) | $ | (25,554,347 | ) | 206,790 | $ | 2,899,499 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
2,977,369 | $ | 40,549,972 | 5,010,466 | $ | 69,361,668 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
138,069 | 1,880,884 | 155,056 | 2,146,620 | ||||||||||||
Shares repurchased |
(4,685,090 | ) | (63,604,901 | ) | (4,056,310 | ) | (56,133,710 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,569,652 | ) | $ | (21,174,045 | ) | 1,109,212 | $ | 15,374,578 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
547,714 | $ | 7,478,100 | 691,586 | $ | 9,580,609 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
24,107 | 328,636 | 25,564 | 354,172 | ||||||||||||
Shares repurchased |
(540,789 | ) | (7,360,533 | ) | (516,999 | ) | (7,165,205 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
31,032 | $ | 446,203 | 200,151 | $ | 2,769,576 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
58,893 | $ | 787,254 | 21,925 | $ | 302,955 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
576 | 7,824 | 74 | 1,030 | ||||||||||||
Shares repurchased |
(15,074 | ) | (205,306 | ) | (436 | ) | (6,016 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
44,395 | $ | 589,772 | 21,563 | $ | 297,969 | ||||||||||
|
|
|
|
|
|
|
|
42 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
INCOME FUND
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
37,040,545 | $ | 506,158,188 | 47,057,811 | $ | 631,127,101 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
2,050,915 | 27,969,306 | 1,838,883 | 24,670,726 | ||||||||||||
Shares repurchased |
(38,779,444 | ) | (527,480,530 | ) | (15,896,424 | ) | (213,594,644 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
312,016 | $ | 6,646,964 | 33,000,270 | $ | 442,203,183 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
15,246,681 | $ | 208,208,645 | 21,374,155 | $ | 286,302,664 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,069,512 | 14,558,205 | 971,990 | 13,011,563 | ||||||||||||
Shares repurchased |
(13,169,974 | ) | (178,644,675 | ) | (5,818,601 | ) | (77,915,157 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
3,146,219 | $ | 44,122,175 | 16,527,544 | $ | 221,399,070 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
54,510,358 | $ | 743,141,237 | 53,493,565 | $ | 718,064,995 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
2,278,660 | 31,052,491 | 1,617,644 | 21,734,746 | ||||||||||||
Shares repurchased |
(36,614,391 | ) | (497,468,876 | ) | (15,023,845 | ) | (201,718,544 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
20,174,627 | $ | 276,724,852 | 40,087,364 | $ | 538,081,197 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
3,482,197 | $ | 47,470,330 | 4,091,469 | $ | 54,734,839 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
155,223 | 2,117,877 | 136,421 | 1,833,436 | ||||||||||||
Shares repurchased |
(2,903,508 | ) | (39,515,639 | ) | (1,137,089 | ) | (15,300,485 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
733,912 | $ | 10,072,568 | 3,090,801 | $ | 41,267,790 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
594,497 | $ | 8,102,764 | 96,188 | $ | 1,310,927 | ||||||||||
Shares issued to shareholders inreinvestment of dividends |
9,774 | 132,548 | 141 | 1,939 | ||||||||||||
Shares repurchased |
(92,096 | ) | (1,240,715 | ) | | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
512,175 | $ | 6,994,597 | 96,329 | $ | 1,312,866 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Government Fund had purchase and sale transactions of investments (excluding short-term investments) of $45,158,977 and $44,336,380, respectively, while the Income Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $1,263,869,942 and $934,805,305, respectively.
Certified Annual Report 43
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purposes |
$ | 317,976,296 | $ | 3,007,522,932 | ||||
|
|
|
|
|||||
Gross unrealized appreciation on a tax basis |
$ | 6,830,727 | $ | 61,832,952 | ||||
Gross unrealized depreciation on a tax basis |
(3,833,858 | ) | (42,661,153 | ) | ||||
|
|
|
|
|||||
Net unrealized appreciation (depreciation)on investments (tax basis) |
$ | 2,996,869 | $ | 19,171,799 | ||||
|
|
|
|
At September 30, 2013, the Government Fund had deferred tax basis capital losses occuring subsequent to October 31, 2012, of $2,175,318. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Government Fund had cumulative tax basis capital losses of $3,343,873 (of which $1,911,949 is short-term and $1,431,924 is long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occured in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At September 30, 2013, the Government Fund had tax basis capital losses generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire as follows:
2018 |
$ | 17,316 | ||
2019 |
106,151 | |||
|
|
|||
$ | 123,467 | |||
|
|
In order to account for book/tax differences, the Government Fund decreased distribution in excess of net investment income by $3,197,785, increased accumulated net realized loss by $3,039,105, and decreased net capital paid in on shares of beneficial interest by $158,680. The Income Fund decreased distribution in excess of net investment income by $3,500,832 and decreased accumulated net realized gain by $3,500,832. These reclassifications have no impact on the net asset value of the Fund.
Reclassifications result primarily from paydown gains and losses.
At September 30, 2013, the Government Fund had no undistributed tax basis net ordinary investment income or tax basis capital gains.
At September 30, 2013, the Income Fund had distributable tax basis net ordinary investment income of $8,116,351 and tax basis distributable capital gains of $14,015,761.
The tax character of distributions paid for the Government Fund during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary investment income |
$ | 9,181,095 | $ | 11,005,713 | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 9,181,095 | $ | 11,005,713 | ||||
|
|
|
|
44 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 |
The tax character of the distributions paid by the Income Fund for the years ended September 30, 2013 and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary investment income |
$ | 84,058,814 | $ | 66,826,503 | ||||
Capital gains |
5,177,915 | 8,922,891 | ||||||
|
|
|
|
|||||
Total |
$ | 89,236,729 | $ | 75,749,394 | ||||
|
|
|
|
OTHER NOTES:
Risks: Each Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, prepayment risk, management risk, market and economic risk, liquidity risk and, in the case of Income Fund, the risks associated with investments in non-U.S. issuers. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Funds.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 45
Thornburg Limited Term U.S. Government Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 13.86 | 0.20 | (0.39 | ) | (0.19 | ) | (0.31 | ) | | (0.31 | ) | $13.36 | 1.45 | 0.89 | 0.89 | 0.89 | (1.38 | ) | 12.18 | $ | 159,225 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 13.90 | 0.25 | 0.06 | 0.31 | (0.35 | ) | | (0.35 | ) | $13.86 | 1.79 | 0.89 | 0.89 | 0.89 | 2.29 | 9.89 | $ | 214,749 | |||||||||||||||||||||||||||||||||
2011(b) |
$ | 13.94 | 0.33 | 0.03 | 0.36 | (0.40 | ) | | (0.40 | ) | $13.90 | 2.42 | 0.90 | 0.89 | 0.90 | 2.66 | 14.62 | $ | 202,910 | |||||||||||||||||||||||||||||||||
2010(b) |
$ | 13.78 | 0.39 | 0.80 | 1.19 | (0.41 | ) | (0.62) | (1.03 | ) | $13.94 | 2.81 | 0.93 | 0.92 | 0.93 | 4.69 | 16.01 | $ | 189,465 | |||||||||||||||||||||||||||||||||
2009(b) |
$ | 13.26 | 0.41 | 0.54 | 0.95 | (0.43 | ) | | (0.43 | ) | $13.78 | 3.04 | 0.94 | 0.93 | 0.94 | 7.21 | 39.42 | $ | 142,872 | |||||||||||||||||||||||||||||||||
Class B Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.83 | 0.01 | (0.39 | ) | (0.38 | ) | (0.12 | ) | | (0.12 | ) | $13.33 | 0.07 | 2.29 | 2.29 | 2.57 | (2.75 | ) | 12.18 | $ | 1,384 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.87 | 0.06 | 0.06 | 0.12 | (0.16 | ) | | (0.16 | ) | $13.83 | 0.42 | 2.26 | 2.25 | 2.26 | 0.90 | 9.89 | $ | 3,452 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.91 | 0.16 | 0.02 | 0.18 | (0.22 | ) | | (0.22 | ) | $13.87 | 1.13 | 2.20 | 2.19 | 2.20 | 1.33 | 14.62 | $ | 4,368 | |||||||||||||||||||||||||||||||||
2010 |
$ | 13.75 | 0.23 | 0.80 | 1.03 | (0.25 | ) | (0.62) | (0.87 | ) | $13.91 | 1.65 | 2.11 | 2.11 | 2.11 | 3.46 | 16.01 | $ | 5,215 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.23 | 0.27 | 0.53 | 0.80 | (0.28 | ) | | (0.28 | ) | $13.75 | 1.96 | 2.01 | 2.01 | 2.04 | 6.08 | 39.42 | $ | 5,950 | |||||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.94 | 0.16 | (0.37 | ) | (0.21 | ) | (0.28 | ) | | (0.28 | ) | $13.45 | 1.17 | 1.17 | 1.17 | 1.17 | (1.56 | ) | 12.18 | $ | 73,877 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.98 | 0.21 | 0.07 | 0.28 | (0.32 | ) | | (0.32 | ) | $13.94 | 1.51 | 1.17 | 1.17 | 1.17 | 2.01 | 9.89 | $ | 102,790 | |||||||||||||||||||||||||||||||||
2011 |
$ | 14.03 | 0.30 | 0.02 | 0.32 | (0.37 | ) | | (0.37 | ) | $13.98 | 2.15 | 1.17 | 1.16 | 1.17 | 2.31 | 14.62 | $ | 100,212 | |||||||||||||||||||||||||||||||||
2010 |
$ | 13.87 | 0.35 | 0.81 | 1.16 | (0.38 | ) | (0.62) | (1.00 | ) | $14.03 | 2.53 | 1.21 | 1.20 | 1.71 | 4.39 | 16.01 | $ | 99,430 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.34 | 0.37 | 0.55 | 0.92 | (0.39 | ) | | (0.39 | ) | $13.87 | 2.74 | 1.22 | 1.21 | 1.72 | 6.97 | 39.42 | $ | 80,039 | |||||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.86 | 0.24 | (0.38 | ) | (0.14 | ) | (0.36 | ) | | (0.36 | ) | $13.36 | 1.78 | 0.56 | 0.56 | 0.56 | (1.05 | ) | 12.18 | $ | 73,645 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.90 | 0.29 | 0.07 | 0.36 | (0.40 | ) | | (0.40 | ) | $13.86 | 2.12 | 0.56 | 0.55 | 0.56 | 2.63 | 9.89 | $ | 98,112 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.94 | 0.37 | 0.04 | 0.41 | (0.45 | ) | | (0.45 | ) | $13.90 | 2.71 | 0.57 | 0.57 | 0.57 | 2.99 | 14.62 | $ | 82,994 | |||||||||||||||||||||||||||||||||
2010 |
$ | 13.78 | 0.42 | 0.82 | 1.24 | (0.46 | ) | (0.62) | (1.08 | ) | $13.94 | 3.09 | 0.60 | 0.59 | 0.60 | 5.03 | 16.01 | $ | 55,398 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.26 | 0.45 | 0.53 | 0.98 | (0.46 | ) | | (0.46 | ) | $13.78 | 3.31 | 0.66 | 0.66 | 0.67 | 7.51 | 39.42 | $ | 24,887 | |||||||||||||||||||||||||||||||||
Class R3 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.87 | 0.18 | (0.38 | ) | (0.20 | ) | (0.30 | ) | | (0.30 | ) | $13.37 | 1.35 | 0.99 | 0.99 | 1.27 | (1.47 | ) | 12.18 | $ | 15,350 | ||||||||||||||||||||||||||||||
2012 |
$ | 13.91 | 0.23 | 0.07 | 0.30 | (0.34 | ) | | (0.34 | ) | $13.87 | 1.69 | 1.00 | 0.99 | 1.29 | 2.19 | 9.89 | $ | 15,486 | |||||||||||||||||||||||||||||||||
2011 |
$ | 13.95 | 0.32 | 0.03 | 0.35 | (0.39 | ) | | (0.39 | ) | $13.91 | 2.33 | 1.00 | 0.99 | 1.32 | 2.56 | 14.62 | $ | 12,749 | |||||||||||||||||||||||||||||||||
2010 |
$ | 13.79 | 0.38 | 0.80 | 1.18 | (0.40 | ) | (0.62) | (1.02 | ) | $13.95 | 2.73 | 0.99 | 0.99 | 1.31 | 4.62 | 16.01 | $ | 12,631 | |||||||||||||||||||||||||||||||||
2009 |
$ | 13.27 | 0.41 | 0.53 | 0.94 | (0.42 | ) | | (0.42 | ) | $13.79 | 3.00 | 1.00 | 0.99 | 1.40 | 7.15 | 39.42 | $ | 7,625 | |||||||||||||||||||||||||||||||||
Class R5 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.85 | 0.24 | (0.39 | ) | (0.15 | ) | (0.34 | ) | | (0.34 | ) | $13.36 | 1.83 | 0.67 | 0.67 | 7.28 | (c) | (1.09 | ) | 12.18 | $ | 881 | |||||||||||||||||||||||||||||
2012(d) |
$ | 13.84 | 0.10 | 0.07 | 0.17 | (0.16 | ) | | (0.16 | ) | $13.85 | 1.87 | (e) | 0.68 | (e) | 0.67 | (e) | 44.86 | (c)(e) | 1.20 | 9.89 | $ | 299 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(d) | Effective date of this class of shares was May 1, 2012. |
(e) | Annualized. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
46 Certified Annual Report | Certified Annual Report 47 |
Thornburg Limited Term Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA |
||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 13.72 | 0.32 | (0.22 | ) | 0.10 | (0.34 | ) | (0.06) | (0.40 | ) | $13.42 | 2.33 | 0.88 | 0.88 | 0.88 | 0.69 | 36.66 | $ | 1,029,692 | ||||||||||||||||||||||||||||
2012(b) |
$ | 13.32 | 0.39 | 0.52 | 0.91 | (0.42 | ) | (0.09) | (0.51 | ) | $13.72 | 2.94 | 0.93 | 0.93 | 0.93 | 7.04 | 23.72 | $ | 1,049,044 | |||||||||||||||||||||||||||||
2011(b) |
$ | 13.41 | 0.46 | (0.04 | ) | 0.42 | (0.47 | ) | (0.04) | (0.51 | ) | $13.32 | 3.44 | 0.98 | 0.97 | 0.98 | 3.19 | 24.86 | $ | 578,731 | ||||||||||||||||||||||||||||
2010(b) |
$ | 12.81 | 0.51 | 0.61 | 1.12 | (0.52 | ) | | (0.52 | ) | $13.41 | 3.88 | 0.99 | 0.99 | 1.01 | 8.91 | 16.35 | $ | 459,532 | |||||||||||||||||||||||||||||
2009(b) |
$ | 11.92 | 0.60 | 0.90 | 1.50 | (0.61 | ) | | (0.61 | ) | $12.81 | 5.04 | 0.99 | 0.99 | 1.04 | 13.05 | 45.31 | $ | 243,141 | |||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.70 | 0.28 | (0.23 | ) | 0.05 | (0.30 | ) | (0.06) | (0.36 | ) | $13.39 | 2.09 | 1.12 | 1.12 | 1.12 | 0.38 | 36.66 | $ | 632,918 | ||||||||||||||||||||||||||||
2012 |
$ | 13.30 | 0.36 | 0.52 | 0.88 | (0.39 | ) | (0.09) | (0.48 | ) | $13.70 | 2.70 | 1.18 | 1.18 | 1.18 | 6.78 | 23.72 | $ | 604,314 | |||||||||||||||||||||||||||||
2011 |
$ | 13.39 | 0.42 | (0.04 | ) | 0.38 | (0.43 | ) | (0.04) | (0.47 | ) | $13.30 | 3.19 | 1.22 | 1.22 | 1.23 | 2.93 | 24.86 | $ | 366,822 | ||||||||||||||||||||||||||||
2010 |
$ | 12.79 | 0.47 | 0.61 | 1.08 | (0.48 | ) | | (0.48 | ) | $13.39 | 3.62 | 1.24 | 1.24 | 1.77 | 8.64 | 16.35 | $ | 257,869 | |||||||||||||||||||||||||||||
2009 |
$ | 11.90 | 0.57 | 0.90 | 1.47 | (0.58 | ) | | (0.58 | ) | $12.79 | 4.79 | 1.24 | 1.24 | 1.82 | 12.78 | 45.31 | $ | 117,950 | |||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.73 | 0.36 | (0.23 | ) | 0.13 | (0.38 | ) | (0.06) | (0.44 | ) | $13.42 | 2.68 | 0.53 | 0.53 | 0.53 | 0.98 | 36.66 | $ | 1,260,449 | ||||||||||||||||||||||||||||
2012 |
$ | 13.32 | 0.44 | 0.53 | 0.97 | (0.47 | ) | (0.09) | (0.56 | ) | $13.73 | 3.27 | 0.58 | 0.58 | 0.58 | 7.49 | 23.72 | $ | 1,012,430 | |||||||||||||||||||||||||||||
2011 |
$ | 13.41 | 0.50 | (0.04 | ) | 0.46 | (0.51 | ) | (0.04) | (0.55 | ) | $13.32 | 3.79 | 0.63 | 0.63 | 0.63 | 3.55 | 24.86 | $ | 448,669 | ||||||||||||||||||||||||||||
2010 |
$ | 12.82 | 0.55 | 0.60 | 1.15 | (0.56 | ) | | (0.56 | ) | $13.41 | 4.22 | 0.64 | 0.64 | 0.64 | 9.20 | 16.35 | $ | 295,433 | |||||||||||||||||||||||||||||
2009 |
$ | 11.92 | 0.64 | 0.90 | 1.54 | (0.64 | ) | | (0.64 | ) | $12.82 | 5.39 | 0.66 | 0.66 | 0.68 | 13.50 | 45.31 | $ | 146,099 | |||||||||||||||||||||||||||||
Class R3 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.73 | 0.30 | (0.22 | ) | 0.08 | (0.32 | ) | (0.06) | (0.38 | ) | $13.43 | 2.22 | 0.99 | 0.99 | 1.14 | 0.59 | 36.66 | $ | 81,585 | ||||||||||||||||||||||||||||
2012 |
$ | 13.33 | 0.39 | 0.52 | 0.91 | (0.42 | ) | (0.09) | (0.51 | ) | $13.73 | 2.88 | 0.99 | 0.99 | 1.19 | 6.97 | 23.72 | $ | 73,373 | |||||||||||||||||||||||||||||
2011 |
$ | 13.42 | 0.45 | (0.03 | ) | 0.42 | (0.47 | ) | (0.04) | (0.51 | ) | $13.33 | 3.42 | 0.99 | 0.99 | 1.29 | 3.17 | 24.86 | $ | 30,022 | ||||||||||||||||||||||||||||
2010 |
$ | 12.82 | 0.51 | 0.61 | 1.12 | (0.52 | ) | | (0.52 | ) | $13.42 | 3.89 | 0.99 | 0.99 | 1.35 | 8.90 | 16.35 | $ | 18,767 | |||||||||||||||||||||||||||||
2009 |
$ | 11.92 | 0.61 | 0.90 | 1.51 | (0.61 | ) | | (0.61 | ) | $12.82 | 5.08 | 0.99 | 0.99 | 1.48 | 13.13 | 45.31 | $ | 10,091 | |||||||||||||||||||||||||||||
Class R5 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 13.72 | 0.34 | (0.21 | ) | 0.13 | (0.37 | ) | (0.06) | (0.43 | ) | $13.42 | 2.52 | 0.65 | 0.65 | 1.01 | 0.92 | 36.66 | $ | 8,164 | ||||||||||||||||||||||||||||
2012(c) |
$ | 13.47 | 0.16 | 0.27 | 0.43 | (0.18 | ) | | (0.18 | ) | $13.72 | 2.96 | (d) | 0.67 | (d) | 0.67 | (d) | 25.61 | (d)(e) | 3.19 | 23.72 | $ | 1,322 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Effective date of this class of shares was May 1, 2012. |
(d) | Annualized. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
48 Certified Annual Report | Certified Annual Report 49 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Income Funds
To the Trustees and Shareholders of
Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Limited Term U.S. Government Fund and Thornburg Limited Term Income Fund (separate portfolios of Thornburg Investment Trust, hereafter referred to as the Funds) at September 30, 2013, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
50 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
As a shareholder of the Funds, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments, for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class B shares within eight years of purchase;
(d) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. |
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table at right provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Limited Term U.S. Government Fund |
| |||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 987.20 | $ | 4.50 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.54 | $ | 4.58 | ||||||
Class B Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 980.40 | $ | 11.47 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,013.49 | $ | 11.66 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 986.00 | $ | 5.88 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,019.15 | $ | 5.98 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 988.90 | $ | 2.85 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,022.21 | $ | 2.89 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 986.80 | $ | 4.91 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.12 | $ | 5.00 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 988.40 | $ | 3.33 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.71 | $ | 3.39 | ||||||
Limited Term Income Fund |
| |||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 987.30 | $ | 4.49 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.55 | $ | 4.56 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 985.40 | $ | 5.63 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,019.40 | $ | 5.72 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 989.10 | $ | 2.66 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,022.39 | $ | 2.71 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 986.90 | $ | 4.92 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.12 | $ | 5.00 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 988.60 | $ | 3.22 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.83 | $ | 3.28 |
| Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.90%; B: 2.31%; C: 1.18%; I: 0.57%; R3: 0.99% R5: 0.67%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
| Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.90%; C: 1.13%; I: 0.53%; R3: 0.99% R5: 0.65%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Certified Annual Report 51
INDEX COMPARISON | ||
Thornburg Limited Term U.S. Government Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Limited Term U.S. Government Fund versus Barclays Intermediate Government Bond Index and Consumer Price Index
(November 16, 1987 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 11/16/87) |
(2.85 | )% | 2.75 | % | 2.90 | % | 5.35 | % | ||||||||
B Shares (Incep: 11/1/02) |
(7.57 | )% | 1.39 | % | 1.97 | % | 2.25 | % | ||||||||
C Shares (Incep: 9/1/94) |
(2.04 | )% | 2.78 | % | 2.77 | % | 4.35 | % | ||||||||
I Shares (Incep: 7/5/96) |
(1.05 | )% | 3.38 | % | 3.37 | % | 4.86 | % | ||||||||
R3 Shares (Incep: 7/1/03) |
(1.47 | )% | 2.97 | % | 3.03 | % | 2.97 | % | ||||||||
R5 Shares (Incep: 5/1/12) |
(1.09 | )% | | | 0.07 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. For the U.S. Government Fund, returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 1.50%. Class B shares carry a contingent deferred sales charge (CDSC) that declines from 5.00% to 0% depending upon the period of time the shares are held. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I, Class R3, and Class R5 shares.
52 Certified Annual Report
INDEX COMPARISON | ||
Thornburg Limited Term Income Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Limited Term Income Fund versus Barclays Intermediate Government/Credit Bond Index and Consumer
Price Index
(October 1, 1992 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 10/1/92) |
(0.83 | )% | 6.17 | % | 4.18 | % | 5.40 | % | ||||||||
C Shares (Incep: 9/1/94) |
(0.11 | )% | 6.22 | % | 4.08 | % | 5.19 | % | ||||||||
I Shares (Incep: 7/5/96) |
0.98 | % | 6.85 | % | 4.69 | % | 5.76 | % | ||||||||
R3 Shares (Incep: 7/1/03) |
0.59 | % | 6.46 | % | 4.34 | % | 4.28 | % | ||||||||
R5 Shares (Incep: 5/1/12) |
0.92 | % | | | 2.90 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. For the Limited Term Income Fund, returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 1.50% . Class C shares include a 0.50% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I, Class R3, and Class R5 shares.
Certified Annual Report 53
TRUSTEES AND OFFICERS | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
54 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE(1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Certified Annual Report 55
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013 (6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
56 Certified Annual Report
OTHER INFORMATION | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for each of the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Thornburg Limited Term Income Fund of $5,177,915 are being reported as long-term capital gain dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Funds file with the Securities and Exchange Commission schedules of their portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds also make this information available on their website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT FOR LIMITED TERM U.S. GOVERNMENT FUND
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Limited Term U.S. Government Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors services and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the Funds investment performance.
Certified Annual Report 57
OTHER INFORMATION (CONTINUED) | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees reviewed information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over different periods of time relative to two categories of U.S. government obligation mutual funds selected by independent mutual fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund had produced positive returns in accordance with expectations in all years, that the Funds investment return for the most recent calendar year exceeded the average return of the mutual fund category for which calendar year data was presented, and that the Funds returns exceeded or were comparable to the average returns of the category in all of the preceding nine calendar years. Other noted quantitative data showed that the Funds annualized investment returns fell below the third quartile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year, within the second quartile of performance for the one-year period, and at or near the top decile of performance for the three-year and five year periods, and that the Funds annualized returns fell within the first quartile of performance for the second fund category for the year-to-date, one-year, three-year and five-year periods ended with the second quarter of the current year. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to these measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor had received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of U.S. government obligation mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was comparable to the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was slightly higher than the median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
58 Certified Annual Report
OTHER INFORMATION (CONTINUED) | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as it grows, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT FOR LIMITED TERM INCOME FUND
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Limited Term Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered the information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over different periods of time, relative to two categories of taxable fixed-income mutual funds selected by independent mutual
Certified Annual Report 59
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
fund analyst firms, and relative to a broad-based securities index, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the ten most recent calendar years, which showed that the Fund had produced positive returns in accordance with expectations in most years, that the Funds investment return for the most recent calendar year exceeded the average return of the mutual fund category for which calendar year data was presented, and that the Funds return exceeded or was comparable to the average return of the category in each of the preceding nine calendar years. Noted quantitative data further showed that the Funds annualized investment returns fell within the lowest quartile of the first fund category for the year-to-date period ended with the second quarter of the current year, fell within the top quartile in the one-year period and fell within the top decile of performance for the three-year and five-year periods, and that the Funds annualized investment returns fell within the top quartile of performance for the second fund category for the year-to-date, one-year and three-year periods ended with the second quarter of the current year, and fell within the top decile of performance for the five-year period. These data indicated to the Trustees that the Funds investment performance met expectations in view of the Funds stated objectives and strategies in the market conditions for the relevant periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Funds performance relative to these measures also continued to fulfill expectations in current conditions.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of fixed income mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was slightly higher than the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was slightly higher than the median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not
60 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Income Funds |
September 30, 2013 (Unaudited) |
indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund has realized and may reasonably be expected to realize economies of scale as it grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
Certified Annual Report 61
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
62 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 63
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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66 This page is not part of the Annual Report.
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TH076 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Funds invested in mortgage-backed securities may bear additional risk. Investments in lower-rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher-rated bonds. Investments in structured finance arrangements and other types of derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities including illiquidity and difficulty in valuation. Investments in equity securities are subject to additional risks, such as greater market fluctuations. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TSIAX | 885-215-228 | ||
Class C |
TSICX | 885-215-210 | ||
Class I |
TSIIX | 885-215-194 | ||
Class R3 |
TSIRX | 885-216-887 | ||
Class R5 |
TSRRX | 885-216-879 |
Glossary
Barclays U.S. High Yield Bond Index This index represents a universe of fixed-rate, non-investment grade debt.
Blended Index The Blended Index is composed of 80% Barclays U.S. Aggregate Bond Index and 20% MSCI World Index, rebalanced monthly. The Barclays U.S. Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index. The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 24 of the worlds most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested, in U.S. dollars.
Barclays U.S. Universal Index This index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield, Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD denominated, taxable bonds that are rated either investment-grade or below investment-grade.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Annualized Distribution Yield The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Coupon The interest rate stated on a bond when its issued. The coupon is typically paid semi-annually.
Duration A bonds sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median and half have values that are less.
This page is not part of the Annual Report. 3
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
SEC Yield SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Funds shares at the end of the period.
U.S. Treasury Securities U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the full faith and credit of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
4 This page is not part of the Annual Report.
THORNBURG STRATEGIC INCOME FUND
Portfolio Manager
Jason Brady, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200.
The maximum sales charge for Class A shares is 4.50%. The total annual operating expenses of Class A shares are 1.33%, as disclosed in the most recent prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, resulting in a net expense ratio of 1.27%. For more detailed information, please see the funds prospectus.
Harvesting a Sustainable Yield
Many investors are in need of significant income and typically turn to high-yield funds to find notable dividends. But the simple measure of yield is potentially misleading. At Thornburg Investment Management, we believe we have developed a better income-generation mousetrap in the form of the Strategic Income Fund, which has a goal of high income, without having to resort solely to the below-investment-grade segment of the taxable fixed income universe.
The idea behind this fund is that high yield, in the context of a fund type, represents not an investment goal, but merely a type of asset. Why? Most taxable high-yield funds are solely focused on below-investment-grade corporate bonds. We believe this focus ultimately makes these funds less flexible and correspondingly less capable of succeeding in a variety of investment climates. Keep in mind that below-investment-grade corporate bonds represent less than 2% of the total taxable investment universe. There is simply no compelling reason to ignore vast swathes of income-producing markets merely because they
30-Day Yields, Class A
As of September 30, 2013
SEC Yield |
Annualized Distribution Yield |
|||
5.75% |
5.17 | % |
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 5.71% and the Annualized Distribution Yield would have been 5.14%.
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 12/19/07) |
||||||||||||||||
Without sales charge |
5.79 | % | 7.72 | % | 11.09 | % | 8.12 | % | ||||||||
With sales charge |
1.02 | % | 6.08 | % | 10.07 | % | 7.26 | % | ||||||||
Barclays U.S. Universal Index |
||||||||||||||||
(Since 12/19/07) |
-1.00 | % | 3.36 | % | 5.93 | % | 5.11 | % | ||||||||
Blended Index |
||||||||||||||||
(Since 12/19/07) |
2.43 | % | 4.78 | % | 6.22 | % | 4.63 | % |
Blended Index: 80% Barclays U.S. Aggregate Bond Index and 20% MSCI World Index
This page is not part of the Annual Report. 5
do not have a very low credit quality! In fact, quite the opposite is true. By sifting through the available choices across many sub-asset classes, we are able to generate an interesting income stream from a variety of different sources. We believe this diversification is likely to lead to a more stable fund with a robust yield.
This is the reason the Thornburg Strategic Income Fund has a much broader purview than a typical high-yield fund. The Fund has investments in corporate bonds (both investment-grade and high-yield), asset-backed securities, mortgages, non-U.S. dollar securities, emerging-markets bonds, convertible securities, and more.
The Fund typically has a smaller allocation to equity securities. As such, the occasional bond-like equity, which typically exhibits little growth but relatively strong income generation, can be attractive. While adding equities to what is primarily a bond fund can add volatility, which we work hard to mitigate, we simply can find no good reason to ignore an asset class that can serve as another source of income for the Fund. Thornburg Investment Management seeks to go where the value is, regardless of the asset classes in which we invest.
Key Portfolio Attributes
For the Year Ended September 30, 2013
Fixed Income Statistics |
||||
Weighted Average Coupon |
6.19 | % | ||
Average Maturity |
5.9 yrs | |||
Effective Duration |
3.0 yrs | |||
Bond Holdings |
249 |
Equity Statistics |
||||
Portfolio P/E (12-mo. trailing) |
12.73 | |||
Median Market Cap |
$ | 2.9 B | ||
Equity & Pref. Equity Holdings |
20 |
Source: | FactSet and Thornburg |
Portfolio Composition
As of September 30, 2013
Credit Quality Summary
As of September 30, 2013
6 This page is not part of the Annual Report.
Thornburg Strategic Income Fund
September 30, 2013
8 | ||||
10 | ||||
22 | ||||
24 | ||||
26 | ||||
27 | ||||
36 | ||||
38 | ||||
39 | ||||
40 | ||||
41 | ||||
44 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
Certified Annual Report 7
October 13, 2013
Dear Fellow Shareholder:
We are happy to present the annual report for the Thornburg Strategic Income Fund for the period ended September 30, 2013. The net asset value (NAV) of a Class A share of the Fund decreased $0.09 to $12.19 over the course of the past year. If you were invested for the entire period, you received dividends of 64.5 cents per share. If you reinvested your dividends, you received 66.0 cents per share. Dividends per share were lower for Class C and R3 and higher for Class I and R5 shares as a percentage of NAV to account for varying class-specific expenses.
Since the Funds inception more than five years ago, we have navigated an environment of pronounced volatility in global fixed-income and equity markets. Despite that, the Fund has continued to achieve its primary goal: a high and sustainable income stream. We will continue to strive to reach that goal via investments in a variety of different types of assets across the globe.
We note that despite notable downward movements in the prices of U.S. Treasuries, the portfolio has been able to achieve interesting and solidly positive total returns. Many investors are concerned about the effects that a rising-rate environment may have on prices of fixed-income assets, and we share that concern (though we do not believe further dramatic price changes are likely in the immediate future). As managers of a somewhat eclectic portfolio, we are pleased that the global marketplace has provided an abundance of diversity away from the U.S. Treasury market that has not forced us into complex and perhaps unproductive derivative strategies.
Putting income and price change together, the Class A shares of the Thornburg Strategic Income Fund produced a total return of 5.79% at NAV over the course of the past year. The Funds benchmark, a blended index of 80% of the Barclays U.S. Aggregate Bond Index and 20% of the MSCI World Index, produced a 2.43% total return over the same time period. The Barclays U.S. Universal Index and the Barclays U.S. High Yield Index produced negative 1.00% and positive 7.14% total returns, respectively. These index returns reflect no deduction for fees, expenses, or taxes.
Fund total return was largely driven by investments in corporate bonds, and to a lesser extent, income-producing equities, currency movements, and other fixed-income instruments. Changes in credit spreads (differences in yield attributable to one issuers creditworthiness versus anothers) were fairly minor over the course of the year. As we discussed in previous years, the scope of further credit tightening was and is likely to be limited. Much of the Funds return, therefore, came from continued strong income and positive movements in certain currencies and equities.
The global economic environment remains difficult, with continued uncertainty around the nature of continued recovery. The U.S. Federal Reserve and the International Monetary Fund have recently downgraded growth expectations seemingly continually. At the same time, prices on many risky securities seem quite richly valued to us. By mid-April 2013, U.S. high-yield bonds average yield was below 5%. But is this truly high yield? In that environment, the team struggled to find productive investments in the high-yield sub-asset class and, for that matter, across the board. So we allowed cash from new inflows to build, and sold some of our riskier positions. When markets fell in the ensuing months, we were able to find interesting purchases, yet remain in a fairly high quality position.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
The global investment scope of the Fund permits us the freedom to pursue many different types of opportunity, though similar economic challenges to what we see in the U.S. remain in many areas such as the U.K., developed Europe, and Japan. The emerging-markets engine for global growth has sputtered recently, though that has been an area of some interest for us, given higher longer-term growth potential and the presence of many high-quality assets. We will remain opportunistic, with an eye towards building long-term value for shareholders.
Because we believe that credit spread tightening is largely at an end, performance from fixed income will continue to come from income streams of those investments versus potential for capital appreciation (spread tightening tends to drive yields lower and prices higher). While we have high hopes for the set of investments in the portfolio, the global economic landscape still looks fairly challenging. We believe that income-producing assets will continue to be in high demand, and are happy to be in a position to provide income to shareholders. We believe that providing income from a variety of different sources will be a source of strength and attractive total returns over the long term. Selectively investing in a range of interesting global assets while keeping an eye on income production is this Funds goal, and we believe it will serve shareholders well.
Thank you for investing in the Strategic Income Fund. We believe that the Fund remains an appropriate investment for those seeking an attractive yield from a variety of instruments.
Sincerely,
![]() |
||||
Jason H. Brady, CFA | ||||
Portfolio Manager | ||||
Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Summary of Industry Exposure
As of 9/30/13
Energy |
10.8 | % | ||
Banks |
7.2 | % | ||
Diversified Financials |
5.8 | % | ||
Telecommunication Services |
5.5 | % | ||
Materials |
4.7 | % | ||
Utilities |
4.5 | % | ||
Food, Beverage & Tobacco |
3.3 | % | ||
Transportation |
3.0 | % | ||
Miscellaneous |
2.9 | % | ||
Consumer Services |
2.8 | % | ||
Capital Goods |
2.8 | % | ||
Real Estate |
2.2 | % | ||
Insurance |
1.7 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences |
1.7 | % | ||
Health Care Equipment & Services |
1.6 | % | ||
Retailing |
1.5 | % | ||
Software & Services |
1.3 | % | ||
Commercial & Professional Services |
1.3 | % | ||
Food & Staples Retailing |
0.9 | % | ||
Consumer Durables & Apparel |
0.6 | % | ||
Technology Hardware & Equipment |
0.4 | % | ||
Media |
0.3 | % | ||
Semiconductors & Semiconductor Equipment |
0.3 | % | ||
Other Non-Classified Securities: |
||||
Asset Backed Securities |
13.6 | % | ||
Other Securities |
9.7 | % | ||
Municipal Bonds |
1.6 | % | ||
Other Government |
0.7 | % | ||
U.S. Treasury Securities |
0.3 | % | ||
Mortgage Backed |
0.1 | % | ||
Other Assets & Liabilities |
6.9 | % |
Summary of Country Exposure
As of 9/30/13
United States |
61.5 | % | ||
Brazil |
4.8 | % | ||
United Kingdom |
3.6 | % | ||
Mexico |
3.3 | % | ||
Australia |
2.0 | % | ||
Russia |
1.9 | % | ||
Netherlands |
1.8 | % | ||
Cayman Islands |
1.8 | % | ||
Spain |
1.6 | % | ||
Canada |
1.3 | % | ||
Bermuda |
0.9 | % | ||
Norway |
0.8 | % | ||
France |
0.8 | % | ||
Germany |
0.7 | % | ||
South Africa |
0.7 | % | ||
Sweden |
0.7 | % | ||
Japan |
0.7 | % | ||
Chile |
0.5 | % | ||
Panama |
0.5 | % | ||
Argentina |
0.5 | % | ||
Italy |
0.5 | % | ||
Switzerland |
0.4 | % | ||
Luxembourg |
0.4 | % | ||
Singapore |
0.3 | % | ||
Ireland |
0.3 | % | ||
Indonesia |
0.2 | % | ||
Turkey |
0.2 | % | ||
Czech Republic |
0.2 | % | ||
Iceland |
0.1 | % | ||
South Korea |
0.1 | % | ||
Other Assets & Liabilities |
6.9 | % |
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCK 4.47% |
||||||||
COMMERCIAL & PROFESSIONAL SERVICES 0.45% |
||||||||
COMMERCIAL SERVICES & SUPPLIES 0.45% |
||||||||
Republic Services, Inc. |
100,000 | $ | 3,336,000 | |||||
|
|
|||||||
3,336,000 | ||||||||
|
|
|||||||
ENERGY 2.57% |
||||||||
OIL, GAS & CONSUMABLE FUELS 2.57% |
||||||||
Eni S.p.A. |
147,400 | 3,380,002 | ||||||
a Halcon Resources Corp. |
9,911 | 43,906 | ||||||
Kinder Morgan, Inc. |
87,000 | 3,094,590 | ||||||
Linn Co., LLC |
167,800 | 4,896,404 | ||||||
Royal Dutch Shell plc ADR |
51,300 | 3,369,384 | ||||||
Total SA |
70,400 | 4,085,348 | ||||||
|
|
|||||||
18,869,634 | ||||||||
|
|
|||||||
REAL ESTATE 0.75% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.75% |
||||||||
Annaly Capital Management, Inc. |
212,700 | 2,463,066 | ||||||
Capstead Mortgage Corp. |
259,027 | 3,048,748 | ||||||
|
|
|||||||
5,511,814 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 0.70% |
||||||||
WIRELESS TELECOMMUNICATION SERVICES 0.70% |
||||||||
Tele2 AB |
400,000 | 5,116,156 | ||||||
|
|
|||||||
5,116,156 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $36,448,411) |
32,833,604 | |||||||
|
|
|||||||
PREFERRED STOCK 3.77% |
||||||||
BANKS 2.45% |
||||||||
COMMERCIAL BANKS 2.03% |
||||||||
Cobank ACB Pfd, 6.25% |
50,000 | 4,925,000 | ||||||
First Niagara Financial Group Pfd, 8.625% |
17,732 | 508,908 | ||||||
GMAC Capital Trust I Pfd, 8.125% |
140,000 | 3,745,000 | ||||||
b United Community Bank Pfd, 5.00% |
5,000 | 4,850,000 | ||||||
Wintrust Financial Corp. Pfd, 5.00% |
750 | 846,863 | ||||||
THRIFTS & MORTGAGE FINANCE 0.42% |
3,000 | 3,116,250 | ||||||
|
|
|||||||
cFalcons Funding Trust I Pfd, 8.875% |
17,992,021 | |||||||
|
|
|||||||
ENERGY 0.99% |
||||||||
OIL, GAS & CONSUMABLE FUELS 0.99% |
||||||||
Halcon Resources Corp. Pfd, 5.75% |
4,000 | 3,960,000 | ||||||
c Sanchez Energy Corp. Pfd, 4.875% |
50,000 | 3,302,450 | ||||||
|
|
|||||||
7,262,450 | ||||||||
|
|
|||||||
MISCELLANEOUS 0.16% |
||||||||
U.S. GOVERNMENT AGENCIES 0.16% |
||||||||
Farm Credit Bank of Texas Pfd, 10.00% |
1,000 | 1,199,687 | ||||||
|
|
|||||||
1,199,687 | ||||||||
|
|
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
REAL ESTATE 0.17% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.17% |
||||||||
Alexandria Real Estate Pfd, 7.00% |
50,000 | $ | 1,286,000 | |||||
|
|
|||||||
1,286,000 | ||||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $26,118,900) |
27,740,158 | |||||||
|
|
|||||||
ASSET BACKED SECURITIES 13.60% |
||||||||
COMMERCIAL MTG TRUST 2.26% |
||||||||
c Capital Automotive REIT, Series 2012-1A Class A, 4.70%, 7/15/2042 |
$ | 2,950,430 | 2,945,857 | |||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.923%, 3/25/2034 |
149,591 | 84,617 | ||||||
c Commercial Mtg Pass-Through Certificates, Series 2011-FL1 Class B, 4.011%, 7/17/2028 |
891,517 | 902,492 | ||||||
c CVS Pass-Through Trust, 9.35%, 1/10/2023 |
4,605,000 | 5,448,231 | ||||||
c JP Morgan Chase Commercial Mtg Trust, Series 2013-JWRZ Class D Floating Rate Note, 3.172%, 4/15/2030 |
4,000,000 | 3,977,500 | ||||||
Motel 6 Trust, Series 2012-MTL6 Class C, 3.139%, 10/5/2025 |
3,000,000 | 2,979,275 | ||||||
c ORES NPL, LLC, Series 2012-LV1 Class A, 4.00%, 9/25/2044 |
305,684 | 305,714 | ||||||
|
|
|||||||
16,643,686 | ||||||||
|
|
|||||||
OTHER ASSET BACKED 4.60% |
||||||||
b,c Aircraft Certificate Owner Trust, Series 2003-1A Class E, 7.001%, 9/20/2022 |
5,980,000 | 6,039,800 | ||||||
b,c Concord Funding Co. LLC, Series 2012-2 Class B, 4.145%, 1/15/2017 |
4,000,000 | 3,887,500 | ||||||
b,c Concord Funding Co. LLC, Series 2013-1 Class B, 3.92%, 2/15/2015 |
5,675,000 | 5,526,031 | ||||||
c Fairway Outdoor Funding LLC, Series 2012-1 Class B, 8.835%, 10/15/2042 |
3,000,000 | 2,866,561 | ||||||
b,c JPR Royalty LLC, 14.00%, 9/1/2020 |
2,000,000 | 1,400,000 | ||||||
c MIRAMAX LLC, Series 2011-1A Class A, 6.25%, 10/20/2021 |
981,429 | 1,019,934 | ||||||
c MIRAMAX LLC, Series 2011-1A Class B, 10.00%, 10/20/2021 |
1,883,333 | 1,910,050 | ||||||
b,c Northwind Holdings LLC Floating Rate Note, 1.057%, 12/1/2037 |
1,137,500 | 1,046,500 | ||||||
b,c Progreso Receivables Funding I LLC. Series 2013-A Class A, 4.00%, 7/9/2018 |
5,000,000 | 5,001,563 | ||||||
c Richland Towers, 7.87%, 3/15/2041 |
2,000,000 | 2,133,504 | ||||||
c,d Trafigura Securitisation Finance plc, Series 2012-1A Class B, 4.182%, 10/15/2015 |
2,000,000 | 2,020,760 | ||||||
c Westgate Resorts, Series 2012-1 Class C, 11.00%, 9/20/2025 |
912,756 | 935,575 | ||||||
|
|
|||||||
33,787,778 | ||||||||
|
|
|||||||
RESIDENTIAL MTG TRUST 6.27% |
||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.428%, 12/20/2036 |
903,933 | 282,151 | ||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.165%, 2/25/2035 |
748,476 | 63,593 | ||||||
Bayview Financial Acquisition Trust, Series 2005-B Class M3, 0.859%, 4/28/2039 |
4,000,000 | 2,851,406 | ||||||
c Bayview Opportunity Master Fund Trust, Series 2013-4RPL Class A, 4.458%, 7/28/2018 |
5,892,734 | 5,889,398 | ||||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.491%, 8/25/2033 |
362,641 | 326,905 | ||||||
c CIT Mtg Loan Trust, Series 2007-1 Class 2A2, 1.429%, 10/25/2037 |
3,678,305 | 3,655,958 | ||||||
Countrywide, Series 2005-11 Class AF3, 4.778%, 2/25/2036 |
707,779 | 681,688 | ||||||
Countrywide, Series 2006-15 Class A6, 5.493%, 10/25/2046 |
355,988 | 303,273 | ||||||
CS First Boston Mtg Securities Co., Series 2005-CF1 Class M1, 0.879%, 3/25/2045 |
2,344,074 | 2,253,191 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.899%, 9/25/2035 |
3,000,000 | 2,719,456 | ||||||
c FREMF Mtg Trust, Series 2012-K709 Class C, 3.872%, 4/25/2045 |
3,046,000 | 2,839,741 | ||||||
c FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.787%, 10/25/2044 |
2,000,000 | 2,005,421 | ||||||
JP Morgan Mtg Acquisition Corp., Series 2006-CH1 Class A4, 0.319%, 7/25/2036 |
1,575,524 | 1,517,320 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.499%, 8/25/2034 |
305,295 | 250,006 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.499%, 11/25/2035 |
1,262,317 | 1,182,046 | ||||||
New Century Home Equity Loan Trust, Series 2005-2 Class M1, 0.609%, 6/25/2035 |
2,000,000 | 1,929,699 | ||||||
Park Place Securities, Inc., Series 2004- MHQ1 Class M2, 1.304%, 12/25/2034 |
2,250,000 | 2,117,326 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.329%, 6/25/2036 |
1,059,750 | 1,032,881 |
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
b,c SHAP, Series 2013-RM1 Class A, 4.00%, 5/26/2053 |
$ | 4,843,657 | $ | 4,766,082 | ||||
Structured Asset Investment Loan Trust Series 2003-BC9 Class 342, 1.139%, 8/25/2033 |
1,828,512 | 1,729,606 | ||||||
Structured Asset Securities Corp., Series 2004-20 Class 7A1, 5.25%, 11/25/2034 |
1,611,569 | 1,629,174 | ||||||
c Vericrest Opportunity, Series 2013-NPL1 Class A, 4.25%, 8/25/2058 |
5,974,432 | 5,961,384 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616%, 2/25/2035 |
277,592 | 50,781 | ||||||
|
|
|||||||
46,038,486 | ||||||||
|
|
|||||||
STUDENT LOAN 0.47% |
||||||||
Access Group, Inc., Series 2005-A Class A3, 0.666%, 7/25/2034 |
4,000,000 | 3,467,750 | ||||||
|
|
|||||||
3,467,750 | ||||||||
|
|
|||||||
TOTAL ASSET BACKED SECURITIES (Cost $98,683,751) |
99,937,700 | |||||||
|
|
|||||||
CORPORATE BONDS 45.66% |
||||||||
BANKS 3.52% |
||||||||
COMMERCIAL BANKS 3.52% |
||||||||
c,d Akbank TAS, 3.875%, 10/24/2017 |
1,500,000 | 1,458,750 | ||||||
c,d Banco Pine SA, 8.75%, 1/6/2017 |
2,000,000 | 1,857,040 | ||||||
c,d Banco Santander Chile Floating Rate Note, 2.133%, 6/7/2018 |
4,000,000 | 4,020,000 | ||||||
c,d,f Caixa Economica Federal, 4.50%, 10/3/2018 |
5,000,000 | 4,973,500 | ||||||
c,d Credit Agricole London, 1.716%, 1/21/2014 |
1,688,000 | 1,694,629 | ||||||
a,c,d,g Islandsbanki, 4.41%, 10/15/2008 |
60,000 | 18,825 | ||||||
National City Bank Floating Rate Note, 0.628%, 6/7/2017 |
1,000,000 | 982,815 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 |
1,500,000 | 1,512,445 | ||||||
d Royal Bank of Scotland Group plc, 9.50%, 3/16/2022 |
2,000,000 | 2,300,000 | ||||||
d Royal Bank of Scotland Group plc, 6.10%, 6/10/2023 |
5,000,000 | 5,044,120 | ||||||
d Royal Bank of Scotland Group plc, 6.125%, 12/15/2022 |
2,000,000 | 2,014,840 | ||||||
|
|
|||||||
25,876,964 | ||||||||
|
|
|||||||
CAPITAL GOODS 2.78% |
||||||||
CONSTRUCTION & ENGINEERING 0.75% |
||||||||
c,d Ausdrill Finance Pty Ltd., 6.875%, 11/1/2019 |
6,000,000 | 5,550,000 | ||||||
INDUSTRIAL CONGLOMERATES 1.11% |
||||||||
c,d Hutchison Whampoa International (10) Ltd., 6.00%, 12/31/2049 |
2,000,000 | 2,102,500 | ||||||
c Nesco, LLC/Nesco Holdings Corp., 11.75%, 4/15/2017 |
1,250,000 | 1,393,750 | ||||||
Otter Tail Corp., 9.00%, 12/15/2016 |
4,000,000 | 4,655,000 | ||||||
TRADING COMPANIES & DISTRIBUTORS 0.92% |
||||||||
c Aviation Capital Group Corp., 6.75%, 4/6/2021 |
2,500,000 | 2,638,907 | ||||||
c Aviation Capital Group Corp., 7.125%, 10/15/2020 |
1,881,000 | 2,051,325 | ||||||
c International Lease Finance Corp., 6.50%, 9/1/2014 |
2,000,000 | 2,075,000 | ||||||
|
|
|||||||
20,466,482 | ||||||||
|
|
|||||||
COMMERCIAL & PROFESSIONAL SERVICES 0.84% |
||||||||
COMMERCIAL SERVICES & SUPPLIES 0.84% |
||||||||
Iron Mountain, Inc., 6.00%, 8/15/2023 |
3,000,000 | 2,977,500 | ||||||
RR Donnelley & Sons Co., 7.875%, 3/15/2021 |
3,000,000 | 3,217,500 | ||||||
|
|
|||||||
6,195,000 | ||||||||
|
|
|||||||
CONSUMER DURABLES & APPAREL 0.55% |
||||||||
LEISURE EQUIPMENT & PRODUCTS 0.55% |
||||||||
c Gibson Brands, Inc., 8.875%, 8/1/2018 |
4,000,000 | 4,060,000 | ||||||
|
|
|||||||
4,060,000 | ||||||||
|
|
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
CONSUMER SERVICES 2.33% |
||||||||
DIVERSIFIED CONSUMER SERVICES 1.27% |
||||||||
c Coinstar, Inc., 6.00%, 3/15/2019 |
$ | 5,000,000 | $ | 4,875,000 | ||||
c,d Nord Anglia Education U.K., 10.25%, 4/1/2017 |
4,000,000 | 4,440,000 | ||||||
HOTELS, RESTAURANTS & LEISURE 1.06% |
||||||||
b,c,d Arcos Dorados Holdings I, 6.625%, 9/27/2023 |
8,000,000 | 7,780,000 | ||||||
|
|
|||||||
17,095,000 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 3.57% |
||||||||
CAPITAL MARKETS 1.72% |
||||||||
c,d BTG Investments LP, 4.50%, 4/17/2018 |
5,000,000 | 4,762,500 | ||||||
c,d Macquarie Group Ltd., 7.30%, 8/1/2014 |
1,000,000 | 1,050,110 | ||||||
Merrill Lynch & Co., 0.816%, 5/2/2017 |
2,500,000 | 2,416,925 | ||||||
Nationstar Mortgage Capital Corp., 9.625%, 5/1/2019 |
3,000,000 | 3,337,500 | ||||||
Oppenheimer Holdings, Inc., 8.75%, 4/15/2018 |
1,000,000 | 1,062,500 | ||||||
CONSUMER FINANCE 0.63% |
||||||||
Ally Financial, Inc., 4.75%, 9/10/2018 |
4,000,000 | 3,982,120 | ||||||
c,d DFS Funding Corp. Floating Rate Note, 1.079%, 6/15/2015 |
700,000 | 679,189 | ||||||
DIVERSIFIED FINANCIAL SERVICES 1.22% |
||||||||
c,d CFG Holdings Ltd. /CFG Finance, LLC, 11.50%, 11/15/2019 |
5,000,000 | 5,300,000 | ||||||
c Citicorp, 8.04%, 12/15/2019 |
250,000 | 300,847 | ||||||
Citigroup, Inc., 5.00%, 9/15/2014 |
750,000 | 778,270 | ||||||
b Counts Trust, Series 1998 II-A, 6.67%, 2/15/2018 |
454,791 | 470,060 | ||||||
c TMX Finance LLC/Titlemax Finance, 8.50%, 9/15/2018 |
2,000,000 | 2,090,000 | ||||||
|
|
|||||||
26,230,021 | ||||||||
|
|
|||||||
ENERGY 7.34% |
||||||||
ENERGY EQUIPMENT & SERVICES 1.14% |
||||||||
d Floatel International Ltd., 8.00%, 10/11/2017 |
4,500,000 | 4,725,000 | ||||||
c,d Schahin II Finance Co. SPV, 5.875%, 9/25/2023 |
3,832,000 | 3,659,560 | ||||||
OIL, GAS & CONSUMABLE FUELS 6.20% |
||||||||
c Atlas Energy Holdings Operating Co., LLC, 7.75%, 1/15/2021 |
3,000,000 | 2,790,000 | ||||||
c Aurora USA Oil and Gas, Inc., 9.875%, 2/15/2017 |
3,000,000 | 3,187,500 | ||||||
c Aurora USA Oil and Gas, Inc., 7.50%, 4/1/2020 |
3,000,000 | 2,985,000 | ||||||
Black Elk Energy Offshore Operations, LLC, 13.75%, 12/1/2015 |
1,103,000 | 1,058,880 | ||||||
Energy Transfer Partners LP, 8.50%, 4/15/2014 |
500,000 | 519,248 | ||||||
Energy Transfer Partners LP, 9.70%, 3/15/2019 |
1,500,000 | 1,918,333 | ||||||
c Energy Transfer Partners LP, 3.283%, 11/1/2066 |
2,000,000 | 1,797,500 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 |
1,400,000 | 1,557,500 | ||||||
c Gastar Exploration USA, Inc., 8.625%, 5/15/2018 |
5,000,000 | 4,725,000 | ||||||
c Green Field Energy Services, 13.25%, 11/15/2016 |
2,000,000 | 1,800,000 | ||||||
c Green Field Energy Services, 13.25%, 11/15/2016 |
48,000 | 43,200 | ||||||
c Linc Energy U.S.A. /Linc Energy Finance, 12.50%, 10/31/2017 |
3,000,000 | 3,300,000 | ||||||
c Maritimes & Northeast Pipeline, LLC, 7.50%, 5/31/2014 |
840,400 | 869,496 | ||||||
c,d Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/1/2022 |
5,000,000 | 5,125,000 | ||||||
d Petrobras Global Finance BV, 3.00%, 1/15/2019 |
1,000,000 | 940,420 | ||||||
d Petrobras International Finance Co., 2.875%, 2/6/2015 |
1,000,000 | 1,014,512 | ||||||
Plains All American Pipeline LP, 8.75%, 5/1/2019 |
1,000,000 | 1,280,849 | ||||||
c,d QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 7/30/2019 |
1,505,600 | 1,540,982 | ||||||
RAAM Global Energy Co., 12.50%, 10/1/2015 |
2,000,000 | 2,070,000 | ||||||
c Rockies Express Pipeline, LLC, 6.85%, 7/15/2018 |
2,000,000 | 1,885,000 | ||||||
c Rockies Express Pipeline, LLC, 3.90%, 4/15/2015 |
2,000,000 | 1,990,000 | ||||||
Tennessee Gas Pipeline Co., 8.00%, 2/1/2016 |
1,000,000 | 1,145,039 |
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
Tesoro Logistics LP, 6.125%, 10/15/2021 |
$ | 2,000,000 | $ | 2,010,000 | ||||
|
|
|||||||
53,938,019 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 3.09% |
||||||||
BEVERAGES 1.44% |
||||||||
c,d Central America Bottling Corp., 6.75%, 2/9/2022 |
5,000,000 | 5,050,000 | ||||||
c,e Innovation Ventures/Fina, 9.50%, 8/15/2019 |
6,000,000 | 5,497,500 | ||||||
FOOD PRODUCTS 1.23% |
||||||||
c,d Barry Callebaut Services NV, 5.50%, 6/15/2023 |
3,000,000 | 3,013,080 | ||||||
Bunge Ltd. Finance Co., 5.10%, 7/15/2015 |
321,000 | 341,695 | ||||||
c,d Comfeed Finance BV, 6.00%, 5/2/2018 |
2,000,000 | 1,835,000 | ||||||
c Southern States Cooperative, Inc., 10.00%, 8/15/2021 |
4,000,000 | 3,880,000 | ||||||
TOBACCO 0.42% |
||||||||
Vector Group Ltd., 7.75%, 2/15/2021 |
3,000,000 | 3,105,000 | ||||||
|
|
|||||||
22,722,275 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 1.18% |
||||||||
HEALTH CARE PROVIDERS & SERVICES 1.18% |
||||||||
c Prospect Medical Holdings, Inc., 8.375%, 5/1/2019 |
3,500,000 | 3,675,000 | ||||||
c Select Medical Corp., 6.375%, 6/1/2021 |
2,000,000 | 1,895,000 | ||||||
c Tenet Healthcare Corp., 6.00%, 10/1/2020 |
3,000,000 | 3,067,500 | ||||||
|
|
|||||||
8,637,500 | ||||||||
|
|
|||||||
INSURANCE 1.43% |
||||||||
INSURANCE 1.43% |
||||||||
c Forethought Financial Group, Inc., 8.625%, 4/15/2021 |
1,330,000 | 1,473,905 | ||||||
c,d Lancashire Holdings Ltd., 5.70%, 10/1/2022 |
4,000,000 | 3,633,042 | ||||||
c National Life Insurance of Vermont, 10.50%, 9/15/2039 |
1,000,000 | 1,404,813 | ||||||
c,d Oil Insurance Ltd., 3.23%, 12/31/2049 |
1,000,000 | 900,014 | ||||||
c Prudential Holdings, LLC, 8.695%, 12/18/2023 |
585,000 | 735,339 | ||||||
c,d QBE Insurance Group Ltd., 9.75%, 3/14/2014 |
780,000 | 808,283 | ||||||
c ZFS Finance USA Trust II, 6.45%, 12/15/2065 |
1,460,000 | 1,540,300 | ||||||
|
|
|||||||
10,495,696 | ||||||||
|
|
|||||||
MATERIALS 4.36% |
||||||||
CHEMICALS 0.35% |
||||||||
c Iracore International Holdings, Inc., 9.50%, 6/1/2018 |
2,500,000 | 2,600,000 | ||||||
CONSTRUCTION MATERIALS 0.15% |
||||||||
c Associated Asphalt Partners, LLC, 8.50%, 2/15/2018 |
1,100,000 | 1,100,000 | ||||||
METALS & MINING 3.10% |
||||||||
d Anglogold Holdings, 8.50%, 7/30/2020 |
5,000,000 | 5,137,500 | ||||||
d ArcelorMittal, 10.35%, 6/1/2019 |
1,000,000 | 1,230,000 | ||||||
c Coeur dAlene Mines Corp., 7.875%, 2/1/2021 |
3,000,000 | 3,030,000 | ||||||
c,d Newcrest Finance Property Ltd., 4.45%, 11/15/2021 |
3,000,000 | 2,579,517 | ||||||
c,d OJSC Novolipetsk Steel, 4.45%, 2/19/2018 |
6,000,000 | 5,880,000 | ||||||
c,d POSCO, 8.75%, 3/26/2014 |
500,000 | 517,896 | ||||||
d Rio Tinto Alcan, Inc., 5.00%, 6/1/2015 |
50,000 | 53,094 | ||||||
c,d Samarco Mineracao S.A., 4.125%, 11/1/2022 |
5,000,000 | 4,350,000 | ||||||
PAPER & FOREST PRODUCTS 0.76% |
||||||||
c Neenah Paper, Inc., 5.25%, 5/15/2021 |
5,820,000 | 5,558,100 | ||||||
|
|
|||||||
32,036,107 | ||||||||
|
|
Certified Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MEDIA 0.12% |
||||||||
MEDIA 0.12% |
||||||||
c,d Mood Media Corp., 9.25%, 10/15/2020 |
$ | 350,000 | $ | 299,250 | ||||
The Washington Post Co., 7.25%, 2/1/2019 |
500,000 | 589,328 | ||||||
|
|
|||||||
888,578 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 0.34% |
||||||||
LIFE SCIENCES TOOLS & SERVICES 0.34% |
||||||||
c BPA Laboratories, Inc., 12.25%, 4/1/2017 |
2,600,000 | 2,470,000 | ||||||
|
|
|||||||
2,470,000 | ||||||||
|
|
|||||||
REAL ESTATE 0.66% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.66% |
||||||||
EPR Properties, 5.25%, 7/15/2023 |
5,000,000 | 4,854,310 | ||||||
|
|
|||||||
4,854,310 | ||||||||
|
|
|||||||
RETAILING 1.47% |
||||||||
DISTRIBUTORS 0.51% |
||||||||
c LKQ Corp., Inc., 4.75%, 5/15/2023 |
4,000,000 | 3,710,000 | ||||||
MULTILINE RETAIL 0.67% |
||||||||
c,d Grupo Famsa S.A.B. de C.V., 7.25%, 6/1/2020 |
5,000,000 | 4,925,000 | ||||||
SPECIALTY RETAIL 0.29% |
||||||||
c Radio Systems Corp., 8.375%, 11/1/2019 |
2,000,000 | 2,165,000 | ||||||
|
|
|||||||
10,800,000 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.29% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.29% |
||||||||
c,d Global A&T Electronics Ltd., 10.00%, 2/1/2019 |
2,500,000 | 2,125,000 | ||||||
|
|
|||||||
2,125,000 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 0.87% |
||||||||
INFORMATION TECHNOLOGY SERVICES 0.61% |
||||||||
Neustar, Inc., 4.50%, 1/15/2023 |
5,000,000 | 4,487,500 | ||||||
INTERNET SOFTWARE & SERVICES 0.26% |
||||||||
c,d eAccess Ltd., 8.25%, 4/1/2018 |
1,755,000 | 1,921,725 | ||||||
|
|
|||||||
6,409,225 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 0.42% |
||||||||
COMPUTERS & PERIPHERALS 0.42% |
||||||||
Lexmark International, Inc., 5.125%, 3/15/2020 |
3,000,000 | 3,092,499 | ||||||
|
|
|||||||
3,092,499 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 4.19% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 1.17% |
||||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 |
1,000,000 | 1,150,000 | ||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019 |
1,000,000 | 1,070,000 | ||||||
Level 3 Financing, Inc., 4.146%, 2/15/2015 |
1,000,000 | 1,000,500 | ||||||
d Telefonica Emisiones SAU, 6.421%, 6/20/2016 |
1,000,000 | 1,098,792 | ||||||
d Telefonica Emisiones SAU, 6.221%, 7/3/2017 |
2,000,000 | 2,208,844 | ||||||
d Telefonica Emisiones SAU, 5.134%, 4/27/2020 |
1,000,000 | 1,023,834 | ||||||
d Telefonica Emisiones SAU, 3.992%, 2/16/2016 |
1,000,000 | 1,035,876 |
16 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
WIRELESS TELECOMMUNICATION SERVICES 3.02% |
||||||||
c,d Bharti Airtel International, 5.125%, 3/11/2023 |
$ | 6,000,000 | $ | 5,370,000 | ||||
c,d MTS International Funding Ltd., 5.00%, 5/30/2023 |
6,000,000 | 5,505,000 | ||||||
c,d VimpelCom (UBS SA), 8.25%, 5/23/2016 |
500,000 | 552,500 | ||||||
c,d VimpelCom Holdings BV, 7.504%, 3/1/2022 |
2,000,000 | 2,107,500 | ||||||
c WCP Issuer, LLC, 7.143%, 8/15/2020 |
6,000,000 | 6,030,000 | ||||||
c WCP Wireless Site Fund, 6.829%, 11/15/2040 |
2,500,000 | 2,655,425 | ||||||
|
|
|||||||
30,808,271 | ||||||||
|
|
|||||||
TRANSPORTATION 2.17% |
||||||||
AIRLINES 1.81% |
||||||||
c American Airlines, 4.95%, 7/15/2024 |
3,000,000 | 3,015,000 | ||||||
Continental Airlines, 7.02%, 11/1/2013 |
523,186 | 529,072 | ||||||
c JetBlue Pass-Through Trust, 3.148%, 1/2/2014 |
5,000,000 | 4,975,000 | ||||||
US Airways, 7.076%, 9/20/2022 |
839,328 | 877,098 | ||||||
US Airways, 6.25%, 10/22/2024 |
1,741,767 | 1,828,855 | ||||||
US Airways, 5.90%, 4/1/2026 |
1,996,397 | 2,086,235 | ||||||
MARINE 0.07% |
||||||||
c Windsor Petroleum Transport Corp., 7.84%, 1/15/2021 |
820,744 | 504,917 | ||||||
ROAD & RAIL 0.29% |
||||||||
c J.B. Poindexter & Co., Inc., 9.00%, 4/1/2022 |
2,000,000 | 2,100,000 | ||||||
|
|
|||||||
15,916,177 | ||||||||
|
|
|||||||
UTILITIES 4.14% |
||||||||
ELECTRIC UTILITIES 1.81% |
||||||||
Alabama Power Capital Trust V, 3.374%, 10/1/2042 |
700,000 | 676,410 | ||||||
c Duquesne Light Holdings, 6.40%, 9/15/2020 |
2,000,000 | 2,306,086 | ||||||
c,d Enel Finance International S.A., 6.25%, 9/15/2017 |
1,500,000 | 1,659,810 | ||||||
Metropolitan Edison Co., 7.70%, 1/15/2019 |
250,000 | 304,545 | ||||||
PNM Resources, Inc., 9.25%, 5/15/2015 |
3,070,000 | 3,442,238 | ||||||
Puget Energy, Inc., 6.50%, 12/15/2020 |
2,000,000 | 2,236,928 | ||||||
Puget Energy, Inc., 5.625%, 7/15/2022 |
2,500,000 | 2,652,445 | ||||||
GAS UTILITIES 0.47% |
||||||||
c Source Gas, LLC., 5.90%, 4/1/2017 |
1,250,000 | 1,321,248 | ||||||
c Southern Star Central Gas Pipeline, Inc., 6.00%, 6/1/2016 |
2,000,000 | 2,167,012 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.89% |
||||||||
c,d Inkia Energy Ltd., 8.375%, 4/4/2021 |
2,000,000 | 2,085,000 | ||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/2018 |
2,500,000 | 2,593,750 | ||||||
c Midland Cogeneration Venture, 6.00%, 3/15/2025 |
1,880,928 | 1,840,214 | ||||||
MULTI-UTILITIES 0.97% |
||||||||
Black Hills Corp., 9.00%, 5/15/2014 |
500,000 | 523,317 | ||||||
CMS Energy Corp., 8.75%, 6/15/2019 |
2,000,000 | 2,569,240 | ||||||
c Enogex, LLC, 6.875%, 7/15/2014 |
1,000,000 | 1,034,360 | ||||||
c Topaz Solar Farms, LLC, 4.875%, 9/30/2039 |
3,000,000 | 2,990,970 | ||||||
|
|
|||||||
30,403,573 | ||||||||
|
|
|||||||
TOTAL CORPORATE BONDS (Cost $328,662,205) |
335,520,697 | |||||||
|
|
|||||||
CONVERTIBLE BONDS 2.46% |
||||||||
HEALTH CARE EQUIPMENT & SERVICES 0.41% |
||||||||
HEALTH CARE EQUIPMENT & SUPPLIES 0.41% |
||||||||
Hologic, Inc., 2.00%, 12/15/2037 |
3,000,000 | 3,003,750 | ||||||
|
|
|||||||
3,003,750 | ||||||||
|
|
Certified Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MATERIALS 0.07% |
||||||||
METALS & MINING 0.07% |
||||||||
c,d Jaguar Mining, Inc., 4.50%, 11/1/2014 |
$ | 2,000,000 | $ | 560,000 | ||||
|
|
|||||||
560,000 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 1.32% |
||||||||
PHARMACEUTICALS 1.32% |
||||||||
c Pacira Pharmaceuticals, Inc., 3.25%, 2/1/2019 |
4,700,000 | 9,673,188 | ||||||
|
|
|||||||
9,673,188 | ||||||||
|
|
|||||||
REAL ESTATE 0.64% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.64% |
||||||||
c IAS Operating Partnership LP, 5.00%, 3/15/2018 |
5,000,000 | 4,678,125 | ||||||
|
|
|||||||
4,678,125 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 0.02% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 0.02% |
||||||||
c Alaska Communication Systems Group, Inc., 6.25%, 5/1/2018 |
184,000 | 157,550 | ||||||
|
|
|||||||
157,550 | ||||||||
|
|
|||||||
TOTAL CONVERTIBLE BONDS (Cost $14,708,549) |
18,072,613 | |||||||
|
|
|||||||
WARRANTS 0.01% |
||||||||
a Green Field Energy Services |
2,000 | 70,000 | ||||||
|
|
|||||||
TOTAL WARRANTS (Cost $78,418) |
70,000 | |||||||
|
|
|||||||
MUNICIPAL BONDS 1.56% |
||||||||
California Health Facilities Financing Authority (Developmental Disabilities), 7.875%, 2/1/2026 |
1,940,000 | 2,120,614 | ||||||
Los Angeles California Municipal Improvement Corp. (Build America Bonds), 6.165%, 11/1/2020 |
1,885,000 | 2,047,355 | ||||||
c Midwest Family Housing, 5.168%, 7/1/2016 |
505,000 | 525,770 | ||||||
Oakland California Redevelopment Agency, 8.00%, 9/1/2016 |
1,000,000 | 1,067,430 | ||||||
Oklahoma Development Finance Authority, 8.00%, 5/1/2020 |
1,355,000 | 1,373,455 | ||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 |
2,000,000 | 2,108,620 | ||||||
San Marcos California Redevelopment Agency, 6.125%, 10/1/2018 |
1,000,000 | 1,053,520 | ||||||
State of Ohio (Republic Services, Inc.) (AMT), 4.25%, 4/1/2033 |
900,000 | 907,002 | ||||||
Wisconsin State Health & Educational Facilities (Richland Hospital), 7.08%, 6/1/2016 |
265,000 | 261,044 | ||||||
|
|
|||||||
TOTAL MUNICIPAL BONDS (Cost $10,633,440) |
11,464,810 | |||||||
|
|
|||||||
U.S. TREASURY SECURITIES 0.28% |
||||||||
U.S. Treasury, 2.25%, 1/31/2015 |
2,000,000 | 2,054,844 | ||||||
|
|
|||||||
TOTAL U.S. TREASURY SECURITIES (Cost $1,997,659) |
2,054,844 | |||||||
|
|
|||||||
OTHER GOVERNMENT 0.69% |
||||||||
c,d Banco Nac De Desen Econo, 3.375%, 9/26/2016 |
2,000,000 | 2,006,000 | ||||||
c,d Eurasian Development Bank, 5.00%, 9/26/2020 |
2,000,000 | 1,983,340 | ||||||
c,d Republic of Iceland, 4.875%, 6/16/2016 |
625,000 | 653,750 | ||||||
c,d Republic of Iceland, 5.875%, 5/11/2022 |
400,000 | 411,000 | ||||||
|
|
|||||||
TOTAL OTHER GOVERNMENT (Cost $4,981,587) |
5,054,090 | |||||||
|
|
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MORTGAGE BACKED 0.14% |
||||||||
Federal National Mtg Assoc., CMO Series 1994-37 Class L, 6.50%, 3/25/2024 |
$ | 5,678 | $ | 6,296 | ||||
b Reilly 1997 A Mtg, 6.896%, 7/1/2020 |
1,002,830 | 1,033,463 | ||||||
|
|
|||||||
TOTAL MORTGAGE BACKED (Cost $1,038,015) |
1,039,759 | |||||||
|
|
|||||||
FOREIGN BONDS 10.74% |
||||||||
BANKS 1.21% |
||||||||
COMMERCIAL BANKS 1.21% |
||||||||
c Banco Santander Brasil S.A. (BRL), 8.00%, 3/18/2016 |
| 13,000,000 | 5,425,710 | |||||
LBG Capital No.2 plc (GBP), 16.125%, 12/10/2024 |
1,050,000 | 2,434,604 | ||||||
Royal Bank of Scotland Group plc (CAD), 5.875%, 5/12/2016 |
1,000,000 | 1,041,258 | ||||||
|
|
|||||||
8,901,572 | ||||||||
|
|
|||||||
CONSUMER SERVICES 0.48% |
||||||||
HOTELS, RESTAURANTS & LEISURE 0.48% |
||||||||
c Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 |
8,000,000 | 3,519,379 | ||||||
|
|
|||||||
3,519,379 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 2.20% |
||||||||
CAPITAL MARKETS 0.12% |
||||||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 |
2,000,000 | 870,821 | ||||||
CONSUMER FINANCE 0.66% |
||||||||
c Cash Store Financial (CAD), 11.50%, 1/31/2017 |
1,750,000 | 1,173,802 | ||||||
c Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 |
2,000,000 | 3,670,858 | ||||||
DIVERSIFIED FINANCIAL SERVICES 1.42% |
||||||||
General Electric Capital Corp. (MXN), 8.50%, 4/6/2018 |
60,000,000 | 5,244,356 | ||||||
KFW (BRL), 5.375%, 9/14/2015 |
12,000,000 | 5,176,195 | ||||||
|
|
|||||||
16,136,032 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 0.86% |
||||||||
FOOD & STAPLES RETAILING 0.86% |
||||||||
Wesfarmers Ltd. (AUD), 5.19%, 9/11/2014 |
1,300,000 | 1,233,071 | ||||||
c Bakkavor Finance 2 plc (GBP), 8.75%, 6/15/2020 |
3,000,000 | 5,124,016 | ||||||
|
|
|||||||
6,357,087 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 0.24% |
||||||||
BEVERAGES 0.24% |
||||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 |
2,000,000 | 879,845 | ||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 |
2,000,000 | 896,990 | ||||||
|
|
|||||||
1,776,835 | ||||||||
|
|
|||||||
INSURANCE 0.24% |
||||||||
INSURANCE 0.24% |
||||||||
ELM BV (AUD), 7.635%, 12/31/2049 |
1,000,000 | 954,515 | ||||||
ELM BV (AUD), 3.96%, 12/31/2049 |
1,000,000 | 848,599 | ||||||
|
|
|||||||
1,803,114 | ||||||||
|
|
|||||||
MATERIALS 0.29% |
||||||||
CONSTRUCTION MATERIALS 0.29% |
||||||||
CEMEX Finance, LLC (EUR), 9.625%, 12/14/2017 |
1,500,000 | 2,139,668 | ||||||
|
|
|||||||
2,139,668 | ||||||||
|
|
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
MEDIA 0.20% |
||||||||
MEDIA 0.20% |
||||||||
CET 21 SPOL S.R.O. (EUR), 9.00%, 11/1/2017 |
| 1,000,000 | $ | 1,447,550 | ||||
|
|
|||||||
1,447,550 | ||||||||
|
|
|||||||
MISCELLANEOUS 2.75% |
||||||||
MISCELLANEOUS 2.75% |
||||||||
BK Nederlandse Gemeenten N.V. (NOK), 4.00%, 5/15/2015 |
5,000,000 | 856,109 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 |
7,120,000 | 3,453,504 | ||||||
International Bank for Reconstruction and Development (BRL), 9.00%, 4/28/2014 |
1,000,000 | 450,481 | ||||||
Kommunalbanken AS (NOK), 4.00%, 1/26/2015 |
5,000,000 | 853,864 | ||||||
Mexican Bonos (MXN), 5.00%, 6/15/2017 |
130,000,000 | 10,105,031 | ||||||
Norwegian Government (NOK), 4.25%, 5/19/2017 |
25,000,000 | 4,488,421 | ||||||
|
|
|||||||
20,207,410 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 0.43% |
||||||||
INTERNET SOFTWARE & SERVICES 0.43% |
||||||||
eAccess Ltd. (EUR), 8.375%, 4/1/2018 |
2,100,000 | 3,139,290 | ||||||
|
|
|||||||
3,139,290 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 0.58% |
||||||||
WIRELESS TELECOMMUNICATION SERVICES 0.58% |
||||||||
America Movil Sab de CV (MXN), 6.45%, 12/5/2022 |
59,500,000 | 4,255,394 | ||||||
|
|
|||||||
4,255,394 | ||||||||
|
|
|||||||
TRANSPORTATION 0.87% |
||||||||
AIRLINES 0.87% |
||||||||
b Iberbond 2004 plc (EUR), 4.235%, 12/24/2017 |
4,749,686 | 6,361,358 | ||||||
|
|
|||||||
6,361,358 | ||||||||
|
|
|||||||
UTILITIES 0.39% |
||||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.39% |
||||||||
c Algonquin Power Co. (CAD), 4.82%, 2/15/2021 |
3,000,000 | 2,864,850 | ||||||
|
|
|||||||
2,864,850 | ||||||||
|
|
|||||||
TOTAL FOREIGN BONDS (Cost $ 80,814,686) |
78,909,539 | |||||||
OTHER SECURITIES 9.70% |
||||||||
LOAN PARTICIPATIONS 9.70% |
||||||||
Alvogen Pharma US, Inc., 7.00%, 5/23/2018 |
$ | 9,975,000 | 9,900,188 | |||||
Baker & Taylor Acquisitions Corp., 12.00%, 9/28/2016 |
5,000,000 | 4,850,000 | ||||||
BBTS, 7.75%, 5/31/2019 |
4,975,000 | 5,024,750 | ||||||
d ION Trading Technologies Ltd., 4.50%, 5/22/2020 |
1,995,000 | 1,990,850 | ||||||
Keystone Automotive Operations, 7.00%, 8/15/2019 |
3,000,000 | 3,011,250 | ||||||
d Mood Media Corp., 7.00%, 5/6/2018 |
4,961,929 | 4,955,727 | ||||||
NCP Finance LP, 11.00%, 9/25/2018 |
3,000,000 | 2,970,000 | ||||||
North American Breweries, 7.50%, 12/10/2018 |
3,969,960 | 3,979,885 | ||||||
OCI Beaumont LLC, 6.25%, 8/20/2019 |
2,611,111 | 2,611,111 | ||||||
OCI Beaumont LLC, 6.25%, 8/20/2019 |
1,388,889 | 1,388,889 | ||||||
Oxbow Carbon & Minerals LLC, 8.00%, 1/18/2020 |
3,000,000 | 3,060,000 | ||||||
Pacific Industrial Services BidCo Property, Ltd., 8.75%, 3/20/2019 |
2,000,000 | 2,010,000 | ||||||
Pitney Bowes Management Services, Inc., 7.50%, 9/25/2019 |
6,000,000 | 5,980,020 |
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Shares/ | ||||||||
Principal Amount | Value | |||||||
b Private Restaurants Properties, Inc., 9.00%, 4/10/2017 |
$ | 2,957,996 | $ | 2,957,996 | ||||
School Specialty, Inc., 9.50%, 6/11/2019 |
4,987,500 | 4,900,219 | ||||||
Sorenson Communications, Inc., 9.50%, 10/31/2014 |
2,487,484 | 2,503,653 | ||||||
Sourcehov, LLC, 8.75%, 4/30/2019 |
1,500,000 | 1,513,755 | ||||||
b Synergy Aerospace Corp., 7.50%, 3/3/2015 |
4,000,000 | 3,980,000 | ||||||
Topps Co, Inc., 7.25%, 10/2/2020 |
2,000,000 | 2,000,000 | ||||||
YP Holdings, LLC, 8.00-9.00%, 6/4/2018 |
1,690,752 | 1,678,071 | ||||||
|
|
|||||||
TOTAL OTHER SECURITIES (Cost $70,675,194) |
71,266,364 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 6.67% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013, due 10/1/2013, repurchase price $9,000,053 collateralized by 11 corporate debt securities and 2 U.S. Government debt securities having an average coupon of 4.74%, a minimum credit rating of BBB-, maturity dates from 5/1/2018 to 2/1/2042, and having an aggregate market value of $9,601,998 at 9/30/2013 |
9,000,000 | 9,000,000 | ||||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
9,000,000 | 9,000,000 | ||||||
Northeast Utilities, 0.20%, 10/1/2013 |
31,000,000 | 31,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $49,000,000) |
49,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 99.75% (Cost $723,840,815) |
$ | 732,964,178 | ||||||
OTHER ASSETS LESS LIABILITIES 0.25% |
1,833,027 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 734,797,205 | ||||||
|
|
Footnote Legend
| Share/principal amount in U.S. Dollars unless otherwise noted in the security description. |
a | Non-income producing. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2013, the aggregate value of these securities in the Funds portfolio was $352,062,010, representing 47.91% of the Funds net assets. |
d | Yankee Bond Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
e | Segregated as collateral for a when-issued security. |
f | When-issued security. |
g | Bond in default. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
See notes to financial statements.
Certified Annual Report 21
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $723,840,815) (Note 2) |
$ | 732,964,178 | ||
Cash |
962,564 | |||
Cash denominated in foreign currency (cost $66,540) |
68,031 | |||
Receivable for investments sold |
10,594,742 | |||
Receivable for fund shares sold |
5,329,622 | |||
Dividends receivable |
417,618 | |||
Interest receivable |
8,500,170 | |||
Prepaid expenses and other assets |
32,570 | |||
|
|
|||
Total Assets |
758,869,495 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
19,619,670 | |||
Payable for fund shares redeemed |
1,943,197 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
417,993 | |||
Payable to investment advisor and other affiliates (Note 3) |
673,660 | |||
Unfunded line of credit commitment (proceeds $774,533) (Note 2) |
775,000 | |||
Accounts payable and accrued expenses |
158,966 | |||
Dividends payable |
483,804 | |||
|
|
|||
Total Liabilities |
24,072,290 | |||
|
|
|||
NET ASSETS |
$ | 734,797,205 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 1,117,622 | ||
Net unrealized appreciation |
8,725,047 | |||
Accumulated net realized gain (loss) |
12,831,776 | |||
Net capital paid in on shares of beneficial interest |
712,122,760 | |||
|
|
|||
$ | 734,797,205 | |||
|
|
22 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($251,105,940 applicable to 20,596,662 shares of beneficial interest outstanding - Note 4) |
$ | 12.19 | ||
Maximum sales charge, 4.50% of offering price |
0.57 | |||
|
|
|||
Maximum offering price per share |
$ | 12.76 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* |
$ | 12.17 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($246,332,341 applicable to 20,247,261 shares of beneficial interest outstanding - Note 4) |
$ | 12.17 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($170,947 applicable to 14,019 shares of beneficial interest outstanding - Note 4) |
$ | 12.19 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($11,334 applicable to 932 shares of beneficial interest outstanding - Note 4) |
$ | 12.16 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 23
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Income Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $471,414) |
$ | 6,648,976 | ||
Interest income (net of premium amortized of $981,754) |
37,372,405 | |||
Other income |
519,302 | |||
|
|
|||
Total Income |
44,540,683 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
4,871,275 | |||
Administration fees (Note 3) |
||||
Class A Shares |
283,415 | |||
Class C Shares |
268,591 | |||
Class I Shares |
112,210 | |||
Class R3 Shares |
101 | |||
Class R5 Shares |
6 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
566,670 | |||
Class C Shares |
2,148,726 | |||
Class R3 Shares |
411 | |||
Transfer agent fees |
||||
Class A Shares |
187,225 | |||
Class C Shares |
189,760 | |||
Class I Shares |
153,605 | |||
Class R3 Shares |
3,306 | |||
Class R5 Shares |
3,125 | |||
Registration and filing fees |
||||
Class A Shares |
42,918 | |||
Class C Shares |
26,489 | |||
Class I Shares |
63,589 | |||
Class R3 Shares |
21,938 | |||
Class R5 Shares |
21,938 | |||
Custodian fees (Note 3) |
172,820 | |||
Professional fees |
92,818 | |||
Accounting fees |
20,300 | |||
Trustee fees |
23,211 | |||
Other expenses |
101,588 | |||
|
|
|||
Total Expenses |
9,376,035 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(571,438 | ) | ||
Fees paid indirectly (Note 3) |
(1,674 | ) | ||
|
|
|||
Net Expenses |
8,802,923 | |||
|
|
|||
Net Investment Income |
$ | 35,737,760 | ||
|
|
24 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Strategic Income Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments |
$ | 14,721,359 | ||
Forward currency contracts (Note 7) |
(488,026 | ) | ||
Foreign currency transactions |
(131,188 | ) | ||
|
|
|||
14,102,145 | ||||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments |
(14,836,859 | ) | ||
Forward currency contracts (Note 7) |
(245,052 | ) | ||
Foreign currency translations |
7,984 | |||
|
|
|||
(15,073,927 | ) | |||
|
|
|||
Net Realized and Unrealized Loss |
(971,782 | ) | ||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 34,765,978 | ||
|
|
See notes to financial statements.
Certified Annual Report 25
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Strategic Income Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 35,737,760 | $ | 26,083,142 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
14,102,145 | 5,521,695 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations |
(15,073,927 | ) | 21,988,516 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
34,765,978 | 53,593,353 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(11,912,656 | ) | (9,390,218 | ) | ||||
Class C Shares |
(10,107,088 | ) | (8,025,509 | ) | ||||
Class I Shares |
(12,484,393 | ) | (9,337,938 | ) | ||||
Class R3 Shares |
(4,342 | ) | (255 | ) | ||||
Class R5 Shares |
(611 | ) | (267 | ) | ||||
From realized gains |
||||||||
Class A Shares |
(2,285,280 | ) | (2,920,791 | ) | ||||
Class C Shares |
(2,208,844 | ) | (2,624,522 | ) | ||||
Class I Shares |
(2,229,497 | ) | (2,482,957 | ) | ||||
Class R3 Shares |
(396 | ) | | |||||
Class R5 Shares |
(120 | ) | | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
53,440,558 | 77,622,309 | ||||||
Class C Shares |
50,193,875 | 75,908,284 | ||||||
Class I Shares |
57,806,097 | 85,319,439 | ||||||
Class R3 Shares |
159,687 | 10,455 | ||||||
Class R5 Shares |
730 | 10,467 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
155,133,698 | 257,681,850 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
579,663,507 | 321,981,657 | ||||||
|
|
|
|
|||||
End of Year |
$ | 734,797,205 | $ | 579,663,507 | ||||
|
|
|
|
|||||
Undistributed (distribution in excess of) net investment income |
$ | 1,117,622 | $ | (327,976 | ) |
See notes to financial statements.
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Strategic Income Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Fund commenced operations on December 19, 2007. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds primary investment goal is to seek a high level of current income. The Funds secondary investment goal is some long-term capital appreciation.
The Fund currently offers five classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I) and Retirement Classes (Class R3 and Class R5). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, and (v) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 32,833,604 | $ | 32,833,604 | $ | | $ | | ||||||||
Preferred Stock(a) |
27,740,158 | 10,346,771 | 12,543,387 | 4,850,000 | ||||||||||||
Asset Backed Securities |
99,937,700 | | 72,270,224 | 27,667,476 | ||||||||||||
Corporate Bonds |
335,520,697 | | 327,270,637 | 8,250,060 | ||||||||||||
Convertible Bonds |
18,072,613 | | 18,072,613 | | ||||||||||||
Warrants |
70,000 | | 70,000 | | ||||||||||||
Municipal Bonds |
11,464,810 | | 11,464,810 | | ||||||||||||
U.S. Treasury Securities |
2,054,844 | 2,054,844 | | | ||||||||||||
Other Government |
5,054,090 | | 5,054,090 | | ||||||||||||
Mortgage Backed |
1,039,759 | | 6,296 | 1,033,463 | ||||||||||||
Foreign Bonds |
78,909,539 | | 72,548,181 | 6,361,358 | ||||||||||||
Other Securities |
71,266,364 | | 64,328,368 | 6,937,996 | ||||||||||||
Short Term Investments |
49,000,000 | | 49,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 732,964,178 | $ | 45,235,219 | $ | 632,628,606 | $ | 55,100,353 | ||||||||
Other Financial Instruments** |
||||||||||||||||
Spot Currency |
$ | 22,080 | $ | 22,080 | $ | | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (417,993 | ) | $ | | $ | (417,993 | ) | $ | |
(a) | At September 30, 2013, industry classifications for Preferred Stock in Level 2 and Level 3 consist of $12,891,250 in Banks, $3,302,450 in Energy, and $1,199,687 in Miscellaneous. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update, (ASU) No. 2011-04, unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at September 30, 2013. Certain portfolio securities characterized as Level 3 investments representing $6,048,063 market value in Asset Backed Securities and $1,033,463 in Mortgage Backed were fair valued by the Committee using adjusted broker quotes. A yield of 4.606% was applied to a portfolio investment in Asset Backed Securities fair valued at $4,766,082. Committee valuations based upon an income approach given anticipated cash flows, current market prices/yields of comparable securities and illiquidity market adjustments were applied to portfolio investments representing $1,400,000 market value in Asset Backed Securities and $470,060 market value in Corporate Bonds. |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
Certified Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2013.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2013 is as follows:
Preferred Stock |
Asset Backed Securities |
Corporate Bonds |
Foreign Bonds |
Mortgage Backed |
Other Securities |
Total | ||||||||||||||||||||||
Beginning Balance 9/30/2012 |
$ | | $ | 6,036,184 | $ | 7,619,835 | $ | 3,546,314 | $ | | $ | 3,648,138 | $ | 20,850,471 | ||||||||||||||
Accrued Discounts |
| 11,863 | 11,813 | 63,057 | (1,931 | ) | | 84,802 | ||||||||||||||||||||
Net Realized Gain (Loss)(a) |
| 27,767 | (1,201,729 | ) | 81,500 | (2,389 | ) | | (1,094,851 | ) | ||||||||||||||||||
Gross Purchases |
4,842,350 | 25,601,897 | 8,449,448 | 3,500,974 | 1,115,697 | 6,960,230 | 50,470,596 | |||||||||||||||||||||
Gross Sales |
| (323,454 | ) | (6,844,873 | ) | (1,298,178 | ) | (79,059 | ) | (2,990,920 | ) | (11,536,484 | ) | |||||||||||||||
Change in Unrealized Appreciation (Depreciation)(b) |
7,650 | (694,286 | ) | 1,249,566 | 467,691 | 1,145 | (20,000 | ) | 1,011,766 | |||||||||||||||||||
Transfers into Level 3(c) |
| | | | | | | |||||||||||||||||||||
Transfers out of Level 3(c) |
| (2,992,495 | ) | (1,034,000 | ) | | | (659,452 | ) | (4,685,947 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Ending Balance 9/30/2013(d) |
$ | 4,850,000 | $ | 27,667,476 | $ | 8,250,060 | $ | 6,361,358 | $ | 1,033,463 | $ | 6,937,996 | $ | 55,100,353 |
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(c) | Transfers into or out of Level 3, if any, would be from or to Level 2, and would be due to changes in other significant observable inputs available during the year ended September 30, 2013. Transfers out of Level 3 would be indicative of pricing by an independent pricing service and, or increased market activity. Transfers into or out of Level 3 are based upon the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 7.50% of total Net Assets at the year ended September 30, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 investments could be expected to increase or decrease the fair value of the portfolio investments. |
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
30 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Unfunded Line of Credit Commitments: The Fund has entered into a revolving line of credit commitment in the amount of $10,000,000 that the borrower, Affinion, can draw on at any time during the commitment, which ends on April 9, 2015. The Fund received approximately $1,225,000 by taking on the commitment and is recognizing this as income over the term of the commitment. At September 30, 2013, the $10,000,000 line of credit was not drawn upon by the borrower.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general
Certified Annual Report 31
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .75 of 1% to .50 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $161,385 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $36,011 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares and an annual rate of .25 of 1% of the average daily assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class A, Class C, Class R3, and Class R5 expenses do not exceed 1.25%, 1.80%, 1.25%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $4,232 for Class I and contractually reimbursed $47,522 for Class A shares, $469,246 for Class C shares, $25,388 for Class R3 shares, and $25,050 for Class R5 shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $1,674.
32 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
10,058,431 | $ | 123,667,059 | 9,664,667 | $ | 115,185,244 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,022,523 | 12,513,293 | 857,823 | 10,157,758 | ||||||||||||
Shares repurchased |
(6,752,417 | ) | (82,739,794 | ) | (4,013,545 | ) | (47,720,693 | ) | ||||||||
Redemption fees received |
| | | | ||||||||||||
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|
|
|
|
|
|
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Net increase (decrease) |
4,328,537 | $ | 53,440,558 | 6,508,945 | $ | 77,622,309 | ||||||||||
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|
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|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
7,166,676 | $ | 87,947,122 | 7,704,463 | $ | 91,665,165 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
847,660 | 10,357,063 | 665,888 | 7,877,901 | ||||||||||||
Shares repurchased |
(3,928,127 | ) | (48,110,310 | ) | (1,984,533 | ) | (23,634,782 | ) | ||||||||
Redemption fees received |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
4,086,209 | $ | 50,193,875 | 6,385,818 | $ | 75,908,284 | ||||||||||
|
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|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
12,270,363 | $ | 150,879,431 | 9,577,774 | $ | 113,908,972 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
903,587 | 11,036,909 | 717,845 | 8,490,090 | ||||||||||||
Shares repurchased |
(8,520,072 | ) | (104,110,243 | ) | (3,120,429 | ) | (37,079,623 | ) | ||||||||
Redemption fees received |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
4,653,878 | $ | 57,806,097 | 7,175,190 | $ | 85,319,439 | ||||||||||
|
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|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
18,755 | $ | 228,019 | 848 | $ | 10,200 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
387 | 4,710 | 21 | 255 | ||||||||||||
Shares repurchased |
(5,992 | ) | (73,042 | ) | | | ||||||||||
Redemption fees received |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
13,150 | $ | 159,687 | 869 | $ | 10,455 | ||||||||||
|
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|
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Class R5 Shares |
||||||||||||||||
Shares sold |
| $ | | 850 | $ | 10,200 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
60 | 730 | 22 | 267 | ||||||||||||
Shares repurchased |
| | | | ||||||||||||
Redemption fees received |
| | | | ||||||||||||
|
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|
|
|
|
|
|
|||||||||
Net increase (decrease) |
60 | $ | 730 | 872 | $ | 10,467 | ||||||||||
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|
Certified Annual Report 33
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments and U. S. Government obligations) of $649,125,465 and $459,207,320 respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 723,861,952 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 29,060,858 | ||
Gross unrealized depreciation on a tax basis |
(19,958,632 | ) | ||
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|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 9,102,226 | ||
|
|
At September 30, 2013, the Fund had tax basis distributable ordinary investment income of $6,360,273 and tax basis distributable capital gains of $7,689,696.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | 37,834,272 | $ | 28,759,881 | ||||
Capital gains |
3,398,955 | 6,022,576 | ||||||
|
|
|
|
|||||
Total |
$ | 41,233,227 | $ | 34,782,457 | ||||
|
|
|
|
In order to account for permanent book/tax differences, the Fund decreased accumulated net realized gain by $311,803 and increased undistributed net investment income by $311,803. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from real estate investment company (REIT), partnership and other investment tax adjustments, and foreign currency gains (losses).
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
34 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 |
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $14,566,084. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell
at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Euro |
Sell | 13,651,700 | 02/13/2014 | 18,475,625 | $ | | $ | (213,746 | ) | |||||||||||||||
Great Britain Pound |
Sell | 2,961,600 | 12/11/2013 | 4,792,062 | | (204,247 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total |
$ | | $ | (417,993 | ) | |||||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at September 30, 2013
Liability Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Liabilities Unrealized depreciation on forward currency contracts |
$ | (417,993 | ) |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | (488,026 | ) | $ | (488,026 | ) |
Amount of Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | (245,052 | ) | $ | (245,052 | ) |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, credit risk, interest rate risk, prepayment risk, management risk, market and economic risk, liquidity risk, risks affecting specific issuers, and the risks associated with investments in derivative instruments, smaller companies, non-U.S. issuers, real estate investment trusts, below investment grade debt obligations, and structured finance arrangements. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 35
Thornburg Strategic Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA |
||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, are Ended |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net Asset Value End of Period |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 12.28 | 0.67 | 0.03 | 0.70 | (0.65 | ) | (0.14) | (0.79 | ) | $ | 12.19 | 5.44 | 1.25 | 1.25 | 1.27 | 5.79 | 76.47 | $ | 251,106 | ||||||||||||||||||||||||||||||
2012(b) |
$ | 11.86 | 0.71 | 0.73 | 1.44 | (0.74 | ) | (0.28) | (1.02 | ) | $ | 12.28 | 5.97 | 1.25 | 1.25 | 1.31 | 12.73 | 34.54 | $ | 199,770 | ||||||||||||||||||||||||||||||
2011(b) |
$ | 12.35 | 0.79 | (0.21 | ) | 0.58 | (0.79 | ) | (0.28) | (1.07 | ) | $ | 11.86 | 6.47 | 1.20 | 1.20 | 1.32 | 4.78 | 48.09 | $ | 115,704 | |||||||||||||||||||||||||||||
2010(b) |
$ | 11.63 | 0.81 | 0.77 | 1.58 | (0.81 | ) | (0.05) | (0.86 | ) | $ | 12.35 | 6.86 | 1.25 | 1.25 | 1.35 | 14.07 | 38.87 | $ | 83,822 | ||||||||||||||||||||||||||||||
2009(b) |
$ | 10.57 | 0.78 | 1.06 | 1.84 | (0.78 | ) | | (0.78 | ) | $ | 11.63 | 7.66 | 1.25 | 1.25 | 1.49 | 18.67 | 47.88 | $ | 57,853 | ||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 12.26 | 0.60 | 0.03 | 0.63 | (0.58 | ) | (0.14) | (0.72 | ) | $ | 12.17 | 4.88 | 1.80 | 1.80 | 2.02 | 5.21 | 76.47 | $ | 237,177 | ||||||||||||||||||||||||||||||
2012 |
$ | 11.84 | 0.64 | 0.73 | 1.37 | (0.67 | ) | (0.28) | (0.95 | ) | $ | 12.26 | 5.42 | 1.79 | 1.79 | 2.05 | 12.15 | 34.54 | $ | 188,782 | ||||||||||||||||||||||||||||||
2011 |
$ | 12.34 | 0.72 | (0.22 | ) | 0.50 | (0.72 | ) | (0.28) | (1.00 | ) | $ | 11.84 | 5.86 | 1.80 | 1.80 | 2.07 | 4.11 | 48.09 | $ | 106,684 | |||||||||||||||||||||||||||||
2010 |
$ | 11.62 | 0.75 | 0.77 | 1.52 | (0.75 | ) | (0.05) | (0.80 | ) | $ | 12.34 | 6.31 | 1.80 | 1.80 | 2.12 | 13.48 | 38.87 | $ | 81,841 | ||||||||||||||||||||||||||||||
2009 |
$ | 10.57 | 0.73 | 1.04 | 1.77 | (0.72 | ) | | (0.72 | ) | $ | 11.62 | 7.13 | 1.79 | 1.79 | 2.29 | 17.95 | 47.88 | $ | 51,789 | ||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 12.25 | 0.70 | 0.04 | 0.74 | (0.68 | ) | (0.14) | (0.82 | ) | $ | 12.17 | 5.75 | 0.94 | 0.94 | 0.94 | 6.21 | 76.47 | $ | 246,332 | ||||||||||||||||||||||||||||||
2012 |
$ | 11.83 | 0.74 | 0.73 | 1.47 | (0.77 | ) | (0.28) | (1.05 | ) | $ | 12.25 | 6.27 | 0.96 | 0.96 | 0.97 | 13.06 | 34.54 | $ | 191,090 | ||||||||||||||||||||||||||||||
2011 |
$ | 12.35 | 0.83 | (0.20 | ) | 0.63 | (0.87 | ) | (0.28) | (1.15 | ) | $ | 11.83 | 6.71 | 0.97 | 0.97 | 0.98 | 5.16 | 48.09 | $ | 99,594 | |||||||||||||||||||||||||||||
2010 |
$ | 11.64 | 0.85 | 0.75 | 1.60 | (0.84 | ) | (0.05) | (0.89 | ) | $ | 12.35 | 7.13 | 0.98 | 0.98 | 1.00 | 14.27 | 38.87 | $ | 73,011 | ||||||||||||||||||||||||||||||
2009 |
$ | 10.58 | 0.81 | 1.05 | 1.86 | (0.80 | ) | | (0.80 | ) | $ | 11.64 | 7.94 | 0.99 | 0.99 | 1.12 | 18.95 | 47.88 | $ | 44,319 | ||||||||||||||||||||||||||||||
Class R3 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 12.28 | 0.63 | 0.06 | 0.69 | (0.64 | ) | (0.14) | (0.78 | ) | $ | 12.19 | 5.19 | 1.25 | 1.25 | 32.64 | (c) | 5.78 | 76.47 | $ | 171 | |||||||||||||||||||||||||||||
2012(d) |
$ | 12.03 | 0.30 | 0.25 | 0.55 | (0.30 | ) | | (0.30 | ) | $ | 12.28 | 5.93 | (e) | 1.22 | (e) | 1.22 | (e) | 373.07 | (c)(e) | 4.63 | 34.54 | $ | 11 | ||||||||||||||||||||||||||
Class R5 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 12.25 | 0.70 | 0.03 | 0.73 | (0.68 | ) | (0.14) | (0.82 | ) | $ | 12.16 | 5.68 | 0.99 | 0.99 | 227.33 | (c) | 6.07 | 76.47 | $ | 11 | |||||||||||||||||||||||||||||
2012(d) |
$ | 12.00 | 0.31 | 0.25 | 0.56 | (0.31 | ) | | (0.31 | ) | $ | 12.25 | 6.22 | (e) | 0.97 | (e) | 0.97 | (e) | 372.35 | (c)(e) | 4.75 | 34.54 | $ | 11 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(d) | Effective date of this class of shares was May 1, 2012. |
(e) | Annualized. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
36 Certified Annual Report | Certified Annual Report 37 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Strategic Income Fund
To the Trustees and Shareholders of
Thornburg Strategic Income Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Strategic Income Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
38 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses
Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,007.00 | $ | 6.29 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,003.40 | $ | 9.04 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,016.04 | $ | 9.10 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,008.50 | $ | 4.83 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.26 | $ | 4.86 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,007.00 | $ | 6.29 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,008.30 | $ | 4.99 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.80%; I: 0.96% R3: 1.25% R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 39
INDEX COMPARISON | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Strategic Income Fund versus Barclays U.S. Universal Index & Blended Index
(December 19, 2007 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 12/19/07) |
1.02 | % | 6.08 | % | 10.07 | % | 7.26 | % | ||||||||
C Shares (Incep: 12/19/07) |
4.22 | % | 7.10 | % | 10.46 | % | 7.51 | % | ||||||||
I Shares (Incep: 12/19/07) |
6.21 | % | 8.09 | % | 11.41 | % | 8.44 | % | ||||||||
R3 Shares (Incep: 5/1/12) |
5.78 | % | | | 7.43 | % | ||||||||||
R5 Shares (Incep: 5/1/12) |
6.07 | % | | | 7.72 | % | ||||||||||
Barclays U.S. Universal Index (Since 12/19/07) |
-1.00 | % | 3.36 | % | 5.93 | % | 5.11 | % | ||||||||
Blended Index (Since 12/19/07) |
2.43 | % | 4.78 | % | 6.22 | % | 4.63 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800-847-0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, and R5 shares.
40 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 41
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
42 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 43
OTHER INFORMATION | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, the Thornburg Strategic Income Fund is reporting 12.87% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 5.86% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the year ended September 30, 2013 as qualified for the corporate dividends received deduction.
For the tax year ended September 30, 2013, dividends paid by the Thornburg Strategic Income Fund of $3,398,955 are being reported as long-term capital gain dividends and $37,834,272 are being reported as ordinary investment income for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Strategic Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for the purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal.
44 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment returns since the Funds inception relative to a broad-based securities index, a blended benchmark comprised of two securities indices, and two categories of multi-sector fixed income mutual funds assembled by independent mutual fund analyst firms, and (iv) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) performance data for the five calendar years since the Funds inception, which showed that the Funds investment return for the most recent calendar year exceeded or was comparable to the average return of the mutual fund category for which calendar year data was presented, depending upon share class, and that the Funds returns exceeded the average returns of the category in three of the four preceding calendar years. Other noted quantitative data showed that the Funds annualized investment returns fell within the top decile of performance for the first fund category for the year-to-date period ended with the second quarter of the current year and fell within the top quartile of performance for the category for the one-year, three-year and five-year periods, and that the Funds annualized investment returns fell within the top quartile of performance for the second fund category for the year-to-date and one-year periods ended with the second quarter of the current year and fell within the top decile of performance for the category for the three-year and five-year periods.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor had received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed
Certified Annual Report 45
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Income Fund |
September 30, 2013 (Unaudited) |
that the management fee for the Fund was somewhat higher than the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was somewhat higher than the median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
46 Certified Annual Report
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This page is not part of the Annual Report. 47
September 30, 2013 (Unaudited) |
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
48 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 49
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 51
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TVAFX | 885-215-731 | ||
Class B |
TVBFX | 885-215-590 | ||
Class C |
TVCFX | 885-215-715 | ||
Class I |
TVIFX | 885-215-632 | ||
Class R3 |
TVRFX | 885-215-533 | ||
Class R4 |
TVIRX | 885-215-277 | ||
Class R5 |
TVRRX | 885-215-376 |
Glossary
S&P 500 Index The S&P 500 Index is a broad measure of the U.S. stock market.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Beta A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Earnings per Share (EPS) The total earnings divided by the number of shares outstanding.
Forward P/E Price to earnings ratio, using earnings estimates for the next four quarters.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median and half have values that are less.
Price to Book Value (P/B) A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio A measure of the markets expectations of a firms future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
This page is not part of the Annual Report. 3
THORNBURG VALUE FUND
Portfolio Managers
Connor Browne, CFA and Edward Maran, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.32%, as disclosed in the most recent Prospectus.
Finding Promising Companies at a Discount
The Thornburg Value Fund seeks to find promising companies at a discounted valuation. It differs from many other equity funds in two key ways. First, it typically invests in a limited number of stocks, and second, it takes a more comprehensive approach to value investing.
Our team is dedicated to providing value to shareholders. We strive to accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative research approach in identifying and analyzing investment ideas. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value.
In managing the Thornburg Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to an industry or sector. We use a combination of financial analysis, collaborative research, and business evaluation in an effort to gauge what we believe is the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional Wall Street research and documentation, to company contact, the last often including on-site visits. The focus of the analysis is on whats behind the numbers, its revenue and cash-generating model. We make an effort to get to
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 10/2/95) |
||||||||||||||||||||
Without sales charge |
29.61 | % | 10.29 | % | 8.31 | % | 6.52 | % | 9.44 | % | ||||||||||
With sales charge |
23.80 | % | 8.62 | % | 7.32 | % | 6.03 | % | 9.16 | % | ||||||||||
S&P 500 Index (Since 10/2/95) |
19.34 | % | 16.27 | % | 10.02 | % | 7.57 | % | 8.06 | % |
4 This page is not part of the Annual Report.
know the companys reputation in the industry, its people and its corporate culture.
The current posture is to maintain a portfolio of 3560 companies diversified by sector, industry, market capitalization, and our three categories of stocks: basic value, consistent earners and emerging franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 1218 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flow and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, New Mexico as a disadvantage. While we have access to the best of Wall Streets analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors | Top Detractors | |
Gilead Sciences, Inc. | Apple, Inc. | |
Thermo Fisher Scientific, Inc. | Newcrest Mining Ltd. | |
Delphi Automotive plc | INPEX Corp. | |
The Hartford Financial Services Group, Inc. | Exelon Corp. | |
Community Health Systems, Inc. | St. Jude Medical, Inc. |
Source: FactSet
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-months* |
18.3x | |
Portfolio Price to Cash Flow* |
9.0x | |
Portfolio Price to Book Value* |
2.2x | |
Median Market Cap* |
$15.2 B | |
7-Year Beta (A Shares vs. S&P 500)* |
1.14 | |
Number of Companies |
57 |
* Source: FactSet
Market Capitalization Exposure
As of September 30, 2013
Basket Structure
As of September 30, 2013
This page is not part of the Annual Report. 5
Thornburg Value Fund
September 30, 2013
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10 | ||||
14 | ||||
16 | ||||
18 | ||||
19 | ||||
30 | ||||
32 | ||||
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 15, 2013
Dear Fellow Shareholder:
We are pleased to report that for the fiscal year ended September 30, 2013, the Thornburg Value Funds Class A shares returned 29.61% at net asset value (NAV) vs. 19.34% for the benchmark S&P 500 Index. We are particularly happy that this performance was accomplished while implementing measures which we believe substantially reduce risk and volatility in the portfolio.
Since mid-2012, as we highlighted in last years shareholder letter, we have worked diligently to bolster the consistent earning characteristics of the portfolio. We can see and feel the results of these actions today. The realized Beta of the portfolio for the period since June 30, 2012 is lower than it was in the twelve months prior to June 30, 2012. Recently, down days in the market have not generally resulted in worse days for Thornburg Value Fund. In August of 2013, for example, as the market swooned nearly 3%, the Value Fund declined just 0.8%.
Over the past year, the largest part of our outperformance came from stock selection. And as bottom-up stock pickers, this is our desired outcome.
Many of our best-performing stocks were within the health care sector, including Gilead Sciences, Thermo Fisher Scientific, Community Health Systems, and Valeant Pharmaceuticals. The two largest contributors to performance, Gilead and Thermo Fisher, have both been in the Fund for many years. During this past year, the market began to recognize the promise of these companies, thereby reducing some of the apparent discount in their share prices. Both of these companies also benefitted from recent acquisitions, which created substantial value for shareholders.
The stock price of Gilead a leading biopharmaceutical company focused on HIV/AIDS and Hepatitis C treatments appreciated this year. It has delivered on multiple fronts. Results in the companys HIV business remained robust, with growth in patient market share and strong launches of their two new combination regimens. The drug pipeline also delivered positive results, with the companys all-oral HCV treatments (a component of the Pharmasset acquisition) likely to become leaders in a new and potentially huge market. Recently there were also good news updates within their oncology division.
Thermo Fisher Scientific manufactures and sells research-related equipment and consumables to various laboratory and diagnostic end markets. Since the Funds initial purchase in 2009, we have valued the stability of the business and low price to earnings multiple. This year, the market seemed to have increased its appreciation for the consistency and growth of the business. Acquisitions are a core competency of Thermo Fisher. It utilized low-cost financing to acquire a large peer, Life Technologies. After the acquisition is completed, we believe the synergies created from this deal should greatly enhance the earnings of the company.
Within the telecommunication and consumer staples sectors of the portfolio, we acted on a common theme: finding attractive alternatives to expensive defensive stocks. Some of our underperformance in past years related to our underweight in what we considered expensive defensive stocks stocks
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
with little earnings growth that trade at high multiples because they are perceived as a safe proxy for bonds in a low-rate environment. This year, we benefitted from a contraction in this safety premium.
Within the telecommunication sector, we owned two Japanese wireless service providers, Softbank and KDDI, which we viewed as similar businesses to their U.S. counterparts, trading at large discounts. Throughout the year, the valuation gap narrowed and we sold KDDI, but continue to own Softbank.
While wireless telecom is one of Softbanks three businesses, we continue to hold the stock for two other components of the company: its investments in Alibaba Group and Sprint. Alibaba Group might best be described as a combination of eBay and Amazon.com. It is expected to hold an initial public offering (IPO) in 2014, at which time we hope the market will award more credit to Softbanks economic interest in the company.
Softbank also has a majority investment in Sprint, the number-three U.S. wireless service provider. Softbank invested $22 billion in the capital-starved company, allowing it to build a stronger network to better compete against AT&T and Verizon. We hope Softbanks successful turnaround in the Japanese mobile market can be repeated in the U.S.
Within the financials sector, we benefitted from owning The Hartford Financial Services Group and MetLife. These two insurance companies benefitted from this years rising rates, which allowed both companies to earn higher returns on their float. It seemed to us that these stocks were not adequately pricing in the possibility for higher rates at some point in the future.
Within the consumer discretionary sector, we benefitted from owning Delphi Automotive and Tesla Motors. Delphi is a leading auto parts manufacturer, which we bought after it emerged from bankruptcy. Delphi shed its pension and lower-quality businesses while under bankruptcy, emerging with a collection of high-quality, growth businesses and a low-cost structure.
Tesla Motors is an electric car manufacturer whose stock we purchased during a recent equity capital raise. It is an exciting company with real potential to increase market share within the auto industry. While we enjoyed a great return in the stock, our price-target sale was much lower than todays price.
There were a couple of notable detractors from Fund performance during the year. Newcrest Mining is a gold miner with assets in Australia and Indonesia. Declining gold price and higher-than-expected operating costs greatly reduced profitability. INPEX Corporation is a Japanese oil and gas company with a large liquified natural gas (LNG) project in Australia. Investors continue to have fears regarding project costs and project profitability. We have sold Newcrest due to deterioration in company fundamentals, but continue to see promise in INPEX.
At September 30, 2013, the Fund had tax basis realized capital losses of approximately $750 million, which may be carried forward to offset future capital gains to the extent permitted by regulations.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
This year, Thornburg Value Funds performance was much improved from that of the previous year. Our goal remains to position the Fund so we have the opportunity to outperform in up or down markets. We continue to execute on the philosophy and approach that has worked over the long term, utilizing bottom-up stock picking and seeking promising companies at a discount to their intrinsic values. We invite you to visit our website at www.thornburg.com, where you will find useful information on the Thornburg Value Fund and on other Thornburg funds and investment topics.
Thank you for your continued trust.
Sincerely,
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Connor Browne, CFA | Edward E. Maran, CFA | |||
Portfolio Manager | Portfolio Manager | |||
Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Value Fund |
September 30, 2013 |
Top Ten Equity Holdings
As of 9/30/13
Gilead Sciences, Inc. |
3.9 | % | MetLife, Inc. |
2.7 | % | |||||
Apple, Inc. |
3.5 | % | Walgreen Co. |
2.5 | % | |||||
Google, Inc. |
3.4 | % | INPEX Corp. |
2.2 | % | |||||
Thermo Fisher Scientific, Inc. |
3.4 | % | Starbucks Corp. |
2.2 | % | |||||
Roche Holding AG |
2.7 | % | JPMorgan Chase & Co. |
2.1 | % |
Summary of Industry Exposure
As of 9/30/13
Pharmaceuticals, Biotechnology & Life Sciences |
14.3 | % | Materials |
3.1 | % | |||||
Energy |
11.1 | % | Retailing |
2.8 | % | |||||
Software & Services |
10.4 | % | Banks |
2.5 | % | |||||
Telecommunication Services |
7.8 | % | Health Care Equipment & Services |
2.4 | % | |||||
Insurance |
6.6 | % | Food, Beverage & Tobacco |
1.8 | % | |||||
Commercial & Professional Services |
6.3 | % | Utilities |
1.8 | % | |||||
Consumer Services |
6.3 | % | Automobiles & Components |
1.6 | % | |||||
Diversified Financials |
5.5 | % | Consumer Durables & Apparel |
1.5 | % | |||||
Technology Hardware & Equipment |
4.6 | % | Real Estate |
1.0 | % | |||||
Food & Staples Retailing |
4.0 | % | Other Assets & Liabilities |
4.6 | % |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 93.81% |
||||||||
AUTOMOBILES & COMPONENTS 1.58% |
||||||||
AUTO COMPONENTS 1.58% |
||||||||
Delphi Automotive plc |
267,950 | $ | 15,653,639 | |||||
|
|
|||||||
15,653,639 | ||||||||
|
|
|||||||
BANKS 2.45% |
||||||||
COMMERCIAL BANKS 2.45% |
||||||||
First Republic Bank |
232,100 | 10,822,823 | ||||||
Sterling Financial Corp. |
468,629 | 13,426,221 | ||||||
|
|
|||||||
24,249,044 | ||||||||
|
|
|||||||
COMMERCIAL & PROFESSIONAL SERVICES 6.34% |
||||||||
COMMERCIAL SERVICES & SUPPLIES 4.80% |
||||||||
ADT Corp. |
471,800 | 19,183,388 | ||||||
Covanta Holding Corp. |
453,800 | 9,702,244 | ||||||
Republic Services, Inc. |
555,705 | 18,538,319 | ||||||
PROFESSIONAL SERVICES 1.54% |
||||||||
Nielsen Holdings N.V. |
416,433 | 15,178,983 | ||||||
|
|
|||||||
62,602,934 | ||||||||
|
|
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
CONSUMER DURABLES & APPAREL 1.53% |
||||||||
HOUSEHOLD DURABLES 1.53% |
||||||||
Tupperware Brands Corp. |
174,926 | $ | 15,108,359 | |||||
|
|
|||||||
15,108,359 | ||||||||
|
|
|||||||
CONSUMER SERVICES 6.33% |
||||||||
DIVERSIFIED CONSUMER SERVICES 0.87% |
||||||||
a Bright Horizons Family Solutions, Inc. |
241,600 | 8,656,528 | ||||||
HOTELS, RESTAURANTS & LEISURE 5.46% |
||||||||
a Life Time Fitness, Inc. |
337,641 | 17,378,382 | ||||||
a MGM Resorts International |
739,941 | 15,124,394 | ||||||
Starbucks Corp. |
278,400 | 21,428,448 | ||||||
|
|
|||||||
62,587,752 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 5.52% |
||||||||
CAPITAL MARKETS 2.04% |
||||||||
The Blackstone Group LP |
809,500 | 20,148,455 | ||||||
DIVERSIFIED FINANCIAL SERVICES 3.48% |
||||||||
Citigroup, Inc. |
285,200 | 13,835,052 | ||||||
JPMorgan Chase & Co. |
397,340 | 20,538,505 | ||||||
|
|
|||||||
54,522,012 | ||||||||
|
|
|||||||
ENERGY 11.09% |
||||||||
ENERGY EQUIPMENT & SERVICES 2.91% |
||||||||
a Dresser-Rand Group, Inc. |
281,900 | 17,590,560 | ||||||
a Franks International N.V. |
374,015 | 11,194,269 | ||||||
OIL, GAS & CONSUMABLE FUELS 8.18% |
||||||||
Anadarko Petroleum Corp. |
110,800 | 10,303,292 | ||||||
a Bankers Petroleum Ltd. |
4,922,420 | 18,494,020 | ||||||
HollyFrontier Corp. |
172,900 | 7,280,819 | ||||||
INPEX Corp. |
1,834,800 | 21,615,529 | ||||||
Pacific Rubiales Energy Corp. |
237,100 | 4,681,922 | ||||||
Total SA |
317,300 | 18,413,084 | ||||||
|
|
|||||||
109,573,495 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 4.02% |
||||||||
FOOD & STAPLES RETAILING 4.02% |
||||||||
Koninklijke Ahold NV |
881,200 | 15,265,248 | ||||||
Walgreen Co. |
454,500 | 24,452,100 | ||||||
|
|
|||||||
39,717,348 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 1.78% |
||||||||
FOOD PRODUCTS 1.78% |
||||||||
Mondelez International, Inc. |
559,800 | 17,588,916 | ||||||
|
|
|||||||
17,588,916 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 2.44% |
||||||||
HEALTH CARE EQUIPMENT & SUPPLIES 0.71% |
||||||||
a Intuitive Surgical, Inc. |
18,600 | 6,998,622 | ||||||
HEALTH CARE PROVIDERS & SERVICES 1.73% |
||||||||
a Express Scripts Holding, Co. |
276,700 | 17,094,526 | ||||||
|
|
|||||||
24,093,148 | ||||||||
|
|
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
INSURANCE 6.58% |
||||||||
INSURANCE 6.58% |
||||||||
Hartford Financial Services Group, Inc. |
629,640 | $ | 19,594,397 | |||||
MetLife, Inc. |
563,140 | 26,439,423 | ||||||
a,b,c NMI Holdings, Inc. |
1,689,500 | 19,006,875 | ||||||
|
|
|||||||
65,040,695 | ||||||||
|
|
|||||||
MATERIALS 3.15% |
||||||||
CHEMICALS 0.54% |
||||||||
LyondellBasell Industries NV |
72,100 | 5,279,883 | ||||||
METALS & MINING 1.71% |
||||||||
a Tokyo Steel Manufacturing Co., Ltd. |
2,861,062 | 16,881,998 | ||||||
PAPER & FOREST PRODUCTS 0.90% |
||||||||
Schweitzer-Mauduit International, Inc. |
147,500 | 8,928,175 | ||||||
|
|
|||||||
31,090,056 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 14.26% |
||||||||
BIOTECHNOLOGY 5.38% |
||||||||
a Gilead Sciences, Inc. |
613,486 | 38,551,460 | ||||||
a Seattle Genetics, Inc. |
333,360 | 14,611,169 | ||||||
LIFE SCIENCES TOOLS & SERVICES 3.36% |
||||||||
Thermo Fisher Scientific, Inc. |
360,900 | 33,256,935 | ||||||
PHARMACEUTICALS 5.52% |
||||||||
Roche Holding AG |
100,400 | 27,077,525 | ||||||
a Valeant Pharmaceuticals International, Inc. |
171,117 | 17,852,637 | ||||||
Zoetis, Inc. |
308,950 | 9,614,524 | ||||||
|
|
|||||||
140,964,250 | ||||||||
|
|
|||||||
REAL ESTATE 0.98% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.98% |
||||||||
Invesco Mortgage Capital, Inc. |
631,300 | 9,715,707 | ||||||
|
|
|||||||
9,715,707 | ||||||||
|
|
|||||||
RETAILING 2.78% |
||||||||
INTERNET & CATALOG RETAIL 1.71% |
||||||||
a Amazon.com, Inc. |
54,100 | 16,913,824 | ||||||
SPECIALTY RETAIL 1.07% |
||||||||
a AutoZone, Inc. |
25,049 | 10,588,964 | ||||||
|
|
|||||||
27,502,788 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 10.37% |
||||||||
INFORMATION TECHNOLOGY SERVICES 1.54% |
||||||||
Accenture plc |
136,900 | 10,081,316 | ||||||
Amdocs Ltd. |
141,448 | 5,182,654 | ||||||
INTERNET SOFTWARE & SERVICES 7.64% |
||||||||
a Facebook, Inc. |
235,100 | 11,811,424 | ||||||
a Gogo, Inc. |
618,459 | 10,990,016 | ||||||
a Google, Inc. |
38,684 | 33,883,703 | ||||||
a VeriSign, Inc. |
369,600 | 18,808,944 | ||||||
SOFTWARE 1.19% |
||||||||
Activision Blizzard, Inc. |
704,000 | 11,735,680 | ||||||
|
|
|||||||
102,493,737 | ||||||||
|
|
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
TECHNOLOGY HARDWARE & EQUIPMENT 4.63% |
||||||||
COMPUTERS & PERIPHERALS 3.49% |
||||||||
Apple, Inc. |
72,390 | $ | 34,511,932 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.14% |
||||||||
a CDW Corp. |
491,300 | 11,216,379 | ||||||
|
|
|||||||
45,728,311 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 6.21% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 1.81% |
||||||||
a Level 3 Communications, Inc. |
668,379 | 17,839,035 | ||||||
WIRELESS TELECOMMUNICATION SERVICES 4.40% |
||||||||
China Mobile Ltd. |
1,809,988 | 20,244,776 | ||||||
SoftBank Corp. |
267,609 | 18,485,835 | ||||||
a Sprint Corp. |
769,963 | 4,781,470 | ||||||
|
|
|||||||
61,351,116 | ||||||||
|
|
|||||||
UTILITIES 1.77% |
||||||||
ELECTRIC UTILITIES 1.77% |
||||||||
Exelon Corp. |
591,300 | 17,526,132 | ||||||
|
|
|||||||
17,526,132 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $693,850,370) |
927,109,439 | |||||||
|
|
|||||||
CONVERTIBLE BONDS 1.56% |
||||||||
TELECOMMUNICATION SERVICES 1.56% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 1.56% |
||||||||
Level 3 Communications, Inc., 6.50%, 10/1/2016 |
$ | 10,229,000 | 15,433,004 | |||||
|
|
|||||||
15,433,004 | ||||||||
|
|
|||||||
TOTAL CONVERTIBLE BONDS (Cost $10,229,000) |
15,433,004 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 0.81% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013, repurchase price $8,000,047 collateralized by 2 U.S. Government debt securities and 10 corporate debt securities, having an average coupon of 3.81%, a minimum credit rating of BBB-, maturity dates from 11/6/2015 to 8/1/2033, and having an aggregate market value of $8,610,979 at 9/30/2013 |
8,000,000 | 8,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $8,000,000) |
8,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 96.18% (Cost $712,079,370) |
$ | 950,542,443 | ||||||
OTHER ASSETS LESS LIABILITIES 3.82% |
37,706,654 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 988,249,097 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2013, the aggregate values of these securities in the Funds portfolio was $19,006,875, representing 1.92% of the Funds net assets. |
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $712,079,370) (Note 2) |
$ | 950,542,443 | ||
Cash |
39,556,887 | |||
Cash denominated in foreign currency (cost $340,320) |
340,262 | |||
Receivable for investments sold |
2,120,947 | |||
Receivable for fund shares sold |
269,473 | |||
Unrealized appreciation on forward currency contracts (Note 7) |
557,299 | |||
Dividends receivable |
1,184,848 | |||
Dividend and interest reclaim receivable |
883,031 | |||
Interest receivable |
332,489 | |||
Prepaid expenses and other assets |
60,522 | |||
|
|
|||
Total Assets |
995,848,201 | |||
|
|
|||
LIABILITIES |
||||
Payable for fund shares redeemed |
3,693,346 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
2,317,798 | |||
Payable to investment advisor and other affiliates (Note 3) |
989,210 | |||
Accounts payable and accrued expenses |
598,750 | |||
|
|
|||
Total Liabilities |
7,599,104 | |||
|
|
|||
NET ASSETS |
$ | 988,249,097 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 2,509,446 | ||
Net unrealized appreciation |
236,732,091 | |||
Accumulated net realized gain (loss) |
(755,246,533 | ) | ||
Net capital paid in on shares of beneficial interest |
1,504,254,093 | |||
|
|
|||
$ | 988,249,097 | |||
|
|
14 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($400,274,866 applicable to 9,801,972 shares of beneficial interest outstanding - Note 4) |
$ | 40.84 | ||
Maximum sales charge, 4.50% of offering price |
1.92 | |||
|
|
|||
Maximum offering price per share |
$ | 42.76 | ||
|
|
|||
Class B Shares: |
||||
Net asset value per share* ($7,447,549 applicable to 198,334 shares of beneficial interest outstanding - Note 4) |
$ | 37.55 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($166,971,376 applicable to 4,364,533 shares of beneficial interest outstanding - Note 4) |
$ | 38.26 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($272,468,294 applicable to 6,493,434 shares of beneficial interest outstanding - Note 4) |
$ | 41.96 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($80,670,871 applicable to 1,988,795 shares of beneficial interest outstanding - Note 4) |
$ | 40.56 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($13,339,812 applicable to 326,268 shares of beneficial interest outstanding - Note 4) |
$ | 40.89 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($47,076,329 applicable to 1,123,859 shares of beneficial interest outstanding - Note 4) |
$ | 41.89 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 15
STATEMENT OF OPERATIONS | ||
Thornburg Value Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $750,027) |
$ | 19,427,377 | ||
Interest income |
917,348 | |||
|
|
|||
Total Income |
20,344,725 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
10,514,318 | |||
Administration fees (Note 3) |
||||
Class A Shares |
503,659 | |||
Class B Shares |
10,164 | |||
Class C Shares |
205,038 | |||
Class I Shares |
247,861 | |||
Class R3 Shares |
118,284 | |||
Class R4 Shares |
32,233 | |||
Class R5 Shares |
37,558 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
998,537 | |||
Class B Shares |
81,295 | |||
Class C Shares |
1,639,477 | |||
Class R3 Shares |
471,535 | |||
Class R4 Shares |
63,750 | |||
Transfer agent fees |
||||
Class A Shares |
568,039 | |||
Class B Shares |
18,787 | |||
Class C Shares |
258,334 | |||
Class I Shares |
403,865 | |||
Class R3 Shares |
242,831 | |||
Class R4 Shares |
85,107 | |||
Class R5 Shares |
312,141 | |||
Registration and filing fees |
||||
Class A Shares |
24,277 | |||
Class B Shares |
18,788 | |||
Class C Shares |
20,974 | |||
Class I Shares |
41,759 | |||
Class R3 Shares |
20,067 | |||
Class R4 Shares |
22,444 | |||
Class R5 Shares |
21,415 | |||
Custodian fees (Note 3) |
173,010 | |||
Professional fees |
75,656 | |||
Accounting fees |
37,572 | |||
Trustee fees |
43,455 | |||
Other expenses |
277,862 | |||
|
|
|||
Total Expenses |
17,590,092 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(963,873 | ) | ||
|
|
|||
Net Expenses |
16,626,219 | |||
|
|
|||
Net Investment Income |
$ | 3,718,506 | ||
|
|
16 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments |
$ | 305,199,056 | ||
Forward currency contracts (Note 7) |
26,245,622 | |||
Foreign currency transactions |
(107,839 | ) | ||
|
|
|||
331,336,839 | ||||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments |
(28,208,883 | ) | ||
Forward currency contracts (Note 7) |
975,162 | |||
Foreign currency translations |
42,344 | |||
|
|
|||
(27,191,377 | ) | |||
|
|
|||
Net Realized and Unrealized Gain |
304,145,462 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 307,863,968 | ||
|
|
See notes to financial statements.
Certified Annual Report 17
STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Value Fund |
Year
Ended September 30, 2013 |
Year
Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income (loss) |
$ | 3,718,506 | $ | (4,429,832 | ) | |||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
331,336,839 | (631,067,391 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations |
(27,191,377 | ) | 1,039,100,153 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
307,863,968 | 403,602,930 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class I Shares |
| (1,551,142 | ) | |||||
Class R5 Shares |
| (70,867 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(172,341,686 | ) | (441,395,617 | ) | ||||
Class B Shares |
(3,907,108 | ) | (5,887,171 | ) | ||||
Class C Shares |
(59,014,808 | ) | (96,800,348 | ) | ||||
Class I Shares |
(946,785,706 | ) | (1,093,676,019 | ) | ||||
Class R3 Shares |
(73,825,363 | ) | (59,407,562 | ) | ||||
Class R4 Shares |
(38,506,401 | ) | (12,929,895 | ) | ||||
Class R5 Shares |
(101,143,356 | ) | (113,034,533 | ) | ||||
|
|
|
|
|||||
Net Decrease in Net Assets |
(1,087,660,460 | ) | (1,421,150,224 | ) | ||||
NET ASSETS |
||||||||
Beginning of Year |
2,075,909,557 | 3,497,059,781 | ||||||
|
|
|
|
|||||
End of Year |
$ | 988,249,097 | $ | 2,075,909,557 | ||||
|
|
|
|
|||||
Undistributed (distribution in excess of) net investment income |
$ | 2,509,446 | $ | (4,667,150 | ) |
See notes to financial statements.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Value Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Value Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently has seven classes of shares of beneficial interest outstanding: Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5). The Fund no longer offers Class B shares for sale. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class B shares were sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iv) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (v) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (vi) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 927,109,439 | $ | 908,102,564 | $ | | $ | 19,006,875 | ||||||||
Convertible Bonds |
15,433,004 | | 15,433,004 | | ||||||||||||
Short Term Investments |
8,000,000 | | 8,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 950,542,443 | $ | 908,102,564 | $ | 23,433,004 | $ | 19,006,875 | ||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | 557,299 | $ | | $ | 557,299 | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (2,317,798 | ) | $ | | $ | (2,317,798 | ) | $ | | ||||||
Spot Currency |
$ | (4 | ) | $ | (4 | ) | $ | | $ | |
(a) | A mean of bid/ask indications ($11.00 - $11.50) was applied to a portfolio security characterized as a Level 3 investment at September 30, 2013. |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2013 is as follows:
Common Stock | Total | |||||||
Beginning Balance 9/30/2012 |
$ | 28,708,875 | $ | 28,708,875 | ||||
Accrued Discounts (Premiums) |
| | ||||||
Net Realized Gain (Loss)(a) |
1,097,200 | 1,097,200 | ||||||
Gross Purchases |
| | ||||||
Gross Sales |
(13,647,200 | ) | (13,647,200 | ) | ||||
Change in Unrealized Appreciation (Depreciation)(b) |
2,848,000 | 2,848,000 | ||||||
Transfers into Level 3 |
| | ||||||
Transfers out of Level 3(c) |
| | ||||||
|
|
|
|
|||||
Ending Balance 9/30/2013(d) |
$ | 19,006,875 | $ | 19,006,875 | ||||
|
|
|
|
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(c) | Transfers into or out of Level 3, if any, were out of or into Level 2, and were due to changes in other significant observable inputs available during the year ended September 30, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 1.92% of total Net Assets at the year ended September 30, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $20,777 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,930 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class B, Class C, and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class B and Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class R3, Class R4, and Class R5 expenses do not exceed 1.35%, 1.25%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $8,125 for Class B shares and $137,384 for Class I shares and contractually reimbursed $420,228 for Class R3 shares, $109,664 for Class R4 Shares, and $288,472 for Class R5 shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, there were no fees paid indirectly.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
990,544 | $ | 35,429,228 | 2,352,990 | $ | 73,998,364 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(6,108,915 | ) | (207,770,914 | ) | (17,233,010 | ) | (515,396,078 | ) | ||||||||
Redemption fees received* |
| | | 2,097 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(5,118,371 | ) | $ | (172,341,686 | ) | (14,880,020 | ) | $ | (441,395,617 | ) | ||||||
|
|
|
|
|
|
|
|
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B Shares |
||||||||||||||||
Shares sold |
11,596 | $ | 373,198 | 17,884 | $ | 502,215 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(132,662 | ) | (4,280,306 | ) | (222,434 | ) | (6,389,424 | ) | ||||||||
Redemption fees received* |
| | | 38 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(121,066 | ) | $ | (3,907,108 | ) | (204,550 | ) | $ | (5,887,171 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
145,246 | $ | 4,955,724 | 275,887 | $ | 8,009,804 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(2,009,306 | ) | (63,970,532 | ) | (3,647,279 | ) | (104,810,897 | ) | ||||||||
Redemption fees received* |
| | | 745 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,864,060 | ) | $ | (59,014,808 | ) | (3,371,392 | ) | $ | (96,800,348 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
1,635,597 | $ | 56,615,433 | 8,910,782 | $ | 276,595,590 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 41,518 | 1,245,554 | ||||||||||||
Shares repurchased |
(29,391,044 | ) | (1,003,401,139 | ) | (44,342,531 | ) | (1,371,522,659 | ) | ||||||||
Redemption fees received* |
| | | 5,496 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(27,755,447 | ) | $ | (946,785,706 | ) | (35,390,231 | ) | $ | (1,093,676,019 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
357,157 | $ | 12,317,281 | 1,002,888 | $ | 30,300,227 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(2,557,083 | ) | (86,142,644 | ) | (2,965,638 | ) | (89,708,297 | ) | ||||||||
Redemption fees received* |
| | | 508 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(2,199,926 | ) | $ | (73,825,363 | ) | (1,962,750 | ) | $ | (59,407,562 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
206,484 | $ | 7,178,924 | 513,200 | $ | 15,392,038 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(1,340,402 | ) | (45,685,325 | ) | (928,348 | ) | (28,322,089 | ) | ||||||||
Redemption fees received* |
| | | 156 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,133,918 | ) | $ | (38,506,401 | ) | (415,148 | ) | $ | (12,929,895 | ) | ||||||
|
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|
|
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|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
292,466 | $ | 10,395,703 | 1,670,971 | $ | 51,972,167 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 2,345 | 70,250 | ||||||||||||
Shares repurchased |
(3,207,257 | ) | (111,539,059 | ) | (5,266,749 | ) | (165,077,614 | ) | ||||||||
Redemption fees received* |
| | | 664 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(2,914,791 | ) | $ | (101,143,356 | ) | (3,593,433 | ) | $ | (113,034,533 | ) | ||||||
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|
|
|
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|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $754,095,636 and $2,070,757,893, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 712,939,058 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 256,294,148 | ||
Gross unrealized depreciation on a tax basis |
(18,690,763 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 237,603,385 | ||
|
|
At September 30, 2013, the Fund had cumulative tax basis capital losses of $308,498,210 (of which $141,061,115 is short-term and $167,437,095 is long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occurred in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At September 30, 2013, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2017 |
$ | 204,425,697 | ||
2018 |
242,353,997 | |||
|
|
|||
$ | 446,779,694 | |||
|
|
In order to account for permanent book/tax differences, the Fund decreased distribution in excess of net investment income by $3,760,923, and increased accumulated net realized loss by $3,760,923. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from currency losses and tax adjustments to income from passive foreign investment company investments.
At September 30, 2013, the Fund had $1,640,005 in tax basis distributable ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | | $ | 1,638,057 | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | | $ | 1,638,057 | ||||
|
|
|
|
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $211,484,329. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell |
Contract Amount |
Contract Value Date |
Value USD |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||
Australian Dollar |
Sell | 10,609,600 | 11/25/2013 | 9,862,893 | $ | 380,040 | $ | | ||||||||||||||
Australian Dollar |
Buy | 9,086,100 | 11/25/2013 | 8,446,617 | 20,531 | | ||||||||||||||||
Australian Dollar |
Buy | 1,523,500 | 11/25/2013 | 1,416,276 | | (31,765 | ) | |||||||||||||||
Euro |
Buy | 9,574,900 | 11/29/2013 | 12,955,401 | 156,728 | | ||||||||||||||||
Euro |
Sell | 33,796,900 | 11/29/2013 | 45,729,189 | | (1,995,662 | ) | |||||||||||||||
Japanese Yen |
Sell | 613,993,100 | 02/27/2014 | 6,253,129 | | (2,627 | ) | |||||||||||||||
Japanese Yen |
Sell | 3,827,158,300 | 02/27/2014 | 38,977,173 | | (287,744 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
$ | 557,299 | $ | (2,317,798 | ) | |||||||||||||||||
|
|
|
|
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2013
Asset Derivatives |
Balance Sheet Location |
Fair Value | |||||
Foreign exchange contracts |
Assets - Unrealized appreciation on forward currency contracts | $ | 557,299 | ||||
Liability Derivatives |
Balance Sheet Location |
Fair Value | |||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts | $ | (2,317,798 | ) |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss) on Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||||
Foreign exchange contracts |
$ | 26,245,622 | $ | 26,245,622 |
Amount of Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||||
Foreign exchange contracts |
$ | 975,163 | $ | 975,163 |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
28 Certified Annual Report
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Certified Annual Report 29
Thornburg Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year )+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net Investment Income (Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income(Loss) (%) |
Expenses, After Expense Reductions(%) |
Expenses, After Expense Reductions and Net of Custody Credits(%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio (%)(a) |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||||||
Class A Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 31.51 | 0.08 | 9.25 | 9.33 | | | | $40.84 | 0.23 | 1.40 | 1.40 | 1.40 | 29.61 | 61.50 | $ | 400,275 | |||||||||||||||||||||||||||||||||||||
2012(b) |
$ | 27.71 | (0.10 | ) | 3.90 | 3.80 | | | | $31.51 | (0.32 | ) | 1.32 | 1.32 | 1.32 | 13.71 | 54.16 | $ | 470,120 | |||||||||||||||||||||||||||||||||||
2011(b) |
$ | 30.44 | (0.03 | ) | (2.70 | ) | (2.73 | ) | | | | $27.71 | (0.10 | ) | 1.28 | 1.28 | 1.28 | (8.97 | ) | 64.14 | $ | 825,700 | ||||||||||||||||||||||||||||||||
2010(b) |
$ | 29.66 | 0.20 | 0.76 | 0.96 | (0.18 | ) | | (0.18 | ) | $30.44 | 0.65 | 1.31 | 1.31 | 1.31 | 3.21 | 72.75 | $ | 1,131,594 | |||||||||||||||||||||||||||||||||||
2009(b) |
$ | 28.02 | 0.37 | 1.67 | 2.04 | (0.40 | ) | | (0.40 | ) | $29.66 | 1.58 | 1.34 | 1.34 | 1.34 | 7.65 | 83.00 | $ | 1,204,450 | |||||||||||||||||||||||||||||||||||
Class B Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 29.25 | (0.24 | ) | 8.54 | 8.30 | | | | $37.55 | (0.74 | ) | 2.37 | 2.37 | 2.47 | 28.38 | 61.50 | $ | 7,448 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 25.99 | (0.38 | ) | 3.64 | 3.26 | | | | $29.25 | (1.33 | ) | 2.34 | 2.34 | 2.36 | 12.53 | 54.16 | $ | 9,344 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 28.81 | (0.33 | ) | (2.49 | ) | (2.82 | ) | | | | $25.99 | (1.03 | ) | 2.19 | 2.19 | 2.19 | (9.79 | ) | 64.14 | $ | 13,616 | ||||||||||||||||||||||||||||||||
2010 |
$ | 28.21 | (0.04 | ) | 0.69 | 0.65 | (0.05 | ) | | (0.05 | ) | $28.81 | (0.13 | ) | 2.18 | 2.18 | 2.18 | 2.29 | 72.75 | $ | 22,036 | |||||||||||||||||||||||||||||||||
2009 |
$ | 26.66 | 0.16 | 1.58 | 1.74 | (0.19 | ) | | (0.19 | ) | $28.21 | 0.74 | 2.22 | 2.22 | 2.22 | 6.72 | 83.00 | $ | 38,630 | |||||||||||||||||||||||||||||||||||
Class C Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 29.75 | (0.18 | ) | 8.69 | 8.51 | | | | $38.26 | (0.55 | ) | 2.18 | 2.18 | 2.18 | 28.60 | 61.50 | $ | 166,971 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 26.36 | (0.32 | ) | 3.71 | 3.39 | | | | $29.75 | (1.09 | ) | 2.09 | 2.09 | 2.09 | 12.86 | 54.16 | $ | 185,286 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 29.18 | (0.28 | ) | (2.54 | ) | (2.82 | ) | | | | $26.36 | (0.85 | ) | 2.03 | 2.03 | 2.03 | (9.66 | ) | 64.14 | $ | 253,065 | ||||||||||||||||||||||||||||||||
2010 |
$ | 28.55 | (0.03 | ) | 0.73 | 0.70 | (0.07 | ) | | (0.07 | ) | $29.18 | (0.09 | ) | 2.06 | 2.06 | 2.06 | 2.43 | 72.75 | $ | 329,761 | |||||||||||||||||||||||||||||||||
2009 |
$ | 26.99 | 0.18 | 1.61 | 1.79 | (0.23 | ) | | (0.23 | ) | $28.55 | 0.81 | 2.12 | 2.12 | 2.12 | 6.83 | 83.00 | $ | 361,966 | |||||||||||||||||||||||||||||||||||
Class I Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 32.24 | 0.20 | 9.52 | 9.72 | | | | $41.96 | 0.59 | 0.98 | 0.98 | 1.01 | 30.15 | 61.50 | $ | 272,468 | |||||||||||||||||||||||||||||||||||||
2012 |
$ | 28.26 | 0.02 | 3.99 | 4.01 | (0.03 | ) | | (0.03 | ) | $32.24 | 0.07 | 0.93 | 0.93 | 0.93 | 14.18 | 54.16 | $ | 1,104,163 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 30.95 | 0.09 | (2.76 | ) | (2.67 | ) | (0.02 | ) | | (0.02 | ) | $28.26 | 0.27 | 0.91 | 0.91 | 0.91 | (8.65 | ) | 64.14 | $ | 1,968,181 | ||||||||||||||||||||||||||||||||
2010 |
$ | 30.15 | 0.30 | 0.80 | 1.10 | (0.30 | ) | | (0.30 | ) | $30.95 | 0.97 | 0.94 | 0.94 | 0.94 | 3.62 | 72.75 | $ | 2,087,380 | |||||||||||||||||||||||||||||||||||
2009 |
$ | 28.47 | 0.46 | 1.70 | 2.16 | (0.48 | ) | | (0.48 | ) | $30.15 | 1.94 | 0.98 | 0.97 | 1.00 | 8.04 | 83.00 | $ | 1,575,522 | |||||||||||||||||||||||||||||||||||
Class R3 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 31.28 | 0.10 | 9.18 | 9.28 | | | | $40.56 | 0.29 | 1.34 | 1.34 | 1.78 | 29.67 | 61.50 | $ | 80,671 | |||||||||||||||||||||||||||||||||||||
2012 |
$ | 27.51 | (0.10 | ) | 3.87 | 3.77 | | | | $31.28 | (0.34 | ) | 1.35 | 1.35 | 1.66 | 13.70 | 54.16 | $ | 131,013 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 30.24 | (0.06 | ) | (2.67 | ) | (2.73 | ) | | | | $27.51 | (0.17 | ) | 1.35 | 1.35 | 1.64 | (9.03 | ) | 64.14 | $ | 169,234 | ||||||||||||||||||||||||||||||||
2010 |
$ | 29.48 | 0.17 | 0.76 | 0.93 | (0.17 | ) | | (0.17 | ) | $30.24 | 0.57 | 1.35 | 1.35 | 1.66 | 3.14 | 72.75 | $ | 200,362 | |||||||||||||||||||||||||||||||||||
2009 |
$ | 27.86 | 0.36 | 1.66 | 2.02 | (0.40 | ) | | (0.40 | ) | $29.48 | 1.57 | 1.35 | 1.35 | 1.72 | 7.62 | 83.00 | $ | 162,231 | |||||||||||||||||||||||||||||||||||
Class R4 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 31.50 | 0.13 | 9.26 | 9.39 | | | | $40.89 | 0.39 | 1.25 | 1.25 | 1.67 | 29.81 | 61.50 | $ | 13,340 | |||||||||||||||||||||||||||||||||||||
2012 |
$ | 27.68 | (0.07 | ) | 3.89 | 3.82 | | | | $31.50 | (0.24 | ) | 1.25 | 1.25 | 1.50 | 13.80 | 54.16 | $ | 45,989 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 30.39 | (0.02 | ) | (2.69 | ) | (2.71 | ) | | | | $27.68 | (0.06 | ) | 1.25 | 1.25 | 1.47 | (8.92 | ) | 64.14 | $ | 51,900 | ||||||||||||||||||||||||||||||||
2010 |
$ | 29.62 | 0.19 | 0.78 | 0.97 | (0.20 | ) | | (0.20 | ) | $30.39 | 0.63 | 1.25 | 1.25 | 1.49 | 3.25 | 72.75 | $ | 54,461 | |||||||||||||||||||||||||||||||||||
2009 |
$ | 27.99 | 0.39 | 1.67 | 2.06 | (0.43 | ) | | (0.43 | ) | $29.62 | 1.65 | 1.25 | 1.25 | 1.54 | 7.74 | 83.00 | $ | 44,037 | |||||||||||||||||||||||||||||||||||
Class R5 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 32.19 | 0.22 | 9.48 | 9.70 | | | | $41.89 | 0.63 | 0.99 | 0.99 | 1.37 | 30.13 | 61.50 | $ | 47,076 | |||||||||||||||||||||||||||||||||||||
2012 |
$ | 28.22 | | (c) | 3.98 | 3.98 | (0.01 | ) | | (0.01 | ) | $32.19 | | (d) | 0.99 | 0.99 | 1.17 | 14.10 | 54.16 | $ | 129,995 | |||||||||||||||||||||||||||||||||
2011 |
$ | 30.92 | 0.07 | (2.76 | ) | (2.69 | ) | (0.01 | ) | | (0.01 | ) | $28.22 | 0.20 | 0.98 | 0.99 | 1.09 | (8.70 | ) | 64.14 | $ | 215,364 | ||||||||||||||||||||||||||||||||
2010 |
$ | 30.13 | 0.28 | 0.79 | 1.07 | (0.28 | ) | | (0.28 | ) | $30.92 | 0.91 | 0.99 | 0.99 | 1.12 | 3.54 | 72.75 | $ | 228,768 | |||||||||||||||||||||||||||||||||||
2009 |
$ | 28.45 | 0.46 | 1.71 | 2.17 | (0.49 | ) | | (0.49 | ) | $30.13 | 1.93 | 0.98 | 0.98 | 1.18 | 8.05 | 83.00 | $ | 165,663 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Net Investment Income (Loss) was less than $0.01 per share. |
(d) | Net Investment Income (Loss) was less than 0.01% per share. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Annual Report | Certified Annual Report 31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Value Fund
To the Trustees and Shareholders of
Thornburg Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
32 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Value Fund |
September 30, 2013, (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) | sales charges (loads) on purchase payments for Class A shares; |
(b) | a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase; |
(c) | a deferred sales charge on redemptions of Class B shares within eight years of purchase; |
(d) | a deferred sales charge on redemptions of Class C shares within 12 months of purchase; |
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,135.10 | $ | 7.30 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.23 | $ | 6.90 | ||||||
|
|
|
|
|
|
|||||||
Class B Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,129.30 | $ | 12.59 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,013.24 | $ | 11.90 | ||||||
|
|
|
|
|
|
|||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,130.60 | $ | 11.56 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,014.21 | $ | 10.93 | ||||||
|
|
|
|
|
|
|||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,137.10 | $ | 5.30 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
|
|
|
|
|
|
|||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,135.20 | $ | 7.08 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.43 | $ | 6.70 | ||||||
|
|
|
|
|
|
|||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,135.80 | $ | 6.63 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.86 | $ | 6.27 | ||||||
|
|
|
|
|
|
|||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,137.10 | $ | 5.29 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.12 | $ | 5.00 | ||||||
|
|
|
|
|
|
| Expenses are equal to the annualized expense ratio for each class (A: 1.36%; B: 2.36%; C: 2.17%; I: 0.99%; R3: 1.32%; R4: 1.24%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 33
INDEX COMPARISON | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 10/2/95) |
23.80 | % | 7.32 | % | 6.03 | % | 9.16 | % | ||||||||
B Shares (Incep: 4/3/00) |
23.38 | % | 7.00 | % | 5.81 | % | 2.74 | % | ||||||||
C Shares (Incep: 10/2/95) |
27.60 | % | 7.49 | % | 5.72 | % | 8.60 | % | ||||||||
I Shares (Incep: 11/2/98) |
30.15 | % | 8.73 | % | 6.93 | % | 6.55 | % | ||||||||
R3 Shares (Incep: 7/1/03) |
29.67 | % | 8.29 | % | 6.49 | % | 6.50 | % | ||||||||
R4 Shares (Incep: 2/1/07) |
29.81 | % | 8.40 | % | | 2.00 | % | |||||||||
R5 Shares (Incep: 2/1/05) |
30.13 | % | 8.69 | % | | 6.05 | % | |||||||||
S&P 500 Index (Since 10/2/95) |
19.34 | % | 10.02 | % | 7.57 | % | 8.06 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50% . Class B shares carry a contingent deferred sales charge (CDSC) that declines from 5.00% to 0% depending upon the period of time the shares are held. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4, and R5 shares.
34 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 35
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE(1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
36 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013 (6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 37
OTHER INFORMATION | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Value Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of that information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered the information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over
38 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
different periods of time relative to a category of equity mutual funds selected by an independent mutual fund analyst firm, and relative to two broad-based securities indices, (iv) the Funds cumulative investment return since inception relative to a broad-based securities index, and (v) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the ten most recent calendar years, which showed that the Funds investment return for the most recent calendar year was lower than the average return for the mutual fund category and the returns for the two indices, and that the Funds returns for the preceding nine calendar years exceeded or were comparable to the average returns of the category in five of nine years, exceeded or were comparable to the returns of the first index in five of nine years, and exceeded or were comparable to the returns of the second index in five of nine years. Other noted quantitative data showed that the Funds annualized investment returns fell in the third quartile of performance for the fund category for the three-month period ended with the second quarter of the current year and within the last quartile of performance for the three-year and the five-year periods, but that the Funds annualized investment returns had demonstrated recent improvement, falling above the midpoint of performance for the category in the year-to-date period and immediately below the top decile of performance in the one-year period. Data presented to the Trustees also demonstrated the Funds higher cumulative return since inception (net of expenses) relative to the Funds benchmark index.
The Trustees noted the explanations they had received from the Advisor respecting investment judgments in decision making the preceding year, and noted particularly the improvement in the Funds relative investment performance beginning in 2012. The Trustees concluded, based upon their understanding of the Advisors current decision-making approach, improvement in the Funds investment performance, their assessment of the Advisors demonstrated capacities, and other considerations, that the nature, extent and quality of the Advisors services remained sufficient and that the Advisor is satisfactorily pursuing the Funds stated investment objectives.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was slightly higher than the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was slightly higher than the median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered
Certified Annual Report 39
OTHER INFORMATION, CONTINUED | ||
Thornburg Value Fund |
September 30, 2013 (Unaudited) |
did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund has realized economies of scale and may reasonably be expected to realize economies of scale as the Funds assets increase, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
40 Certified Annual Report
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This page is not part of the Annual Report. 41
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
42 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 43
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 45
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TH077 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of declines in value and greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TGVAX | 885-215-657 | ||
Class B |
THGBX | 885-215-616 | ||
Class C |
THGCX | 885-215-640 | ||
Class I |
TGVIX | 885-215-566 | ||
Class R3 |
TGVRX | 885-215-525 | ||
Class R4 |
THVRX | 885-215-269 | ||
Class R5 |
TIVRX | 885-215-368 | ||
Class R6 |
TGIRX | 885-216-804 |
Glossary
MSCI EAFE (Europe, Australasia, Far East) Index An unmanaged, market capitalization weighted index that is a common benchmark for international portfolio performance. The index is calculated with net dividends reinvested in U.S. dollars.
MSCI All Country (AC) World ex-U.S. Index A market capitalization weighted index representative of the market structure of 44 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim, excluding securities of United States issuers. The index is calculated with gross dividends reinvested in U.S. dollars.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Beta A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Group of Twenty (G20) The premier forum for international cooperation bringing together finance ministers and central bank governors from 19 countries: Argentina, Australia, Brazil, Canada, China, France, Germany, India, Indonesia, Italy, Japan, the Republic of Korea, Mexico, Russia, Saudi Arabia, South Africa, Turkey, the United Kingdom, the United States of America plus the European Union, which is represented by the President of the European Council and by Head of the European Central Bank.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median and half have values that are less.
Operation Twist A monetary process where, in an attempt to lower long-term interest rates, the Fed sold short-term Treasury bonds and bought long-term Treasury bonds, which pressured the long-term bond yields downward.
Price to Book Value A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio A measure of the markets expectations of a firms future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
Quantitative Easing The Federal Reserves monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
This page is not part of the Annual Report. 3
THORNBURG INTERNATIONAL VALUE FUND
Portfolio Managers
Lei Wang, CFA, Wendy Trevisani, Bill Fries, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.29%, as disclosed in the most recent Prospectus.
Finding Promising Companies at a Discount
The Thornburg International Value Fund seeks to find value in overseas markets. It differs from many other international equity funds in two key ways. First, it focuses on a limited number of stocks, and second, it takes a more comprehensive approach to value investing.
Our team is dedicated to providing value to shareholders. We accomplish this through the application of seasoned investment principles with hands-on, company-oriented research. We use a collaborative approach in implementing our investment research process. Our focus is on finding promising companies available at a discount to our estimate of their intrinsic value, no matter where they are located outside the United States. Geographic location is secondary to individual stock merit.
In managing the Thornburg International Value Fund, we take a bottom-up approach to stock selection. The Fund is not predisposed to a particular geographic region or industry. We use a variety of valuation methods and business evaluations in an effort to gauge the intrinsic value of a company based on its past record and future potential. The continuum of process moves from screens and idea generation, through conventional Wall Street research and documentation, to company contact, the latter often including on-site visits. The focus of the analysis is on whats behind the numbers: its revenue and cash-generating model. We make an effort to get to know the companys reputation in the industry, its people and its corporate culture.
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 5/28/98) |
||||||||||||||||||||
Without sales charge |
16.49 | % | 6.09 | % | 5.92 | % | 9.54 | % | 8.50 | % | ||||||||||
With sales charge |
11.25 | % | 4.47 | % | 4.95 | % | 9.03 | % | 8.18 | % | ||||||||||
MSCI EAFE Index |
23.77 | % | 8.47 | % | 6.35 | % | 8.01 | % | 4.31 | % | ||||||||||
MSCI AC World ex-U.S. Index |
16.97 | % | 6.43 | % | 6.74 | % | 9.24 | % | 5.37 | % |
4 This page is not part of the Annual Report.
The current posture is to maintain a focused portfolio diversified by country, sector, industry, market capitalization, and our three categories of stocks: basic value, consistent earners and emerging franchises. Because of the limited number of stocks in the portfolio, every holding counts. At the time of purchase, we set a 1218 month price target for each stock. The target is reviewed as the fundamentals of the stock change during the course of ownership.
The bottom line? Engendering a wide-open, collegial environment fosters information flows and critical thinking intended to benefit portfolio decision making. We do not view our location in Santa Fe, New Mexico, as a disadvantage. While we have access to the best of Wall Streets analysis, we are not ruled by it. Distance from the crowd serves to fortify independent and objective thinking.
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors |
Top Detractors | |
Toyota Motor Corp. |
Potash Corp. of Saskatchewan, Inc. | |
Mitsubishi UFJ Financial Group, Inc. |
BG Group plc | |
LVMH Moet Hennessy Louis Vuitton SA |
Saipem S.p.A. | |
Kingfisher plc |
Fresenius Medical Care AG & Co. | |
Reckitt Benckiser plc |
Hyundai Motor Company |
Source: FactSet
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-months* |
16.5x | |||
Portfolio Price to Cash Flow* |
10.2x | |||
Portfolio Price to Book Value* |
2.2x | |||
Median Market Cap* |
$ | 34.6 B | ||
7-Year Beta (A Shares vs. MSCI EAFE)* |
0.89 | |||
Number of Companies |
69 |
* Source: FactSet
Market Capitalization Exposure
As of September 30, 2013
Basket Structure
As of September 30, 2013
This page is not part of the Annual Report. 5
Thornburg International Value Fund
September 30, 2013
7 | ||||
10 | ||||
16 | ||||
18 | ||||
20 | ||||
21 | ||||
32 | ||||
34 | ||||
35 | ||||
36 | ||||
37 | ||||
40 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 17, 2013
Dear Fellow Shareholder:
The most recent fiscal year can be best characterized as a tale of two halves, driven in large part by external factors, such as fiscal and monetary policy. Japan took the lead initially, when Prime Minister Shinzo Abe and the Liberal Democratic Party (LDP) regained control over the government and announced aggressive inflation targets and expansionary monetary policies. The yen immediately weakened and sent yen-sensitive stocks soaring. Other Japanese equities quickly followed, as enthusiasm for the prime ministers economic agenda and its initial impact on the domestic Japanese economy grew. The march upward continued until May 2013, when Bank of Japan Governor Haruhiko Kuroda and the prime minister stepped back from some of the more aggressive weak-yen rhetoric, perhaps due to pressure from other G-20 members.
Through the end of May 2013, the U.S. markets had paralleled Japans in timing and, to a lesser extent, in magnitude (in dollar terms). The moves were most likely driven by the Federal Reserves (the Feds) intervention in December 2012 to offset potential economic impact of U.S. government budget sequestration with a new round of quantitative easing. In conjunction with its December announcement, the Fed also issued new forward guidance on monetary policy, tied to economic factors rather than a future point in time. The new guidance, along with fresh indications of Fed balance sheet expansion (in contrast to the sterilized policies of its predecessor program, Operation Twist), gave investors confidence that easy money was here to stay for the foreseeable future.
U.S. markets marched higher until the Feds Board of Governors backed away from forward guidance on reductions in its monetary injections that the market referred to as tapering. The threat of tapering had led U.S. markets to sell off and knocked the wind out of others that were benefitting from a dollar-carry trade, especially those with a weak current-account position. The delay of tapering allowed the U.S. and other markets, particularly those of emerging markets, to recover.
Significant valuation gaps had emerged between U.S. and Japanese markets at the high end, and Europe and emerging markets, on the low end. The end of taper discussions sparked a rally in emerging markets, which began as speculation grew over the summer that the Fed wouldnt begin tapering this fall. At the same time, European economic data began to turn positive, with the largest changes occurring in peripheral Europe. Investors were forced to reassess their perennially bearish view of Europe in light of the improving economic data and fiscal balances, as well as the upcoming reduction in austerity measures. Equity indices across Europe were led higher by stocks with cyclically depressed earnings and low valuations, such as financial and industrial stocks.
For the twelve months ended September 30, 2013, the total return for Class A shares was 16.49% at net asset value (NAV), slightly below the 16.97% for the MSCI AC World ex-U.S. Index and further below
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
the 23.77% of the MSCI EAFE Index. As you might expect during a year in which the markets saw such broad and abrupt fluctuations in market dynamics, the Funds performance was driven by holdings across a broad range of sectors and geographies, including Toyota, LVMH, Kingfisher, Publicis, Adidas, Mitsubishi UFJ Financial Group, Inc., ASML Holding, Baidu, and Reckitt Benckiser. Detractors from performance included BG Group, Saipem, Potash Corporation Saskatchewan, Inc., Fresenius Medical Care, Sinopharm Group, and Hyundai Motor Company. Despite positive absolute performance, health care and financial sectors within the Fund were the largest sources of underperformance relative to the MSCI EAFE Index. The weak performance from the Funds health care holdings was primarily due to concerns surrounding dialysis reimbursement in the U.S. and its impact on Fresenius Medical Care. Our underperformance in financials was due in part to our relative underweight and poor performance from bank holdings exposed to emerging markets, most notably in Asia. Of the holdings mentioned above that detracted from performance, all but Hyundai and BG Group remain in the portfolio. Hyundai was sold due to concerns over increased price competition following the depreciation of the Japanese yen. We sold our BG Group position due to poor operational delivery and ongoing concerns about potential difficulty in reaching the companys long-term production targets.
Other recent portfolio activity includes the addition of Sumitomo Mitsui Trust, ING Groep, Kubota, Lululemon Athletica, and worldwide advertising agency, WPP Group. Sumitomo Mitsui Trust is one of the largest asset managers and real estate brokerages in Japan and we believe it is well positioned to benefit from monetary easing by the Bank of Japan through attractive fee income streams. ING Groep is a bank and insurance conglomerate that is in the process of simplifying its structure by splitting the bank and insurance divisions. The separation of the group should help to create value by highlighting the strong retail banking franchise. In addition to the translational impact of the weak yen, Japanese tractor maker Kubota is benefitting from the recovery in the U.S. housing market due to its leading share and strong distribution in small-horsepower tractors. Lululemon has several opportunities to drive growth in the active apparel segment, including domestic and international store expansion, line extensions, e-commerce, and expansion into mens apparel. WPP Group is benefitting from improving trends in global advertising, particularly in the U.S., but also in some parts of Western Europe. The company has exposure to continued growth in digital advertising and the less penetrated emerging markets, and a clear goal toward margin improvement. We also made opportunistic additions to existing positions, funding new holdings with sales, and by trimming certain outsized positions where our original investment thesis worked well.
The good recent performance of global equity markets and our participation in the lift is encouraging. We remain well diversified, despite the fact that we hold only 69 stocks, as of September 30, 2013. Emerging-markets holdings approximate 16% of the portfolio. The bulk of our holdings pay dividends, and the portfolios yield, before expenses (on a weighted average basis as of September 30, 2013) is 2.2%. Most of our holdings are large companies with strong balance sheets and industry-leading positions. As the stress in markets persists, the soundness of the companies in the Fund has been comforting, especially as reflected in portfolio volatility characteristics.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
We will continue to invest in what we judge to be exceptional companies with attractive business models while recognizing the benefits of diversification among basic value, consistent earner and emerging franchise companies. Thank you for your trust.
Sincerely,
![]() |
![]() |
![]() | ||
William V. Fries, CFA | Wendy Q. Trevisani | Lei Wang, CFA | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg International Value Fund |
September 30, 2013 |
Top Ten Equity Holdings
As of 9/30/13
Mitsubishi UFJ Financial Group, Inc. |
3.1 | % | Baidu, Inc. ADR |
2.2 | % | |||||
Toyota Motor Corp. |
2.8 | % | ASML Holding N.V. |
2.1 | % | |||||
LVMH Moet Hennessy Louis Vuitton SA |
2.8 | % | Novartis AG |
2.1 | % | |||||
Novo Nordisk A/S |
2.4 | % | Air Liquide SA |
2.1 | % | |||||
Roche Holding AG |
2.3 | % | Reckitt Benckiser plc |
2.0 | % |
Summary of Industry Exposure
As of 9/30/13
Banks |
12.8 | % | Energy |
4.3 | % | |||||
Software & Services |
8.0 | % | Retailing |
3.8 | % | |||||
Consumer Durables & Apparel |
7.5 | % | Telecommunication Services |
3.6 | % | |||||
Capital Goods |
7.0 | % | Consumer Services |
2.9 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
6.8 | % | Household & Personal Products |
2.8 | % | |||||
Diversified Financials |
5.9 | % | Health Care Equipment & Services |
2.5 | % | |||||
Automobiles & Components |
5.5 | % | Insurance |
1.9 | % | |||||
Materials |
5.3 | % | Transportation |
1.1 | % | |||||
Media |
5.3 | % | Food & Staples Retailing |
1.0 | % | |||||
Food, Beverage & Tobacco |
4.9 | % | Other Assets & Liabilities |
2.8 | % | |||||
Semiconductors & Semiconductor Equipment |
4.3 | % |
Summary of Country Exposure
As of 9/30/13 (percent of equity holdings)
United Kingdom |
20.0 | % | Sweden |
1.8 | % | |||||
Japan |
16.3 | % | United States |
1.8 | % | |||||
Switzerland |
8.7 | % | South Korea |
1.6 | % | |||||
China |
8.3 | % | Italy |
1.3 | % | |||||
France |
8.1 | % | Ireland |
1.2 | % | |||||
Germany |
7.2 | % | Spain |
1.2 | % | |||||
Netherlands |
5.1 | % | Mexico |
1.1 | % | |||||
Canada |
4.6 | % | Russia |
1.1 | % | |||||
Hong Kong |
3.7 | % | Argentina |
0.8 | % | |||||
Brazil |
2.6 | % | Belgium |
0.5 | % | |||||
Denmark |
2.5 | % | Finland |
0.5 | % |
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 97.17% |
||||||||
AUTOMOBILES & COMPONENTS 5.51% |
||||||||
AUTO COMPONENTS 2.72% |
||||||||
Bridgestone Corp. |
11,646,670 | $ | 423,590,673 | |||||
Compagnie Generale des Establissements Michelin |
3,346,099 | 371,059,465 | ||||||
AUTOMOBILES 2.79% |
||||||||
Toyota Motor Corp. |
12,797,210 | 816,303,034 | ||||||
|
|
|||||||
1,610,953,172 | ||||||||
|
|
|||||||
BANKS 12.78% |
||||||||
COMMERCIAL BANKS 12.78% |
||||||||
Banco Bilbao Vizcaya Argentaria, S.A. |
14,098,033 | 157,539,101 | ||||||
HSBC Holdings plc |
50,604,047 | 550,348,943 | ||||||
Industrial and Commercial Bank of China Ltd. |
798,834,688 | 557,213,948 | ||||||
Intesa Sanpaolo S.p.A. |
75,148,468 | 155,038,575 | ||||||
Itau Unibanco Holding SA ADR |
20,845,673 | 294,340,903 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
142,967,534 | 911,955,275 | ||||||
Standard Chartered plc |
23,401,106 | 561,063,132 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. |
111,317,745 | 549,255,876 | ||||||
|
|
|||||||
3,736,755,753 | ||||||||
|
|
|||||||
CAPITAL GOODS 6.96% |
||||||||
AEROSPACE & DEFENSE 2.18% |
||||||||
Embraer S.A. |
6,481,245 | 210,446,025 | ||||||
Rolls Royce Holdings plc |
23,775,882 | 428,017,685 | ||||||
MACHINERY 4.78% |
||||||||
Fanuc Ltd. |
2,197,272 | 362,355,960 | ||||||
Komatsu Ltd. |
22,890,177 | 567,975,398 | ||||||
KONE Oyj |
1,758,200 | 156,867,461 | ||||||
Kubota Corp. |
21,518,802 | 310,210,514 | ||||||
|
|
|||||||
2,035,873,043 | ||||||||
|
|
|||||||
CONSUMER DURABLES & APPAREL 7.45% |
||||||||
TEXTILES, APPAREL & LUXURY GOODS 7.45% |
||||||||
adidas AG |
5,328,374 | 577,976,985 | ||||||
Burberry Group plc |
12,610,748 | 333,590,127 | ||||||
a,b Lululemon Athletica, Inc. |
6,333,152 | 462,890,080 | ||||||
LVMH Moet Hennessy Louis Vuitton SA |
4,085,056 | 804,654,013 | ||||||
|
|
|||||||
2,179,111,205 | ||||||||
|
|
|||||||
CONSUMER SERVICES 2.91% |
||||||||
HOTELS, RESTAURANTS & LEISURE 2.91% |
||||||||
a Carnival plc |
10,379,403 | 351,859,549 | ||||||
Yum! Brands, Inc. |
7,009,106 | 500,380,077 | ||||||
|
|
|||||||
852,239,626 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 5.91% |
||||||||
CAPITAL MARKETS 2.88% |
||||||||
Deutsche Bank AG |
11,028,848 | 506,397,767 | ||||||
Julius Baer Group Ltd. |
7,220,696 | 336,941,860 |
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
DIVERSIFIED FINANCIAL SERVICES 3.03% |
||||||||
Hong Kong Exchanges and Clearing Ltd. |
30,228,994 | $ | 484,854,994 | |||||
b ING Groep N.V. |
26,760,536 | 302,331,281 | ||||||
Japan Exchange Group, Inc. |
4,414,765 | 97,596,870 | ||||||
|
|
|||||||
1,728,122,772 | ||||||||
|
|
|||||||
ENERGY 4.26% |
||||||||
ENERGY EQUIPMENT & SERVICES 2.56% |
||||||||
Saipem S.p.A. |
9,952,466 | 216,235,023 | ||||||
Schlumberger Ltd. |
6,026,926 | 532,539,181 | ||||||
OIL, GAS & CONSUMABLE FUELS 1.70% |
||||||||
CNOOC Ltd. |
147,756,336 | 300,622,105 | ||||||
Tullow Oil plc |
11,910,810 | 197,452,002 | ||||||
|
|
|||||||
1,246,848,311 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 1.04% |
||||||||
FOOD & STAPLES RETAILING 1.04% |
||||||||
Wal-Mart de Mexico SAB de C.V. |
116,727,393 | 305,518,200 | ||||||
|
|
|||||||
305,518,200 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 4.87% |
||||||||
BEVERAGES 1.77% |
||||||||
Anheuser-Busch InBev N.V. |
1,465,803 | 145,910,042 | ||||||
SABMiller plc |
7,331,892 | 373,121,104 | ||||||
FOOD PRODUCTS 1.38% |
||||||||
Nestle SA |
5,765,963 | 403,269,928 | ||||||
TOBACCO 1.72% |
||||||||
British American Tobacco plc |
9,488,892 | 503,322,060 | ||||||
|
|
|||||||
1,425,623,134 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 2.54% |
||||||||
HEALTH CARE PROVIDERS & SERVICES 2.54% |
||||||||
Fresenius Medical Care AG & Co. |
8,353,859 | 543,490,191 | ||||||
Sinopharm Group Co. H |
79,856,278 | 200,364,003 | ||||||
|
|
|||||||
743,854,194 | ||||||||
|
|
|||||||
HOUSEHOLD & PERSONAL PRODUCTS 2.79% |
||||||||
HOUSEHOLD PRODUCTS 2.02% |
||||||||
Reckitt Benckiser plc |
8,062,092 | 589,938,139 | ||||||
PERSONAL PRODUCTS 0.77% |
||||||||
Natura Cosmeticos SA |
10,104,400 | 225,676,939 | ||||||
|
|
|||||||
815,615,078 | ||||||||
|
|
|||||||
INSURANCE 1.94% |
||||||||
INSURANCE 1.94% |
||||||||
AIA Group Ltd. |
120,843,705 | 567,922,878 | ||||||
|
|
|||||||
567,922,878 | ||||||||
|
|
|||||||
MATERIALS 5.34% |
||||||||
CHEMICALS 4.64% |
||||||||
Air Liquide SA |
4,338,844 | 604,296,640 | ||||||
Potash Corp. of Saskatchewan, Inc. |
10,109,500 | 316,225,160 | ||||||
Syngenta AG |
1,072,410 | 438,047,497 |
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
METALS & MINING 0.70% |
||||||||
Teck Resources Ltd. |
7,565,200 | $ | 203,295,700 | |||||
|
|
|||||||
1,561,864,997 | ||||||||
|
|
|||||||
MEDIA 5.33% |
||||||||
MEDIA 5.33%b |
||||||||
Liberty Global plc |
4,723,800 | 374,833,530 | ||||||
Pearson plc |
14,384,918 | 292,727,118 | ||||||
Publicis Groupe |
6,548,102 | 521,063,015 | ||||||
WPP plc |
17,976,694 | 369,601,595 | ||||||
|
|
|||||||
1,558,225,258 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 6.82% |
||||||||
PHARMACEUTICALS 6.82% |
||||||||
Novartis AG |
7,988,796 | 613,945,178 | ||||||
Novo Nordisk A/S |
4,121,149 | 699,678,124 | ||||||
Roche Holding AG |
2,524,074 | 680,733,840 | ||||||
|
|
|||||||
1,994,357,142 | ||||||||
|
|
|||||||
RETAILING 3.79% |
||||||||
SPECIALTY RETAIL 3.79% |
||||||||
Hennes & Mauritz AB |
12,011,946 | 521,657,169 | ||||||
Kingfisher plc |
93,777,138 | 585,857,565 | ||||||
|
|
|||||||
1,107,514,734 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.30% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.30% |
||||||||
ARM Holdings plc |
11,453,607 | 182,826,642 | ||||||
ASML Holding N.V. |
6,257,013 | 617,930,611 | ||||||
Samsung Electronics Co. Ltd. |
360,178 | 458,150,907 | ||||||
|
|
|||||||
1,258,908,160 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 7.96% |
||||||||
INFORMATION TECHNOLOGY SERVICES 1.80% |
||||||||
Accenture plc |
4,686,549 | 345,117,468 | ||||||
Amadeus IT Holding SA |
5,069,913 | 179,701,454 | ||||||
INTERNET SOFTWARE & SERVICES 4.75% |
||||||||
b Baidu, Inc. ADR |
4,186,044 | 649,590,308 | ||||||
MercadoLibre, Inc. |
1,640,671 | 221,342,925 | ||||||
b SINA Corp. |
2,414,300 | 195,968,731 | ||||||
b Yandex NV |
8,863,652 | 322,814,206 | ||||||
SOFTWARE 1.41% |
||||||||
SAP AG |
5,573,465 | 412,215,335 | ||||||
|
|
|||||||
2,326,750,427 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 3.60% |
||||||||
WIRELESS TELECOMMUNICATION SERVICES 3.60% |
||||||||
China Mobile Ltd. |
41,839,129 | 467,972,052 | ||||||
KDDI Corp. |
2,946,509 | 151,079,967 | ||||||
SoftBank Corp. |
6,270,862 | 433,177,201 | ||||||
|
|
|||||||
1,052,229,220 | ||||||||
|
|
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
TRANSPORTATION 1.07% |
||||||||
ROAD & RAIL 1.07% |
||||||||
Canadian National Railway Co. |
3,090,000 | $ | 313,094,801 | |||||
|
|
|||||||
313,094,801 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $21,131,873,656) |
28,421,382,105 | |||||||
|
|
|||||||
RIGHTS 0.01% |
||||||||
Banco Bilbao Vizcaya Argentaria, S.A. Rights |
14,098,033 | 1,926,325 | ||||||
|
|
|||||||
TOTAL RIGHTS (Cost $1,889,298) |
1,926,325 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 2.78% |
||||||||
AGL Capital Corp., 0.24%, 10/1/2013 |
$ | 15,000,000 | 15,000,000 | |||||
AGL Capital Corp., 0.24%, 10/2/2013 |
17,700,000 | 17,699,882 | ||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013, repurchase price $55,000,321 collateralized by 10 corporate debt securities and 13 U.S. Government debt securities, having an average coupon of 3.98%, a minimum credit rating of BBB-, maturity dates from 5/1/2018 to 9/1/2043, and having an aggregate market value of $57,009,800 at 9/30/2013 |
55,000,000 | 55,000,000 | ||||||
DCP Midstream, LLC, 0.33%, 10/4/2013 |
17,000,000 | 16,999,533 | ||||||
DCP Midstream, LLC, 0.33%, 10/7/2013 |
15,000,000 | 14,999,175 | ||||||
Diageo Capital plc, 0.20%, 10/7/2013 |
45,500,000 | 45,498,483 | ||||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
90,000,000 | 90,000,000 | ||||||
Eni Finance USA, Inc., 0.30%, 10/3/2013 |
39,000,000 | 38,999,350 | ||||||
Eni Finance USA, Inc., 0.30%, 10/4/2013 |
11,000,000 | 10,999,725 | ||||||
Hitachi America, 0.30%, 10/4/2013 |
100,000,000 | 99,997,500 | ||||||
National Grid USA, 0.28%, 10/2/2013 |
10,666,000 | 10,665,917 | ||||||
Northeast Utilities, 0.22%, 10/1/2013 |
30,000,000 | 30,000,000 | ||||||
Northeast Utilities, 0.22%, 10/2/2013 |
6,804,000 | 6,803,958 | ||||||
Northeast Utilities, 0.22%, 10/3/2013 |
20,000,000 | 19,999,756 | ||||||
Pacific Gas & Electric Co., 0.19%, 10/7/2013 |
19,456,000 | 19,455,384 | ||||||
Southern California Edison, 0.25%, 10/1/2013 |
66,200,000 | 66,200,000 | ||||||
Southern California Edison, 0.25%, 10/2/2013 |
5,000,000 | 4,999,965 | ||||||
Southern California Edison, 0.25%, 10/4/2013 |
90,000,000 | 89,998,125 | ||||||
Southern California Edison, 0.26%, 10/4/2013 |
82,000,000 | 81,998,223 | ||||||
Spectra Energy Capital, 0.32%, 10/1/2013 |
18,096,000 | 18,096,000 | ||||||
Spectra Energy Capital, 0.34%, 10/4/2013 |
7,239,000 | 7,238,795 | ||||||
Spectra Energy Capital, 0.38%, 10/7/2013 |
52,316,000 | 52,312,687 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $ 812,962,458) |
812,962,458 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 99.96% (Cost $21,946,725,412) |
$ | 29,236,270,888 | ||||||
OTHER ASSETS LESS LIABILITIES 0.04% |
11,343,361 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 29,247,614,249 | ||||||
|
|
14 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Footnote Legend
a | Investment in Affiliates - Holdings of voting securities of each portfolio company which is considered affiliated to the Fund under the Investment Company Act of 1940 because the Funds holding represented 5% or more of the companys voting securities during the period, are shown below: |
Issuer |
Shares/Principal September 30, 2012 |
Gross Additions |
Gross Reductions |
Shares/Principal September 30, 2013 |
Market Value September 30, 2013 |
Investment Income |
Realized Gain (Loss) |
|||||||||||||||||||||
Carnival plc |
10,740,103 | 1,433,500 | 1,794,200 | 10,379,403 | $ | 351,859,549 | $ | 16,957,053 | $ | (19,072,334 | ) | |||||||||||||||||
Lululemon Athletica, Inc.* |
| 6,333,152 | | 6,333,152 | 462,890,080 | | | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total non-controlled affiliated issuers 2.79% of net assets |
|
$ | 814,749,629 | $ | 16,957,053 | $ | (19,072,334 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Issuer not affiliated at September 30, 2012. |
b | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt |
See notes to financial statements.
Certified Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value |
||||
Non-affiliated issuers (cost $21,101,466,017) (Note 2) |
$ | 28,421,521,259 | ||
Non-controlled affiliated issuers (cost $ 845,259,395) (Note 2) |
814,749,629 | |||
Cash |
57,308,941 | |||
Cash denominated in foreign currency (cost $20,051,415) |
20,069,035 | |||
Receivable for fund shares sold |
57,691,431 | |||
Unrealized appreciation on forward currency contracts (Note 7) |
84,459,290 | |||
Dividends receivable |
61,587,232 | |||
Dividend and interest reclaim receivable |
44,093,209 | |||
Interest receivable |
321 | |||
Prepaid expenses and other assets |
121,782 | |||
|
|
|||
Total Assets |
29,561,602,129 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
16,382,208 | |||
Payable for fund shares redeemed |
85,084,534 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
184,444,157 | |||
Payable to investment advisor and other affiliates (Note 3) |
19,855,523 | |||
Accounts payable and accrued expenses |
8,221,458 | |||
|
|
|||
Total Liabilities |
313,987,880 | |||
|
|
|||
NET ASSETS |
$ | 29,247,614,249 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 14,822,341 | ||
Net unrealized appreciation |
7,190,322,525 | |||
Accumulated net realized gain (loss) |
(3,415,872,391 | ) | ||
Net capital paid in on shares of beneficial interest |
25,458,341,774 | |||
|
|
|||
$ | 29,247,614,249 | |||
|
|
16 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($5,212,813,471 applicable to 173,094,202 shares of beneficial interest outstanding - Note 4) |
$ | 30.12 | ||
Maximum sales charge, 4.50% of offering price |
1.42 | |||
|
|
|||
Maximum offering price per share |
$ | 31.54 | ||
|
|
|||
Class B Shares: |
||||
Net asset value per share* ($33,561,768 applicable to 1,197,587 shares of beneficial interest outstanding - Note 4) |
$ | 28.02 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($1,181,437,479 applicable to 41,940,535 shares of beneficial interest outstanding - Note 4) |
$ | 28.17 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($14,601,875,996 applicable to 474,768,139 shares of beneficial interest outstanding - Note 4) |
$ | 30.76 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($1,152,795,270 applicable to 38,245,420 shares of beneficial interest outstanding - Note 4) |
$ | 30.14 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($1,342,883,202 applicable to 44,800,107 shares of beneficial interest outstanding - Note 4) |
$ | 29.98 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($4,376,567,076 applicable to 142,489,759 shares of beneficial interest outstanding - Note 4) |
$ | 30.71 | ||
|
|
|||
Class R6 Shares: |
||||
Net asset value, offering and redemption price per share ($1,345,679,987 applicable to 43,828,339 shares of beneficial interest outstanding - Note 4) |
$ | 30.70 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 17
STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income |
||||
Non-affiliated issuers (net of foreign taxes withheld of $54,115,407) |
$ | 597,745,973 | ||
Non-controlled affiliated issuers |
16,957,053 | |||
Interest income |
2,718,369 | |||
|
|
|||
Total Income |
617,421,395 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
193,464,224 | |||
Administration fees (Note 3) |
||||
Class A Shares |
6,671,993 | |||
Class B Shares |
47,809 | |||
Class C Shares |
1,511,531 | |||
Class I Shares |
6,785,440 | |||
Class R3 Shares |
1,563,142 | |||
Class R4 Shares |
1,726,550 | |||
Class R5 Shares |
2,282,053 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
12,890,734 | |||
Class B Shares |
382,243 | |||
Class C Shares |
12,088,224 | |||
Class R3 Shares |
6,204,644 | |||
Class R4 Shares |
3,419,352 | |||
Transfer agent fees |
||||
Class A Shares |
8,199,860 | |||
Class B Shares |
76,970 | |||
Class C Shares |
1,866,880 | |||
Class I Shares |
10,347,635 | |||
Class R3 Shares |
2,717,264 | |||
Class R4 Shares |
3,831,422 | |||
Class R5 Shares |
9,966,777 | |||
Class R6 Shares |
5,114 | |||
Registration and filing fees |
||||
Class A Shares |
69,599 | |||
Class B Shares |
18,277 | |||
Class C Shares |
33,235 | |||
Class I Shares |
492,071 | |||
Class R3 Shares |
24,776 | |||
Class R4 Shares |
46,786 | |||
Class R5 Shares |
87,689 | |||
Class R6 Shares |
126,902 | |||
Custodian fees (Note 3) |
7,128,623 | |||
Professional fees |
488,482 | |||
Accounting fees |
765,900 | |||
Trustee fees |
944,150 | |||
Other expenses |
2,610,261 | |||
|
|
|||
Total Expenses |
$ | 298,886,612 |
18 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund |
Year Ended September 30, 2013 |
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
$ | (4,908,014 | ) | |
Fees paid indirectly (Note 3) |
(72,858 | ) | ||
|
|
|||
Net Expenses |
293,905,740 | |||
|
|
|||
Net Investment Income |
323,515,655 | |||
|
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments |
||||
Non-affiliated issuers |
1,488,746,067 | |||
Non-controlled affiliated issuers |
(19,072,334 | ) | ||
Forward currency contracts (Note 7) |
149,380,933 | |||
Foreign currency transactions |
(5,591,430 | ) | ||
|
|
|||
1,613,463,236 | ||||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments |
||||
Non-affiliated issuers |
2,512,850,488 | |||
Non-controlled affiliated issuers |
33,182,169 | |||
Forward currency contracts (Note 7) |
(124,370,921 | ) | ||
Foreign currency translations |
2,201,822 | |||
|
|
|||
2,423,863,558 | ||||
|
|
|||
Net Realized and Unrealized Gain |
4,037,326,794 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 4,360,842,449 | ||
|
|
See notes to financial statements.
Certified Annual Report 19
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Value Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 323,515,655 | $ | 345,486,279 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
1,613,463,236 | (749,948,440 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations |
2,423,863,558 | 3,832,908,986 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
4,360,842,449 | 3,428,446,825 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(43,423,103 | ) | (64,056,950 | ) | ||||
Class B Shares |
(135,243 | ) | (243,509 | ) | ||||
Class C Shares |
(5,193,481 | ) | (7,630,934 | ) | ||||
Class I Shares |
(182,275,885 | ) | (182,520,040 | ) | ||||
Class R3 Shares |
(7,770,990 | ) | (13,188,781 | ) | ||||
Class R4 Shares |
(11,150,837 | ) | (17,741,517 | ) | ||||
Class R5 Shares |
(51,989,824 | ) | (64,779,792 | ) | ||||
Class R6 Shares |
(16,473,662 | ) | (1,569,796 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(987,000,465 | ) | (1,202,692,533 | ) | ||||
Class B Shares |
(15,869,634 | ) | (18,438,983 | ) | ||||
Class C Shares |
(243,715,095 | ) | (297,916,156 | ) | ||||
Class I Shares |
162,757,464 | 190,061,072 | ||||||
Class R3 Shares |
(351,918,980 | ) | (105,812,185 | ) | ||||
Class R4 Shares |
(350,116,790 | ) | 29,709,129 | |||||
Class R5 Shares |
(789,848,411 | ) | 302,005,139 | |||||
Class R6 Shares |
737,341,228 | 471,270,252 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
2,204,058,741 | 2,444,901,241 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
27,043,555,508 | 24,598,654,267 | ||||||
|
|
|
|
|||||
End of Year |
$ | 29,247,614,249 | $ | 27,043,555,508 | ||||
|
|
|
|
|||||
Undistributed net investment income |
$ | 14,822,341 | $ | 15,311,141 |
See notes to financial statements.
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg International Value Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently has eight classes of shares of beneficial interest: Class A, Class B, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, Class R5, and Class R6). The Fund no longer offers Class B shares for sale. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class B shares were sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iv) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (v) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (vi) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vii) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (viii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses. Class B shares of the Fund outstanding for eight years will convert to Class A shares of the Fund.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 28,421,382,105 | $ | 28,421,382,105 | $ | | $ | | ||||||||
Rights |
1,926,325 | 1,926,325 | | | ||||||||||||
Short Term Investments |
812,962,458 | | 812,962,458 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 29,236,270,888 | $ | 28,423,308,430 | $ | 812,962,458 | $ | | ||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | 84,459,290 | $ | | $ | 84,459,290 | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (184,444,157 | ) | $ | | $ | (184,444,157 | ) | $ | | ||||||
Spot Currency |
$ | (22,223 | ) | $ | (22,223 | ) | $ | | $ | |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares (except for Class R6 shares, which do not have an administrative services agreement) and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $98,862 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $50,399 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class B, Class C, and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class B, Class C, and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class B and Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class R3, Class R4, and Class R5 expenses do not exceed 1.45%, 1.25%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $1,488,918 for Class R3 shares, $1,846,993 for Class R4 shares, and $1,572,103 for Class R5 shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $72,858.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year
Ended September 30, 2013 |
Year
Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
33,281,289 | $ | 934,420,102 | 44,154,940 | $ | 1,108,784,333 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,439,461 | 39,862,622 | 2,252,162 | 56,255,306 | ||||||||||||
Shares repurchased |
(69,820,089 | ) | (1,961,283,189 | ) | (94,550,543 | ) | (2,367,750,664 | ) | ||||||||
Redemption fees received* |
| | | 18,492 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(35,099,339 | ) | $ | (987,000,465 | ) | (48,143,441 | ) | $ | (1,202,692,533 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class B Shares |
||||||||||||||||
Shares sold |
11,496 | $ | 294,911 | 18,153 | $ | 426,733 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
3,696 | 92,758 | 7,356 | 167,235 | ||||||||||||
Shares repurchased |
(623,836 | ) | (16,257,303 | ) | (803,916 | ) | (19,033,123 | ) | ||||||||
Redemption fees received* |
| | | 172 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(608,644 | ) | $ | (15,869,634 | ) | (778,407 | ) | $ | (18,438,983 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
2,906,313 | $ | 76,626,452 | 3,972,384 | $ | 94,317,067 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
151,395 | 3,840,256 | 229,919 | 5,280,728 | ||||||||||||
Shares repurchased |
(12,367,528 | ) | (324,181,803 | ) | (16,849,073 | ) | (397,518,284 | ) | ||||||||
Redemption fees received* |
| | | 4,333 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(9,309,820 | ) | $ | (243,715,095 | ) | (12,646,770 | ) | $ | (297,916,156 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
157,447,422 | $ | 4,532,061,713 | 157,722,651 | $ | 4,069,279,456 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
5,248,430 | 149,632,653 | 5,106,228 | 130,962,371 | ||||||||||||
Shares repurchased |
(157,064,440 | ) | (4,518,936,902 | ) | (156,331,425 | ) | (4,010,215,905 | ) | ||||||||
Redemption fees received* |
| | | 35,150 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
5,631,412 | $ | 162,757,464 | 6,497,454 | $ | 190,061,072 | ||||||||||
|
|
|
|
|
|
|
|
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
Year
Ended September 30, 2013 |
Year
Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
8,044,211 | $ | 225,644,378 | 13,612,452 | $ | 342,095,280 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
264,385 | 7,292,297 | 491,853 | 12,264,608 | ||||||||||||
Shares repurchased |
(20,769,217 | ) | (584,855,655 | ) | (18,208,400 | ) | (460,176,195 | ) | ||||||||
Redemption fees received* |
| | | 4,122 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(12,460,621 | ) | $ | (351,918,980 | ) | (4,104,095 | ) | $ | (105,812,185 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
13,283,270 | $ | 371,895,750 | 20,184,388 | $ | 506,211,370 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
323,914 | 8,936,132 | 566,489 | 14,081,752 | ||||||||||||
Shares repurchased |
(26,439,756 | ) | (730,948,672 | ) | (19,386,082 | ) | (490,588,320 | ) | ||||||||
Redemption fees received* |
| | | 4,327 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(12,832,572 | ) | $ | (350,116,790 | ) | 1,364,795 | $ | 29,709,129 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
35,326,999 | $ | 1,001,908,594 | 58,044,149 | $ | 1,487,608,837 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,744,635 | 49,503,898 | 2,402,448 | 61,341,403 | ||||||||||||
Shares repurchased |
(64,140,808 | ) | (1,841,260,903 | ) | (48,008,440 | ) | (1,246,957,709 | ) | ||||||||
Redemption fees received* |
| | | 12,608 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(27,069,174 | ) | $ | (789,848,411 | ) | 12,438,157 | $ | 302,005,139 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R6 Shares |
||||||||||||||||
Shares sold |
30,928,332 | $ | 885,306,945 | 17,994,013 | $ | 472,237,611 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
572,781 | 16,354,593 | 60,384 | 1,569,796 | ||||||||||||
Shares repurchased |
(5,631,004 | ) | (164,320,310 | ) | (96,167 | ) | (2,537,155 | ) | ||||||||
Redemption fees received* |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
25,870,109 | $ | 737,341,228 | 17,958,230 | $ | 471,270,252 | ||||||||||
|
|
|
|
|
|
|
|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $9,412,483,106 and $11,195,623,523, respectively.
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 21,962,981,740 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 7,686,450,922 | ||
Gross unrealized depreciation on a tax basis |
(413,161,774 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 7,273,289,148 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012, of $40,355,184. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
The Fund utilized $672,354,468 (of which $360,526,665 was short-term and $311,827,803 was long-term) of capital loss carryforwards generated after September 30, 2011. The Fund utilized $139,184,653 of capital losses generated prior to October 1, 2011, which were subject to expiration in 2017.
At September 30, 2013, the Fund had cumulative tax basis capital losses, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2017 |
$ | 913,543,812 | ||
2018 |
1,792,171,182 | |||
2019 |
753,530,754 | |||
|
|
|||
$ | 3,459,245,748 | |||
|
|
In order to account for permanent book/tax differences, the Fund decreased undistributed net investment income by $5,591,430 and decreased accumulated net realized investment loss by $5,591,430. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency gains (losses).
At September 30, 2013, the Fund had distributable tax basis ordinary investment income of $14,814,308 and no tax basis undistributed capital gains.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | 318,413,025 | $ | 351,736,195 | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 318,413,025 | $ | 351,736,195 | ||||
|
|
|
|
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $4,133,782,934. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||
Euro |
Buy | 883,937,700 | 10/29/2013 | 1,195,915,074 | $ | 55,661,959 | $ | | ||||||||||||
Euro |
Buy | 537,130,900 | 10/29/2013 | 726,706,124 | 17,650,366 | | ||||||||||||||
Euro |
Sell | 877,609,300 | 10/29/2013 | 1,187,353,126 | | (19,470,162 | ) | |||||||||||||
Euro |
Sell | 1,837,123,500 | 10/29/2013 | 2,485,518,704 | | (93,639,020 | ) | |||||||||||||
Great Britain Pound |
Sell | 640,284,300 | 02/18/2014 | 1,035,537,315 | | (43,665,222 | ) | |||||||||||||
Japanese Yen |
Buy | 60,430,201,400 | 01/06/2014 | 615,203,732 | 11,146,965 | | ||||||||||||||
Japanese Yen |
Sell | 288,240,618,000 | 01/06/2014 | 2,934,405,309 | | (27,669,753 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 84,459,290 | $ | (184,444,157 | ) | |||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at
September 30, 2013
Asset Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Assets - Unrealized appreciation on forward currency contracts | $ | 84,459,290 | |||
Liability Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts | $ | (184,444,157 | ) |
Certified Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | 149,380,933 | $ | 149,380,933 |
Amount of Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | (124,370,921 | ) | $ | (124,370,921 | ) |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
30 Certified Annual Report
This page intentionally left blank.
Certified Annual Report 31
Thornburg International Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout
the Period)+ |
RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA |
||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net |
Net Realized & Unrealized Gain(Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net of |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 26.08 | 0.26 | 4.02 | 4.28 | (0.24 | ) | | (0.24 | ) | $30.12 | 0.92 | 1.25 | 1.25 | 1.25 | 16.49 | 34.67 | $ | 5,212,813 | |||||||||||||||||||||||||||||
2012(b) |
$ | 23.14 | 0.28 | 2.95 | 3.23 | (0.29 | ) | | (0.29 | ) | $26.08 | 1.09 | 1.29 | 1.29 | 1.29 | 14.02 | 17.86 | $ | 5,429,316 | |||||||||||||||||||||||||||||
2011(b) |
$ | 26.00 | 0.30 | (2.89 | ) | (2.59) | (0.27 | ) | | (0.27 | ) | $23.14 | 1.06 | 1.25 | 1.25 | 1.25 | (10.10) | 20.78 | $ | 5,932,896 | ||||||||||||||||||||||||||||
2010(b) |
$ | 23.91 | 0.18 | 2.07 | 2.25 | (0.16 | ) | | (0.16 | ) | $26.00 | 0.72 | 1.33 | 1.33 | 1.33 | 9.43 | 22.26 | $ | 6,704,550 | |||||||||||||||||||||||||||||
2009(b) |
$ | 23.68 | 0.21 | 0.24 | 0.45 | (0.22 | ) | | (0.22 | ) | $23.91 | 1.09 | 1.34 | 1.34 | 1.34 | 2.05 | 32.76 | $ | 5,309,704 | |||||||||||||||||||||||||||||
Class B Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 24.37 | 0.01 | 3.74 | 3.75 | (0.10 | ) | | (0.10 | ) | $28.02 | 0.02 | 2.10 | 2.10 | 2.10 | 15.45 | 34.67 | $ | 33,562 | |||||||||||||||||||||||||||||
2012 |
$ | 21.67 | 0.06 | 2.77 | 2.83 | (0.13 | ) | | (0.13 | ) | $24.37 | 0.26 | 2.09 | 2.09 | 2.09 | 13.07 | 17.86 | $ | 44,009 | |||||||||||||||||||||||||||||
2011 |
$ | 24.43 | 0.05 | (2.67 | ) | (2.62) | (0.14 | ) | | (0.14 | ) | $21.67 | 0.21 | 2.06 | 2.06 | 2.06 | (10.80) | 20.78 | $ | 56,002 | ||||||||||||||||||||||||||||
2010 |
$ | 22.56 | (0.02) | 1.95 | 1.93 | (0.06 | ) | | (0.06 | ) | $24.43 | (0.10 | ) | 2.10 | 2.10 | 2.10 | 8.59 | 22.26 | $ | 74,083 | ||||||||||||||||||||||||||||
2009 |
$ | 22.37 | 0.05 | 0.22 | 0.27 | (0.08 | ) | | (0.08 | ) | $22.56 | 0.29 | 2.13 | 2.13 | 2.13 | 1.24 | 32.76 | $ | 80,908 | |||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 24.48 | 0.04 | 3.77 | 3.81 | (0.12 | ) | | (0.12 | ) | $28.17 | 0.15 | 2.01 | 2.01 | 2.01 | 15.62 | 34.67 | $ | 1,181,438 | |||||||||||||||||||||||||||||
2012 |
$ | 21.77 | 0.08 | 2.77 | 2.85 | (0.14 | ) | | (0.14 | ) | $24.48 | 0.35 | 2.03 | 2.03 | 2.03 | 13.14 | 17.86 | $ | 1,254,732 | |||||||||||||||||||||||||||||
2011 |
$ | 24.54 | 0.08 | (2.70 | ) | (2.62) | (0.15 | ) | | (0.15 | ) | $21.77 | 0.31 | 1.99 | 1.99 | 1.99 | (10.78) | 20.78 | $ | 1,391,173 | ||||||||||||||||||||||||||||
2010 |
$ | 22.65 | (0.01) | 1.97 | 1.96 | (0.07 | ) | | (0.07 | ) | $24.54 | (0.03 | ) | 2.06 | 2.06 | 2.06 | 8.67 | 22.26 | $ | 1,643,753 | ||||||||||||||||||||||||||||
2009 |
$ | 22.46 | 0.06 | 0.22 | 0.28 | (0.09 | ) | | (0.09 | ) | $22.65 | 0.34 | 2.06 | 2.06 | 2.06 | 1.31 | 32.76 | $ | 1,551,488 | |||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 26.66 | 0.38 | 4.10 | 4.48 | (0.38 | ) | | (0.38 | ) | $30.76 | 1.34 | 0.86 | 0.86 | 0.86 | 16.94 | 34.67 | $ | 14,601,876 | |||||||||||||||||||||||||||||
2012 |
$ | 23.65 | 0.40 | 3.00 | 3.40 | (0.39 | ) | | (0.39 | ) | $26.66 | 1.53 | 0.88 | 0.88 | 0.88 | 14.47 | 17.86 | $ | 12,505,553 | |||||||||||||||||||||||||||||
2011 |
$ | 26.57 | 0.41 | (2.96 | ) | (2.55) | (0.37 | ) | | (0.37 | ) | $23.65 | 1.45 | 0.88 | 0.88 | 0.88 | (9.77) | 20.78 | $ | 10,942,112 | ||||||||||||||||||||||||||||
2010 |
$ | 24.42 | 0.29 | 2.11 | 2.40 | (0.25 | ) | | (0.25 | ) | $26.57 | 1.17 | 0.92 | 0.92 | 0.92 | 9.90 | 22.26 | $ | 9,693,445 | |||||||||||||||||||||||||||||
2009 |
$ | 24.18 | 0.31 | 0.24 | 0.55 | (0.31 | ) | | (0.31 | ) | $24.42 | 1.54 | 0.92 | 0.92 | 0.92 | 2.46 | 32.76 | $ | 6,330,268 | |||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 26.11 | 0.20 | 4.02 | 4.22 | (0.19 | ) | | (0.19 | ) | $30.14 | 0.71 | 1.45 | 1.45 | 1.57 | 16.23 | 34.67 | $ | 1,152,795 | |||||||||||||||||||||||||||||
2012 |
$ | 23.17 | 0.24 | 2.95 | 3.19 | (0.25 | ) | | (0.25 | ) | $26.11 | 0.95 | 1.45 | 1.45 | 1.60 | 13.82 | 17.86 | $ | 1,323,765 | |||||||||||||||||||||||||||||
2011 |
$ | 26.04 | 0.24 | (2.89 | ) | (2.65) | (0.22 | ) | | (0.22 | ) | $23.17 | 0.86 | 1.45 | 1.45 | 1.58 | (10.27) | 20.78 | $ | 1,270,000 | ||||||||||||||||||||||||||||
2010 |
$ | 23.96 | 0.15 | 2.07 | 2.22 | (0.14 | ) | | (0.14 | ) | $26.04 | 0.61 | 1.45 | 1.45 | 1.63 | 9.30 | 22.26 | $ | 1,311,041 | |||||||||||||||||||||||||||||
2009 |
$ | 23.73 | 0.20 | 0.23 | 0.43 | (0.20 | ) | | (0.20 | ) | $23.96 | 1.02 | 1.45 | 1.45 | 1.64 | 1.96 | 32.76 | $ | 1,042,248 | |||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 25.96 | 0.25 | 4.01 | 4.26 | (0.24 | ) | | (0.24 | ) | $29.98 | 0.91 | 1.25 | 1.25 | 1.38 | 16.49 | 34.67 | $ | 1,342,883 | |||||||||||||||||||||||||||||
2012 |
$ | 23.04 | 0.29 | 2.93 | 3.22 | (0.30 | ) | | (0.30 | ) | $25.96 | 1.16 | 1.25 | 1.25 | 1.45 | 14.05 | 17.86 | $ | 1,495,958 | |||||||||||||||||||||||||||||
2011 |
$ | 25.90 | 0.31 | (2.89 | ) | (2.58) | (0.28 | ) | | (0.28 | ) | $23.04 | 1.12 | 1.25 | 1.25 | 1.41 | (10.11) | 20.78 | $ | 1,296,493 | ||||||||||||||||||||||||||||
2010 |
$ | 23.82 | 0.21 | 2.05 | 2.26 | (0.18 | ) | | (0.18 | ) | $25.90 | 0.85 | 1.25 | 1.25 | 1.49 | 9.53 | 22.26 | $ | 872,122 | |||||||||||||||||||||||||||||
2009 |
$ | 23.60 | 0.26 | 0.21 | 0.47 | (0.25 | ) | | (0.25 | ) | $23.82 | 1.29 | 1.25 | 1.25 | 1.50 | 2.16 | 32.76 | $ | 522,363 | |||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 26.61 | 0.34 | 4.10 | 4.44 | (0.34 | ) | | (0.34 | ) | $30.71 | 1.20 | 0.96 | 0.96 | 1.00 | 16.80 | 34.67 | $ | 4,376,567 | |||||||||||||||||||||||||||||
2012 |
$ | 23.61 | 0.37 | 3.00 | 3.37 | (0.37 | ) | | (0.37 | ) | $26.61 | 1.44 | 0.99 | 0.99 | 1.06 | 14.33 | 17.86 | $ | 4,512,144 | |||||||||||||||||||||||||||||
2011 |
$ | 26.53 | 0.40 | (2.98 | ) | (2.58) | (0.34 | ) | | (0.34 | ) | $23.61 | 1.39 | 0.99 | 0.99 | 1.04 | (9.88) | 20.78 | $ | 3,709,978 | ||||||||||||||||||||||||||||
2010 |
$ | 24.38 | 0.28 | 2.11 | 2.39 | (0.24 | ) | | (0.24 | ) | $26.53 | 1.11 | 0.99 | 0.99 | 1.08 | 9.86 | 22.26 | $ | 2,462,021 | |||||||||||||||||||||||||||||
2009 |
$ | 24.14 | 0.30 | 0.23 | 0.53 | (0.29 | ) | | (0.29 | ) | $24.38 | 1.51 | 0.99 | 0.99 | 1.08 | 2.40 | 32.76 | $ | 1,414,122 | |||||||||||||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 26.62 | 0.46 | 4.05 | 4.51 | (0.43 | ) | | (0.43 | ) | $30.70 | 1.59 | 0.74 | 0.74 | 0.74 | 17.07 | 34.67 | $ | 1,345,680 | |||||||||||||||||||||||||||||
2012(c) |
$ | 27.14 | 0.15 | (0.38 | ) | (0.23) | (0.29 | ) | | (0.29 | ) | $26.62 | 1.35 | (d) | 0.76 | (d) | 0.76 | (d) | 0.76 | (d) | (0.77) | 17.86 | $ | 478,078 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Effective date of this class of shares was May 1, 2012. |
(d) | Annualized. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
32 Certified Annual Report | Certified Annual Report 33 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg International Value Fund
To the Trustees and Shareholders of
Thornburg International Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
34 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class B shares within eight years of purchase;
(d) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,080.40 | $ | 6.46 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.85 | $ | 6.27 | ||||||
Class B Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,075.50 | $ | 10.97 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,014.49 | $ | 10.65 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,076.20 | $ | 10.50 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,014.95 | $ | 10.19 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,082.70 | $ | 4.46 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.78 | $ | 4.33 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,079.20 | $ | 7.53 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.83 | $ | 7.31 | ||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,080.50 | $ | 6.48 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.84 | $ | 6.29 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,081.80 | $ | 5.03 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.24 | $ | 4.88 | ||||||
Class R6 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,083.10 | $ | 3.86 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,021.36 | $ | 3.74 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.24%; B: 2.11%; C: 2.02%; I: 0.85%; R3: 1.44%; R4: 1.24%; R5: 0.96%; R6: 0.74%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 35
INDEX COMPARISON | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg International Value Fund versus MSCI EAFE Index and MSCI AC World ex-U.S. Index
(May 28, 1998 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 5/28/98) |
11.25 | % | 4.95 | % | 9.03 | % | 8.18 | % | ||||||||
B Shares (Incep: 4/3/00) |
10.45 | % | 4.73 | % | 8.84 | % | 5.80 | % | ||||||||
C Shares (Incep: 5/28/98) |
14.62 | % | 5.14 | % | 8.73 | % | 7.64 | % | ||||||||
I Shares (Incep: 3/30/01) |
16.94 | % | 6.34 | % | 9.99 | % | 8.28 | % | ||||||||
R3 Shares (Incep: 7/1/03) |
16.23 | % | 5.76 | % | 9.42 | % | 10.24 | % | ||||||||
R4 Shares (Incep: 2/1/07) |
16.49 | % | 5.97 | % | | 2.98 | % | |||||||||
R5 Shares (Incep: 2/1/05) |
16.80 | % | 6.25 | % | | 7.70 | % | |||||||||
R6 Shares (Incep: 5/1/12) |
17.07 | % | | | 11.16 | % | ||||||||||
MSCI EAFE Index (Since 5/28/98) |
23.77 | % | 6.35 | % | 8.01 | % | 4.31 | % | ||||||||
MSCI AC World ex-U.S. Index (Since 5/28/98) |
16.97 | % | 6.74 | % | 9.24 | % | 5.37 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50% . Class B shares carry a contingent deferred sales charge (CDSC) that declines from 5.00% to 0% depending upon the period of time the shares are held. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4, R5, and R6 shares.
36 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 37
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
38 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 39
OTHER INFORMATION | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, the Thornburg International Value Fund is reporting 100.00% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 1.89% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2013 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2013, foreign source income and foreign taxes paid is $629,478,642, and $54,115,407, respectively.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg International Value Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the annual evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
40 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports throughout the year from the Advisor. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over different periods of time relative to a category of foreign equity mutual funds selected by an independent mutual fund analyst firm, and relative to broad-based securities indices, (iv) the Funds cumulative investment return since inception relative to broad-based securities indices, and (v) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the ten most recent calendar years, which showed that the Funds investment return for the most recent calendar year was lower than the returns for the two securities indices considered and the average return of the fund category, and that the Funds returns for the preceding nine calendar years exceeded or were comparable to the returns of one index in eight of nine years, exceeded or were comparable to the returns of the second index in six of nine years, and exceeded or were comparable to the average returns of the fund category in eight of nine years. Noted quantitative data further showed that the Funds annualized investment returns fell above the midpoint of investment performance for the category for the three-month period ended with the second quarter of the second year, fell below the midpoint for the year-to-date, one-year and five-year periods, and within the fourth quartile for the three-year period. Data presented to the Trustees also showed that the Funds annualized total returns over the ten-year period ended with the second quarter fell within the top quartile of performance for the category, and also demonstrated the Funds higher cumulative return since inception (net of expenses) relative to the Funds benchmark index.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fees charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of foreign equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data noted by the Trustees
Certified Annual Report 41
OTHER INFORMATION, CONTINUED | ||
Thornburg International Value Fund |
September 30, 2013 (Unaudited) |
showed that the management fee charged to the Fund was comparable to the median and average fee levels of the category of mutual funds, and that the overall expense ratio for the Fund was comparable to the median and slightly lower than the average expense ratios for the fund category. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund has realized economies of scale and may reasonably be expected to realize economies of scale as the Fund grows in size, due to the advisory agreements breakpoint fee structure and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
42 Certified Annual Report
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This page is not part of the Annual Report. 43
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
44 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 45
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 47
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH078 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains for the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and as the Funds assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THCGX | 885-215-582 | ||
Class C |
TCGCX | 885-215-574 | ||
Class I |
THIGX | 885-215-475 | ||
Class R3 |
THCRX | 885-215-517 | ||
Class R4 |
TCGRX | 885-215-251 | ||
Class R5 |
THGRX | 885-215-350 |
Glossary
Russell 3000 Growth Index The Russell 3000 Growth Index (Russell 3K G) is an unmanaged index comprised of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Beta Beta is a measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less.
Price to Book Value (P/B) A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio A measure of the markets expectations of a firms future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
VIX The ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the markets expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts.
This page is not part of the Annual Report. 3
THORNBURG CORE GROWTH FUND
Portfolio Managers
Tim Cunningham, CFA and Greg Dunn
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.49%, as disclosed in the most recent Prospectus.
Continually Evaluating the Risk Equation
Growth stocks are often referred to as glamour stocks, and it is easy to understand why. Growth stocks generate excitement. These are stocks whose rapid earnings growth is expected to be followed by rapid price appreciation. Growth stocks capture the imagination, and investing in them may potentially offer considerable opportunities for reward.
But growth stocks can also be volatile. Identifying which companies will succeed takes work. It takes digging down to the nuts and bolts of companies. The management team of Thornburg Core Growth Fund understands this. They know that it is grit, not glamour, that creates a successful growth fund.
Portfolio managers Tim Cunningham and Greg Dunn apply a rigorous stock selection process to the investments that comprise the Thorn-burg Core Growth Fund. This is a portfolio run on common sense, not on abstract theory. Their overarching philosophy is to create a fund that pursues good performance over the long term, while seeking to reduce volatility in the interim. Intensive, hands-on, independent research is the central theme. While many other growth funds rely on broad portfolio diversification to temper volatility, the Thornburg Core Growth Fund typically focuses on a limited number of stocks and diversifies those investments among three segments of the growth fund universe: consistent growth companies, growth industry leaders, and emerging growth companies. By limiting the number of securities, the Funds managers can evaluate each stock in greater depth. We believe that diversifying among three growth baskets further mitigates risk because each of these segments typically reacts differently than the equity markets as a whole.
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 12/27/00) |
||||||||||||||||||||
Without sales charge |
27.42 | % | 20.81 | % | 12.76 | % | 9.38 | % | 5.89 | % | ||||||||||
With sales charge |
21.69 | % | 18.97 | % | 11.72 | % | 8.87 | % | 5.51 | % | ||||||||||
Russell 3000 Growth Index |
||||||||||||||||||||
(Since: 12/27/00) |
20.30 | % | 17.18 | % | 12.16 | % | 7.99 | % | 2.98 | % |
4 This page is not part of the Annual Report.
How does the stock selection process work? Before adding a stock to the Funds portfolio, we drill down into the company and its business. The team believes that an intimate understanding of the companies in the portfolio is one of the most effective forms of risk management.
Companies are initially screened using a variety of quantitative factors. Most are rejected and logged as a screening rejection. Only those with the most appealing opportunities to expand margins and grow earnings move on to the next step the construction of a company-specific model. The goal is to cut to the quick and scrutinize the underlying business. The team uses SEC filings to construct proprietary income statement, balance sheet and cash flow statement models for each remaining company. From these they analyze historical data, monitor current conditions, identify red flags, and estimate future growth potential.
We are not go-along-with-the-crowd types and are not tied to mainstream thinking. While we have access to the best of Wall Streets analysis, we are not ruled by it.
The team tests the strength of a companys underlying business model against a variety of what-if screens. Besides conducting site visits and interviewing company management, they also check in with a companys major customers, suppliers, and distributors to get a complete picture of a company before investing. Revenue and cost of goods sold are given particular attention. All data points are broken down in several ways before reaching an investment decision.
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors |
Top Detractors | |
Valeant Pharmaceuticals International, Inc. |
Allot Communications Ltd. | |
Gilead Sciences, Inc. |
Apple, Inc. | |
LinkedIn Corp. |
SolarWinds, Inc. | |
WisdomTree Investments, Inc. |
Fusion-io, Inc. | |
Workday, Inc. |
HMS Holdings Corp. | |
Source: FactSet |
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-months* |
28.7x | |||
Portfolio Price to Cash Flow* |
18.5x | |||
Portfolio Price to Book Value* |
4.6x | |||
Median Market Cap* |
$ | 7.0 B | ||
7-Year Beta (A Shares vs. Russell 3000G)* |
1.15 | |||
Number of Companies |
50 |
* | Source: FactSet |
Market Capitalization Exposure
As of September 30, 2013
Basket Structure
As of September 30, 2013
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Thornburg Core Growth Fund
September 30, 2013
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This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 18, 2013
Dear Fellow Shareholder,
For the fiscal year ended September 30, 2013, the Thornburg Core Growth Fund returned 27.4% for the Class A shares at net asset value (NAV), outperforming its benchmark, the Russell 3000 Growth Index, which returned 20.3%. On September 30, 2013, the NAV of the Class A shares was $24.35.
The year proved to be another interesting one for financial markets: the U.S. budget sequestration, the timing of the Federal Reserves tapering of asset purchases, and a government shutdown as the Funds fiscal year closed (which ushered in the possibility of a U.S. debt default) all contributed to an eventful series of months. Despite such a challenging backdrop, this has actually been one of the more stable years for equity investing in the last decade, with above-average returns combined with relatively low volatility. During the period, equities continued to recover from the 2009 lows of the financial crisis. Recently, U.S. indices have achieved all-time highs, driven by modest economic recovery and growing appetite for risk while interest rates remain at historically low levels. Using the S&P 500 as a broad market proxy, stocks are trading at 15 times forward earnings, with an expectation of about 5% earnings growth. On a historical basis, this isnt all that imbalanced: 15x is the 10-year average P/E, although corporate margin levels are higher than their historic average. Volatility has noticeably declined over the past year, as measured by the Chicago Board Options Exchange Volatility Index (VIX) and our empirical experience. As market corrections are increasingly viewed as buying opportunities by investors, the corrections have become shallower, driving smoother stock appreciation. Jobs have continued to grow at low, but steady rates. U.S. gross domestic product (GDP) is growing about 2%, just above a very mild 1.5% annual inflation. Its been a bumpy, shallow recovery from the depths of the financial crisis.
But a more or less stable economic environment such as this is also a relatively good one for picking stocks, which, as always, is our focus. Over the past year, our returns have been driven by stock selection. Information technology was easily the worst performing sector of the Russell 3000 Growth Index, only returning about 6%, but for us it was our largest source of relative outperformance. This is a great example of why we believe adhering to a bottom-up strategy that is active and flexible leads to the best results. Fund investments in initial public offerings contributed 1.7% to performance for the fiscal year ended September 30, 2013.
On an absolute basis, top contributors to performance were Valeant Pharmaceuticals, Gilead Sciences, LinkedIn Corporation, WisdomTree Investments, and Workday.
Valeant International is a fully integrated specialty pharmaceutical and branded generics company with global operations. Valeants acquisitions of Medicis (late 2012) and Bausch & Lomb (3Q2013) have proven highly accretive to earnings thanks to the expense synergies that Valeant has been able to realize. As a result, realized earnings have been robust and expectations for future earnings power have increased meaningfully. Furthermore, Valeant has seen its earnings multiple increase as the market starts to better appreciate Valeants unique approach of acquiring good, yet under-managed pharmaceutical companies at a discount, and operating them more efficiently.
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
Gilead has appreciated this year as the company has delivered on two fronts. Results in its HIV business have remained robust with growth in patient share and continued strong launches of two new combination regimens. The pipeline has also delivered positive results, with Gileads all-oral hepatitis C treatments likely to be the leaders in a new, potentially huge market, and good recent news updates within the companys oncology division.
LinkedIn is the worlds largest professional online social network. In 2011, we had participated in the IPO, but sold shortly after on valuation concerns. We continued to follow the company and after an 18-month period of consolidation, we were able to buy it back at a price similar to where we had sold it, but at a much lower valuation. Since that purchase during the fourth quarter of 2012, the stock is up over 100%.
Workday is a cloud-hosted, software-as-a-service company that provides human resources and financial solutions to enterprises. Workday went public during the fourth quarter of 2012. Workday is growing at a tear 71% revenue growth for the most recent quarter and is dis-intermediating traditional on-premise software solutions with competitively priced cloud-hosted offerings.
WisdomTree Investments is an asset management company that focuses exclusively on exchange-traded funds (ETFs). Obviously, we are dedicated practitioners of active investment management, but we also recognize the value proposition of ETFs and investors appetite for passive investment vehicles. The company is the only publicly traded pure-play ETF manager and stands to benefit from the trend away from active management to passive investing. The irony of an ETF company being one of largest contributors of alpha (excess performance) for our active strategy is not lost on us. Top detractors for the period included Allot Communications, Apple, SolarWinds, Fusion-io, and HMS Holdings.
Allot Communications manufactures deep-packet inspection equipment that allows telecom carriers and cable companies to monitor and control traffic on their networks. For example, Allot can give priority to video streaming customers to ensure that they experience no buffering as they view content, while delaying an email that is not time sensitive. Efficiency of existing network assets is improved. However, the stock was weak as lackluster carrier spending weighed on results. We sold the stock during the year.
Apple has been a disappointing stock this last year. The company suffered a period of softening margins and slowing growth as the smartphone market has matured. Weve stuck with it at a relatively small weight because we still view Apple as the tier-one smartphone leader. Pricing remains stable and we havent seen a game-changing phone emerge, in the way that Apple drove the shift from the flip phone to the smartphone. Growth expectations are now muted, margins are depressed with the potential to rebound as the iPhone5 cycle matures, and valuation is reasonable. We have owned Apple at about half the weight of the index, so on an absolute basis its been a disappointing stock, but on a relative basis its been one of our best.
Solarwinds is a software company with a high-throughput, high-margin model. They sell low-cost software tools to IT professionals utilizing an in-house sales force. Results have been weak,
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
with growth decelerating. It is still unclear to us whether the slowdown is due to growing pains, even as demand remains strong, or whether we are seeing fundamental deterioration. We have reduced our position size, given the increased uncertainty.
Fusion-io is a high-growth, volatile stock that was derailed from our investment thesis by increasing competition and missteps by management. We sold the stock during the first quarter and it has continued to deteriorate since we sold. On a positive note we made money in the stock during our ownership period because we did a decent job of trimming when the stock peaked, and by the time it fully deteriorated our position size was very small. In hindsight we could have been more aggressive sellers, given the volatile nature of the stock and the business.
HMS Holdings has been suffering from ongoing government induced gridlock. HMS is primarily a benefits coordination company, utilizing a proprietary, robust database to insure that health insurance claims are paid by the responsible party. Mostly, they are making sure that state and federal programs are not paying when private insurance should be. Unfortunately, the regulatory system is currently in flux, and resolutions have been slower to arrive than expected, leading to delayed implementations for new business and audit moratoriums. We expect that ultimately the industry will get back to business as usual and HMSs leading position and high-value added services will return this company to growth. While its likely that market volatility will return at some point, we will continue to follow our strategy of seeking out promising growth companies with sound business fundamentals trading at reasonable valuations.
Thank you for your investment in Thornburg Core Growth Fund.
Sincerely, | ||
![]() |
![]() | |
Greg Dunn | Tim Cunningham, CFA | |
Managing Director | Managing Director | |
Portfolio Manager | Portfolio Manager |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Top Ten Equity Holdings
As of 9/30/13
Visa, Inc. |
3.2 | % | ||
Valeant Pharmaceuticals International, Inc. |
3.1 | % | ||
Gilead Sciences, Inc. |
3.0 | % | ||
Amazon.com, Inc. |
3.0 | % | ||
MGM Resorts International |
2.6 | % | ||
eBay, Inc. |
2.6 | % | ||
Google, Inc. |
2.5 | % | ||
Qualcomm, Inc. |
2.5 | % | ||
Alexion Pharmaceuticals, Inc. |
2.3 | % | ||
Express Scripts Holding Co. |
2.3 | % |
Summary of Industry Exposure
As of 9/30/13
Software & Services |
27.0 | % | ||
Retailing |
12.1 | % | ||
Diversified Financials |
9.9 | % | ||
Health Care Equipment & Services |
8.8 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences |
8.5 | % | ||
Technology Hardware & Equipment |
7.6 | % | ||
Commercial & Professional Services |
3.8 | % | ||
Consumer Services |
2.6 | % | ||
Food, Beverage & Tobacco |
2.2 | % | ||
Banks |
1.9 | % | ||
Semiconductors & Semiconductor Equipment |
1.7 | % | ||
Automobiles & Components |
1.7 | % | ||
Materials |
1.5 | % | ||
Energy |
1.1 | % | ||
Other Assets & Liabilities |
9.6 | % |
Summary of Country Exposure
As of 9/30/13 (percent of equity holdings)
United States |
89.9 | % | ||
Canada |
4.7 | % | ||
Israel |
2.0 | % | ||
United Kingdom |
1.9 | % | ||
Ireland |
1.5 | % |
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 90.42% |
||||||||
AUTOMOBILES & COMPONENTS 1.71% |
||||||||
AUTO COMPONENTS 1.71% |
||||||||
Delphi Automotive plc |
240,000 | $ | 14,020,800 | |||||
|
|
|||||||
14,020,800 | ||||||||
|
|
|||||||
BANKS 1.95% |
||||||||
COMMERCIAL BANKS 1.95% |
||||||||
a SVB Financial Group |
185,530 | 16,024,226 | ||||||
|
|
|||||||
16,024,226 | ||||||||
|
|
|||||||
COMMERCIAL & PROFESSIONAL SERVICES 3.85% |
||||||||
COMMERCIAL SERVICES & SUPPLIES 1.79% |
||||||||
a Stericycle, Inc. |
127,761 | 14,743,619 | ||||||
PROFESSIONAL SERVICES 2.06% |
||||||||
a WageWorks, Inc. |
334,800 | 16,890,660 | ||||||
|
|
|||||||
31,634,279 | ||||||||
|
|
|||||||
CONSUMER SERVICES 2.57% |
||||||||
HOTELS, RESTAURANTS & LEISURE 2.57% |
||||||||
a MGM Resorts International |
1,033,000 | 21,114,520 | ||||||
|
|
|||||||
21,114,520 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 9.88% |
||||||||
CAPITAL MARKETS 6.92% |
||||||||
a Affiliated Managers Group, Inc. |
99,287 | 18,133,778 | ||||||
Charles Schwab Corp. |
732,035 | 15,475,220 | ||||||
a Virtus Investment Partners, Inc. |
49,700 | 8,083,208 | ||||||
a WisdomTree Investments, Inc. |
1,303,719 | 15,136,177 | ||||||
CONSUMER FINANCE 2.96% |
||||||||
Capital One Financial Corp. |
175,300 | 12,050,122 | ||||||
a Portfolio Recovery Associates, Inc. |
205,173 | 12,298,070 | ||||||
|
|
|||||||
81,176,575 | ||||||||
|
|
|||||||
ENERGY 1.06% |
||||||||
OIL, GAS & CONSUMABLE FUELS 1.06% |
||||||||
a Continental Resources, Inc. |
81,000 | 8,688,060 | ||||||
|
|
|||||||
8,688,060 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 2.16% |
||||||||
BEVERAGES 2.16% |
||||||||
a Monster Beverage Corp. |
340,100 | 17,770,225 | ||||||
|
|
|||||||
17,770,225 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 8.78% |
||||||||
HEALTH CARE EQUIPMENT & SUPPLIES 5.53% |
||||||||
a Endologix, Inc. |
605,956 | 9,774,070 | ||||||
a Intuitive Surgical, Inc. |
48,100 | 18,098,587 | ||||||
a Novadaq Technologies, Inc. |
532,157 | 8,823,163 | ||||||
a TearLab Corp. |
788,990 | 8,726,230 |
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
HEALTH CARE PROVIDERS & SERVICES 2.25% |
||||||||
a Express Scripts Holding Co. |
299,600 | $ | 18,509,288 | |||||
HEALTH CARE TECHNOLOGY 1.00% |
||||||||
a HMS Holdings Corp. |
382,500 | 8,227,575 | ||||||
|
|
|||||||
72,158,913 | ||||||||
|
|
|||||||
MATERIALS 1.47% |
||||||||
METALS & MINING 1.47% |
||||||||
Allegheny Technologies, Inc. |
396,473 | 12,100,356 | ||||||
|
|
|||||||
12,100,356 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 8.45% |
||||||||
BIOTECHNOLOGY 5.31% |
||||||||
a Alexion Pharmaceuticals, Inc. |
161,900 | 18,806,304 | ||||||
a Gilead Sciences, Inc. |
395,058 | 24,825,445 | ||||||
PHARMACEUTICALS 3.14% |
||||||||
a Valeant Pharmaceuticals International, Inc. |
247,500 | 25,821,675 | ||||||
|
|
|||||||
69,453,424 | ||||||||
|
|
|||||||
RETAILING 12.14% |
||||||||
DISTRIBUTORS 1.93% |
||||||||
a LKQ Corp. |
496,805 | 15,828,207 | ||||||
INTERNET & CATALOG RETAIL 5.15% |
||||||||
a Amazon.com, Inc. |
79,000 | 24,698,560 | ||||||
a priceline.com, Inc. |
17,432 | 17,622,881 | ||||||
MULTILINE RETAIL 2.05% |
||||||||
a Dollar Tree, Inc. |
295,200 | 16,873,632 | ||||||
SPECIALTY RETAIL 3.01% |
||||||||
a Francescas Holdings Corp. |
645,200 | 12,026,528 | ||||||
a Vitamin Shoppe, Inc. |
290,100 | 12,691,875 | ||||||
|
|
|||||||
99,741,683 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.71% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.71% |
||||||||
a ON Semiconductor Corp. |
1,931,922 | 14,103,030 | ||||||
|
|
|||||||
14,103,030 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 27.06% |
||||||||
INFORMATION TECHNOLOGY SERVICES 3.16% |
||||||||
Visa, Inc. |
135,906 | 25,971,637 | ||||||
INTERNET SOFTWARE & SERVICES 10.45% |
||||||||
a CoStar Group, Inc. |
58,830 | 9,877,557 | ||||||
a eBay, Inc. |
376,100 | 20,982,619 | ||||||
a Google, Inc. |
23,177 | 20,300,966 | ||||||
a LinkedIn Corp. |
70,200 | 17,273,412 | ||||||
a VeriSign, Inc. |
343,227 | 17,466,822 | ||||||
SOFTWARE 13.45% |
||||||||
a CommVault Systems, Inc. |
178,319 | 15,661,758 | ||||||
a Ellie Mae, Inc. |
294,311 | 9,420,895 | ||||||
a Fleetmatics Group plc |
308,300 | 11,576,665 | ||||||
a Fortinet, Inc. |
418,300 | 8,474,758 | ||||||
a Guidewire Software, Inc. |
231,566 | 10,909,074 |
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
a Imperva, Inc. |
180,062 | $ | 7,566,205 | |||||
a SolarWinds, Inc. |
191,400 | 6,710,484 | ||||||
Solera Holdings, Inc. |
275,177 | 14,548,608 | ||||||
a Splunk, Inc. |
178,300 | 10,705,132 | ||||||
a Workday, Inc. |
185,100 | 14,980,143 | ||||||
|
|
|||||||
222,426,735 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 7.63% |
||||||||
COMMUNICATIONS EQUIPMENT 3.97% |
||||||||
a F5 Networks, Inc. |
145,400 | 12,469,504 | ||||||
Qualcomm, Inc. |
298,944 | 20,136,868 | ||||||
COMPUTERS & PERIPHERALS 3.66% |
||||||||
Apple, Inc. |
32,061 | 15,285,082 | ||||||
a Stratasys Ltd. |
146,163 | 14,800,465 | ||||||
|
|
|||||||
62,691,919 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $512,075,394) |
743,104,745 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 3.41% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013, due 10/1/2013, repurchase price $14,000,082 collateralized by 11 corporate debt securities and 6 U.S. Government debt securities having an average coupon of 4.76%, a minimum credit rating of BBB-, maturity dates from 11/6/2015 to 6/1/2041, and having an aggregate market value of $14,694,136 at 9/30/2013 |
$ | 14,000,000 | 14,000,000 | |||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
14,000,000 | 14,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $28,000,000) |
28,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 93.83% (Cost $540,075,394) |
$ | 771,104,745 | ||||||
OTHER ASSETS LESS LIABILITIES 6.17% |
50,703,646 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 821,808,391 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Core Growth Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $540,075,394) (Note 2) |
$ | 771,104,745 | ||
Cash |
57,629,417 | |||
Receivable for investments sold |
1,230,198 | |||
Receivable for fund shares sold |
3,158,105 | |||
Interest receivable |
82 | |||
|
|
|||
Total Assets |
833,122,547 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
6,162,649 | |||
Payable for fund shares redeemed |
4,042,722 | |||
Payable to investment advisor and other affiliates (Note 3) |
853,366 | |||
Accounts payable and accrued expenses |
255,419 | |||
|
|
|||
Total Liabilities |
11,314,156 | |||
|
|
|||
NET ASSETS |
$ | 821,808,391 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Net investment loss |
$ | (5,846,277 | ) | |
Net unrealized appreciation |
231,029,351 | |||
Accumulated net realized gain (loss) |
(473,191,952 | ) | ||
Net capital paid in on shares of beneficial interest |
1,069,817,269 | |||
|
|
|||
$ | 821,808,391 | |||
|
|
14 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($279,482,677 applicable to 11,479,053 shares of beneficial interest outstanding - Note 4) |
$ | 24.35 | ||
Maximum sales charge, 4.50% of offering price |
1.15 | |||
|
|
|||
Maximum offering price per share |
$ | 25.50 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($182,998,947 applicable to 8,327,091 shares of beneficial interest outstanding - Note 4) |
$ | 21.98 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($191,357,728 applicable to 7,479,223 shares of beneficial interest outstanding - Note 4) |
$ | 25.59 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($95,545,020 applicable to 3,927,685 shares of beneficial interest outstanding - Note 4) |
$ | 24.33 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($10,277,572 applicable to 420,454 shares of beneficial interest outstanding - Note 4) |
$ | 24.44 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($62,146,447 applicable to 2,431,615 shares of beneficial interest outstanding - Note 4) |
$ | 25.56 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 15
STATEMENT OF OPERATIONS | ||
Thornburg Core Growth Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $34,174) |
$ | 2,990,867 | ||
Interest income |
119,004 | |||
|
|
|||
Total Income |
3,109,871 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
6,110,898 | |||
Administration fees (Note 3) |
||||
Class A Shares |
294,044 | |||
Class C Shares |
201,022 | |||
Class I Shares |
76,407 | |||
Class R3 Shares |
119,652 | |||
Class R4 Shares |
11,413 | |||
Class R5 Shares |
28,346 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
585,347 | |||
Class C Shares |
1,609,328 | |||
Class R3 Shares |
478,440 | |||
Class R4 Shares |
22,633 | |||
Transfer agent fees |
||||
Class A Shares |
352,007 | |||
Class C Shares |
260,316 | |||
Class I Shares |
97,051 | |||
Class R3 Shares |
229,676 | |||
Class R4 Shares |
25,224 | |||
Class R5 Shares |
71,378 | |||
Registration and filing fees |
||||
Class A Shares |
63,833 | |||
Class C Shares |
19,694 | |||
Class I Shares |
19,401 | |||
Class R3 Shares |
20,073 | |||
Class R4 Shares |
21,657 | |||
Class R5 Shares |
24,311 | |||
Custodian fees (Note 3) |
89,919 | |||
Professional fees |
72,079 | |||
Accounting fees |
3,722 | |||
Trustee fees |
23,958 | |||
Other expenses |
85,162 | |||
|
|
|||
Total Expenses |
11,016,991 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(439,034 | ) | ||
Fees paid indirectly (Note 3) |
(885 | ) | ||
|
|
|||
Net Expenses |
10,577,072 | |||
|
|
|||
Net Investment Loss |
$ | (7,467,201 | ) | |
|
|
16 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) on investments |
$ | 89,533,234 | ||
Net change in unrealized appreciation (depreciation) on investments |
91,899,455 | |||
|
|
|||
Net Realized and Unrealized Gain |
181,432,689 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 173,965,488 | ||
|
|
See notes to financial statements.
Certified Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Core Growth Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income (loss) |
$ | (7,467,201 | ) | $ | (7,376,218 | ) | ||
Net realized gain (loss) on investments |
89,533,234 | 122,825,953 | ||||||
Net unrealized appreciation (depreciation) on investments |
91,899,455 | 132,918,941 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
173,965,488 | 248,368,676 | ||||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
(4,076,655 | ) | (63,234,219 | ) | ||||
Class C Shares |
(11,865,291 | ) | (35,054,311 | ) | ||||
Class I Shares |
35,348,688 | (43,751,698 | ) | |||||
Class R3 Shares |
(33,481,490 | ) | (43,593,620 | ) | ||||
Class R4 Shares |
(1,324,992 | ) | (4,685,753 | ) | ||||
Class R5 Shares |
(12,974,765 | ) | (28,895,377 | ) | ||||
|
|
|
|
|||||
Net Increase in Net Assets |
145,590,983 | 29,153,698 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
676,217,408 | 647,063,710 | ||||||
|
|
|
|
|||||
End of Year |
$ | 821,808,391 | $ | 676,217,408 | ||||
|
|
|
|
See notes to financial statements.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Core Growth Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Core Growth Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I), and
Retirement Classes (Class R3, Class R4, and Class R5). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Fund are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 743,104,745 | $ | 743,104,745 | $ | | $ | | ||||||||
Short Term Investments |
28,000,000 | | 28,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 771,104,745 | $ | 743,104,745 | $ | 28,000,000 | $ | |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $34,959 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,073 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class I, Class R3, Class R4, and Class R5 expenses do not exceed 0.99%, 1.50%, 1.40%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $1,277 for Class A shares and contractually reimbursed $53,994 for Class I shares, $273,924 for Class R3 shares, $35,470 for Class R4 shares, and $74,369 for Class R5 shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $885.
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
2,284,279 | $ | 50,203,570 | 1,659,809 | $ | 28,820,612 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(2,627,034 | ) | (54,280,225 | ) | (5,449,613 | ) | (92,055,088 | ) | ||||||||
Redemption fees received* |
| | | 257 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(342,755 | ) | $ | (4,076,655 | ) | (3,789,804 | ) | $ | (63,234,219 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
860,568 | $ | 16,907,911 | 607,243 | $ | 9,426,297 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(1,543,834 | ) | (28,773,202 | ) | (2,877,094 | ) | (44,480,784 | ) | ||||||||
Redemption fees received* |
| | | 176 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(683,266 | ) | $ | (11,865,291 | ) | (2,269,851 | ) | $ | (35,054,311 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
3,194,049 | $ | 69,306,485 | 2,116,293 | $ | 37,348,099 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(1,545,666 | ) | (33,957,797 | ) | (4,549,708 | ) | (81,099,955 | ) | ||||||||
Redemption fees received* |
| | | 158 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
1,648,383 | $ | 35,348,688 | (2,433,415 | ) | $ | (43,751,698 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
1,081,265 | $ | 22,913,573 | 1,184,634 | $ | 20,242,338 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(2,720,256 | ) | (56,395,063 | ) | (3,805,079 | ) | (63,836,088 | ) | ||||||||
Redemption fees received* |
| | | 130 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,638,991 | ) | $ | (33,481,490 | ) | (2,620,445 | ) | $ | (43,593,620 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
227,815 | $ | 4,772,964 | 285,912 | $ | 4,904,776 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(294,538 | ) | (6,097,956 | ) | (578,486 | ) | (9,590,540 | ) | ||||||||
Redemption fees received* |
| | | 11 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(66,723 | ) | $ | (1,324,992 | ) | (292,574 | ) | $ | (4,685,753 | ) | ||||||
|
|
|
|
|
|
|
|
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
669,413 | $ | 14,671,998 | 944,144 | $ | 16,893,382 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(1,312,898 | ) | (27,646,763 | ) | (2,695,752 | ) | (45,788,832 | ) | ||||||||
Redemption fees received* |
| | | 73 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(643,485 | ) | $ | (12,974,765 | ) | (1,751,608 | ) | $ | (28,895,377 | ) | ||||||
|
|
|
|
|
|
|
|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $612,967,728 and $672,374,503, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 540,142,531 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 244,004,110 | ||
Gross unrealized depreciation on a tax basis |
(13,041,896 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 230,962,214 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis late-year ordinary investment losses of $5,846,277. For tax purposes such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Fund did not have any undistributed tax basis net ordinary investment income or undistributed tax basis capital gains.
During the year ended September 30, 2013, the Fund utilized $87,150,856 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2013, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows:
2017 |
$ | 219,766,404 | ||
2018 |
253,358,410 | |||
|
|
|||
$ | 473,124,814 | |||
|
|
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 |
In order to account for permanent book/tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $7,050,142 and decreased net investment loss by $7,050,142. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from a nondeductible net operating loss.
The Fund did not pay any distributions during the years ended September 30, 2013 and September 30, 2012.
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
During the year ended September 30, 2013, the Fund did not invest in any derivative financial instruments of the type addressed by ASC 815.
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
26 Certified Annual Report
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Certified Annual Report 27
Thornburg Core Growth Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA |
||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net Asset Value End of Year |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total |
Portfolio |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 19.11 | (0.21) | 5.45 | 5.24 | | | | $ | 24.35 | (1.01 | ) | 1.45 | 1.45 | 1.45 | 27.42 | 91.92 | $ | 279,483 | |||||||||||||||||||||||||||||||
2012(b) |
$ | 13.33 | (0.17) | 5.95 | 5.78 | | | | $ | 19.11 | (1.02 | ) | 1.48 | 1.49 | 1.48 | 43.36 | 122.93 | $ | 225,945 | |||||||||||||||||||||||||||||||
2011(b) |
$ | 13.81 | (0.15) | (0.33 | ) | (0.48) | | | | $ | 13.33 | (0.96 | ) | 1.45 | 1.45 | 1.45 | (3.48) | 80.53 | $ | 208,135 | ||||||||||||||||||||||||||||||
2010(b) |
$ | 13.61 | (0.15) | 0.35 | 0.20 | | | | $ | 13.81 | (1.09 | ) | 1.48 | 1.48 | 1.48 | 1.47 | 75.06 | $ | 372,954 | |||||||||||||||||||||||||||||||
2009(b) |
$ | 13.36 | (0.09) | 0.34 | 0.25 | | | | $ | 13.61 | (0.81 | ) | 1.48 | 1.48 | 1.49 | 1.87 | 82.86 | $ | 511,065 | |||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 17.38 | (0.34) | 4.94 | 4.60 | | | | $ | 21.98 | (1.76 | ) | 2.20 | 2.20 | 2.20 | 26.47 | 91.92 | $ | 182,999 | |||||||||||||||||||||||||||||||
2012 |
$ | 12.22 | (0.28) | 5.44 | 5.16 | | | | $ | 17.38 | (1.79 | ) | 2.25 | 2.25 | 2.25 | 42.23 | 122.93 | $ | 156,597 | |||||||||||||||||||||||||||||||
2011 |
$ | 12.75 | (0.24) | (0.29 | ) | (0.53) | | | | $ | 12.22 | (1.71 | ) | 2.20 | 2.20 | 2.20 | (4.16) | 80.53 | $ | 137,799 | ||||||||||||||||||||||||||||||
2010 |
$ | 12.66 | (0.23) | 0.32 | 0.09 | | | | $ | 12.75 | (1.84 | ) | 2.23 | 2.23 | 2.23 | 0.71 | 75.06 | $ | 215,413 | |||||||||||||||||||||||||||||||
2009 |
$ | 12.53 | (0.16) | 0.29 | 0.13 | | | | $ | 12.66 | (1.59 | ) | 2.26 | 2.26 | 2.26 | 1.04 | 82.86 | $ | 289,224 | |||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.99 | (0.12) | 5.72 | 5.60 | | | | $ | 25.59 | (0.55 | ) | 0.99 | 0.99 | 1.02 | 28.01 | 91.92 | $ | 191,358 | |||||||||||||||||||||||||||||||
2012 |
$ | 13.88 | (0.09) | 6.20 | 6.11 | | | | $ | 19.99 | (0.52 | ) | 0.99 | 0.99 | 1.08 | 44.02 | 122.93 | $ | 116,567 | |||||||||||||||||||||||||||||||
2011 |
$ | 14.31 | (0.08) | (0.35 | ) | (0.43) | | | | $ | 13.88 | (0.49 | ) | 0.99 | 0.99 | 1.07 | (3.00) | 80.53 | $ | 114,679 | ||||||||||||||||||||||||||||||
2010 |
$ | 14.04 | (0.09) | 0.36 | 0.27 | | | | $ | 14.31 | (0.60 | ) | 0.99 | 0.99 | 1.08 | 1.92 | 75.06 | $ | 172,126 | |||||||||||||||||||||||||||||||
2009 |
$ | 13.71 | (0.03) | 0.36 | 0.33 | | | | $ | 14.04 | (0.29 | ) | 0.97 | 0.97 | 1.08 | 2.41 | 82.86 | $ | 218,300 | |||||||||||||||||||||||||||||||
Class R3 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.11 | (0.22) | 5.44 | 5.22 | | | | $ | 24.33 | (1.06 | ) | 1.50 | 1.50 | 1.79 | 27.32 | 91.92 | $ | 95,545 | |||||||||||||||||||||||||||||||
2012 |
$ | 13.33 | (0.18) | 5.96 | 5.78 | | | | $ | 19.11 | (1.04 | ) | 1.50 | 1.50 | 1.80 | 43.36 | 122.93 | $ | 106,353 | |||||||||||||||||||||||||||||||
2011 |
$ | 13.82 | (0.16) | (0.33 | ) | (0.49) | | | | $ | 13.33 | (1.01 | ) | 1.50 | 1.50 | 1.77 | (3.55) | 80.53 | $ | 109,127 | ||||||||||||||||||||||||||||||
2010 |
$ | 13.62 | (0.15) | 0.35 | 0.20 | | | | $ | 13.82 | (1.11 | ) | 1.50 | 1.50 | 1.79 | 1.47 | 75.06 | $ | 212,360 | |||||||||||||||||||||||||||||||
2009 |
$ | 13.37 | (0.09) | 0.34 | 0.25 | | | | $ | 13.62 | (0.84 | ) | 1.49 | 1.49 | 1.76 | 1.87 | 82.86 | $ | 278,576 | |||||||||||||||||||||||||||||||
Class R4 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.18 | (0.20) | 5.46 | 5.26 | | | | $ | 24.44 | (0.96 | ) | 1.40 | 1.40 | 1.79 | 27.42 | 91.92 | $ | 10,277 | |||||||||||||||||||||||||||||||
2012 |
$ | 13.37 | (0.16) | 5.97 | 5.81 | | | | $ | 19.18 | (0.93 | ) | 1.40 | 1.40 | 1.78 | 43.46 | 122.93 | $ | 9,344 | |||||||||||||||||||||||||||||||
2011 |
$ | 13.84 | (0.14) | (0.33 | ) | (0.47) | | | | $ | 13.37 | (0.91 | ) | 1.40 | 1.40 | 1.76 | (3.40) | 80.53 | $ | 10,423 | ||||||||||||||||||||||||||||||
2010 |
$ | 13.63 | (0.14) | 0.35 | 0.21 | | | | $ | 13.84 | (1.01 | ) | 1.40 | 1.40 | 1.73 | 1.54 | 75.06 | $ | 24,968 | |||||||||||||||||||||||||||||||
2009 |
$ | 13.37 | (0.08) | 0.34 | 0.26 | | | | $ | 13.63 | (0.77 | ) | 1.40 | 1.40 | 1.83 | 1.94 | 82.86 | $ | 30,871 | |||||||||||||||||||||||||||||||
Class R5 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.97 | (0.12) | 5.71 | 5.59 | | | | $ | 25.56 | (0.55 | ) | 0.99 | 0.99 | 1.12 | 27.99 | 91.92 | $ | 62,146 | |||||||||||||||||||||||||||||||
2012 |
$ | 13.86 | (0.09) | 6.20 | 6.11 | | | | $ | 19.97 | (0.52 | ) | 0.98 | 0.99 | 1.32 | 44.08 | 122.93 | $ | 61,411 | |||||||||||||||||||||||||||||||
2011 |
$ | 14.30 | (0.08) | (0.36 | ) | (0.44) | | | | $ | 13.86 | (0.51 | ) | 0.99 | 0.99 | 1.22 | (3.08) | 80.53 | $ | 66,901 | ||||||||||||||||||||||||||||||
2010 |
$ | 14.02 | (0.08) | 0.36 | 0.28 | | | | $ | 14.30 | (0.60 | ) | 0.99 | 0.99 | 1.18 | 2.00 | 75.06 | $ | 324,963 | |||||||||||||||||||||||||||||||
2009 |
$ | 13.70 | (0.04) | 0.36 | 0.32 | | | | $ | 14.02 | (0.34 | ) | 0.99 | 0.99 | 1.27 | 2.34 | 82.86 | $ | 323,268 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Annual Report | Certified Annual Report 29 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Core Growth Fund
To the Trustees and Shareholders of
Thornburg Core Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Core Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
30 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,143.70 | $ | 7.74 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.84 | $ | 7.29 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,139.40 | $ | 11.72 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,014.11 | $ | 11.04 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,146.00 | $ | 5.32 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.11 | $ | 5.00 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,143.30 | $ | 8.05 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.56 | $ | 7.58 | ||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,143.70 | $ | 7.49 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.08 | $ | 7.05 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,146.20 | $ | 5.29 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.14 | $ | 4.98 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.44%; C: 2.19%; I: 0.99%; R3: 1.50%; R4: 1.39%; R5: 0.98%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 31
INDEX COMPARISON | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Core Growth Fund versus Russell 3000 Growth Index
(December 27, 2000 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 12/27/00) |
21.69 | % | 11.72 | % | 8.87 | % | 5.51 | % | ||||||||
C Shares (Incep: 12/27/00) |
25.47 | % | 11.90 | % | 8.55 | % | 5.05 | % | ||||||||
I Shares (Incep: 11/3/03) |
28.01 | % | 13.29 | % | | 9.21 | % | |||||||||
R3 Shares (Incep: 7/1/03) |
27.32 | % | 12.72 | % | 9.37 | % | 9.69 | % | ||||||||
R4 Shares (Incep: 2/1/07) |
27.42 | % | 12.82 | % | | 3.94 | % | |||||||||
R5 Shares (Incep: 10/3/05) |
27.99 | % | 13.28 | % | | 7.64 | % | |||||||||
Russell 3000G Index (Since: 12/27/00) |
20.30 | % | 12.16 | % | 7.99 | % | 2.98 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50% . Class C shares are subject to a 1% contingent deferred sales charge (CDSC) for the first year only. There is no up-front sales charge for Class I, R3, R4, and R5 shares.
32 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 33
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
34 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. (8) Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 35
OTHER INFORMATION | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Core Growth Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent annual consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the annual evaluation of the Advisors performance, and to discuss the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of this information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide range of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment returns over different
36 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
periods of time, relative to a category of equity mutual funds selected by an independent mutual fund analyst firm, and relative to broad-based securities indices, (iv) the Funds cumulative investment return since inception relative to its benchmark securities index, and (v) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In reviewing quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the ten most recent calendar years, which showed the Funds investment return for the most recent calendar year was higher than the average return for the mutual fund category and the returns for the two indices, and that the Funds returns for the preceding nine calendar years exceeded the average returns of the category in six of the nine years, exceeded or were comparable to the returns of one of the indices in seven of the preceding nine years, and exceeded the returns of the second index in seven of the nine years. The Trustees noted particularly the positive change in the Funds relative investment performance in 2012 and in the current year. Other noted quantitative data showed that the Funds annualized investment returns fell in the top decile of performance for the mutual fund category for the year-to-date, one-year and three-year periods ended with the second quarter of the current year, and fell in the top quartile of performance for the category for the three-month and five-year periods. Data presented to the Trustees also demonstrated the Funds higher cumulative return since inception (net of expenses) relative to the Funds benchmark index.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee charged by the Advisor to the Fund, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged by the Advisor was somewhat higher than the median and average fee rates charged to the fund category, and that the overall expense ratio of a reference share class of the Fund was somewhat higher than the median and slightly higher than the average expense ratios for the fund category. The Trustees did not find these differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would
Certified Annual Report 37
OTHER INFORMATION, CONTINUED | ||
Thornburg Core Growth Fund |
September 30, 2013 (Unaudited) |
be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
38 Certified Annual Report
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This page is not part of the Annual Report. 39
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
40 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 41
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 43
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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2 This page is not part of the Annual Report.
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, R5 and R6 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains for the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and, as the Funds assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TIGAX | 885-215-319 | ||
Class C |
TIGCX | 885-215-293 | ||
Class I |
TINGX | 885-215-244 | ||
Class R3 |
TIGVX | 885-215-178 | ||
Class R4 |
TINVX | 885-215-160 | ||
Class R5 |
TINFX | 885-215-152 | ||
Class R6 |
THGIX | 885-216-820 |
Best International Multi-Cap Growth Fund
Lipper Classification Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested). Fund Classification Awards were given for three-year, five-year, and ten-year periods ended 11/30/12. The fund did not win the award for other time periods.
Glossary
MSCI All Country (AC) World ex-U.S. Growth Index A market capitalization weighted index that includes growth companies in developed and emerging markets throughout the world, excluding the United States.
MSCI EAFE (Europe, Australasia, Far East) Index An unmanaged, market capitalization weighted index that is a common benchmark for international portfolio performance. The index is calculated with net dividends reinvested in U.S. dollars.
MSCI Emerging Markets Index A free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 21 emerging market country indices:
Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less.
Price to Book Value (P/B) A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value. Book value is simply assets minus liabilities.
Price to Cash Flow Ratio A measure of the markets expectations of a firms future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
This page is not part of the Annual Report. 3
THORNBURG INTERNATIONAL GROWTH FUND
Portfolio Managers
Tim Cunningham, CFA, and Greg Dunn
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual operating expenses of Class A shares are 1.51% as disclosed in the most recent Prospectus.
Comprehensive International Growth Investing
A major benefit of an interconnected global economy is the ability to tap into a countrys or regions comparative advantages. Some countries have abundant natural resources, while others excel at manufacturing or engineering. The ability to allocate capital across borders allows the entire globe to benefit from these advantages. In an effort to capture these opportunities, Thornburg Investment Management launched the Thornburg International Growth Fund in 2007.
The Funds process is centered on identifying attractively valued international growth companies from the bottom up. The management team will leave it to others to make broad-based calls on the direction of the market. Instead, the team employs a comprehensive, go-everywhere approach to growth investing. The team classifies stocks into various growth baskets: growth industry leaders, consistent growth companies, or emerging growth companies. From those baskets, the team will typically build a portfolio of 3555 stocks, which they believe provides the best long-term prospects for investors. While stocks are analyzed on their individual merits, their role as part of a diversified portfolio is also taken into account.
Equity investing, especially disciplines focused on growing companies, can bring volatility. The Thornburg International Growth Fund team recognizes this and strives to balance the aims of generating a strong long-term record while attempting to manage downside volatility. Portfolio construction and geographic diversification provide part of the answer, but fundamental analysis can often play a more important role. While other growth funds limit volatility by diversifying across a large number of names, the team managing the Thornburg International Growth Fund believes that a more robust understanding of a smaller number of portfolio holdings is one of the most effective forms of risk management.
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 2/1/07) |
||||||||||||||||
Without sales charge |
30.16 | % | 18.91 | % | 15.27 | % | 9.28 | % | ||||||||
With sales charge |
24.33 | % | 17.09 | % | 14.21 | % | 8.53 | % | ||||||||
MSCI AC World ex-U.S. Growth Index |
16.16 | % | 6.11 | % | 6.33 | % | 1.89 | % |
4 This page is not part of the Annual Report.
Much of the research process is focused on identifying how the overall market came to price a security. Many of the ideas are sourced through a quantitative screening process of the universe of international companies. Only those with the most appealing growth and valuation characteristics pass on to the step of having a complex financial model built. Thornburgs growth investment team scours regulatory filings, visits company management, and interviews suppliers and customers. By doing this work, they develop their own view of the intrinsic value of the company. Only if their view is materially higher than the market do they make an investment.
Others may question how the team manages a growth portfolio, especially an international one, from Santa Fe, New Mexico. At Thornburg Investment Management, we embrace our location, away from the ancillary noise of the major money centers. We have access to Wall Street research, but prefer to come to our own conclusions about the value of an investment. The investment process allows the team to take a very broad view of what an attractively valued, international growth company looks like, and invest in those few companies that they believe provide the most attractive risk-reward trade-off. The result is a portfolio which at any given time will look quite unlike the MSCI AC World ex-U.S. Growth Index or the competition. All of this is done with a goal of providing attractive returns over the long term.
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors |
Top Detractors | |
YOOX S.p.A. | Allot Communications Ltd. | |
Valeant Pharmaceuticals International, Inc. | Able C & C Co., Ltd. | |
Japan Exchange Group, Inc. | Hyundai Glovis Co., Ltd. | |
ASOS plc | Jubilant Foodworks Ltd. | |
MasterCard, Inc. | MakeMyTrip Ltd. |
Source: FactSet
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-months* |
30.8x | |||
Portfolio Price to Cash Flow* |
21.4x | |||
Portfolio Price to Book Value* |
5.3x | |||
Median Market Cap* |
$ | 6.5 B | ||
5-Year Beta (A Shares vs. Benchmark)* |
0.92 | |||
Number of Companies |
54 |
* Source: FactSet
Market Capitalization Exposure
As of September 30, 2013
Basket Structure
As of September 30, 2013
This page is not part of the Annual Report. 5
Thornburg International Growth Fund
September 30, 2013
7 | ||||
10 | ||||
14 | ||||
16 | ||||
18 | ||||
19 | ||||
28 | ||||
30 | ||||
31 | ||||
32 | ||||
33 | ||||
36 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 21, 2013
Dear Fellow Shareholder:
For the fiscal year ended September 30, 2013, the Thornburg International Growth Fund returned 30.16% (for the Class A shares, without inclusion of the sales charge), outperforming its benchmark, the MSCI All Country World ex-U.S. Growth Index, which returned 16.16%. On September 30, 2013, the net asset value (NAV) per share of the Class A shares was $20.54.
With the notable exception of emerging markets, global equity market returns were strong during the fiscal year. The MSCI EAFE Index (representing developed international markets) was up 24.5%. Major market themes during the year in review included initial signs of economic recovery in Europe, shifting expectations regarding Federal Reserve monetary policy, and new monetary and fiscal policies in Japan known as Abenomics. At the heart of the new programs: Japanese Prime Minister Shinzo Abes plan for broad stimulus combined with structural reforms, which explicitly target sustained growth and inflation while implicitly tolerating a weaker yen. These new policies drove strong returns in Japan, which was the top-performing market during the period: 65.9% in local currency terms and 31.5% in U.S. dollar terms (after adjusting for the impact of the weaker yen).
Notably, emerging markets lagged during the period, with the MSCI Emerging Markets Index returning only 0.98%. Despite the delay in the Federal Reserves tapering its bond purchase program, many emerging markets remain vulnerable to U.S. monetary policy, and those countries with high dependence on foreign capital to fund current account imbalances are the most at risk.
The key drivers of outperformance in the Thornburg International Growth Fund, in sector terms, were mainly consumer discretionary, financials, materials, energy, and information technology stocks. Industrial stocks constituted the only sector that detracted from performance.
On a stock-by-stock basis, the Funds top contributors included Japan Exchange, Valeant Pharmaceuticals, YOOX, ASOS, and Mastercard, Inc.
Japan Exchange Group is the product of a merger of the two largest investment exchanges in Japan, the OSE and the TSE Group. Japan Exchange is now one of the largest stock exchanges in the world. The stock has been strong due to an extremely strong Japanese stock market, which has seen an appreciable increase in average daily trading volume, enabling Japan Exchange to beat earnings expectations. We also anticipate that over time, the merger of the two companies trading platforms will deliver cost synergies, helping the exchanges operating margins converge toward that of its Asian peers.
Valeants acquisitions of Medicis (late 2012) and Bausch & Lomb (in the third quarter of 2013) has proven highly accretive to earnings thanks to the expense synergies Valeant was able to realize. As a result, realized earnings have been robust and expectations for future earnings have increased meaningfully. Furthermore, Valeant has seen its earnings multiple increase as the market starts to
better appreciate Valeants unique approach of acquiring good, yet under-managed, pharmaceutical companies at a discount, and operating them more efficiently.
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
YOOX is an online partner to many brands in the luxury sector with two business lines. It is a discount retailer of end-of-season merchandise for luxury brands and of outsourced online operations for some luxury brands (including services such as website design, warehousing, and distribution). YOOX represents a rare opportunity; it is a fast-growing company, with a dominant market position and a first-mover advantage. Also, with growth relatively scarce in Europe, YOOX stands out.
ASOS is a U.K.-based online retailer of fashion apparel and accessories targeting young adults. Its shares have continued their positive performance this year thanks to strong results that continue to show robust top-line growth and some margin expansion. We believe ASOS is well positioned for further growth as it leverages the success it has seen in the U.K. market into increasing penetration of international markets, such as the European Union outside the U.K., the U.S., China and Russia.
Kabel Deutschland is a German cable and Internet provider. During the year under review, the merger and acquisition speculation surrounding Kabel Deutschland became a reality. First, Liberty Global made an offer to acquire Kabel Deutschland, which is well positioned in Germany and viewed as a strategic asset in the European carrier space. Vodafone, whose network is a better fit with Kabel Deutschlands, was forced to match and ultimately raise the offer to outbid Liberty, which they successfully did. The Fund recently collected a cash payment from Vodafone for the shares it owned.
Top detractors from performance during the period included Allot Communications, Able C & C, Hyundai Glovis, Jubilant Foodworks, and MakeMyTrip Ltd.
Allot Communications manufactures deep-packet inspection equipment that allows telecom carriers and cable companies to monitor and control traffic on their networks. For example, Allot can give priority to video-streaming customers, to ensure that they experience no buffering as they view content, while delaying an email that is not time sensitive. This improves efficiency of existing network assets. But the stock was weak as lackluster carrier spending weighed on results. We sold during the period.
Able is a Korean cosmetic company that sells its goods in its own branded stores. Traditionally a lower end brand, Able has had a couple of middle-market product hits, expanding its customer base and sales. We sold Ables stock during the quarter due to a pair of issues. First, new product innovation was slower than we initially thought. In fact, after the first two breakout middle market products appeared, Able hasnt developed anything quite as popular in the middle markets. Second, due to new Korean governmental competition laws, Able was restricted from setting up shops in close proximity to competing stores, which limits its ability to grow. We sold the stock.
Slowing car sales for Hyundai and an appreciating Korean won were a double whammy for Glovis, which distributes Hyundai cars around the world. The stock has traded off to very low valuations relative to its history, but the deterioration in growth profile, lack of visibility and elevated earnings risk led us to sell.
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
Jubilant FoodWorks operates the Dominos Pizza chain in India. This play on increasing disposable incomes and consumer willingness to spend in India had been a strong performer in prior periods, but sold off during the fiscal year. The macroeconomic slowdown in India caused consumers to cut back on spending, hurting sales growth. We continue to like the longer-term story and continue to own the stock.
MakeMyTrip is the leading Indian online travel agent. Its reliance on air travel bookings has been a headwind. In general, online travel agents are in a weak negotiating position versus the airlines, due to the relatively small number/high volume each airline brings. Overall growth in travel in India and the move online has progressed slower than we expected. We sold our position.
We suspect that a number of key economic issues will remain in the headlines and continue to affect asset prices: European economic recovery, Fed tapering, Japan stimulus and reform, and the growth outlook of emerging markets. We will continue to do what we always do: search out promising growth companies with sound business fundamentals trading at reasonable valuations.
Thank you for your investment in the Thornburg International Growth Fund.
Sincerely,
![]() |
![]() | |||
Greg Dunn Managing Director Portfolio Manager |
Tim Cunningham, CFA Managing Director Portfolio Manager |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg International Growth Fund |
September 30, 2013 |
Top Ten Equity Holdings
As of 9/30/13
Valeant Pharmaceuticals International, Inc. |
3.0 | % | Sands China Ltd. | 2.3 | % | |||||
MasterCard, Inc. |
2.5 | % | Companhia de Bebidas das Americas ADR | 2.2 | % | |||||
Liberty Global plc |
2.5 | % | Constellation Software, Inc. | 2.1 | % | |||||
Wirecard AG |
2.5 | % | Hargreaves Lansdown plc | 2.0 | % | |||||
Telecity Group plc |
2.4 | % | Avago Technologies Ltd. | 2.0 | % |
Summary of Industry Exposure
As of 9/30/13
Software & Services |
18.1 | % | Transportation | 3.3 | % | |||||
Retailing |
8.2 | % | Automobiles & Components | 3.2 | % | |||||
Diversified Financials |
6.6 | % | Materials | 3.2 | % | |||||
Media |
6.1 | % | Technology Hardware & Equipment | 3.0 | % | |||||
Food & Staples Retailing |
5.9 | % | Banks | 2.7 | % | |||||
Semiconductors & Semiconductor Equipment |
5.7 | % | Health Care Equipment & Services | 1.9 | % | |||||
Food, Beverage & Tobacco |
5.3 | % | Telecommunication Services | 1.7 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
5.1 | % | Consumer Durables & Apparel | 1.7 | % | |||||
Consumer Services |
4.7 | % | Other Assets & Liabilities | 10.1 | % | |||||
Commercial & Professional Services |
3.5 | % |
Summary of Country Exposure
As of 9/30/13 (percent of equity holdings)
United Kingdom |
22.6 | % | Hong Kong | 2.5 | % | |||||
United States |
10.3 | % | Singapore | 2.3 | % | |||||
Canada |
9.4 | % | Poland | 2.2 | % | |||||
Germany |
6.6 | % | Finland | 1.9 | % | |||||
Netherlands |
6.2 | % | Israel | 1.8 | % | |||||
Brazil |
5.9 | % | Italy | 1.7 | % | |||||
Japan |
3.7 | % | Peru | 1.7 | % | |||||
Russia |
3.6 | % | Mexico | 1.3 | % | |||||
Denmark |
3.4 | % | Turkey | 1.3 | % | |||||
India |
3.3 | % | Philippines | 1.2 | % | |||||
Ireland |
3.1 | % | Costa Rica | 1.0 | % | |||||
China |
3.0 | % |
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||||
COMMON STOCK 89.84% |
||||||||||
AUTOMOBILES & COMPONENTS 3.21% |
||||||||||
AUTO COMPONENTS 3.21% |
||||||||||
Delphi Automotive plc |
387,200 | $ | 22,620,224 | |||||||
Nokian Renkaat OYJ |
515,300 | 26,170,029 | ||||||||
|
|
|||||||||
48,790,253 | ||||||||||
|
|
|||||||||
BANKS 2.75% |
||||||||||
COMMERCIAL BANKS 2.75% |
||||||||||
Credicorp Ltd. |
182,700 | 23,469,642 | ||||||||
Sberbank ADR |
1,520,000 | 18,285,600 | ||||||||
|
|
|||||||||
41,755,242 | ||||||||||
|
|
|||||||||
COMMERCIAL & PROFESSIONAL SERVICES 3.48% |
||||||||||
PROFESSIONAL SERVICES 3.48% |
||||||||||
Experian plc |
1,338,500 | 25,504,401 | ||||||||
Intertek Group plc |
513,500 | 27,474,652 | ||||||||
|
|
|||||||||
52,979,053 | ||||||||||
|
|
|||||||||
CONSUMER DURABLES & APPAREL 1.68% |
||||||||||
TEXTILES, APPAREL & LUXURY GOODS 1.68% |
||||||||||
Gildan Activewear, Inc. |
549,942 | 25,539,306 | ||||||||
|
|
|||||||||
25,539,306 | ||||||||||
|
|
|||||||||
CONSUMER SERVICES 4.73% |
||||||||||
HOTELS, RESTAURANTS & LEISURE 4.73% |
||||||||||
Dominos Pizza UK & IRL plc |
2,378,939 | 22,491,397 | ||||||||
a Jubilant FoodWorks Ltd. |
814,603 | 15,053,338 | ||||||||
Sands China Ltd. |
5,540,200 | 34,287,394 | ||||||||
|
|
|||||||||
71,832,129 | ||||||||||
|
|
|||||||||
DIVERSIFIED FINANCIALS 6.63% |
||||||||||
CAPITAL MARKETS 2.04% |
||||||||||
Hargreaves Lansdown plc |
1,955,400 | 31,007,042 | ||||||||
CONSUMER FINANCE 1.40% |
||||||||||
a First Cash Financial Services, Inc. |
366,600 | 21,244,470 | ||||||||
DIVERSIFIED FINANCIAL SERVICES 3.19% |
||||||||||
IG Group Holdings plc |
2,650,247 | 24,841,923 | ||||||||
Japan Exchange Group, Inc. |
1,073,200 | 23,725,150 | ||||||||
|
|
|||||||||
100,818,585 | ||||||||||
|
|
|||||||||
FOOD & STAPLES RETAILING 5.91% |
||||||||||
FOOD & STAPLES RETAILING 5.91% |
||||||||||
Jeronimo Martins SGPS SA |
1,447,200 | 29,720,090 | ||||||||
Magnit OJCS GDR |
498,600 | 30,788,550 | ||||||||
PriceSmart, Inc. |
137,376 | 13,083,690 | ||||||||
Puregold Price Club, Inc. |
16,936,600 | 16,220,859 | ||||||||
|
|
|||||||||
89,813,189 | ||||||||||
|
|
|||||||||
FOOD, BEVERAGE & TOBACCO 5.27% |
||||||||||
BEVERAGES 3.34% |
||||||||||
Coca Cola Icecek AS |
705,000 | 17,973,565 | ||||||||
Companhia de Bebidas das Americas ADR |
854,800 | 32,781,580 |
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
TOBACCO 1.93% |
||||||||
ITC Ltd. |
5,429,100 | $ | 29,385,042 | |||||
|
|
|||||||
80,140,187 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 1.88% |
||||||||
HEALTH CARE PROVIDERS & SERVICES 1.88% |
||||||||
a Catamaran Corp. |
623,457 | 28,647,849 | ||||||
|
|
|||||||
28,647,849 | ||||||||
|
|
|||||||
MATERIALS 3.17% |
||||||||
CHEMICALS 1.99% |
||||||||
Christian Hansen Holding AS |
855,400 | 30,286,786 | ||||||
METALS & MINING 1.18% |
||||||||
Southern Copper Corp. |
657,500 | 17,910,300 | ||||||
|
|
|||||||
48,197,086 | ||||||||
|
|
|||||||
MEDIA 6.08% |
||||||||
MEDIA 6.08% |
||||||||
a Kabel Deutschland Holding AG |
219,682 | 25,826,410 | ||||||
a Liberty Global plc |
479,300 | 38,032,455 | ||||||
Rightmove plc |
743,400 | 28,510,702 | ||||||
|
|
|||||||
92,369,567 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 5.06% |
||||||||
BIOTECHNOLOGY 2.07% |
||||||||
Abcam plc |
1,809,220 | 14,820,477 | ||||||
Novozymes AS |
433,900 | 16,598,558 | ||||||
PHARMACEUTICALS 2.99% |
||||||||
a Valeant Pharmaceuticals International, Inc. |
436,017 | 45,489,654 | ||||||
|
|
|||||||
76,908,689 | ||||||||
|
|
|||||||
RETAILING 8.20% |
||||||||
INTERNET & CATALOG RETAIL 6.53% |
||||||||
a ASOS plc |
273,300 | 22,746,130 | ||||||
a priceline.com, Inc. |
26,358 | 26,646,620 | ||||||
Start Today Co., Ltd. |
955,900 | 26,889,094 | ||||||
a YOOX S.p.A |
669,908 | 22,965,271 | ||||||
MULTILINE RETAIL 1.67% |
||||||||
Dollarama, Inc. |
313,000 | 25,436,853 | ||||||
|
|
|||||||
124,683,968 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 5.67% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 5.67% |
||||||||
ARM Holdings plc |
1,821,600 | 29,077,042 | ||||||
Avago Technologies Ltd. |
714,200 | 30,796,304 | ||||||
Infineon Technologies AG |
2,626,900 | 26,280,372 | ||||||
|
|
|||||||
86,153,718 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 18.10% |
||||||||
INFORMATION TECHNOLOGY SERVICES 5.93% |
||||||||
a InterXion Holding NV |
612,390 | 13,619,553 | ||||||
MasterCard, Inc. |
57,550 | 38,718,489 | ||||||
Wirecard AG |
1,103,605 | 37,750,822 |
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
INTERNET SOFTWARE & SERVICES 6.49% |
||||||||
a Baidu, Inc. ADR |
142,020 | $ | 22,038,664 | |||||
MercadoLibre, Inc. |
158,977 | 21,447,587 | ||||||
a SINA Corp. |
229,300 | 18,612,281 | ||||||
Telecity Group plc |
2,726,380 | 36,634,036 | ||||||
SOFTWARE 5.68% |
||||||||
Aveva Group plc |
260,103 | 10,939,685 | ||||||
Constellation Software, Inc. |
182,100 | 32,106,384 | ||||||
a Fleetmatics Group plc |
463,171 | 17,392,071 | ||||||
Solera Holdings, Inc. |
490,100 | 25,911,587 | ||||||
|
|
|||||||
275,171,159 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 3.01% |
||||||||
COMPUTERS & PERIPHERALS 3.01% |
||||||||
Gemalto NV |
192,941 | 20,717,183 | ||||||
a Stratasys Ltd. |
247,300 | 25,041,598 | ||||||
|
|
|||||||
45,758,781 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 1.68% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 1.68% |
||||||||
Ziggo N.V. |
632,137 | 25,604,294 | ||||||
|
|
|||||||
25,604,294 | ||||||||
|
|
|||||||
TRANSPORTATION 3.33% |
||||||||
AIR FREIGHT & LOGISTICS 1.65% |
||||||||
TNT Express N.V. |
2,749,600 | 25,101,194 | ||||||
ROAD & RAIL 1.68% |
||||||||
Localiza Rent a Car S.A. |
1,717,100 | 25,567,071 | ||||||
|
|
|||||||
50,668,265 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $1,070,566,013) |
1,365,831,320 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 2.43% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013, repurchase price $12,000,070 collateralized by 9 U.S. Government debt securities and 9 corporate debt securities, having an average coupon of 3.58%, a minimum credit rating of BBB-, maturity dates from 11/6/2015 to 12/1/2042, and having an aggregate market value of $12,479,292 at 10/1/2013 |
$ | 12,000,000 | 12,000,000 | |||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
12,000,000 | 12,000,000 | ||||||
Northeast Utilities, 0.20%, 10/1/2013 |
13,000,000 | 13,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $37,000,000) |
37,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 92.27% (Cost $1,107,566,013) |
$ | 1,402,831,320 | ||||||
OTHER ASSETS LESS LIABILITIES 7.73% |
117,537,013 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 1,520,368,333 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt | |
GDR | Global Depository Receipt |
See notes to financial statements.
Certified Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Growth Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $1,107,566,013) (Note 2) |
$ | 1,402,831,320 | ||
Cash |
98,882,571 | |||
Cash denominated in foreign currency (cost $4,460,927) |
4,460,657 | |||
Receivable for investments sold |
3,268,966 | |||
Receivable for fund shares sold |
21,504,523 | |||
Dividends receivable |
1,938,221 | |||
Dividend and interest reclaim receivable |
41,007 | |||
Interest receivable |
70 | |||
Prepaid expenses and other assets |
97,072 | |||
|
|
|||
Total Assets |
1,533,024,407 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
3,804,820 | |||
Payable for fund shares redeemed |
1,333,292 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
5,538,209 | |||
Payable to investment advisor and other affiliates (Note 3) |
1,338,960 | |||
Deferred taxes payable |
350,275 | |||
Accounts payable and accrued expenses |
290,518 | |||
|
|
|||
Total Liabilities |
12,656,074 | |||
|
|
|||
NET ASSETS |
$ | 1,520,368,333 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 1,840 | ||
Net unrealized appreciation |
289,393,366 | |||
Accumulated net realized gain (loss) |
13,700,422 | |||
Net capital paid in on shares of beneficial interest |
1,217,272,705 | |||
|
|
|||
$ | 1,520,368,333 | |||
|
|
14 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($580,194,370 applicable to 28,243,967 shares of beneficial interest outstanding - Note 4) |
$ | 20.54 | ||
Maximum sales charge, 4.50% of offering price |
0.97 | |||
|
|
|||
Maximum offering price per share |
$ | 21.51 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($116,452,842 applicable to 5,819,078 shares of beneficial interest outstanding - Note 4) |
$ | 20.01 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($737,535,745 applicable to 35,184,534 shares of beneficial interest outstanding - Note 4) |
$ | 20.96 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($13,982,414 applicable to 683,300 shares of beneficial interest outstanding - Note 4) |
$ | 20.46 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($26,441,382 applicable to 1,293,159 shares of beneficial interest outstanding - Note 4) |
$ | 20.45 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($43,208,668 applicable to 2,056,579 shares of beneficial interest outstanding - Note 4) |
$ | 21.01 | ||
|
|
|||
Class R6 Shares: |
||||
Net asset value, offering and redemption price per share ($2,552,912 applicable to 121,272 shares of beneficial interest outstanding - Note 4) |
$ | 21.05 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 15
STATEMENT OF OPERATIONS | ||
Thornburg International Growth Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $ 892,214) |
$ | 12,619,933 | ||
Interest income |
145,464 | |||
|
|
|||
Total Income |
12,765,397 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
7,982,876 | |||
Administration fees (Note 3) |
||||
Class A Shares |
479,916 | |||
Class C Shares |
101,171 | |||
Class I Shares |
208,202 | |||
Class R3 Shares |
11,707 | |||
Class R4 Shares |
24,610 | |||
Class R5 Shares |
16,132 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
936,078 | |||
Class C Shares |
809,367 | |||
Class R3 Shares |
46,949 | |||
Class R4 Shares |
45,255 | |||
Transfer agent fees |
||||
Class A Shares |
461,671 | |||
Class C Shares |
95,424 | |||
Class I Shares |
238,380 | |||
Class R3 Shares |
22,843 | |||
Class R4 Shares |
61,490 | |||
Class R5 Shares |
60,685 | |||
Class R6 Shares |
865 | |||
Registration and filing fees |
||||
Class A Shares |
56,846 | |||
Class C Shares |
2,440 | |||
Class I Shares |
62,793 | |||
Class R3 Shares |
20,868 | |||
Class R4 Shares |
19,112 | |||
Class R5 Shares |
19,069 | |||
Class R6 Shares |
21,864 | |||
Custodian fees (Note 3) |
362,076 | |||
Professional fees |
73,708 | |||
Accounting fees |
23,205 | |||
Trustee fees |
30,765 | |||
Other expenses |
197,938 | |||
|
|
|||
Total Expenses |
12,494,305 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(330,755 | ) | ||
Investment advisory fees waived by investment advisor (Note 3) |
(171,445 | ) | ||
Fees paid indirectly (Note 3) |
(821 | ) | ||
|
|
|||
Net Expenses |
11,991,284 | |||
|
|
|||
Net Investment Income |
$ | 774,113 | ||
|
|
16 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Growth Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments (net of realized capital gain taxes paid of $217,459) |
$ | 36,748,110 | ||
Forward currency contracts (Note 7) |
4,001,407 | |||
Foreign currency transactions |
(994,095 | ) | ||
|
|
|||
39,755,422 | ||||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments (net of change in deferred taxes payable of $237,363) |
227,429,833 | |||
Forward currency contracts (Note 7) |
(6,188,053 | ) | ||
Foreign currency translations |
19,666 | |||
|
|
|||
221,261,446 | ||||
|
|
|||
Net Realized and Unrealized Gain |
261,016,868 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 261,790,981 | ||
|
|
See notes to financial statements.
Certified Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Growth Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income (loss) |
$ | 774,113 | $ | (1,126,019 | ) | |||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
39,755,422 | (15,172,510 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes |
221,261,446 | 79,279,293 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
261,790,981 | 62,980,764 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
| (11,302 | ) | |||||
Class I Shares |
| (245,656 | ) | |||||
Class R3 Shares |
| (929 | ) | |||||
Class R4 Shares |
| (4,505 | ) | |||||
Class R5 Shares |
| (19,885 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
219,316,525 | 122,496,950 | ||||||
Class C Shares |
39,396,378 | 12,620,154 | ||||||
Class I Shares |
420,392,597 | 99,601,452 | ||||||
Class R3 Shares |
5,686,471 | 3,119,582 | ||||||
Class R4 Shares |
11,731,139 | 8,359,179 | ||||||
Class R5 Shares |
15,049,318 | 17,083,118 | ||||||
Class R6 Shares |
2,399,571 | | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
975,762,980 | 325,978,922 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
544,605,353 | 218,626,431 | ||||||
|
|
|
|
|||||
End of Year |
$ | 1,520,368,333 | $ | 544,605,353 | ||||
|
|
|
|
|||||
Undistributed (distribution in excess of) net investment income |
$ | 1,840 | $ | (1,799,732 | ) |
See notes to financial statements.
18 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Growth Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg International Growth Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Fund commenced operations on February 1, 2007. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers seven classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, Class R5, and Class R6). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (vii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
Certified Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 1,365,831,320 | $ | 1,365,831,320 | $ | | $ | | ||||||||
Short Term Investments |
37,000,000 | | 37,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,402,831,320 | $ | 1,365,831,320 | $ | 37,000,000 | $ | | ||||||||
Other Financial Instruments** |
||||||||||||||||
Spot Currency |
$ | 2,373 | $ | 2,373 | $ | | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (5,538,209 | ) | $ | | $ | (5,538,209 | ) | $ | | ||||||
Spot Currency |
$ | (4,213 | ) | $ | (4,213 | ) | $ | | $ | |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust has also entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares (except for Class R6 shares, which do not have an administrative services agreement) and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $65,349 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $17,326 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The
Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual
Class I, Class R3, Class R4, Class R5, and Class R6 expenses do not exceed 0.99%, 1.50%, 1.40%, 0.99%, and 0.89%,
respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases
to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor voluntarily reimbursed certain class specific expenses, administrative fees, and distribution fees of $326 for Class C shares, contractually reimbursed $138,541 for Class I shares, $46,322 for Class R3 shares, $55,422 for Class R4 shares, $67,415 for Class R5 shares, and $22,729 for Class R6 shares and voluntarily waived investment advisory fees of $171,445.
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $821.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
18,072,733 | $ | 325,534,070 | 12,941,145 | $ | 187,401,388 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 614 | 9,581 | ||||||||||||
Shares repurchased |
(6,034,639 | ) | (106,217,545 | ) | (4,580,563 | ) | (64,921,668 | ) | ||||||||
Redemption fees received* |
| | | 7,649 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
12,038,094 | $ | 219,316,525 | 8,361,196 | $ | 122,496,950 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
2,888,564 | $ | 50,987,977 | 1,496,024 | $ | 21,154,431 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(663,227 | ) | (11,591,599 | ) | (602,003 | ) | (8,536,476 | ) | ||||||||
Redemption fees received* |
| | | 2,199 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
2,225,337 | $ | 39,396,378 | 894,021 | $ | 12,620,154 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
27,208,099 | $ | 501,442,073 | 10,700,499 | $ | 156,001,081 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 12,048 | 190,595 | ||||||||||||
Shares repurchased |
(4,429,838 | ) | (81,049,476 | ) | (3,883,054 | ) | (56,595,538 | ) | ||||||||
Redemption fees received* |
| | | 5,314 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
22,778,261 | $ | 420,392,597 | 6,829,493 | $ | 99,601,452 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
467,014 | $ | 8,214,767 | 353,632 | $ | 5,122,691 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 44 | 683 | ||||||||||||
Shares repurchased |
(146,581 | ) | (2,528,296 | ) | (135,178 | ) | (2,003,942 | ) | ||||||||
Redemption fees received* |
| | | 150 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
320,433 | $ | 5,686,471 | 218,498 | $ | 3,119,582 | ||||||||||
|
|
|
|
|
|
|
|
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
1,044,260 | $ | 17,883,776 | 666,008 | $ | 9,582,033 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 209 | 3,239 | ||||||||||||
Shares repurchased |
(344,989 | ) | (6,152,637 | ) | (83,272 | ) | (1,226,176 | ) | ||||||||
Redemption fees received* |
| | | 83 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
699,271 | $ | 11,731,139 | 582,945 | $ | 8,359,179 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
1,964,624 | $ | 34,202,940 | 1,282,201 | $ | 18,775,403 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 1,254 | 19,885 | ||||||||||||
Shares repurchased |
(1,105,700 | ) | (19,153,622 | ) | (114,778 | ) | (1,712,501 | ) | ||||||||
Redemption fees received* |
| | | 331 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
858,924 | $ | 15,049,318 | 1,168,677 | $ | 17,083,118 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R6 Shares** |
||||||||||||||||
Shares sold |
121,272 | $ | 2,399,571 | | $ | | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
| | | | ||||||||||||
Redemption fees received* |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
121,272 | $ | 2,399,571 | | $ | | ||||||||||
|
|
|
|
|
|
|
|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
** | Inception date for this class of shares was February 1, 2013. |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,389,186,132 and $787,741,074, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 1,108,469,028 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 308,027,431 | ||
Gross unrealized depreciation on a tax basis |
(13,665,139 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 294,362,292 | ||
|
|
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
During the year ended September 30, 2013, the Fund utilized $11,872,802 of capital loss carryforwards generated prior to October 1, 2011, which would have expired in September 2018 if unused.
In order to account for permanent book/tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $2,239,013, increased accumulated net realized gain by $1,211,554, and decreased distribution in excess of net investment income by $1,027,459. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency gains (losses), foreign capital gains taxes and nondeductible net operating losses.
At September 30, 2013, the Fund had $9,065,228 of undistributed tax basis capital gains and no tax basis undistributed ordinary income.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | | $ | 282,168 | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | | $ | 282,168 | ||||
|
|
|
|
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $120,816,176. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 |
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Euro |
Sell | 72,315,200 | 03/20/2014 | 97,879,539 | $ | | $ | (1,311,990 | ) | |||||||||||||||
Great Britain Pound |
Sell | 28,995,300 | 01/22/2014 | 46,903,049 | | (2,885,284 | ) | |||||||||||||||||
Japanese Yen |
Sell | 971,761,200 | 11/29/2013 | 9,889,376 | | (43,571 | ) | |||||||||||||||||
Japanese Yen |
Buy | 493,712,200 | 11/29/2013 | 5,024,388 | | (107,649 | ) | |||||||||||||||||
Japanese Yen |
Sell | 1,261,847,000 | 11/29/2013 | 12,841,508 | | (114,604 | ) | |||||||||||||||||
Japanese Yen |
Sell | 3,449,088,000 | 11/29/2013 | 35,100,523 | | (1,075,111 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total |
$ | | $ | (5,538,209 | ) | |||||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2013
Liability Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts | $ (5,538,209) |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss) on Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts |
$ | 4,001,407 | $ | 4,001,407 |
Amount of Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts |
$ | (6,188,053 | ) | $ | (6,188,053 | ) |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 27
Thornburg International Growth Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ |
RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net Investment Income (Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net of |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||||||
Class A Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 15.78 | (0.01 | ) | 4.77 | 4.76 | | | | $20.54 | (0.06 | ) | 1.41 | 1.41 | 1.42 | 30.16 | 89.17 | $ | 580,194 | |||||||||||||||||||||||||||||||||
2012(b) |
$ | 13.37 | (0.06 | ) | 2.47 | 2.41 | | (c) | | | $15.78 | (0.41 | ) | 1.51 | 1.51 | 1.52 | 18.03 | 95.17 | $ | 255,725 | ||||||||||||||||||||||||||||||||
2011(b) |
$ | 12.25 | 0.03 | 1.13 | 1.16 | (0.04 | ) | | (0.04 | ) | $13.37 | 0.19 | 1.51 | 1.50 | 1.54 | 9.43 | 142.59 | $ | 104,918 | |||||||||||||||||||||||||||||||||
2010(b) |
$ | 10.36 | | (d) | 1.94 | 1.94 | (0.05 | ) | | (0.05 | ) | $12.25 | (0.02 | ) | 1.61 | 1.60 | 1.70 | 18.82 | 128.86 | $ | 36,527 | |||||||||||||||||||||||||||||||
2009(b) |
$ | 10.35 | 0.04 | 0.10 | 0.14 | (0.13 | ) | | (0.13 | ) | $10.36 | 0.52 | 1.62 | 1.61 | 1.95 | 1.89 | 103.57 | $ | 24,015 | |||||||||||||||||||||||||||||||||
Class C Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.49 | (0.14 | ) | 4.66 | 4.52 | | | | $20.01 | (0.81 | ) | 2.15 | 2.15 | 2.17 | 29.18 | 89.17 | $ | 116,453 | |||||||||||||||||||||||||||||||||
2012 |
$ | 13.23 | (0.17 | ) | 2.43 | 2.26 | | | | $15.49 | (1.19 | ) | 2.27 | 2.27 | 2.28 | 17.08 | 95.17 | $ | 55,656 | |||||||||||||||||||||||||||||||||
2011 |
$ | 12.18 | (0.11 | ) | 1.16 | 1.05 | | | | $13.23 | (0.77 | ) | 2.30 | 2.30 | 2.34 | 8.62 | 142.59 | $ | 35,706 | |||||||||||||||||||||||||||||||||
2010 |
$ | 10.33 | (0.09 | ) | 1.94 | 1.85 | | | | $12.18 | (0.81 | ) | 2.38 | 2.38 | 2.51 | 17.91 | 128.86 | $ | 24,829 | |||||||||||||||||||||||||||||||||
2009 |
$ | 10.22 | (0.02 | ) | 0.18 | 0.16 | (0.05 | ) | | (0.05 | ) | $10.33 | (0.21 | ) | 2.37 | 2.37 | 2.72 | 1.76 | 103.57 | $ | 19,233 | |||||||||||||||||||||||||||||||
Class I Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 16.04 | 0.07 | 4.85 | 4.92 | | | | $20.96 | 0.38 | 0.99 | 0.99 | 1.04 | 30.67 | 89.17 | $ | 737,536 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 13.55 | 0.02 | 2.50 | 2.52 | (0.03 | ) | | (0.03 | ) | $16.04 | 0.10 | 0.99 | 0.99 | 1.14 | 18.60 | 95.17 | $ | 198,938 | |||||||||||||||||||||||||||||||||
2011 |
$ | 12.38 | 0.10 | 1.14 | 1.24 | (0.07 | ) | | (0.07 | ) | $13.55 | 0.66 | 0.99 | 0.98 | 1.16 | 10.03 | 142.59 | $ | 75,538 | |||||||||||||||||||||||||||||||||
2010 |
$ | 10.44 | 0.07 | 1.96 | 2.03 | (0.09 | ) | | (0.09 | ) | $12.38 | 0.58 | 0.99 | 0.99 | 1.25 | 19.60 | 128.86 | $ | 39,169 | |||||||||||||||||||||||||||||||||
2009 |
$ | 10.46 | 0.10 | 0.08 | 0.18 | (0.20 | ) | | (0.20 | ) | $10.44 | 1.17 | 0.99 | 0.99 | 1.42 | 2.56 | 103.57 | $ | 24,313 | |||||||||||||||||||||||||||||||||
Class R3 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.73 | (0.03 | ) | 4.76 | 4.73 | | | | $20.46 | (0.15 | ) | 1.50 | 1.50 | 2.01 | 30.07 | 89.17 | $ | 13,982 | |||||||||||||||||||||||||||||||||
2012 |
$ | 13.34 | (0.06 | ) | 2.45 | 2.39 | | (c) | | | $15.73 | (0.40 | ) | 1.50 | 1.50 | 2.49 | 17.94 | 95.17 | $ | 5,709 | ||||||||||||||||||||||||||||||||
2011 |
$ | 12.22 | 0.01 | 1.15 | 1.16 | (0.04 | ) | | (0.04 | ) | $13.34 | 0.06 | 1.50 | 1.49 | 3.27 | 9.46 | 142.59 | $ | 1,925 | |||||||||||||||||||||||||||||||||
2010 |
$ | 10.33 | 0.01 | 1.94 | 1.95 | (0.06 | ) | | (0.06 | ) | $12.22 | 0.07 | 1.50 | 1.50 | 4.34 | 18.98 | 128.86 | $ | 1,094 | |||||||||||||||||||||||||||||||||
2009 |
$ | 10.36 | 0.08 | 0.06 | 0.14 | (0.17 | ) | | (0.17 | ) | $10.33 | 0.94 | 1.46 | 1.46 | 6.14 | (e) | 2.09 | 103.57 | $ | 748 | ||||||||||||||||||||||||||||||||
Class R4 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.70 | (0.01 | ) | 4.76 | 4.75 | | | | $20.45 | (0.04 | ) | 1.38 | 1.38 | 1.68 | 30.25 | 89.17 | $ | 26,441 | |||||||||||||||||||||||||||||||||
2012 |
$ | 13.31 | (0.04 | ) | 2.46 | 2.42 | (0.03 | ) | | (0.03 | ) | $15.70 | (0.29 | ) | 1.40 | 1.40 | 2.23 | 18.17 | 95.17 | $ | 9,326 | |||||||||||||||||||||||||||||||
2011 |
$ | 12.18 | 0.07 | 1.10 | 1.17 | (0.04 | ) | | (0.04 | ) | $13.31 | 0.46 | 1.40 | 1.40 | 32.23 | (e) | 9.62 | 142.59 | $ | 146 | ||||||||||||||||||||||||||||||||
2010 |
$ | 10.29 | 0.02 | 1.94 | 1.96 | (0.07 | ) | | (0.07 | ) | $12.18 | 0.15 | 1.42 | 1.40 | 738.92 | (e) | 19.11 | 128.86 | $ | 3 | ||||||||||||||||||||||||||||||||
2009 |
$ | 10.36 | 0.07 | 0.06 | 0.13 | (0.20 | ) | | (0.20 | ) | $10.29 | 0.82 | 1.40 | 1.40 | 980.09 | (e) | 2.10 | 103.57 | $ | 2 | ||||||||||||||||||||||||||||||||
Class R5 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 16.07 | 0.07 | 4.87 | 4.94 | | | | $21.01 | 0.35 | 0.99 | 0.99 | 1.22 | 30.74 | 89.17 | $ | 43,209 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 13.58 | 0.02 | 2.50 | 2.52 | (0.03 | ) | | (0.03 | ) | $16.07 | 0.13 | 0.99 | 0.99 | 1.29 | 18.56 | 95.17 | $ | 19,251 | |||||||||||||||||||||||||||||||||
2011 |
$ | 12.40 | 0.08 | 1.17 | 1.25 | (0.07 | ) | | (0.07 | ) | $13.58 | 0.55 | 0.99 | 0.99 | 10.60 | (e) | 10.09 | 142.59 | $ | 393 | ||||||||||||||||||||||||||||||||
2010 |
$ | 10.46 | (0.09 | ) | 2.12 | 2.03 | (0.09 | ) | | (0.09 | ) | $12.40 | (0.83 | ) | 0.99 | 0.99 | 17.58 | (e) | 19.56 | 128.86 | $ | 171 | ||||||||||||||||||||||||||||||
2009 |
$ | 10.46 | 0.08 | 0.11 | 0.19 | (0.19 | ) | | (0.19 | ) | $10.46 | 0.92 | 0.97 | 0.97 | 522.27 | (e) | 2.53 | 103.57 | $ | 9 | ||||||||||||||||||||||||||||||||
Class R6 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
2013(f) |
$ | 17.54 | 0.46 | 3.05 | 3.51 | | | | $21.05 | 2.21 | (g) | 0.89 | (g) | 0.89 | (g) | 11.83 | (e)(g) | 20.01 | 89.17 | $ | 2,553 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Dividends from net investment income per share were less than $(0.01). |
(d) | Net Investment Income (Loss) was less than $0.01 per share. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(f) | Effective date of this class of shares was February 1, 2013. |
(g) | Annualized. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Annual Report | Certified Annual Report 29 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg International Growth Fund
To the Trustees and Shareholders of
Thornburg International Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
30 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,136.10 | $ | 7.41 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.13 | $ | 7.00 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,131.80 | $ | 11.37 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,014.40 | $ | 10.75 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,137.90 | $ | 5.23 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.18 | $ | 4.94 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,135.40 | $ | 7.94 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.63 | $ | 7.50 | ||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,136.10 | $ | 7.27 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.26 | $ | 6.87 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,138.10 | $ | 5.22 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.19 | $ | 4.93 | ||||||
Class R6 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,138.50 | $ | 4.77 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.61 | $ | 4.51 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.38%; C: 2.13%; I: 0.98%; R3: 1.48%; R4: 1.36%; R5: 0.97%; R6: 0.89%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 31
INDEX COMPARISON | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg International Growth Fund versus MSCI AC World ex-U.S. Growth Index
(February 1, 2007 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 2/1/07) |
24.33 | % | 17.09 | % | 14.21 | % | 8.53 | % | ||||||||
C Shares (Incep: 2/1/07) |
28.18 | % | 18.00 | % | 14.54 | % | 8.56 | % | ||||||||
I Shares (Incep: 2/1/07) |
30.67 | % | 19.47 | % | 15.90 | % | 9.91 | % | ||||||||
R3 Shares (Incep: 2/1/08) |
30.07 | % | 18.86 | % | 15.32 | % | 7.62 | % | ||||||||
R4 Shares (Incep: 2/1/08) |
30.25 | % | 19.05 | % | 15.46 | % | 7.74 | % | ||||||||
R5 Shares (Incep: 2/1/08) |
30.74 | % | 19.50 | % | 15.91 | % | 8.16 | % | ||||||||
R6 Shares (Incep: 2/1/13)* |
| | | 20.01 | % | |||||||||||
MSCI AC World ex-U.S. Growth Index (Since 2/1/07) |
16.16 | % | 6.11 | % | 6.33 | % | 1.89 | % |
* | Not annualized for periods less than one year. |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4, R5, and R6 shares.
32 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 33
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
34 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 35
OTHER INFORMATION | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg International Growth Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the specified information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment returns over different
36 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
periods of time relative to a category of mutual funds selected by an independent mutual fund analyst firm that invest primarily in foreign growth stocks, and relative to a broad-based securities index, (iv) the Funds cumulative investment return since inception relative to the securities index, and (v) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the five calendar years since the Funds inception, which showed that the Funds investment return in calendar year 2008 was lower than the return for the index and the average return of the foreign growth fund category, but that the Funds return was higher than the return of the index for each of the four subsequent calendar years 2009 2012 and was higher than the average returns of the fund category in 2010 and 2011 and comparable to the average return of the category in 2012. Other noted quantitative data showed that the Funds annualized investment returns fell within the top quartile of performance for the fund category for the three-month period ended with second quarter of the current year, and fell within the highest decile of performance for the year-to-date, one-year, three-year and five-year periods. The Trustees also noted the Funds higher cumulative return since its inception (net of expenses) relative to its benchmark index.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objective. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, the Advisors payment of certain Fund expenses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of foreign equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was comparable to the median and average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was comparable to the median and average expense ratios for the fund category. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust
Certified Annual Report 37
OTHER INFORMATION, CONTINUED | ||
Thornburg International Growth Fund |
September 30, 2013 (Unaudited) |
as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund increases in size due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
38 Certified Annual Report
This page intentionally left blank.
This page is not part of the Annual Report. 39
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
40 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 41
42 This page is not part of the Annual Report.
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 43
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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TH1539 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Additionally, the Fund may invest a portion of the assets in small capitalization companies, which may increase the risk of greater price fluctuations. As with direct bond ownership, funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any government agency. There is no guarantee that the Fund will meet its investment objectives.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
TIBAX | 885-215-558 | ||
Class C |
TIBCX | 885-215-541 | ||
Class I |
TIBIX | 885-215-467 | ||
Class R3 |
TIBRX | 885-215-384 | ||
Class R4 |
TIBGX | 885-215-186 | ||
Class R5 |
TIBMX | 885-215-236 |
Glossary
Blended Index The Blended Index is composed of 25% Barclays U.S. Aggregate Bond Index and 75% MSCI World Index. The Barclays U.S. Aggregate Bond Index is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index. The MSCI World Index is an unmanaged market-weighted index that consists of securities traded in 24 of the worlds most developed countries. Securities are listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The index is calculated with net dividends reinvested, in U.S. dollars.
FlNRA-Bloomberg Active Investment Grade U.S. Corporate Bond Index This index is comprised of the active (most frequently traded) fixed-coupon, investment-grade bonds represented by FINRA TRACE, FINRAs transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds.
MSCI All Country (AC) World Index A market capitalization weighted index that is representative of the market structure of 45 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
MSCI Country Indices Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country in U.S. dollars.
MSCI EM (Emerging Markets) Latin America Index A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets in Latin America. The index consists of the following 5 emerging market country indices: Brazil, Chile, Colombia, Mexico, and Peru.
MSCI Europe ex-U.K. A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. The MSCI Europe Index consists of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, and Switzerland.
MSCI Nordic Countries A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the Nordic region. The index consists of the following four developed market country indices: Denmark, Finland, Norway, and Sweden.
Russell 1000 Index An index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
Russell 2000 Index An index that measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index including approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
This page is not part of the Annual Report. 3
IMPORTANT INFORMATION, CONTINUED
S&P 500 Stock Index An unmanaged index generally representative of the U.S. stock market.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Basis Point (bp) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Bond Credit Ratings A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Bloomberg Market Data and are a combination of ratings from Standard and Poors, Moodys Investors Service, and Fitch Ratings.
Coupon The interest rate stated on a bond when its issued. The coupon is typically paid semi-annually.
Effective Duration A bonds sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share.
U.S. Treasury Securities U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the full faith and credit of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal income taxes.
4 This page is not part of the Annual Report.
THE DIVIDEND LANDSCAPE
To appreciate the investment environment in which Thornburg Investment Income Builder Fund operates, you may wish to review these highlights of the dividend landscape.
The S&P 500 Index Payout Ratio A Historical Perspective
The dividend payout ratio is a fraction that expresses dividend payments as a percentage of per-share earnings. As the economy slowed in the recent downturn, earnings-per-share on average declined, causing the payout ratio to climb, even as dividends paid by the S&P 500 portfolio declined by more than 10% in 2010. Earnings have since materially improved, bringing the payout ratio back in line with the overall recent trend.
S&P 500 Index Payout Ratio
Corporate Willingness to Pay Dividends is Key to the Funds Investment Process
The Russell 1000 Index includes approximately 1,000 public companies that are supposed to be generally representative of corporate America. Between 1980 and 1993, at least 75% of these firms paid some dividend. Between 1994 and 2001, the percentage of Russell 1000 companies paying dividends sank to just over 50%, indicating a preference towards reinvesting retained earnings in growth initiatives. Dividends returned to fashion between 2002 and 2008. A reduction in the number of Russell 1000 firms paying dividends followed the 2008 recession. However, an upward trend appears to be emerging since 2008.
Percentage of Companies Paying Dividends
in Russell 1000 Index
This page is not part of the Annual Report. 5
THE DIVIDEND LANDSCAPE, CONTINUED
Rising Dividend Payments Despite Decreasing Dividend Yields
S&P 500 Index Average Yield vs. Annual Dividends from a Hypothetical
$10,000 Investment (Dividends not Reinvested)
Over time, the dollar dividend per unit of the S&P 500 Index has generally increased. Because the price of the index itself has increased even more, the yield on the S&P 500 Index, as a percentage of the current index price, has generally decreased in recent decades. You should note, however, that the yield on an original investment made at a fixed point in time (say, 1970 or 1989) has increased, even without reinvestment of dividends.
Hypothetical chart is for illustration purposes only and is not indicative of an investment in any particular security. Investors may not invest directly in an index.
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High-Yield Stocks!
The Top 100 Dividend Yields
Russell 1000 Index | Russell 2000 Index | |||||||
Financials |
45 | % | 82 | % | ||||
Utilities |
22 | % | 1 | % | ||||
Energy |
9 | % | 4 | % | ||||
Consumer Discretionary |
7 | % | 2 | % | ||||
Telecommunication Services |
5 | % | 2 | % | ||||
Consumer Staples |
4 | % | 1 | % | ||||
Industrials |
3 | % | 5 | % | ||||
Information Technology |
3 | % | 1 | % | ||||
Materials |
1 | % | 1 | % | ||||
Health Care |
1 | % | 1 | % |
Source: FactSet as of September 30, 2013.
Past performance does not guarantee future results.
In the (large cap) Russell 1000 Index, 67% of the top 100 dividend payers are in the financials and utilities sectors. In the (small cap) Russell 2000 Index, 82% of the top 100 dividend-yielding stocks are financial companies. In order to construct a diversified portfolio of attractive yielding stocks, one must look beyond these two sectors. We do!
Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.
6 This page is not part of the Annual Report.
Global Diversification Can Improve the Portfolio Yield
Since firms outside the U.S. tend to pay higher dividends than U.S. firms, particularly outside the real estate and utility sectors, we maintain the ability to diversify the Thornburg Investment Income Builder Fund into foreign dividend-paying stocks to try to take advantage of these opportunities.
Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Dividends are not guaranteed.
Average Dividend Yields (MSCI Indices)
of Markets Around the Globe
This page is not part of the Annual Report. 7
PORTFOLIO OVERVIEW
We do not expect each sequential quarters dividend to increase over that of the prior quarter, since dividend payments outside the United States tend to be seasonal. Rather, the Fund aspires to increase the dividend paid on an annual basis.
Portfolio Managers
Jason Brady, CFA, Brian McMahon and Ben Kirby, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.43%, as disclosed in the most recent Prospectus.
Quarterly Dividend History, Class A
Year |
Q1 | Q2 | Q3 | Q4 | Total | |||||||||||||||
2003 |
9.2 | ¢ | 11.2 | ¢ | 12.4 | ¢ | 17.5 | ¢ | 50.3 | ¢ | ||||||||||
2004 |
10.2 | ¢ | 12.5 | ¢ | 15.0 | ¢ | 21.8 | ¢ | 59.5 | ¢ | ||||||||||
2005 |
11.0 | ¢ | 13.6 | ¢ | 17.4 | ¢ | 29.0 | ¢ | 71.0 | ¢ | ||||||||||
2006 |
12.5 | ¢ | 16.0 | ¢ | 19.2 | ¢ | 33.0 | ¢ | 80.7 | ¢ | ||||||||||
2007 |
14.2 | ¢ | 18.5 | ¢ | 21.5 | ¢ | 36.8 | ¢ | 91.0 | ¢ | ||||||||||
2008 |
17.9 | ¢ | 21.8 | ¢ | 26.0 | ¢ | 36.8 | ¢ | 102.4 | ¢ | ||||||||||
2009 |
18.0 | ¢ | 24.2 | ¢ | 28.0 | ¢ | 34.5 | ¢ | 104.7 | ¢ | ||||||||||
2010 |
19.8 | ¢ | 25.0 | ¢ | 32.0 | ¢ | 36.0 | ¢ | 112.8 | ¢ | ||||||||||
2011 |
21.0 | ¢ | 26.0 | ¢ | 32.0 | ¢ | 37.5 | ¢ | 116.5 | ¢ | ||||||||||
2012 |
21.5 | ¢ | 26.0 | ¢ | 28.5 | ¢ | 36.0 | ¢ | 112.0 | ¢ | ||||||||||
2013 |
21.5 | ¢ | 25.3 | ¢ | 25.0 | ¢ |
30-day SEC Yield as of 9/30/13 (A Shares): 3.95%
Key Portfolio Attributes
As of September 30, 2013
Equity Statistics |
||||
Portfolio P/E (12-mo. trailing) |
13.3x | |||
Median Market Cap |
$ | 15.4 B | ||
Equity & Pref. Equity Holdings |
117 | |||
Fixed Income Statistics |
||||
Weighted Avg. Coupon |
8.11 | % | ||
Average Maturity |
10.74 yrs | |||
Effective Duration |
3.65 yrs | |||
Bond Holdings |
149 |
Portfolio Composition
As of September 30, 2013
Average Annual Total Returns
For periods ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 12/24/02) |
||||||||||||||||||||
Without sales charge |
12.51 | % | 9.52 | % | 10.30 | % | 10.11 | % | 11.07 | % | ||||||||||
With sales charge |
7.45 | % | 7.86 | % | 9.29 | % | 9.60 | % | 10.60 | % | ||||||||||
Blended Index (Since 12/24/02) |
14.42 | % | 9.74 | % | 7.62 | % | 7.10 | % | 7.79 | % | ||||||||||
S&P 500 Index (Since 12/24/02) |
19.34 | % | 16.27 | % | 10.02 | % | 7.57 | % | 8.24 | % |
Blended Index: 25% Barclays U.S. Aggregate Bond Index and 75% MSCI World Index
8 This page is not part of the Annual Report.
The primary investment objective of Thornburg Investment Income Builder Fund is to provide a level of current income which exceeds the average yield on U.S. stocks, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Funds secondary objective is long-term capital appreciation. These objectives remain constant over time. However, the specific investments we have used to try to reach our objectives have changed over time. There is no guarantee the Fund will meet its investment objectives.
Business conditions for various industries and operating effectiveness at individual firms change over time. Investor preferences, expressed as both absolute and relative prices, also change over time. In the view of your portfolio management team, some doors close and others open. As shown in the tables below, the percentage industry allocations of your Fund evolve to reflect these changing conditions.
Top Ten Industries | Top Ten Industries | |||||||||
As of 9/30/13 | As of 6/30/13 | |||||||||
Telecommunication Services |
18.5 | % | Telecommunication Services |
18.6 | % | |||||
Energy |
11.4 | % | Energy |
9.8 | % | |||||
Utilities |
10.5 | % | Diversified Financials |
9.6 | % | |||||
Diversified Financials |
9.0 | % | Utilities |
9.3 | % | |||||
Real Estate |
6.8 | % | Pharmaceuticals, Biotechnology & Life Sciences |
9.1 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
6.4 | % | Real Estate |
8.5 | % | |||||
Food, Beverage & Tobacco |
4.6 | % | Food, Beverage & Tobacco |
4.4 | % | |||||
Banks |
3.8 | % | Banks |
4.4 | % | |||||
Consumer Services |
3.6 | % | Materials |
3.8 | % | |||||
Materials |
3.6 | % | Consumer Services |
3.3 | % | |||||
Top Ten Industries | Top Ten Industries | |||||||||
As of 3/31/13 | As of 12/31/12 | |||||||||
Telecommunication Services |
18.1 | % | Telecommunication Services |
19.8 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
9.6 | % | Energy |
11.2 | % | |||||
Diversified Financials |
9.2 | % | Diversified Financials |
9.7 | % | |||||
Energy |
9.2 | % | Utilities |
9.0 | % | |||||
Real Estate |
7.1 | % | Pharmaceuticals, Biotechnology & Life Sciences |
8.2 | % | |||||
Utilities |
7.1 | % | Real Estate |
7.0 | % | |||||
Insurance |
5.2 | % | Materials |
4.6 | % | |||||
Food, Beverage & Tobacco |
4.0 | % | Food, Beverage & Tobacco |
3.9 | % | |||||
Banks |
3.8 | % | Consumer Services |
3.2 | % | |||||
Materials |
3.6 | % | Banks |
3.2 | % |
This page is not part of the Annual Report. 9
Thornburg Investment Income Builder Fund
September 30, 2013
11 | ||||
18 | ||||
32 | ||||
34 | ||||
36 | ||||
37 | ||||
48 | ||||
50 | ||||
51 | ||||
52 | ||||
53 | ||||
56 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
10 Certified Annual Report
October 21, 2013
Dear Fellow Shareholder:
This letter will highlight the basic results of the Thornburg Investment Income Builder Funds investment activities for the six- and twelve-month periods ended September 30, 2013. In addition, we will comment on the overall investment landscape, which continues to evolve.
The Fund paid dividends of $1.078 per Class A share in the twelve months ending September 30, 2013, down 5.0% from the $1.135 per share paid in the comparable prior year period. The dividends per share were higher for Class I and Class R5 shares, and lower on the Class C, R3, and R4 shares, to account for varying class-specific expenses. The net asset value for Class A share increased by $1.23 per share during the period, from $18.90 to $20.13, giving a total return including dividends of 12.51% at net asset value (NAV).
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.43%, as disclosed in the most recent Prospectus.
For the fiscal year ended September 30, 2013, Thornburg Investment Income Builder Fund under-performed the blended index of 75% MSCI World Index/25% Barclays U.S. Aggregate Bond Index (total return of 14.42%) and the S&P 500 Index (total return of 19.34%). While we would like to outperform benchmark returns in all market conditions, it is not unusual for the Fund to lag these benchmarks over shorter trailing measurement periods, especially when annualized benchmark returns are greater than 10%.
For the trailing five-year time period, and since inception, the A shares of your Fund have outperformed both indices, as noted on page 8 of this booklet. Performance relative to indices for all share classes over various periods is set forth on page 52. The quarter ended September 30, 2013 was the 43rd full calendar quarter since the inception of the Fund in December 2002. In 32 of these quarters, the Fund delivered a positive total return. The Fund has delivered positive total returns in nine of its 10 calendar years of existence. As of September 30, 2013, the Fund has delivered tax-efficient average annual total returns in excess of 11% since inception.
We do not expect to pay any capital gain dividend for 2013. As of September 30, 2013, the Fund had realized capital losses of more than $1 billion, which may be carried forward to offset future capital gains to the extent permitted by regulations.
Several factors contributed to the year-over-year drop in income dividends paid by Thornburg Investment Income Builder Fund for the year ended September 30, 2013. Chief among these is the reduced interest income per share earned by the debt portion of the Funds portfolio, which dropped approximately four cents per share over the year as a result of both a lower allocation to bonds and lower overall yields on the bonds we held. The equities we purchased over the last year have not delivered comparable dollar-for-dollar income compared to the bonds they replaced as a percentage of the Income Builder portfolio, though we are hopeful that the equity dividends will grow over time. Long-time observers of the Fund may recall that we made some very lucrative bond investments in late 2008 and throughout 2009. Some of these have matured, and the positions that remain have become a smaller percentage of the Fund portfolio.
Certified Annual Report 11
LETTER TO SHAREHOLDERS,
CONTINUED
Other factors that contributed to the year-over-year drop in dividends were individually smaller, but together created a meaningful headwind:
| A portion of the cash distributions that the Fund received from its investments in pass-through entities (business development companies and asset managers) during 2012 was characterized as capital gain, rather than ordinary-income dividend. (IRS Schedule K-1s, which disclose tax information from pass-through entities, generally arrive in March or April. We know the taxable character of the dividends received in the prior calendar year only after we receive these. We must estimate, and distribute, virtually all of the taxable income of the Fund by calendar year end. For 2012, we over-estimated the ordinary income percentage of cash received from these entities, versus capital gains.) In the interest of tax efficiency, we have accumulated a significant backlog of tax loss carryforwards sufficient to offset these capital gains. Our accumulated capital loss carryforwards offset the capital gain distribution portion of the cash received for the fiscal year ended September 30th, shielding these proceeds, which totaled almost four cents per share, from the Funds income stream. A portion of this reduced the fiscal-year 2013 dividend, while the rest will impact the fourth quarter 2013 dividend. |
| We reduced the percentage of the portfolio invested in our highest yielding investments, the publicly traded mortgage real estate investment trusts (REITS) and business development companies, and several of these cut their dividends in 2013 from prior year levels. |
| The high-yielding convertible preferred bank stocks that we purchased during 2008 and 2009 were either sold (Huntington Bancshares), or converted to currently lower-yielding common shares (Fifth Third Bancorp) The Fund earned excellent returns on these investments, so we wont complain, even though we are not able to replace the income from them in the current environment. |
| Appreciation of the U.S. dollar vis-à-vis certain currencies (the Brazilian real and Australian dollar, for example) on a year-over-year basis reduced the dollar value of dividends received on some of the Funds foreign equities. We may hedge a portion of the principal invested in non-U.S. equities by executing contracts to buy dollars in the future. However, we do not hedge expected income distributions from these investments. |
Most of the common stocks currently held in the Investment Income Builder portfolio increased their ordinary dividends in 2013, by an average of approximately 3.5%. Collectively, these increases were insufficient to overcome the headwinds described above. We expect a negative year-over-year dividend comparison in the fourth quarter of 2013, in light of the factors cited in the prior paragraphs. We will be surprised if the impact of modestly rising dividends from the base equity portfolio does not more completely offset remaining headwinds to portfolio income generation in 2014, though we cannot be certain about anything in todays environment of managed interest rates and general economic uncertainty.
12 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
In assessing the overall fiscal year 2013 performance of Thornburg Investment Income Builder, it is instructive to consider the performance in U.S. dollars of the sector components of the MSCI World Index over the year ended September 30, 2013. The MSCI World Index comprises 75%, and the entire equity portion, of the Funds global performance benchmark (25% Barclays U.S. Aggregate Bond Index and 75% MSCI World Index):
1. | All 10 sectors showed positive total returns for the 12 months ending September 30, 2013, ranging from approximately 4.1% (materials) to almost 37% (consumer discretionary). Stocks of firms in the industrials, health care, and financials sectors delivered index beating returns for the period, while stocks of firms in the energy, utilities, information technology, consumer staples, and telecommunications sectors underperformed the index. |
2. | Income Builder Fund investments in firms in the financials (20% Fund weighting), telecommunications (17%), energy (9%), utilities (8%), and health care (8%) sectors comprised the largest sector weightings in the Fund portfolio during fiscal 2013. The Funds performance relative to the MSCI All Country World Index was hurt by comparative underperformance from our holdings in financials and materials sectors, and low allocations to investments in the strong-performing consumer discretionary and industrials sectors. |
3. | In the Income Builder portfolio, 69 equity investments contributed positive returns of at least .05% (5 basis points) to the portfolio during fiscal 2013, while 12 of the Funds equity investments contributed returns of negative 0.05% or worse for the quarter. |
Investment Income Builders bond holdings delivered positive returns during the fiscal year, as higher income levels from portfolio holdings offset generally lower bond prices.
Your Funds average return from its investments in the financial sector trailed the performance of the equities in the finance sector of the MSCI World Index in fiscal 2013. Fund investments in Annaly Capital Management, Invesco Mortgage Capital, and Banco Santander Brazil were among the weakest performers in the portfolio. These were challenged by investor concerns about the possible impact of rising interest rates as Federal Reserve bond buying is curtailed. Positive contributions from JP Morgan, Chimera Investment, and Apollo Global Management did not fully offset the weak and flat performers during the period. We did not have significant investments in dividend-deficient European banks in the June and September quarters, though share price rallies made these into strong contributors to the returns delivered by the financial portion of the MSCI World Index.
Good absolute and relative returns from your Funds significant holdings in the telecommunications sector were helpful in fiscal 2013. Australias Telstra, Denmarks TDC, Telefonica Brazil, Russias Megafon, and Vodafone each delivered strong returns during the period. Vodafone was aided by Verizons attractive bid for its 45% interest in Verizon Wireless.
Among Income Builders investments in the energy sector, French integrated hydrocarbon producer Total SA, and Italys ENI each delivered good portfolio performance in fiscal 2013. Royal Dutch Shell, Linn Co. LLC, and Canadian Oil Sands were modestly negative. Oil prices were surprisingly strong during the period in light of demand growth and geopolitical tensions, but the year ended with a weak tone for the near-term oil price outlook.
Returns from the Funds holdings in the utilities sector significantly exceeded market returns from this sector, led by Electricite de France, multinational electric power generator GDF Suez, Italian gas pipeline operator SNAM, Sempra Energy, and Dominion Resources. Small positions in U.S. electric utilities Entergy and Exelon lagged.
Certified Annual Report 13
LETTER TO SHAREHOLDERS,
CONTINUED
Among Fund investments in the consumer staples sector, Walgreens delivered strong performance during the fiscal year due to improving same store sales and increasing confidence about future benefits from its merger with Alliance-Boots. Netherlands-based household products giant Reckitt Benckiser also delivered a strong return, particularly in the first half of the fiscal year. In the two years prior to September 30th, investors bid up prices of most dividend-paying firms in this sector. Most of our long-held staples sector investments (Coca-Cola, Lorillard, Kimberly Clark and Philip Morris International) lagged the performance of the MSCI Index during the year, as incremental investor dollars went elsewhere in the wake of open discussion about tapering of Federal Reserve purchases of U.S. bonds.
The Funds holdings in the health care sector slightly lagged those of the MSCI Index during the fiscal year, as laggards Merck and Sanofi held back the better performance of long-time holdings Roche, Novartis, and Pfizer.
Among other portfolio holdings, notable contributors included casino operators Wynn Resorts and Sands China, chemicals producer LyondellBasell Industries, Dutch cable/broadband operator Ziggo, French infrastructure builder operator Vinci, and asset manager Blackstone Group. Negative contributors included miners Gold Fields Limited and Southern Copper, data center specialist Digital Realty Trust, AT&T, and fertilizer producer Israeli Chemicals. We sold our investments in Gold Fields Limited and Israeli Chemicals during the period. Each of the other negative contributors is subject to investor concerns, but has increased its dividend over the last year.
The euro and Swiss franc each appreciated modestly vis-à-vis the U.S. dollar during the fiscal year, while the British pound was approximately flat despite an interim dip of almost 10%. We hedged a majority of the currency exposure to the euro and other European currencies tied to it, since we are focused on risk management and not on reaping possible currency gains from exposure to assets denominated in these currencies. This hurt our performance relative to the MSCI Index, since we missed out on most of the performance tailwind from currency appreciation. The Australian dollar and Brazilian real each stabilized in the September quarter, following depreciations of more than 10% each vis-à-vis the U.S. dollar during the second quarter of 2013.
Within its bond portfolio, the Fund owned significantly fewer U.S. government and agency bonds than the Barclays U.S. Aggregate Bond Index. This fact was helpful in fiscal 2013, since yield spreads of corporate credits over government bond yields compressed. As in the prior two years, we continued to allocate most of Investment Income Builders incoming cash flows to equities in fiscal 2013. You can expect us to increase the portfolios allocation to bonds if rising yields lead to significantly lower bond prices. Readers of this commentary who are long-time shareholders of Income Builder will recall that the interest bearing debt portion of the Funds portfolio has varied over time, ranging from less than 12% in mid 2005 (and September 2013) to 45% at June 30, 2009.
14 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
As of September 30th, the Fund portfolio included approximately 175 bonds and hybrid securities. Readers should be aware that the reduced yields now available from bond investments pose a formidable near-term challenge to delivering year-over-year dividend increases on Investment Income Builder shares.
Interest Bearing Investments as a Percentage of Total Portfolio
as of September 30, 2013
One important feature of U.S. mutual funds like Thornburg Investment Income Builder is the ability of shareholders to conveniently redeem all or a portion of their investment on any fund business day. Consider the five-year period beginning shortly after the failure of Lehman Brothers to September 30th, 2013. Owners of approximately 434 million shares of Thornburg Investment Income Builder sold their shares at an average price of $17.89 between October 1, 2008 and September 30, 2013. We have no idea how these investors redeployed the funds redeemed from Income Builder. The fact that the Fund achieved a net asset value of $20.13 per share on September 30, 2013 and paid dividends totaling $5.55 per share over this period sets a relatively high bar for the opportunity cost of having sold Fund shares, so far.
If the global economy recovers, we expect firming interest rates, better business conditions, and reduced anxiety from corporate boards about distributing retained earnings. To the extent that the global economy does not recover and this is always a possibility we will expect the opposite.
We do not expect to know clear answers to the most important macro-economic questions impacting financial asset prices during the coming months. There will be news from day to day that will feed hopes or fan despair, thereby moving the prices of financial assets by significant percentages.
Earnings expectations for the MSCI All Country World Index portfolio have been reduced for calendar 2013 and 2014 in recent quarters, as global economic growth has been below prior expectations. It has been increasingly difficult for firms to generate positive revenue growth. Most major central banks around the world have eased monetary conditions, and there have been mixed signals from the U.S. Federal Reserve about its propensity to change course on its recent program of unconventional monetary easing. Bond yields were broadly flat from September 30, 2012 to March 31, 2013,
Certified Annual Report 15
LETTER TO SHAREHOLDERS,
CONTINUED
indicated by the 0.02% increase in the FINRA-Bloomberg Index of Active Investment Grade U.S. Corporate Bond Yields, from 3.26% to 3.28% over that period. Thereafter, most bond yields moved higher, indicated by the FINRA-Bloomberg Index reaching 3.97% on September 30th. This corporate yield index remains well below the 4.80% level of September 30, 2011.
While lower interest rates are good news for borrowers, they have negative consequences for conservative savers and income seeking investors. Interest income as a percentage of overall personal income in the United States has fallen from more than 11% in 2008 to around 7% today. The interest contribution to personal income is likely to continue dropping into 2014 as previously issued bonds and CDs mature.
Investors must consider other options. Yields on taxable and tax-exempt money funds remain below 1/5 of one percent. Banks have aggressively reduced yields on all deposits. A very large pool of investor dollars is looking for better returns elsewhere, but in sensible investments. We are optimistic that the types of income producing investments owned by the Thornburg Investment Income Builder Fund will experience sustainable popularity among investors as their intrinsic values for income production are recognized. A high percentage of investor funds belong to people over the age of 55, for whom income is an increasingly necessary and desirable attribute.
Thank you for being a shareholder of the Thornburg Investment Income Builder Fund. Remember that you can review descriptions of many of the stocks in your portfolio at your leisure by going to our internet site, www.thornburg.com/funds. Best wishes for a wonderful holiday season, and a happy 2014.
Sincerely,
![]() |
![]() |
![]() | ||
Brian McMahon | Jason Brady, CFA | Ben Kirby, CFA | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
CEO & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
16 Certified Annual Report
This page intentionally left blank.
Certified Annual Report 17
SCHEDULE OF INVESTMENTS | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Summary of Industry Exposure
As of 9/30/13
Telecommunication Services |
18.5 | % | Technology Hardware & Equipment |
1.9 | % | |||||
Energy |
11.4 | % | Media |
1.3 | % | |||||
Utilities |
10.5 | % | Retailing |
1.2 | % | |||||
Diversified Financials |
9.0 | % | Household & Personal Products |
1.0 | % | |||||
Real Estate |
6.8 | % | Software & Services |
0.9 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
6.4 | % | Miscellaneous |
0.5 | % | |||||
Food, Beverage & Tobacco |
4.6 | % | Health Care Equipment & Services |
0.2 | % | |||||
Banks |
3.8 | % | Other Non-Classified Securities: |
|||||||
Consumer Services |
3.6 | % | Other Securities |
0.6 | % | |||||
Materials |
3.6 | % | Asset Backed Securities |
0.6 | % | |||||
Insurance |
3.1 | % | U.S. Government Agencies |
0.1 | % | |||||
Food & Staples Retailing |
2.6 | % | Municipal Bonds* |
0.0 | % | |||||
Capital Goods |
2.2 | % | Other Government* |
0.0 | % | |||||
Semiconductors & Semiconductor Equipment |
2.0 | % | Other Assets & Liabilities |
1.6 | % | |||||
Transportation |
2.0 | % | ||||||||
*Percentage was less than 0.1%. |
||||||||||
Top Ten Equity Holdings As of 9/30/13
|
| |||||||||
Total SA |
2.6 | % | Telefonica Brasil SA ADR |
2.0 | % | |||||
JPMorgan Chase & Co. |
2.5 | % | Sanofi-Aventis |
1.9 | % | |||||
Royal Dutch Shell plc ADR |
2.2 | % | TDC A/S |
1.9 | % | |||||
Walgreen Co. |
2.1 | % | Pfizer, Inc. |
1.9 | % | |||||
GDF Suez |
2.0 | % | Eni S.p.A. |
1.7 | % |
18 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Summary of Country Exposure
As of 9/30/13
United States |
43.7 | % | Taiwan |
0.6 | % | |||||
France |
9.8 | % | Philippines |
0.5 | % | |||||
Switzerland |
6.0 | % | Bermuda |
0.4 | % | |||||
Netherlands |
4.9 | % | South Korea |
0.4 | % | |||||
Brazil |
4.6 | % | New Zealand |
0.3 | % | |||||
Italy |
4.0 | % | Luxembourg |
0.3 | % | |||||
United Kingdom |
3.4 | % | Cayman Islands |
0.3 | % | |||||
China |
2.6 | % | Thailand |
0.2 | % | |||||
Australia |
2.0 | % | Argentina |
0.2 | % | |||||
Denmark |
1.9 | % | Panama |
0.2 | % | |||||
Canada |
1.9 | % | Japan |
0.2 | % | |||||
Hong Kong |
1.7 | % | Germany |
0.2 | % | |||||
Singapore |
1.6 | % | South Africa |
0.1 | % | |||||
Norway |
1.5 | % | Ireland |
0.1 | % | |||||
Russia |
1.3 | % | Trinidad and Tobago* |
0.0 | % | |||||
Spain |
1.3 | % | Scotland* |
0.0 | % | |||||
Mexico |
0.8 | % | Other Assets & Liabilities |
1.6 | % | |||||
Saudi Arabia |
0.7 | % | ||||||||
Turkey |
0.7 | % | ||||||||
*Country percentage was less than 0.01%. |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 86.88% |
||||||||
BANKS 2.84% |
||||||||
COMMERCIAL BANKS 2.84% |
||||||||
Banco Santander Brasil S.A. |
16,000,000 | $ | 111,200,000 | |||||
Banque Cantonale Vaudoise |
44,400 | 24,462,100 | ||||||
Fifth Third Bancorp |
6,174,507 | 111,388,106 | ||||||
Liechtensteinische Landesbank AG |
1,150,000 | 46,668,878 | ||||||
St. Galler Kantonalbank |
78,741 | 31,344,900 | ||||||
Standard Chartered plc |
4,364,100 | 104,633,329 | ||||||
|
|
|||||||
429,697,313 | ||||||||
|
|
|||||||
CAPITAL GOODS 2.06% |
||||||||
CONSTRUCTION & ENGINEERING 0.94% |
||||||||
Vinci S.A. |
2,450,000 | 142,423,361 | ||||||
INDUSTRIAL CONGLOMERATES 1.12% |
||||||||
Hopewell Holdings Ltd. |
35,370,840 | 118,573,195 | ||||||
NWS Holdings Ltd. |
32,931,000 | 50,866,228 | ||||||
|
|
|||||||
311,862,784 | ||||||||
|
|
Certified Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
CONSUMER SERVICES 3.44% |
||||||||
HOTELS, RESTAURANTS & LEISURE 3.44% |
||||||||
McDonalds Corp. |
1,820,400 | $ | 175,140,684 | |||||
Sands China Ltd. |
16,000,000 | 99,021,390 | ||||||
SJM Holdings Ltd. |
13,900,000 | 39,069,612 | ||||||
Wynn Resorts Ltd. |
1,310,700 | 207,103,707 | ||||||
|
|
|||||||
520,335,393 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 7.77% |
||||||||
CAPITAL MARKETS 4.11% |
||||||||
Apollo Global Management, LLC |
2,750,000 | 77,715,000 | ||||||
a Apollo Investment Corp. |
13,316,000 | 108,525,400 | ||||||
Ares Capital Corp. |
7,431,600 | 128,492,364 | ||||||
GAM Holding AG |
2,033,682 | 36,767,513 | ||||||
a Och-Ziff Capital Management Group, LLC |
7,835,000 | 86,106,650 | ||||||
a Solar Capital Ltd. |
4,607,900 | 102,157,143 | ||||||
The Blackstone Group LP |
3,325,000 | 82,759,250 | ||||||
CONSUMER FINANCE 0.29% |
||||||||
Capital One Financial Corp. |
630,000 | 43,306,200 | ||||||
DIVERSIFIED FINANCIAL SERVICES 3.37% |
||||||||
JPMorgan Chase & Co. |
7,350,000 | 379,921,500 | ||||||
a KKR Financial Holdings, LLC |
12,530,000 | 129,434,900 | ||||||
|
|
|||||||
1,175,185,920 | ||||||||
|
|
|||||||
ENERGY 9.76% |
||||||||
OIL, GAS & CONSUMABLE FUELS 9.76% |
||||||||
Canadian Oil Sands Ltd. |
5,073,100 | 98,305,010 | ||||||
Eni S.p.A. |
11,500,000 | 263,704,375 | ||||||
b Halcon Resources Corp. |
64,422 | 285,390 | ||||||
HollyFrontier Corp. |
2,140,000 | 90,115,400 | ||||||
Husky Energy, Inc. |
5,950,000 | 171,097,520 | ||||||
Kinder Morgan, Inc. |
2,000,000 | 71,140,000 | ||||||
Linn Co., LLC |
1,576,900 | 46,013,942 | ||||||
Royal Dutch Shell plc ADR |
5,160,000 | 338,908,800 | ||||||
Total SA |
6,850,000 | 397,509,064 | ||||||
|
|
|||||||
1,477,079,501 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 2.50% |
||||||||
FOOD & STAPLES RETAILING 2.50% |
||||||||
Koninklijke Ahold NV |
3,405,600 | 58,996,060 | ||||||
Walgreen Co. |
5,935,000 | 319,303,000 | ||||||
|
|
|||||||
378,299,060 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 4.38% |
||||||||
BEVERAGES 1.66% |
||||||||
Coca Cola Co. |
3,840,000 | 145,459,200 | ||||||
Companhia de Bebidas das Americas ADR |
2,750,000 | 105,462,500 | ||||||
FOOD PRODUCTS 0.60% |
||||||||
Nestle SA |
1,299,800 | 90,907,668 | ||||||
TOBACCO 2.12% |
||||||||
British American Tobacco plc |
877,200 | 46,529,575 | ||||||
Korean Tobacco & Ginseng Corp. |
728,742 | 52,214,050 | ||||||
Lorillard, Inc. |
2,380,000 | 106,576,400 | ||||||
Philip Morris USA, Inc. |
1,330,000 | 115,164,700 | ||||||
|
|
|||||||
662,314,093 | ||||||||
|
|
20 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
HOUSEHOLD & PERSONAL PRODUCTS 0.97% |
||||||||
HOUSEHOLD PRODUCTS 0.97% |
||||||||
Reckitt Benckiser plc |
2,013,500 | $ | 147,336,503 | |||||
|
|
|||||||
147,336,503 | ||||||||
|
|
|||||||
INSURANCE 1.74% |
||||||||
INSURANCE 1.74% |
||||||||
BB Seguridade Participacoes S.A. |
4,000,000 | 39,362,902 | ||||||
Gjensidige Forsikring ASA |
5,100,000 | 77,009,936 | ||||||
Scor SE |
1,774,300 | 58,748,874 | ||||||
Zurich Financial Services AG |
343,100 | 88,359,584 | ||||||
|
|
|||||||
263,481,296 | ||||||||
|
|
|||||||
MATERIALS 3.13% |
||||||||
CHEMICALS 1.31% |
||||||||
LyondellBasell Industries NV |
2,310,000 | 169,161,300 | ||||||
Yanbu National Petrochemical Company |
1,759,022 | 29,197,818 | ||||||
METALS & MINING 1.82% |
||||||||
Nucor Corp. |
3,250,000 | 159,315,000 | ||||||
Southern Copper Corp. |
4,272,600 | 116,385,624 | ||||||
|
|
|||||||
474,059,742 | ||||||||
|
|
|||||||
MEDIA 0.94% |
||||||||
MEDIA 0.94% |
||||||||
Eutelsat Communications |
4,402,500 | 139,189,947 | ||||||
SES SA |
126,637 | 3,623,437 | ||||||
|
|
|||||||
142,813,384 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 6.30% |
||||||||
PHARMACEUTICALS 6.30% |
||||||||
Novartis AG |
1,879,000 | 144,402,610 | ||||||
Pfizer, Inc. |
9,904,000 | 284,343,840 | ||||||
Roche Holding AG |
880,000 | 237,332,891 | ||||||
Sanofi-Aventis |
2,840,000 | 288,041,884 | ||||||
|
|
|||||||
954,121,225 | ||||||||
|
|
|||||||
REAL ESTATE 6.74% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 6.74% |
||||||||
Capstead Mortgage Corp. |
3,500,000 | 41,195,000 | ||||||
Chimera Investment Corp. |
49,500,000 | 150,480,000 | ||||||
Digital Realty Trust, Inc. |
1,935,000 | 102,748,500 | ||||||
a Dynex Capital, Inc. |
4,562,000 | 40,008,740 | ||||||
a Invesco Mortgage Capital, Inc. |
9,970,000 | 153,438,300 | ||||||
a MFA Financial, Inc. |
23,250,000 | 173,212,500 | ||||||
Senior Housing Properties Trust |
4,670,000 | 108,997,800 | ||||||
Two Harbors Investment Corp. |
12,300,000 | 119,433,000 | ||||||
a Washington REIT |
5,170,000 | 130,645,900 | ||||||
|
|
|||||||
1,020,159,740 | ||||||||
|
|
|||||||
RETAILING 1.24% |
||||||||
SPECIALTY RETAIL 1.24% |
||||||||
Staples, Inc. |
12,800,000 | 187,520,000 | ||||||
|
|
|||||||
187,520,000 | ||||||||
|
|
Certified Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.88% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.88% |
||||||||
Intel Corp. |
8,500,000 | $ | 194,820,000 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
26,500,000 | 90,075,084 | ||||||
|
|
|||||||
284,895,084 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 0.75% |
||||||||
SOFTWARE 0.75% |
||||||||
Microsoft Corp. |
3,400,000 | 113,254,000 | ||||||
|
|
|||||||
113,254,000 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 1.88% |
||||||||
COMMUNICATIONS EQUIPMENT 0.90% |
||||||||
Qualcomm, Inc. |
2,025,000 | 136,404,000 | ||||||
COMPUTERS & PERIPHERALS 0.98% |
||||||||
Apple, Inc. |
310,000 | 147,792,500 | ||||||
|
|
|||||||
284,196,500 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 17.18% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 11.70% |
||||||||
AT&T, Inc. |
6,330,000 | 214,080,600 | ||||||
Jasmine International Public Company Ltd. |
136,356,200 | 35,963,512 | ||||||
Singapore Telecommunications Ltd. |
77,642,000 | 232,081,224 | ||||||
Swisscom AG |
447,000 | 214,813,070 | ||||||
TDC A/S |
34,000,000 | 287,696,577 | ||||||
Telefonica Brasil SA ADR |
13,400,000 | 300,696,000 | ||||||
Telenor ASA |
6,772,900 | 154,757,654 | ||||||
Telstra Corp. Ltd. |
47,520,000 | 220,327,149 | ||||||
Ziggo N.V. |
2,710,500 | 109,787,021 | ||||||
WIRELESS TELECOMMUNICATION SERVICES 5.48% |
||||||||
China Mobile Ltd. |
20,286,856 | 226,909,161 | ||||||
Etihad Etisalat Co. |
3,380,000 | 76,382,906 | ||||||
d MegaFon OAO |
3,278,300 | 115,560,075 | ||||||
Philippine Long Distance Telephone Co. |
1,012,890 | 69,278,512 | ||||||
b Turkcell Iletisim Hizmetleri AS |
17,450,300 | 102,798,728 | ||||||
VimpelCom Ltd. ADR |
6,824,700 | 80,190,225 | ||||||
Vodafone Group plc |
45,397,700 | 158,747,864 | ||||||
|
|
|||||||
2,600,070,278 | ||||||||
|
|
|||||||
TRANSPORTATION 1.84% |
||||||||
TRANSPORTATION INFRASTRUCTURE 1.84% |
||||||||
Atlantia S.p.A. |
4,204,200 | 85,485,438 | ||||||
China Merchants Holdings International Co., Ltd. |
20,720,430 | 75,338,275 | ||||||
Jiangsu Express Co., Ltd. |
36,530,000 | 43,143,259 | ||||||
Sydney Airport |
20,265,009 | 74,297,559 | ||||||
|
|
|||||||
278,264,531 | ||||||||
|
|
|||||||
UTILITIES 9.54% |
||||||||
ELECTRIC UTILITIES 4.26% |
||||||||
Duke Energy Corp. |
1,750,000 | 116,865,000 | ||||||
EDP - Energias do Brasil SA |
6,800,000 | 37,002,211 | ||||||
Electricite de France SA |
4,900,000 | 154,985,254 | ||||||
Entergy Corp. |
1,710,000 | 108,054,900 |
22 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
Exelon Corp. |
4,230,000 | $ | 125,377,200 | |||||
Mighty River Power Ltd. |
26,500,000 | 49,961,753 | ||||||
Terna Rete Elettrica Nazionale S.p.A. |
11,786,600 | 53,194,212 | ||||||
GAS UTILITIES 1.85% |
||||||||
Enagas SA |
3,158,000 | 77,392,746 | ||||||
Snam S.p.A. |
40,000,000 | 202,602,884 | ||||||
MULTI-UTILITIES 3.43% |
||||||||
Dominion Resources, Inc. |
1,900,000 | 118,712,000 | ||||||
GDF Suez |
12,000,000 | 301,469,196 | ||||||
Sempra Energy |
1,150,000 | 98,440,000 | ||||||
|
|
|||||||
1,444,057,356 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $11,497,128,259) |
13,149,003,703 | |||||||
|
|
|||||||
PREFERRED STOCK 1.37% |
||||||||
BANKS 0.47% |
||||||||
COMMERCIAL BANKS 0.47% |
||||||||
Barclays Bank plc Pfd, 7.10% |
200,000 | 5,000,000 | ||||||
First Niagara Financial Group Pfd, 8.625% |
143,295 | 4,112,566 | ||||||
First Tennessee Bank Pfd, 3.75% |
12,000 | 8,752,500 | ||||||
GMAC Capital Trust I Pfd, 8.125% |
628,126 | 16,802,370 | ||||||
c United Community Bank Pfd, 5.00% |
35,000 | 33,950,000 | ||||||
Wintrust Financial Corp. Pfd, 5.00% |
2,250 | 2,540,588 | ||||||
|
|
|||||||
71,158,024 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 0.18% |
||||||||
CAPITAL MARKETS 0.02% |
||||||||
Morgan Stanley Pfd, 4.00% |
120,000 | 2,342,400 | ||||||
CONSUMER FINANCE 0.16% |
||||||||
Ally Financial, Inc. Pfd, 8.50% |
930,495 | 24,918,656 | ||||||
|
|
|||||||
27,261,056 | ||||||||
|
|
|||||||
ENERGY 0.29% |
||||||||
OIL, GAS & CONSUMABLE FUELS 0.29% |
||||||||
d Sanchez Energy Corp. Pfd, 6.50% |
267,000 | 18,048,666 | ||||||
Halcon Resources Corp. Pfd, 5.75% |
26,000 | 25,740,000 | ||||||
|
|
|||||||
43,788,666 | ||||||||
|
|
|||||||
INSURANCE 0.16% |
||||||||
INSURANCE 0.16% |
||||||||
Principal Financial Group Pfd, 5.563% |
234,400 | 23,234,900 | ||||||
|
|
|||||||
23,234,900 | ||||||||
|
|
|||||||
MISCELLANEOUS 0.07% |
||||||||
U.S. GOVERNMENT AGENCIES 0.07% |
||||||||
Farm Credit Bank of Texas Pfd, 10.00% |
9,000 | 10,797,188 | ||||||
|
|
|||||||
10,797,188 | ||||||||
|
|
|||||||
REAL ESTATE 0.08% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 0.08% |
||||||||
Alexandria Real Estate Pfd, 7.00% |
463,500 | 11,921,220 | ||||||
|
|
|||||||
11,921,220 | ||||||||
|
|
Certified Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
TELECOMMUNICATION SERVICES 0.12% |
||||||||
WIRELESS TELECOMMUNICATION SERVICES 0.12% |
||||||||
Centaur Funding Corp. Pfd, 9.08% |
15,000 | $ | 18,459,375 | |||||
|
|
|||||||
18,459,375 | ||||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $195,324,978) |
206,620,429 | |||||||
|
|
|||||||
ASSET BACKED SECURITIES 0.54% |
||||||||
COMMERCIAL MTG TRUST 0.12% |
||||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.923%, 3/25/2034 |
$ | 1,196,726 | 676,939 | |||||
d CVS Pass-Through Trust, 9.35%, 1/10/2023 |
15,000,000 | 17,746,680 | ||||||
|
|
|||||||
18,423,619 | ||||||||
|
|
|||||||
OTHER ASSET BACKED 0.17% |
||||||||
d Fairway Outdoor Funding LLC, 8.835%, 10/15/2042 |
7,000,000 | 6,688,642 | ||||||
c,d JPR Royalty LLC, 14.00%, 9/1/2020 |
5,000,000 | 3,500,000 | ||||||
d MIRAMAX LLC, 10.00%, 10/20/2021 |
12,241,667 | 12,415,327 | ||||||
c,d Northwind Holdings LLC Floating Rate Note, 1.057%, 12/1/2037 |
3,981,250 | 3,662,750 | ||||||
|
|
|||||||
26,266,719 | ||||||||
|
|
|||||||
RESIDENTIAL MTG TRUST 0.25% |
||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.428%, 12/20/2036 |
3,036,763 | 947,885 | ||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.165%, 2/25/2035 |
4,178,741 | 355,039 | ||||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.491%, 8/25/2033 |
362,641 | 326,905 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.899%, 9/25/2035 |
20,100,000 | 18,220,359 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.499%, 8/25/2034 |
5,617,428 | 4,600,115 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.499%, 11/25/2035 |
6,721,604 | 6,294,176 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.329%, 6/25/2036 |
4,294,411 | 4,185,528 | ||||||
Structured Asset Security Corp., Series 2002-27A Class B1, 2.478%, 1/25/2033 |
1,747,913 | 709,782 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616%, 2/25/2035 |
7,363,122 | 1,346,970 | ||||||
|
|
|||||||
36,986,759 | ||||||||
|
|
|||||||
TOTAL ASSET BACKED SECURITIES (Cost $ 88,938,088) |
81,677,097 | |||||||
|
|
|||||||
CORPORATE BONDS 7.08% |
||||||||
BANKS 0.28% |
||||||||
COMMERCIAL BANKS 0.28% |
||||||||
d,e Banco Pine SA, 8.75%, 1/6/2017 |
7,274,000 | 6,754,054 | ||||||
d,e Groupe BPCE, 12.50%, 12/31/2049 |
10,211,000 | 12,840,333 | ||||||
PNC Financial Services Group, Inc., 4.483%, 12/31/2049 |
10,000,000 | 9,950,000 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 |
5,600,000 | 5,646,463 | ||||||
e Royal Bank of Scotland Group plc, 6.10%, 6/10/2023 |
7,000,000 | 7,061,768 | ||||||
|
|
|||||||
42,252,618 | ||||||||
|
|
|||||||
CAPITAL GOODS 0.16% |
||||||||
INDUSTRIAL CONGLOMERATES 0.16% |
||||||||
d Nesco LLC/Nesco Holdings Corp., 11.75%, 4/15/2017 |
4,000,000 | 4,460,000 | ||||||
Otter Tail Corp., 9.00%, 12/15/2016 |
17,000,000 | 19,783,750 | ||||||
|
|
|||||||
24,243,750 | ||||||||
|
|
|||||||
CONSUMER SERVICES 0.00% |
||||||||
HOTELS, RESTAURANTS & LEISURE 0.00% |
||||||||
d Seneca Nation Indians Capital Improvements Authority, 6.75%, 12/1/2013 |
390,000 | 389,821 | ||||||
|
|
|||||||
389,821 | ||||||||
|
|
24 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
DIVERSIFIED FINANCIALS 0.70% |
||||||||
CAPITAL MARKETS 0.06% |
||||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 |
$ | 8,000,000 | $ | 8,812,360 | ||||
CONSUMER FINANCE 0.18% |
||||||||
Capital One Bank, 6.15%, 9/1/2016 |
25,000,000 | 27,841,300 | ||||||
DIVERSIFIED FINANCIAL SERVICES 0.46% |
||||||||
d,e CFG Holdings Ltd. /CFG Finance, LLC, 11.50%, 11/15/2019 |
20,100,000 | 21,306,000 | ||||||
Citigroup, Inc., 5.00%, 9/15/2014 |
16,250,000 | 16,862,511 | ||||||
JPMorgan Chase & Co., 7.90%, 12/31/2049 |
15,000,000 | 16,275,000 | ||||||
National Rural Utilities CFC, 10.375%, 11/1/2018 |
5,000,000 | 6,869,530 | ||||||
d TMX Finance LLC/Titlemax Finance, 8.50%, 9/15/2018 |
8,000,000 | 8,360,000 | ||||||
|
|
|||||||
106,326,701 | ||||||||
|
|
|||||||
ENERGY 1.33% |
||||||||
ENERGY EQUIPMENT & SERVICES 0.11% |
||||||||
e Floatel International Ltd., 8.00%, 10/11/2017 |
15,500,000 | 16,275,000 | ||||||
OIL, GAS & CONSUMABLE FUELS 1.22% |
||||||||
Black Elk Energy Offshore Operations, LLC, 13.75%, 12/1/2015 |
8,997,000 | 8,637,120 | ||||||
d DCP Midstream LLC, 9.75%, 3/15/2019 |
5,000,000 | 6,369,965 | ||||||
Enbridge Energy Partners LP, 9.875%, 3/1/2019 |
9,750,000 | 12,778,311 | ||||||
d Energy Transfer Partners LP, 3.283%, 11/1/2066 |
23,020,000 | 20,689,225 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 |
14,480,000 | 16,109,000 | ||||||
d Gastar Exploration USA, Inc., 8.625%, 5/15/2018 |
8,000,000 | 7,560,000 | ||||||
d,e Gaz Capital SA, 8.146%, 4/11/2018 |
2,000,000 | 2,317,600 | ||||||
b,d Green Field Energy Services, 13.25%, 11/15/2016 |
16,000,000 | 14,400,000 | ||||||
b,d Green Field Energy Services, 13.25%, 11/15/2016 |
379,000 | 341,100 | ||||||
Kinder Morgan Energy Partners LP, 9.00%, 2/1/2019 |
8,000,000 | 10,237,784 | ||||||
d Linc Energy U.S.A. /Linc Energy Finance, 12.50%, 10/31/2017 |
8,000,000 | 8,800,000 | ||||||
d Maritimes & Northeast Pipeline, LLC, 7.50%, 5/31/2014 |
6,303,000 | 6,521,223 | ||||||
NuStar Logistics LP, 8.15%, 4/15/2018 |
18,000,000 | 20,115,000 | ||||||
Oneok Partners LP, 8.625%, 3/1/2019 |
8,000,000 | 10,090,536 | ||||||
d,e Petro Co., Trinidad Tobago Ltd., 9.75%, 8/14/2019 |
4,000,000 | 5,130,000 | ||||||
e Petrobras Global Finance BV, 3.00%, 1/15/2019 |
4,000,000 | 3,761,680 | ||||||
RAAM Global Energy Co., 12.50%, 10/1/2015 |
15,000,000 | 15,525,000 | ||||||
Teppco Partners LP, 7.00%, 6/1/2067 |
7,000,000 | 7,350,000 | ||||||
d,e Woodside Finance Ltd., 8.125%, 3/1/2014 |
8,000,000 | 8,221,208 | ||||||
|
|
|||||||
201,229,752 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 0.10% |
||||||||
TOBACCO 0.10% |
||||||||
Altria Group, Inc., 8.50%, 11/10/2013 |
4,000,000 | 4,032,580 | ||||||
Altria Group, Inc., 9.70%, 11/10/2018 |
3,632,000 | 4,801,598 | ||||||
d,e B.A.T. International Finance, plc, 9.50%, 11/15/2018 |
5,000,000 | 6,708,190 | ||||||
|
|
|||||||
15,542,368 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 0.16% |
||||||||
HEALTH CARE PROVIDERS & SERVICES 0.16% |
||||||||
d Prospect Medical Holdings, Inc., 8.375%, 5/1/2019 |
23,500,000 | 24,675,000 | ||||||
|
|
|||||||
24,675,000 | ||||||||
|
|
Certified Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
INSURANCE 1.13% |
||||||||
INSURANCE 1.13% |
||||||||
d,e Dai Ichi Mutual Life Insurance Co., Ltd., 7.25%, 12/31/2049 |
$ | 9,000,000 | $ | 9,945,000 | ||||
Hartford Financial Services Group, 8.125%, 6/15/2068 |
9,650,000 | 10,940,687 | ||||||
d Liberty Mutual Group, Inc., 5.75%, 3/15/2014 |
1,000,000 | 1,018,421 | ||||||
d MetLife Capital Trust X, 9.25%, 4/8/2068 |
12,000,000 | 15,240,000 | ||||||
MetLife, Inc., 6.817%, 8/15/2018 |
4,000,000 | 4,839,632 | ||||||
d National Life Insurance of Vermont, 10.50%, 9/15/2039 |
2,000,000 | 2,809,626 | ||||||
d,e Oil Insurance Ltd., 3.23%, 12/31/2049 |
4,000,000 | 3,600,056 | ||||||
d Prudential Holdings, LLC, 8.695%, 12/18/2023 |
4,500,000 | 5,656,455 | ||||||
d,e QBE Capital Funding III Ltd., 7.25%, 5/24/2041 |
40,000,000 | 42,160,000 | ||||||
Transatlantic Holdings, Inc., 5.75%, 12/14/2015 |
14,647,000 | 16,109,620 | ||||||
d,e White Mountains Re Group Ltd., 7.506%, 12/31/2049 |
28,590,000 | 29,387,261 | ||||||
d ZFS Finance USA Trust II, 6.45%, 12/15/2065 |
25,748,000 | 27,164,140 | ||||||
d ZFS Finance USA Trust V, 6.50%, 5/9/2067 |
1,260,000 | 1,319,850 | ||||||
|
|
|||||||
170,190,748 | ||||||||
|
|
|||||||
MATERIALS 0.40% |
||||||||
CONSTRUCTION MATERIALS 0.13% |
||||||||
d,e CEMEX Espana Luxembourg, 9.875%, 4/30/2019 |
1,460,000 | 1,635,200 | ||||||
d CEMEX Finance, LLC, 9.50%, 12/14/2016 |
3,287,000 | 3,488,329 | ||||||
CRH America, Inc., 8.125%, 7/15/2018 |
12,000,000 | 14,607,240 | ||||||
METALS & MINING 0.27% |
||||||||
d,e Anglo American Capital plc, 9.375%, 4/8/2014 |
3,500,000 | 3,646,265 | ||||||
e Anglogold Holdings, 8.50%, 7/30/2020 |
20,000,000 | 20,550,000 | ||||||
d Coeur dAlene Mines Corp., 7.875%, 2/1/2021 |
9,000,000 | 9,090,000 | ||||||
d,e GTL Trade Finance, Inc., 7.25%, 10/20/2017 |
7,000,000 | 7,735,000 | ||||||
|
|
|||||||
60,752,034 | ||||||||
|
|
|||||||
MEDIA 0.31% |
||||||||
MEDIA 0.31% |
||||||||
Comcast Cable Communications, LLC, 8.875%, 5/1/2017 |
5,000,000 | 6,230,245 | ||||||
d,e Mood Media Corp., 9.25%, 10/15/2020 |
3,150,000 | 2,693,250 | ||||||
d,e Nara Cable Funding Ltd., 8.875%, 12/1/2018 |
8,985,000 | 9,479,175 | ||||||
Time Warner Cable, Inc., 8.75%, 2/14/2019 |
14,000,000 | 16,471,084 | ||||||
Time Warner Cable, Inc., 8.25%, 2/14/2014 |
4,000,000 | 4,105,968 | ||||||
WMG Holdings Corp., 13.75%, 10/1/2019 |
6,000,000 | 7,095,000 | ||||||
|
|
|||||||
46,074,722 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 0.09% |
||||||||
LIFE SCIENCES TOOLS & SERVICES 0.07% |
||||||||
d BPA Laboratories, Inc., 12.25%, 4/1/2017 |
10,400,000 | 9,880,000 | ||||||
PHARMACEUTICALS 0.02% |
||||||||
Tiers Inflation Linked Trust, Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 3.604%, 2/1/2014 |
3,000,000 | 3,023,790 | ||||||
|
|
|||||||
12,903,790 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.13% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.13% |
||||||||
d,e Global A&T Electronics Ltd., 10.00%, 2/1/2019 |
10,000,000 | 8,500,000 | ||||||
KLA Tencor Corp., 6.90%, 5/1/2018 |
10,000,000 | 11,778,230 | ||||||
|
|
|||||||
20,278,230 | ||||||||
|
|
26 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
SOFTWARE & SERVICES 0.10% |
||||||||
INTERNET SOFTWARE & SERVICES 0.10% |
||||||||
d,e eAccess Ltd., 8.25%, 4/1/2018 |
$ | 5,600,000 | $ | 6,132,000 | ||||
c Yahoo!, Inc., 6.65%, 8/10/2026 |
7,744,485 | 8,596,378 | ||||||
|
|
|||||||
14,728,378 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 1.18% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 1.09% |
||||||||
e Deutsche Telekom International Finance BV, 8.75%, 6/15/2030 |
26,150,000 | 36,235,741 | ||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 |
6,000,000 | 6,900,000 | ||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019 |
9,000,000 | 9,630,000 | ||||||
Qwest Corp., 6.75%, 12/1/2021 |
9,000,000 | 9,665,289 | ||||||
e Telefonica Emisiones SAU, 6.221%, 7/3/2017 |
2,770,000 | 3,059,249 | ||||||
e Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
85,390,000 | 90,632,690 | ||||||
d,e Telemar Norte Leste SA, 5.50%, 10/23/2020 |
9,065,000 | 7,977,200 | ||||||
WIRELESS TELECOMMUNICATION SERVICES 0.09% |
||||||||
d,e VimpelCom (UBS SA), 8.25%, 5/23/2016 |
4,500,000 | 4,972,500 | ||||||
d,e VimpelCom Holdings BV, 7.504%, 3/1/2022 |
8,735,000 | 9,204,506 | ||||||
|
|
|||||||
178,277,175 | ||||||||
|
|
|||||||
TRANSPORTATION 0.09% |
||||||||
AIRLINES 0.06% |
||||||||
d American Airlines, 4.95%, 7/15/2024 |
7,000,000 | 7,035,000 | ||||||
US Airways, 6.25%, 10/22/2024 |
2,612,651 | 2,743,283 | ||||||
MARINE 0.03% |
||||||||
d Windsor Petroleum Transport Corp., 7.84%, 1/15/2021 |
7,339,918 | 4,515,474 | ||||||
|
|
|||||||
14,293,757 | ||||||||
|
|
|||||||
UTILITIES 0.92% |
||||||||
ELECTRIC UTILITIES 0.46% |
||||||||
Alabama Power Capital Trust V, 3.374%, 10/1/2042 |
4,000,000 | 3,865,200 | ||||||
Arizona Public Service Co., 8.75%, 3/1/2019 |
6,500,000 | 8,402,797 | ||||||
d,e Enel Finance International SA, 6.25%, 9/15/2017 |
40,000,000 | 44,261,600 | ||||||
Entergy Gulf States Louisiana, LLC, 6.00%, 5/1/2018 |
8,000,000 | 9,282,904 | ||||||
d Great River Energy, 5.829%, 7/1/2017 |
1,030,247 | 1,101,684 | ||||||
d Monongahela Power Co., 7.95%, 12/15/2013 |
2,000,000 | 2,027,910 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.12% |
||||||||
d,e Inkia Energy Ltd., 8.375%, 4/4/2021 |
18,000,000 | 18,765,000 | ||||||
MULTI-UTILITIES 0.34% |
||||||||
Ameren Illinois Co., 9.75%, 11/15/2018 |
5,000,000 | 6,705,105 | ||||||
Black Hills Corp., 9.00%, 5/15/2014 |
4,500,000 | 4,709,858 | ||||||
d Enogex, LLC, 6.875%, 7/15/2014 |
2,000,000 | 2,068,720 | ||||||
d Enogex, LLC, 6.25%, 3/15/2020 |
2,500,000 | 2,703,683 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 |
20,000,000 | 23,146,920 | ||||||
Sempra Energy, 9.80%, 2/15/2019 |
7,750,000 | 10,371,375 | ||||||
Sempra Energy, 8.90%, 11/15/2013 |
2,000,000 | 2,019,194 | ||||||
|
|
|||||||
139,431,950 | ||||||||
|
|
|||||||
TOTAL CORPORATE BONDS (Cost $924,041,984) |
1,071,590,794 | |||||||
|
|
Certified Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
CONVERTIBLE BONDS 0.07% |
||||||||
MATERIALS 0.02% |
||||||||
METALS & MINING 0.02% |
||||||||
d,e Jaguar Mining, Inc., 4.50%, 11/1/2014 |
$ | 11,000,000 | $ | 3,080,000 | ||||
|
|
|||||||
3,080,000 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 0.05% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 0.05% |
||||||||
d Alaska Communication Systems Group, Inc., 6.25%, 5/1/2018 |
6,670,000 | 5,711,188 | ||||||
Level 3 Communications, Inc., 7.00%, 3/15/2015 |
2,000,000 | 2,427,500 | ||||||
|
|
|||||||
8,138,688 | ||||||||
|
|
|||||||
TOTAL CONVERTIBLE BONDS (Cost $17,856,475) |
11,218,688 | |||||||
|
|
|||||||
WARRANTS 0.00% |
||||||||
b,d Green Field Energy Services |
16,000 | 560,000 | ||||||
|
|
|||||||
TOTAL WARRANTS (Cost $627,344) |
560,000 | |||||||
|
|
|||||||
MUNICIPAL BONDS 0.02% |
||||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 |
2,555,000 | 2,693,762 | ||||||
Town of Victor, New York, 9.20%, 5/1/2014 |
410,000 | 414,080 | ||||||
|
|
|||||||
TOTAL MUNICIPAL BONDS (Cost $2,915,740) |
3,107,842 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCIES 0.06% |
||||||||
d Agribank FCB, 9.125%, 7/15/2019 |
6,750,000 | 8,767,096 | ||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $6,750,000) |
8,767,096 | |||||||
|
|
|||||||
OTHER GOVERNMENT 0.02% |
||||||||
e Export-Import Bank of Korea, 8.125%, 1/21/2014 |
2,750,000 | 2,810,310 | ||||||
|
|
|||||||
TOTAL OTHER GOVERNMENT (Cost $2,749,251) |
2,810,310 | |||||||
|
|
|||||||
FOREIGN BONDS 1.79% |
||||||||
BANKS 0.18% |
||||||||
COMMERCIAL BANKS 0.18% |
||||||||
d Banco Santander Brasil S.A. (BRL), 8.00%, 3/18/2016 |
| 54,000,000 | 22,537,562 | |||||
d Itau Unibanco Holding S.A. (BRL), 10.50%, 11/23/2015 |
10,000,000 | 4,377,070 | ||||||
|
|
|||||||
26,914,632 | ||||||||
|
|
|||||||
CONSUMER SERVICES 0.19% |
||||||||
HOTELS, RESTAURANTS & LEISURE 0.19% |
||||||||
d Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 |
66,000,000 | 29,034,878 | ||||||
|
|
|||||||
29,034,878 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 0.39% |
||||||||
CAPITAL MARKETS 0.01% |
||||||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 |
4,560,000 | 1,985,471 |
28 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
CONSUMER FINANCE 0.19% |
||||||||
d Cash Store Financial (CAD), 11.50%, 1/31/2017 |
| 10,250,000 | $ | 6,875,128 | ||||
d Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 |
12,000,000 | 22,025,148 | ||||||
DIVERSIFIED FINANCIAL SERVICES 0.19% |
||||||||
Bank of America Corp. (BRL), 10.00%, 11/19/2014 |
6,500,000 | 2,903,488 | ||||||
c Bank of America Corp. (BRL), 10.75%, 8/20/2018 |
5,000,000 | 2,233,452 | ||||||
KFW (BRL), 5.375%, 9/14/2015 |
53,000,000 | 22,861,526 | ||||||
|
|
|||||||
58,884,213 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 0.15% |
||||||||
FOOD & STAPLES RETAILING 0.15% |
||||||||
Wesfarmers Ltd. (AUD), 5.19%, 9/11/2014 |
2,000,000 | 1,897,032 | ||||||
d Bakkavor Finance 2 plc (GBP), 8.75%, 6/15/2020 |
12,000,000 | 20,496,064 | ||||||
|
|
|||||||
22,393,096 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 0.12% |
||||||||
BEVERAGES 0.12% |
||||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 |
20,000,000 | 8,969,905 | ||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 |
21,669,000 | 9,532,678 | ||||||
|
|
|||||||
18,502,583 | ||||||||
|
|
|||||||
INSURANCE 0.11% |
||||||||
INSURANCE 0.11% |
||||||||
ELM BV (AUD), 7.635%, 12/31/2049 |
10,500,000 | 10,022,413 | ||||||
ELM BV (AUD), 3.96%, 12/31/2049 |
8,000,000 | 6,788,789 | ||||||
|
|
|||||||
16,811,202 | ||||||||
|
|
|||||||
MATERIALS 0.06% |
||||||||
CONSTRUCTION MATERIALS 0.06% |
||||||||
CEMEX Finance, LLC (EUR), 9.625%, 12/14/2017 |
6,500,000 | 9,271,896 | ||||||
|
|
|||||||
9,271,896 | ||||||||
|
|
|||||||
MEDIA 0.02% |
||||||||
MEDIA 0.02% |
||||||||
News America Holdings (AUD), 8.625%, 2/7/2014 |
4,000,000 | 3,776,041 | ||||||
|
|
|||||||
3,776,041 | ||||||||
|
|
|||||||
MISCELLANEOUS 0.42% |
||||||||
MISCELLANEOUS 0.42% |
||||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2022 |
20,000,000 | 10,364,120 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 |
109,401,000 | 53,064,150 | ||||||
|
|
|||||||
63,428,270 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 0.05% |
||||||||
INTERNET SOFTWARE & SERVICES 0.05% |
||||||||
eAccess Ltd. (EUR), 8.375%, 4/1/2018 |
4,600,000 | 6,876,539 | ||||||
|
|
|||||||
6,876,539 | ||||||||
|
|
|||||||
TRANSPORTATION 0.07% |
||||||||
AIRLINES 0.07% |
||||||||
c Iberbond 2004 plc (EUR), 4.235%, 12/24/2017 |
7,599,497 | 10,178,173 | ||||||
|
|
|||||||
10,178,173 | ||||||||
|
|
Certified Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
UTILITIES 0.03% |
||||||||
ELECTRIC UTILITIES 0.03% |
||||||||
Cia de Eletricidade do Estado da Bahia (BRL), 11.75%, 4/27/2016 |
| 12,000,000 | $ | 5,048,955 | ||||
|
|
|||||||
5,048,955 | ||||||||
|
|
|||||||
TOTAL FOREIGN BONDS (Cost $286,707,089) |
271,120,478 | |||||||
|
|
|||||||
OTHER SECURITIES 0.59% |
||||||||
LOAN PARTICIPATIONS 0.59% |
||||||||
Baker & Taylor Acquisitions Corp., 12.00%, 9/28/2016 |
$ | 13,000,000 | 12,610,000 | |||||
CEMEX S.A.B. de C.V., 4.75%, 2/17/2017 |
3,373,420 | 3,280,651 | ||||||
NCP Finance LP, 11.00%, 9/25/2018 |
12,000,000 | 11,880,000 | ||||||
c Private Restaurants Properties, Inc., 9.00%, 4/10/2017 |
15,381,578 | 15,381,578 | ||||||
c Synergy Aerospace Corp., 7.50%, 3/3/2015 |
26,000,000 | 25,870,000 | ||||||
Texas Competitive Electric Holdings Co., LLC, 3.68% -3.77%, 10/10/2014 |
20,669,860 | 13,940,994 | ||||||
YP Holdings, LLC, 8.00% -9.00%, 6/4/2018 |
6,763,008 | 6,712,285 | ||||||
|
|
|||||||
TOTAL OTHER SECURITIES (Cost $95,017,791) |
89,675,508 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 0.63% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013repurchase price $46,000,268 collateralized by 9 corporate debt securities and 11 U.S. Government debt securities, having an average coupon of 3.88%, a minimum credit rating of BBB, maturity dates from 2/12/2016 to 9/15/2043, and having an aggregate market value of $47,950,142 at 9/30/2013 |
46,000,000 | 46,000,000 | ||||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
50,000,000 | 50,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $96,000,000) |
96,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 99.05% (Cost $13,214,056,999) |
$ | 14,992,151,945 | ||||||
OTHER ASSETS LESS LIABILITIES 0.95% |
143,456,500 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 15,135,608,445 | ||||||
|
|
30 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Footnote Legend
| Share/principal amount in U.S. Dollars unless otherwise noted in the security description. |
a | Investment in Affiliates - Holdings of voting securities of each portfolio company which is considered affiliated to the Fund under the Investment Company Act of 1940 because the Funds holding represented 5% or more of the companys voting securities during the period, are shown below: |
Issuer |
Shares/Principal September 30, 2012 |
Gross Additions |
Gross Reductions |
Shares/Principal September 30, 2013 |
Market
Value September 30, 2013 |
Investment Income |
Realized Gain (Loss) |
|||||||||||||||||||||
Apollo Investment Corp. |
14,179,200 | 734,757 | 1,597,957 | 13,316,000 | $ | 108,525,400 | $ | 10,825,440 | $ | (8,633,836 | ) | |||||||||||||||||
Dynex Capital, Inc. |
4,562,000 | | | 4,562,000 | 40,008,740 | 5,291,920 | | |||||||||||||||||||||
Invesco Mortgage Capital, Inc. |
7,000,000 | 2,970,000 | | 9,970,000 | 153,438,300 | 18,895,000 | | |||||||||||||||||||||
KKR Financial Holdings, LLC |
12,400,000 | 1,925,990 | 1,795,990 | 12,530,000 | 129,434,900 | 11,727,015 | (6,798,943 | ) | ||||||||||||||||||||
KKR Financial Holdings, LLC, 7.5%, 1/15/2017 |
22,750,000 | | 22,750,000 | | | 301,912 | 4,678,700 | |||||||||||||||||||||
MFA Financial, Inc. |
20,555,000 | 4,245,000 | 1,550,000 | 23,250,000 | 173,212,500 | 34,432,877 | (24,157 | ) | ||||||||||||||||||||
Och-Ziff Capital Management Group, LLC* |
6,280,000 | 1,555,000 | | 7,835,000 | 86,106,650 | 1,905,812 | | |||||||||||||||||||||
Solar Capital Ltd. |
3,750,000 | 857,900 | | 4,607,900 | 102,157,143 | 8,803,160 | | |||||||||||||||||||||
Washington REIT |
3,975,000 | 1,195,000 | | 5,170,000 | 130,645,900 | 4,304,250 | | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total non-controlled affiliated issuers: 6.10% of net assets |
|
$ | 923,529,533 | $ | 96,487,386 | $ | (10,778,236 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Issuers not affiliated at September 30, 2012. |
b | Non-income producing. |
c | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
d | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2013, the aggregate value of these securities in the Funds portfolio was $772,143,298, representing 4.98% of the Funds net assets. |
e | 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:
ADR | American Depository Receipt | |
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Real | |
CAD | Denominated in Canadian Dollars | |
CMO | Collateralized Mortgage Obligation | |
CPI | Consumer Price Index | |
EUR | Denominated in Euros | |
FCB | Farm Credit Bank | |
GBP | Great Britain Pound | |
MFA | Mortgage Finance Authority | |
Mtg | Mortgage | |
Pfd | Preferred Stock | |
REIT | Real Estate Investment Trust |
See notes to financial statements.
Certified Annual Report 31
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value |
||||
Non-affiliated issuers (cost $12,283,369,095) (Note 2) |
$ | 14,068,622,412 | ||
Non-controlled affiliated issuers (cost $930,687,904) (Note 2) |
923,529,533 | |||
Cash |
60,221,504 | |||
Cash denominated in foreign currency (cost $535,799) |
592,900 | |||
Receivable for investments sold |
106,577,077 | |||
Receivable for fund shares sold |
57,465,138 | |||
Unrealized appreciation on forward currency contracts (Note 7) |
16,073,363 | |||
Dividends receivable |
37,371,335 | |||
Dividend and interest reclaim receivable |
20,269,324 | |||
Interest receivable |
30,082,501 | |||
Prepaid expenses and other assets |
14,300 | |||
|
|
|||
Total Assets |
15,320,819,387 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
71,636,633 | |||
Payable for fund shares redeemed |
16,612,333 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
69,558,660 | |||
Payable to investment advisor and other affiliates (Note 3) |
14,469,808 | |||
Accounts payable and accrued expenses |
2,138,434 | |||
Dividends payable |
10,795,074 | |||
|
|
|||
Total Liabilities |
185,210,942 | |||
|
|
|||
NET ASSETS |
$ | 15,135,608,445 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 22,151,818 | ||
Net unrealized appreciation |
1,724,623,204 | |||
Accumulated net realized gain (loss) |
(1,054,592,310 | ) | ||
Net capital paid in on shares of beneficial interest |
14,443,425,733 | |||
|
|
|||
$ | 15,135,608,445 | |||
|
|
32 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($ 4,281,060,476 applicable to 212,620,447 shares of beneficial interest outstanding - Note 4) |
$ | 20.13 | ||
Maximum sales charge, 4.50% of offering price |
0.95 | |||
|
|
|||
Maximum offering price per share |
$ | 21.08 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($ 5,160,705,729 applicable to 256,355,824 shares of beneficial interest outstanding - Note 4) |
$ | 20.13 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($ 5,567,616,942 applicable to 274,606,810 shares of beneficial interest outstanding - Note 4) |
$ | 20.27 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($ 61,333,486 applicable to 3,046,855 shares of beneficial interest outstanding - Note 4) |
$ | 20.13 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($ 24,906,346 applicable to 1,234,768 shares of beneficial interest outstanding - Note 4) |
$ | 20.17 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($ 39,985,466 applicable to 1,973,249 shares of beneficial interest outstanding - Note 4) |
$ | 20.26 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 33
STATEMENT OF OPERATIONS | ||
Thornburg Investment Income Builder Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income |
||||
Non-affiliated issuers (net of foreign taxes withheld of $50,121,268) |
$ | 600,516,322 | ||
Non-controlled affiliated issuers |
96,185,474 | |||
Interest income |
||||
Non-affiliated issuers (net of premium amortized and taxes withheld of $2,765,926 and $8,175, respectively) |
141,804,692 | |||
Non-controlled affiliated issuers |
301,912 | |||
|
|
|||
Total Income |
838,808,400 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
90,390,550 | |||
Administration fees (Note 3) |
||||
Class A Shares |
4,722,423 | |||
Class C Shares |
5,654,373 | |||
Class I Shares |
2,310,302 | |||
Class R3 Shares |
66,996 | |||
Class R4 Shares |
26,505 | |||
Class R5 Shares |
11,991 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
9,449,539 | |||
Class C Shares |
45,234,984 | |||
Class R3 Shares |
267,984 | |||
Class R4 Shares |
52,482 | |||
Transfer agent fees |
||||
Class A Shares |
2,642,680 | |||
Class C Shares |
3,726,225 | |||
Class I Shares |
3,041,662 | |||
Class R3 Shares |
89,956 | |||
Class R4 Shares |
42,550 | |||
Class R5 Shares |
41,845 | |||
Registration and filing fees |
||||
Class A Shares |
171,001 | |||
Class C Shares |
131,279 | |||
Class I Shares |
213,298 | |||
Class R3 Shares |
94,847 | |||
Class R4 Shares |
20,880 | |||
Class R5 Shares |
22,781 | |||
Custodian fees (Note 3) |
2,685,523 | |||
Professional fees |
286,094 | |||
Accounting fees |
351,270 | |||
Trustee fees |
428,400 | |||
Other expenses |
1,463,514 | |||
|
|
|||
Total Expenses |
173,641,934 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(2,149,383 | ) | ||
Fees paid indirectly (Note 3) |
(10,043 | ) | ||
|
|
|||
Net Expenses |
171,482,508 | |||
|
|
|||
Net Investment Income |
$ | 667,325,892 | ||
|
|
34 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments |
||||
Non-affiliated issuers |
$ | 68,770,067 | ||
Non-controlled affiliated issuers |
(10,778,236 | ) | ||
Forward currency contracts (Note 7) |
(87,516,294 | ) | ||
Foreign currency transactions |
(3,067,406 | ) | ||
|
|
|||
(32,591,869 | ) | |||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments |
||||
Non-affiliated issuers |
918,744,667 | |||
Non-controlled affiliated issuers |
(49,608,773 | ) | ||
Forward currency contracts (Note 7) |
(19,321,582 | ) | ||
Foreign currency translations |
(133,242 | ) | ||
|
|
|||
849,681,070 | ||||
|
|
|||
Net Realized and Unrealized Gain |
817,089,201 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 1,484,415,093 | ||
|
|
See notes to financial statements.
Certified Annual Report 35
Thornburg Investment Income Builder Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 667,325,892 | $ | 640,208,609 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
(32,591,869 | ) | (194,589,287 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts and foreign currency translations |
849,681,070 | 1,062,096,277 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
1,484,415,093 | 1,507,715,599 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(205,343,348 | ) | (194,518,753 | ) | ||||
Class C Shares |
(213,857,190 | ) | (202,332,862 | ) | ||||
Class I Shares |
(265,016,275 | ) | (228,077,408 | ) | ||||
Class R3 Shares |
(2,752,237 | ) | (2,423,659 | ) | ||||
Class R4 Shares |
(1,115,335 | ) | (840,952 | ) | ||||
Class R5 Shares |
(1,318,893 | ) | (588,324 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
629,134,038 | 417,639,282 | ||||||
Class C Shares |
831,493,667 | 570,383,451 | ||||||
Class I Shares |
1,305,774,533 | 811,511,415 | ||||||
Class R3 Shares |
10,859,379 | 8,691,494 | ||||||
Class R4 Shares |
4,113,121 | 8,058,175 | ||||||
Class R5 Shares |
23,739,677 | 9,693,298 | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
3,600,126,230 | 2,704,910,756 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
11,535,482,215 | 8,830,571,459 | ||||||
|
|
|
|
|||||
End of Year |
$ | 15,135,608,445 | $ | 11,535,482,215 | ||||
|
|
|
|
|||||
Undistributed net investment income |
$ | 22,151,818 | $ | 44,000,205 |
See notes to financial statements.
36 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Investment Income Builder Fund (the Fund) is a diversified series of Thornburg Investment Trust (the Trust). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Funds 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 Funds secondary investment goal is long-term capital appreciation.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
Certified Annual Report 37
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
38 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 13,149,003,703 | $ | 12,997,480,116 | $ | 151,523,587 | $ | | ||||||||
Preferred Stock(a) |
206,620,429 | 111,426,466 | 61,243,963 | 33,950,000 | ||||||||||||
Asset Backed Securities |
81,677,097 | | 74,514,347 | 7,162,750 | ||||||||||||
Corporate Bonds |
1,071,590,794 | | 1,062,994,416 | 8,596,378 | ||||||||||||
Convertible Bonds |
11,218,688 | | 11,218,688 | | ||||||||||||
Warrants |
560,000 | | 560,000 | | ||||||||||||
Municipal Bonds |
3,107,842 | | 3,107,842 | | ||||||||||||
U.S. Government Agencies |
8,767,096 | | 8,767,096 | | ||||||||||||
Other Government |
2,810,310 | | 2,810,310 | | ||||||||||||
Foreign Bonds |
271,120,478 | | 258,708,853 | 12,411,625 | ||||||||||||
Other Securities |
89,675,508 | | 48,423,930 | 41,251,578 | ||||||||||||
Short Term Investments |
96,000,000 | | 96,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 14,992,151,945 | $ | 13,108,906,582 | $ | 1,779,873,032 | $ | 103,372,331 | ||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | 16,073,363 | $ | | $ | 16,073,363 | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (69,558,660 | ) | $ | | $ | (69,558,660 | ) | $ | | ||||||
Spot Currency |
$ | (218,268 | ) | $ | (218,268 | ) | $ | | $ | |
(a) | At September 30, 2013, industry classifications for Preferred Stock in Level 2 and Level 3 consist of $42,702,500 in Banks, $23,234,900 in Insurance, $10,797,188 in Miscellaneous, and $18,459,375 in Telecommunication Services. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at September 30, 2013. Certain portfolio securities characterized as Level 3 investments representing $3,662,750 market value in Asset Backed Securities were fair valued by the Committee using adjusted bro- ker quotes. Committee valuations based upon an income approach given anticipated cash flows, current market prices/yields of comparable securities and illiquidity market adjustments were applied to portfolio investments representing $3,500,000 market value in Asset Backed Securities and $2,233,452 market value in Foreign Bonds. |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
Certified Annual Report 39
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2013 is as follows:
Preferred Stock |
Asset Backed Securities |
Corporate Bonds |
Foreign Bonds |
Other Securities |
Total(d) | |||||||||||||||||||
Beginning Balance 9/30/2012 |
$ | | $ | 8,652,910 | $ | 23,262,424 | $ | 11,648,180 | $ | 15,541,168 | $ | 59,104,682 | ||||||||||||
Accrued Discounts (Premiums) |
| 26,501 | 45,596 | 134,334 | | 206,431 | ||||||||||||||||||
Net Realized Gain (Loss)(a) |
| 89,440 | (12,878,086 | ) | | | (12,788,646 | ) | ||||||||||||||||
Gross Purchases |
33,896,450 | | 126,259 | | 41,393,196 | 75,415,905 | ||||||||||||||||||
Gross Sales |
| (584,887 | ) | (15,595,304 | ) | | (15,552,786 | ) | (31,732,977 | ) | ||||||||||||||
Change in Unrealized Appreciation (Depreciation)(b) |
53,550 | (1,021,214 | ) | 13,635,489 | 629,111 | (130,000 | ) | 13,166,936 | ||||||||||||||||
Transfers into Level 3(c) |
| | | | | | ||||||||||||||||||
Transfers out of Level 3(c) |
| | | | | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Ending Balance 9/30/2013 |
$ | 33,950,000 | $ | 7,162,750 | $ | 8,596,378 | $ | 12,411,625 | $ | 41,251,578 | $ | 103,372,331 |
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Funds Statement of Operations for the year ended September 30, 2013. |
(c) | Transfers into or out of Level 3, if any, would be from or to Level 2, and would be due to changes in other significant observable inputs available during the year ended September 30, 2013. Transfers out of Level 3 would be indicative of pricing by an independent pricing service and, or increased market activity. Transfers into or out of Level 3 are based upon the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 0.68% of total Net Assets at the year ended September 30, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 investments could be expected to increase or decrease the fair value of the portfolio investments. |
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
40 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Certified Annual Report 41
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $2,254,720 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $394,867 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed specified levels. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $2,010,358 for Class C shares, $115,328 for Class R3 shares, $7,177 for Class R4 shares, and $16,520 for Class R5 shares.
42 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $10,043.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
56,970,888 | $ | 1,125,365,545 | 50,634,864 | $ | 922,597,532 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
9,381,689 | 182,426,914 | 8,419,107 | 154,418,707 | ||||||||||||
Shares repurchased |
(34,776,902 | ) | (678,658,421 | ) | (36,229,209 | ) | (659,394,554 | ) | ||||||||
Redemption fees received* |
| | | 17,597 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
31,575,675 | $ | 629,134,038 | 22,824,762 | $ | 417,639,282 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
62,020,435 | $ | 1,225,172,608 | 52,069,804 | $ | 949,331,499 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
8,853,712 | 172,055,086 | 8,174,226 | 149,832,339 | ||||||||||||
Shares repurchased |
(28,937,060 | ) | (565,734,027 | ) | (29,066,753 | ) | (528,800,858 | ) | ||||||||
Redemption fees received* |
| | | 20,471 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
41,937,087 | $ | 831,493,667 | 31,177,277 | $ | 570,383,451 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
105,352,628 | $ | 2,095,655,160 | 85,850,599 | $ | 1,573,345,423 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
11,370,112 | 222,794,617 | 9,691,099 | 179,014,305 | ||||||||||||
Shares repurchased |
(51,415,753 | ) | (1,012,675,244 | ) | (51,652,773 | ) | (940,867,728 | ) | ||||||||
Redemption fees received* |
| | | 19,415 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
65,306,987 | $ | 1,305,774,533 | 43,888,925 | $ | 811,511,415 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
1,295,541 | $ | 25,313,825 | 916,684 | $ | 16,701,010 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
127,777 | 2,482,674 | 120,502 | 2,208,654 | ||||||||||||
Shares repurchased |
(865,614 | ) | (16,937,120 | ) | (565,100 | ) | (10,218,392 | ) | ||||||||
Redemption fees received* |
| | | 222 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
557,704 | $ | 10,859,379 | 472,086 | $ | 8,691,494 | ||||||||||
|
|
|
|
|
|
|
|
Certified Annual Report 43
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
613,261 | $ | 12,094,390 | 621,863 | $ | 11,383,323 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
32,911 | 640,829 | 30,904 | 568,152 | ||||||||||||
Shares repurchased |
(439,983 | ) | (8,622,098 | ) | (211,126 | ) | (3,893,368 | ) | ||||||||
Redemption fees received* |
| | | 68 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
206,189 | $ | 4,113,121 | 441,641 | $ | 8,058,175 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
1,478,004 | $ | 29,474,397 | 707,505 | $ | 12,944,687 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
60,502 | 1,187,546 | 27,217 | 505,222 | ||||||||||||
Shares repurchased |
(349,610 | ) | (6,922,266 | ) | (204,695 | ) | (3,756,654 | ) | ||||||||
Redemption fees received* |
| | | 43 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
1,188,896 | $ | 23,739,677 | 530,027 | $ | 9,693,298 | ||||||||||
|
|
|
|
|
|
|
|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments and U. S. Government obligations) of $8,491,169,671 and $5,923,331,332, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 13,247,567,410 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 2,079,246,852 | ||
Gross unrealized depreciation on a tax basis |
(334,662,317 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 1,744,584,535 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012 of $55,174,063. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Fund had cumulative tax basis capital losses of $263,075,947 (of which $108,948,442 is short-term and $154,127,505 is long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire, but are required to be utilized to offset future gains prior to the utilization of losses that occurred prior to October 1, 2011, which may expire prior to utilization.
44 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
Capital loss carryforwards that occurred prior to October 1, 2011, expire as follows:
2017 |
$ | 229,347,589 | ||
2018 |
493,662,779 | |||
|
|
|||
$ | 723,010,368 | |||
|
|
In order to account for permanent book/tax differences, the Fund increased undistributed net investment income by $5,098,575, increased accumulated net realized loss by $4,553,050 and decreased net capital paid in on shares of beneficial interest by $545,525. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency gains (losses) and from real estate investment company (REIT), partnership, and other investment tax adjustments.
At September 30, 2013, the Fund had no tax basis distributable ordinary income or tax basis distributable capital gains.
The tax character of distributions paid during the years ended September 30, 2013 and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | 689,403,278 | $ | 628,781,958 | ||||
Capital Gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 689,403,278 | $ | 628,781,958 | ||||
|
|
|
|
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $2,555,737,728. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
Certified Annual Report 45
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||
Australian Dollar |
Sell | 183,266,800 | 11/15/2013 | 170,478,350 | $ | 9,977,137 | $ | | ||||||||||||||
Australian Dollar |
Sell | 72,630,600 | 11/15/2013 | 67,562,400 | 1,443,933 | | ||||||||||||||||
Euro |
Sell | 1,660,758,700 | 02/28/2014 | 2,247,710,286 | | (27,076,614 | ) | |||||||||||||||
Great Britain Pound |
Buy | 30,563,900 | 10/08/2013 | 49,477,594 | 1,567,458 | | ||||||||||||||||
Great Britain Pound |
Sell | 11,846,400 | 10/08/2013 | 19,177,244 | | (819,707 | ) | |||||||||||||||
Great Britain Pound |
Sell | 206,899,100 | 10/08/2013 | 334,933,355 | | (21,915,707 | ) | |||||||||||||||
Swiss Franc |
Buy | 66,745,200 | 10/07/2013 | 73,807,579 | 1,893,946 | | ||||||||||||||||
Swiss Franc |
Buy | 59,715,400 | 10/07/2013 | 66,033,948 | 1,190,889 | | ||||||||||||||||
Swiss Franc |
Sell | 410,894,200 | 10/07/2013 | 454,371,342 | | (19,746,632 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
$ | 16,073,363 | $ | (69,558,660 | ) | |||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2013
Asset Derivatives |
Balance Sheet Location |
Fair Value | |||||
Foreign exchange contracts |
Assets - Unrealized appreciation on forward currency contracts |
$ | 16,073,363 | ||||
Liability Derivatives |
Balance Sheet Location |
Fair Value | |||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts | $ | (69,558,660 | ) |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss) on Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||||
Foreign exchange contracts |
$ | (87,516,294 | ) | $ | (87,516,294 | ) |
Amount of Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||||||
Foreign exchange contracts |
$ | (19,321,582 | ) | $ | (19,321,582 | ) |
46 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, credit risk, interest rate risk, high yield risk, prepayment risk, liquidity risk, and the risks associated with investments in smaller companies, non-U.S. issuers, and real estate investment trusts. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 47
Thornburg Investment Income Builder Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year )+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net (Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income(Loss) (%) |
Expenses, After Expense Reductions(%) |
Expenses, After Expense Reductions and Net of Custody Credits(%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio (%)(a) |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||
Class A Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 18.90 | 1.03 | 1.27 | 2.30 | (1.07 | ) | | (1.07 | ) | $20.13 | 5.26 | 1.18 | 1.18 | 1.18 | 12.51 | 46.14 | $ | 4,281,060 | |||||||||||||||||||||||||||||||
2012(b) |
$ | 17.29 | 1.15 | 1.60 | 2.75 | (1.14 | ) | | (1.14 | ) | $18.90 | 6.32 | 1.20 | 1.20 | 1.20 | 16.26 | 40.96 | $ | 3,420,877 | |||||||||||||||||||||||||||||||
2011(b) |
$ | 18.31 | 1.12 | (0.99 | ) | 0.13 | (1.15 | ) | | (1.15 | ) | $17.29 | 5.91 | 1.21 | 1.21 | 1.21 | 0.42 | 30.34 | $ | 2,734,845 | ||||||||||||||||||||||||||||||
2010(b) |
$ | 17.38 | 1.14 | 0.90 | 2.04 | (1.11 | ) | | (1.11 | ) | $18.31 | 6.47 | 1.25 | 1.25 | 1.25 | 12.08 | 35.50 | $ | 2,018,202 | |||||||||||||||||||||||||||||||
2009(b) |
$ | 16.86 | 1.01 | 0.58 | 1.59 | (1.07 | ) | | (1.07 | ) | $17.38 | 7.03 | 1.30 | 1.30 | 1.30 | 10.89 | 63.05 | $ | 1,400,454 | |||||||||||||||||||||||||||||||
Class C Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 18.89 | 0.89 | 1.28 | 2.17 | (0.93 | ) | | (0.93 | ) | $20.13 | 4.55 | 1.90 | 1.90 | 1.94 | 11.78 | 46.14 | $ | 5,160,706 | |||||||||||||||||||||||||||||||
2012 |
$ | 17.29 | 1.02 | 1.59 | 2.61 | (1.01 | ) | | (1.01 | ) | $18.89 | 5.63 | 1.90 | 1.90 | 1.97 | 15.43 | 40.96 | $ | 4,051,242 | |||||||||||||||||||||||||||||||
2011 |
$ | 18.31 | 0.99 | (0.99 | ) | | (1.02 | ) | | (1.02 | ) | $17.29 | 5.23 | 1.90 | 1.90 | 1.96 | (0.26 | ) | 30.34 | $ | 3,167,624 | |||||||||||||||||||||||||||||
2010 |
$ | 17.39 | 1.03 | 0.89 | 1.92 | (1.00 | ) | | (1.00 | ) | $18.31 | 5.86 | 1.90 | 1.90 | 2.02 | 11.32 | 35.50 | $ | 2,234,953 | |||||||||||||||||||||||||||||||
2009 |
$ | 16.87 | 0.92 | 0.59 | 1.51 | (0.99 | ) | | (0.99 | ) | $17.39 | 6.44 | 1.90 | 1.90 | 2.08 | 10.27 | 63.05 | $ | 1,426,613 | |||||||||||||||||||||||||||||||
Class I Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.03 | 1.10 | 1.28 | 2.38 | (1.14 | ) | | (1.14 | ) | $20.27 | 5.58 | 0.85 | 0.85 | 0.85 | 12.94 | 46.14 | $ | 5,567,617 | |||||||||||||||||||||||||||||||
2012 |
$ | 17.40 | 1.22 | 1.61 | 2.83 | (1.20 | ) | | (1.20 | ) | $19.03 | 6.67 | 0.89 | 0.89 | 0.89 | 16.61 | 40.96 | $ | 3,981,955 | |||||||||||||||||||||||||||||||
2011 |
$ | 18.43 | 1.21 | (1.02 | ) | 0.19 | (1.22 | ) | | (1.22 | ) | $17.40 | 6.31 | 0.87 | 0.87 | 0.87 | 0.74 | 30.34 | $ | 2,878,655 | ||||||||||||||||||||||||||||||
2010 |
$ | 17.50 | 1.22 | 0.89 | 2.11 | (1.18 | ) | | (1.18 | ) | $18.43 | 6.87 | 0.93 | 0.93 | 0.93 | 12.39 | 35.50 | $ | 1,682,616 | |||||||||||||||||||||||||||||||
2009 |
$ | 16.97 | 1.07 | 0.59 | 1.66 | (1.13 | ) | | (1.13 | ) | $17.50 | 7.39 | 0.97 | 0.97 | 0.97 | 11.29 | 63.05 | $ | 908,126 | |||||||||||||||||||||||||||||||
Class R3 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 18.89 | 0.97 | 1.28 | 2.25 | (1.01 | ) | | (1.01 | ) | $20.13 | 4.96 | 1.49 | 1.49 | 1.70 | 12.23 | 46.14 | $ | 61,334 | |||||||||||||||||||||||||||||||
2012 |
$ | 17.28 | 1.10 | 1.60 | 2.70 | (1.09 | ) | | (1.09 | ) | $18.89 | 6.05 | 1.50 | 1.50 | 1.59 | 15.94 | 40.96 | $ | 47,023 | |||||||||||||||||||||||||||||||
2011 |
$ | 18.30 | 1.08 | (1.00 | ) | 0.08 | (1.10 | ) | | (1.10 | ) | $17.28 | 5.67 | 1.50 | 1.50 | 1.58 | 0.13 | 30.34 | $ | 34,861 | ||||||||||||||||||||||||||||||
2010 |
$ | 17.38 | 1.11 | 0.88 | 1.99 | (1.07 | ) | | (1.07 | ) | $18.30 | 6.27 | 1.50 | 1.50 | 1.69 | 11.75 | 35.50 | $ | 23,550 | |||||||||||||||||||||||||||||||
2009 |
$ | 16.85 | 1.00 | 0.58 | 1.58 | (1.05 | ) | | (1.05 | ) | $17.38 | 6.93 | 1.50 | 1.50 | 1.87 | 10.74 | 63.05 | $ | 14,828 | |||||||||||||||||||||||||||||||
Class R4 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 18.93 | 0.99 | 1.29 | 2.28 | (1.04 | ) | | (1.04 | ) | $20.17 | 5.05 | 1.37 | 1.37 | 1.41 | 12.35 | 46.14 | $ | 24,906 | |||||||||||||||||||||||||||||||
2012 |
$ | 17.31 | 1.12 | 1.61 | 2.73 | (1.11 | ) | | (1.11 | ) | $18.93 | 6.14 | 1.39 | 1.39 | 1.53 | 16.10 | 40.96 | $ | 19,471 | |||||||||||||||||||||||||||||||
2011 |
$ | 18.34 | 1.15 | (1.06 | ) | 0.09 | (1.12 | ) | | (1.12 | ) | $17.31 | 6.02 | 1.40 | 1.40 | 1.65 | 0.19 | 30.34 | $ | 10,162 | ||||||||||||||||||||||||||||||
2010 |
$ | 17.47 | 1.22 | 0.74 | 1.96 | (1.09 | ) | | (1.09 | ) | $18.34 | 6.89 | 1.40 | 1.40 | 3.60 | 11.52 | 35.50 | $ | 1,950 | |||||||||||||||||||||||||||||||
2009 |
$ | 16.94 | 1.01 | 0.59 | 1.60 | (1.07 | ) | | (1.07 | ) | $17.47 | 7.02 | 1.40 | 1.40 | 9.54 | (c) | 10.83 | 63.05 | $ | 48 | ||||||||||||||||||||||||||||||
Class R5 Shares |
||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 19.01 | 1.07 | 1.30 | 2.37 | (1.12 | ) | | (1.12 | ) | $20.26 | 5.37 | 0.99 | 0.98 | 1.05 | 12.80 | 46.14 | $ | 39,985 | |||||||||||||||||||||||||||||||
2012 |
$ | 17.40 | 1.21 | 1.58 | 2.79 | (1.18 | ) | | (1.18 | ) | $19.01 | 6.61 | 0.99 | 0.99 | 1.29 | 16.44 | 40.96 | $ | 14,914 | |||||||||||||||||||||||||||||||
2011 |
$ | 18.42 | 1.18 | (1.00 | ) | 0.18 | (1.20 | ) | | (1.20 | ) | $17.40 | 6.16 | 0.99 | 0.99 | 1.51 | 0.68 | 30.34 | $ | 4,424 | ||||||||||||||||||||||||||||||
2010 |
$ | 17.50 | 1.36 | 0.74 | 2.10 | (1.18 | ) | | (1.18 | ) | $18.42 | 7.67 | 0.99 | 0.99 | 2.35 | 12.31 | 35.50 | $ | 3,366 | |||||||||||||||||||||||||||||||
2009 |
$ | 16.98 | 1.04 | 0.61 | 1.65 | (1.13 | ) | | (1.13 | ) | $17.50 | 7.14 | 0.99 | 0.99 | 9.20 | (c) | 11.19 | 63.05 | $ | 427 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
48 Certified Annual Report | Certified Annual Report 49 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Investment Income Builder Fund
To the Trustees and Shareholders of
Thornburg Investment Income Builder Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Investment Income Builder Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
50 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,028.10 | $ | 6.05 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,019.11 | $ | 6.02 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,024.40 | $ | 9.64 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,015.54 | $ | 9.60 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,029.90 | $ | 4.35 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.79 | $ | 4.33 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,026.60 | $ | 7.52 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.65 | $ | 7.49 | ||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,027.10 | $ | 7.03 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.14 | $ | 6.99 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,029.20 | $ | 5.00 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.14 | $ | 4.97 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.19%; C: 1.90%; I: 0.85%; R3: 1.48%; R4: 1.38%; R5: 0.98%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 51
INDEX COMPARISON | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Investment Income Builder Fund versus Blended Index and S&P 500 Index
(December 24, 2002 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception |
||||||||||||||||
A Shares (Incep: 12/24/02) |
7.45 | % | 7.86 | % | 9.29 | % | 9.60 | % | 10.60 | % | ||||||||||
C Shares (Incep: 12/24/02) |
10.78 | % | 8.78 | % | 9.58 | % | 9.45 | % | 10.44 | % | ||||||||||
I Shares (Incep: 11/3/03) |
12.94 | % | 9.89 | % | 10.66 | % | | 10.05 | % | |||||||||||
R3 Shares (Incep: 2/1/05) |
12.23 | % | 9.22 | % | 10.03 | % | | 8.19 | % | |||||||||||
R4 Shares (Incep: 2/1/08) |
12.35 | % | 9.33 | % | 10.07 | % | | 5.14 | % | |||||||||||
R5 Shares (Incep: 2/1/07) |
12.80 | % | 9.76 | % | 10.55 | % | | 6.19 | % | |||||||||||
Blended Index (Since 12/24/02) |
14.42 | % | 9.74 | % | 7.62 | % | 7.10 | % | 7.79 | % | ||||||||||
S&P 500 Index (Since 12/24/02) |
19.34 | % | 16.27 | % | 10.02 | % | 7.57 | % | 8.24 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg. com or call 800-847-0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50% . Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4, and R5 shares.
52 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 53
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
54 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013(6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thorn-burg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. |
(8) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 55
OTHER INFORMATION | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, dividends paid by the Thornburg Investment Income Builder Fund of $689,403,278 are being reported as ordinary investment income for federal income tax purposes.
For the tax year ended September 30, 2013, the Fund is reporting 75.27% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 21.99% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2013 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2013, foreign source income and foreign taxes paid is $372,887,816 and $49,287,879, respectively.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Investment Income Builder Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the Trustees evaluation of the Advisors performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for the purpose, and the independent Trustees thereafter met in independent session to
56 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered the information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment performance over different periods of time relative to a world allocation category of mutual funds having income and capital appreciation objectives, selected by an independent mutual fund analyst firm, relative to a broad-based securities index, and relative to a blended performance benchmark comprised of two broad-based securities indices, (iv) the Funds cumulative investment return since inception relative to a broad-based securities index, (v) dividend payment data, and (vi) comparative measures of portfolio volatility, risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the ten calendar years since the Funds inception, which showed that the Funds investment return for the most recent calendar year was higher than the average return for the fund category and lower than the return for the index and the blended benchmark, and that the Funds returns for the preceding nine calendar years exceeded the returns of the blended benchmark in eight of nine years, exceeded the returns of the index in seven of nine years, and exceeded the average returns of the fund category in eight of nine years. Noted quantitative data also showed that the Funds annualized investment returns fell in the second quartile of performance for the fund category for the three-month period ended with the second quarter of the current year, and fell in the top decile of performance for the year-to-date, one-year, three-year and five-year periods. The Trustees also noted their consideration of generally increasing levels of the Funds quarterly dividend through the end of 2011 and some recent small decreases in dividend rates due to the reduced yields on available investments in recent markets, and the Funds higher cumulative return (net of expenses) relative to the Funds blended benchmark since the Funds inception.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor had received any ancillary benefits from its relationship with the Fund.
Certified Annual Report 57
OTHER INFORMATION, CONTINUED | ||
Thornburg Investment Income Builder Fund |
September 30, 2013 (Unaudited) |
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee charged to the Fund was comparable to the median and slightly higher than the average fee levels for the fund category, and that the overall expense ratio for a reference share class of the Fund was comparable to the median and slightly lower than the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by the Fund and other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund has realized economies of scale and may reasonably be expected to realize economies of scale as the Fund grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature, extent and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and expenses charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
58 Certified Annual Report
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This page is not part of the Annual Report 59
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
60 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report 61
FIRM & PHILOSOPHY
The Firm
Founded in 1982 and headquartered in Santa Fe, New Mexico, Thornburg Investment Management advises a range of active investment strategies, each offered through multiple vehicles, to serve a broad spectrum of client needs worldwide. From short-term fixed income to flexible global equity, our objective is to help clients reach their long-term financial goals via active portfolio management. As of September 30, 2013, Thornburg managed approximately $93 billion in assets.
Investment Philosophy
We seek to preserve and increase the real wealth of shareholders after accounting for inflation, taxes, and investment expenses. Were committed to disciplined investing and managing risk in all market environments.
Portfolio Holdings Commentary
At Thornburg, we believe you should know what you own. Our website keeps investors informed of the Funds equity holdings. Go to www.thornburg.com/funds for equity funds holdings and commentary.
Co-Ownership of Funds
We invest side-by-side with shareholders. Our employees have invested $336 million in Thornburg products as of September 30, 2013.
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report 63
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IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R3, R4, and R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains for the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and as the Funds assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THOAX | 885-215-343 | ||
Class C |
THOCX | 885-215-335 | ||
Class I |
THOIX | 885-215-327 | ||
Class R3 |
THORX | 885-215-145 | ||
Class R4 |
THOVX | 885-215-137 | ||
Class R5 |
THOFX | 885-215-129 |
Glossary
EURO STOXX 50 Index A Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
MSCI All Country (AC) World Index A market capitalization weighted index that is representative of the market structure of 45 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
MSCI Emerging Markets Index A free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
S&P 500 Index An unmanaged broad measure of the U.S. stock market.
S&P/Case-Shiller 20-City Composite Home Price Index An index that measures the value of residential real estate in 20 metropolitan areas of the U.S.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Basis Point (bp) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Beta A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
Earnings Per Share (EPS) The total earnings divided by the number of shares outstanding.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less.
Price to Book Value (P/B) A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value (book value is simply assets minus liabilities).
Price to Cash Flow Ratio A measure of the markets expectations of a firms future financial health. It is calculated by dividing the price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio equaling a companys market value per share divided by earnings per share. Forward P/E is not intended to be a forecast of the Funds future performance.
This page is not part of the Annual Report. 3
THORNBURG GLOBAL OPPORTUNITIES FUND
Portfolio Managers
W. Vinson Walden, CFA, and Brian McMahon
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.60%, as disclosed in the most recent Prospectus.
Investment fads come and go, and the landscape is littered with funds that generated an avalanche of interest for a brief period of time, then fell by the wayside when the market turned its attention elsewhere. At Thornburg Investment Management, we believe that the soundest investments over the long term are conceptually simple and grounded in common sense. It is with this mindset that we created the Thornburg Global Opportunities Fund.
The Fund was launched in 2006 to capitalize on what Thornburg Investment Management is known for bottom-up research based on a team-oriented, flexible approach to uncovering value. The Fund utilizes the research of the Thornburg equity investment team, while employing a value investing discipline to pursue opportunities across the globe. The Fund consists of a focused and diversified portfolio of holdings which the management team believes to be undervalued by the market.
The philosophy of Thornburg Global Opportunities Fund is straightforward to maintain a focused portfolio, with global flexibility, of value-oriented investments. In other words, global value investing. The portfolio management team, as well as this underlying philosophy, has been constant since the inception of the Fund. The results have been satisfying: now in our 8th year of Fund operations, we have added significant value over the long term versus world equity benchmarks.
The Thornburg Global Opportunities Fund is distinctive in the marketplace. Currently, assets in the global stock fund universe are concentrated in a few very large funds. Based on size alone, these
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 7/28/06) |
||||||||||||||||
Without sales charge |
24.50 | % | 13.45 | % | 10.31 | % | 9.51 | % | ||||||||
With sales charge |
18.92 | % | 11.72 | % | 9.30 | % | 8.81 | % | ||||||||
MSCI AC World Index (Since: 7/28/06) |
17.73 | % | 10.21 | % | 7.71 | % | 4.42 | % |
4 This page is not part of the Annual Report.
funds must focus on the largest capitalization stocks, or alternatively, spread their assets across many names. In fact, about 64% of category assets are concentrated in ten funds, and the average world stock fund holds approximately 147 stocks (as of 9/30/13).
Thornburg Global Opportunities Fund is different, in that it will typically be focused in 3040 stocks which the management team feels have the best combination of promise and discount. Each stock is analyzed on its own merits, and the team then combines them into a portfolio of stocks with what we view as attractive long-term prospects. The result is a fund which looks quite unlike either the MSCI AC World Index or its peers.
Thornburg Global Opportunities Fund is grounded in common sense value investing principles, which we think resonate well with investors and can be effective over the long term.
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors | Top Detractors | |
Valeant Pharmaceuticals International, Inc. | SPDR Gold Trust ETF | |
Delphi Automotive plc | PDG Realty SA | |
Galaxy Entertainment Group Ltd. | Apple, Inc. | |
EchoStar Corp. | American Realty Capital Properties, Inc. | |
Bank of America Corp. | Weight Watchers International, Inc. | |
Source: FactSet |
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-Months* |
16.5x | |||
Portfolio Price to Cash Flow* |
7.2x | |||
Portfolio Price to Book Value* |
1.8x | |||
Median Market Cap* |
$ | 17.4B | ||
5-Year Beta (A Shares vs. MSCI ACWI)* |
1.12 | |||
Number of Companies |
33 |
* | Source: FactSet |
Market Capitalization Exposure
As of September 30, 2013
Asset Structure
As of September 30, 2013
This page is not part of the Annual Report. 5
Thornburg Global Opportunities Fund
September 30, 2013
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38 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 17, 2013
Dear Fellow Shareholder:
This letter will highlight the results of Thornburg Global Opportunities Funds investment activities for the six- and twelve-month periods ended September 30, 2013.
For the fiscal year ended September 30, 2013, the Funds net asset value (NAV) per share increased by $3.75 or 23.50%. Total return for the Class A shares for the fiscal year was 24.50%, versus 17.73% for the benchmark MSCI All Country (AC) World Index over the same 12-month period. The Funds total return includes dividends paid of 15 cents per share, reinvested in Fund shares. The dividends per share were higher for Class I, R4 and R5 shares, and lower on the Class C and R3 shares, to account for varying class-specific expenses. In the six months ended September 30, 2013, the Global Opportunities Funds NAV per Class A share increased 9.19% from $18.06 to $19.72.
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.60%, as disclosed in the most recent Prospectus.
Performance comparisons of the Fund to the MSCI AC World Index over various time periods are shown on page 34 of this report and on our website, thornburg.com. The performance of the Fund has compared well to its benchmark over most time periods since inception in July, 2006, and recent results reflect this as well. The Funds Class A Shares outperformed the MSCI AC World Index by 6.77% for the 12-month period ended September 30, 2013. From inception on July 28, 2006 through September 30, 2013, the Fund outperformed the index by an average margin of approximately 4.4% per year, as shown on page 34. Cumulative total return since inception was 91.92% (for the Class A shares without sales charge) versus 36.38% for the index. Over this same period, the Fund exhibited share-price volatility, as measured by weekly Beta, nominally lower than that of the index.1
We urge fellow shareholders to maintain a long-term investment perspective. Recent years have been notably rewarding for equity investors. The MSCI AC World Index has returned over 10% per annum in the trailing three-year period. However, there have been significant short-term declines along the way, and we continue to expect periods of volatility, and even disappointments, from time to time. Despite its significant long-term performance advantage, the Fund has underperformed the index in 10 of 28 calendar quarters since inception.
We do not expect to pay any capital gain distribution for 2013. As of September 30, 2013, the Fund had tax-basis realized capital losses of approximately $148 million, which may be carried forward to offset future capital gains, to the extent permitted by regulations.
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
In assessing Fund performance, it is constructive to consider the performance in U.S. dollars of the sector components of our benchmark, the MSCI AC World Index, over the fiscal year ended September 30, 2013:
1. | For the index, all 10 sectors showed positive total returns, with a range of 1% (materials) to more than 25% (consumer discretionary, health care and industrials). The Fund had no investments in basic materials or utilities during the period under review, which aided relative performance. Each of the other eight sectors produced positive returns for the Fund. |
2. | The Funds investments in the following sectors comprised the largest weightings in the portfolio: information technology (19%), financials (18%), and consumer discretionary (16%). |
3. | Holdings in the financials and consumer discretionary sectors were the strongest contributors to the Funds absolute performance during the fiscal year. Relative to the index, our strongest sectors were pharmaceuticals, consumer staples, and energy. |
4. | Our results in pharmaceuticals were led by long-time holdings Roche and Valeant Pharmaceuticals. Each of these significantly outperformed the health care sector of the index. Valeant rose almost 90% during the year, as the company executed on its distinctive strategy. The companys recent acquisition of Bausch + Lomb makes Valeant a global leader in both dermatology and eye health. |
5. | In consumer staples, our two long-time holdings Brasil Foods and Walgreen Co. were standouts; each of these produced a return of over 40% during the year, as compared with about 14% for that sector in the index. |
6. | Our investments in Canadian oil producer Bankers Petroleum Ltd. and newly public oil & gas drilling equipment provider Franks International drove the Funds significant outperformance versus the MSCI AC World Index energy sector as a whole. This year Bankers Petroleum has new senior management in place and has continued growing its oil output at a healthy level. At an investor meeting in September, management affirmed its intentions to grow production by 10% or more per annum for the foreseeable future; this growth compares well with industry norms. |
7. | Your Funds average return from its investments in the financials sector was above the 24% performance of the equities in the finance sector of the MSCI AC World Index. Our investments in BankAmerica Corp., Swiss Re AG, and UBS AG were strong performers, with the latter two particularly benefitting from better economic conditions in Europe. |
8. | Among our other investments, significant positive contributors to the Funds fiscal year performance included Asian casino operators Galaxy Entertainment Group and Paradise Ltd., industrial companies Oshkosh Corp. and Delphi Automotive, satellite operator Echostar Corp., and German cable TV/broadband network operator Kabel Deutschland. We sold Oshkosh |
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
and Kabel Deutschland during the year, as the former reached our price target, and the latter received a takeover offer. Several holdings from various industries detracted from overall results. These included Apple, Inc., Brazilian real estate developer PDG Realty, and Weight Watchers International. We sold Weight Watchers earlier this year due to changes in company fundamentals that cast doubt upon our initial investment thesis. We continue to monitor Apple and PDG developments closely. |
As of September 30, 2013, domestic stocks comprised approximately 40.7% of the portfolio; foreign stocks around 53.1%; and cash the remaining 6.2%. We have hedged more than 50% of the currency risk associated with the Funds euro equity holdings (approximately 11% of the portfolio is invested in companies based in European Monetary Union countries). For now, we do not hedge the currency risk of our Australian dollar, Canadian dollar, and non-yen Asian currency denominated equity holdings, and we retain a hedge of less than 50% with respect to Swiss holdings. The average price/ earnings multiple of the 33 stocks in the portfolio as of September 30, 2013, was 14.2x on a forward basis, using estimates provided by FactSet and IBES. For comparative reference, the forward price/ earnings multiples of the MSCI AC World Index at September 30, 2013 was approximately 14.1x, also using estimates compiled by FactSet and IBES. Industry weightings, country weightings, and the top equity holdings of Global Opportunities Fund are summarized on page 11 of this report.
A new feature on the global landscape this year is improving economic conditions in Europe. This follows from years of difficult adjustments, some policy changes, and a marginally better outlook in China. Even the southern European economies have benefitted: yields on 10-year sovereign debt from Spain and Italy have declined notably over the past year, and now stand near 4.5%; the major bourses in Madrid and Milan have posted double-digit gains thus far in 2013. While we are not expecting a robust recovery in Europe, the Funds investments in the Netherlands could benefit from even modestly improved demand in the region.
For the U.S. economy, important bright spots are apparent: improved consumer confidence, increasing employment, and better sales and new construction of residential housing. Homebuilder confidence reached its highest level in almost eight years: the National Association of Home Builders confidence index registered 58 in September 2013, the strongest since November 2005. This corresponds with a recovery in home prices that pushed up the S&P/Case-Shiller 20-City Composite Home Price Index by 12.4% in July 2013 from the prior year.2 However, pressures to improve public sector balance sheets, recurring political battles in Washington, and the prospect of an end to the extraordinarily easy monetary policy ensure that economic progress cannot be taken for granted.
We have constructed the focused portfolio of Thornburg Global Opportunities Fund on a diversified basis with risk management in mind. Since inception in 2006, we have managed the Fund through a wide variety of macroeconomic settings, adding significant value versus our benchmark over the Funds seven year life.
Certified Annual Report 9
LETTER TO SHAREHOLDERS,
CONTINUED
Thank you for being a shareholder of Thornburg Global Opportunities Fund. Remember that you can review descriptions of many of the stocks in your portfolio on our internet site, www.thornburg. com/funds.
Best wishes for a great holiday season and New Year.
Sincerely,
![]() |
![]() | |
Brian McMahon | W. Vinson Walden, CFA | |
Portfolio Manager | Portfolio Manager | |
CEO & Chief Investment Officer | Managing Director |
1 | Beta measurement of 0.98 versus MSCI ACWI provided by Bloomberg; calculated weekly. |
2 | Housing data provided by Bloomberg. A builders confidence reading above 50 indicates more builders view conditions as good, rather than poor. |
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 advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
10 Certified Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Top Ten Equity Holdings
As of 9/30/13
Valeant Pharmaceuticals International, Inc. |
6.3 | % | Citigroup, Inc. |
3.8 | % | |||||
Level 3 Communications, Inc. |
5.5 | % | Capital One Financial Corp. |
3.8 | % | |||||
InterXion Holding NV |
5.1 | % | Apple, Inc. |
3.6 | % | |||||
EchoStar Corp. |
4.5 | % | Bankers Petroleum Ltd. |
3.3 | % | |||||
Delphi Automotive plc |
4.1 | % | Fly Leasing Ltd. ADR |
3.3 | % |
Summary of Industry Exposure
As of 9/30/13
Diversified Financials |
14.1 | % | Food & Staples Retailing |
3.2 | % | |||||
Software & Services |
10.1 | % | Semiconductors & Semiconductor Equipment |
3.0 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences |
10.0 | % | Transportation |
3.0 | % | |||||
Telecommunication Services |
9.7 | % | Commercial & Professional Services |
2.9 | % | |||||
Technology Hardware & Equipment |
8.1 | % | Food, Beverage & Tobacco |
2.3 | % | |||||
Energy |
5.7 | % | Consumer Durables & Apparel |
2.2 | % | |||||
Consumer Services |
5.7 | % | Media |
1.8 | % | |||||
Real Estate |
4.4 | % | Miscellaneous |
0.2 | % | |||||
Automobiles & Components |
4.1 | % | Other Assets & Liabilities |
6.2 | % | |||||
Capital Goods |
3.3 | % |
Summary of Country Exposure
As of 9/30/13 (percent of equity holdings)
United States |
43.4 | % | United Kingdom |
4.4 | % | |||||
Netherlands |
11.2 | % | Switzerland |
3.6 | % | |||||
Canada |
10.3 | % | Ireland |
3.5 | % | |||||
Brazil |
7.5 | % | Hong Kong |
3.2 | % | |||||
South Korea |
6.1 | % | Singapore |
1.9 | % | |||||
Australia |
4.9 | % |
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 93.62% |
||||||||
AUTOMOBILES & COMPONENTS 4.12% |
||||||||
AUTO COMPONENTS 4.12% |
||||||||
Delphi Automotive plc |
342,900 | $ | 20,032,218 | |||||
|
|
|||||||
20,032,218 | ||||||||
|
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|||||||
CAPITAL GOODS 3.29% |
||||||||
TRADING COMPANIES & DISTRIBUTORS 3.29% |
||||||||
Fly Leasing Ltd. ADR |
1,152,451 | 15,996,020 | ||||||
|
|
|||||||
15,996,020 | ||||||||
|
|
|||||||
COMMERCIAL & PROFESSIONAL SERVICES 2.95% |
||||||||
COMMERCIAL SERVICES & SUPPLIES 2.95% |
||||||||
Mineral Resources Ltd. |
1,411,109 | 14,349,020 | ||||||
|
|
|||||||
14,349,020 | ||||||||
|
|
|||||||
CONSUMER DURABLES & APPAREL 2.20% |
||||||||
HOUSEHOLD DURABLES 2.20% |
||||||||
Cyrela Brazil Realty S.A. |
340,200 | 2,571,110 | ||||||
a PDG Realty SA |
7,315,000 | 8,119,343 | ||||||
|
|
|||||||
10,690,453 | ||||||||
|
|
|||||||
CONSUMER SERVICES 5.68% |
||||||||
HOTELS, RESTAURANTS & LEISURE 5.68% |
||||||||
a Galaxy Entertainment Group Ltd. |
2,051,856 | 14,391,749 | ||||||
Paradise Co. Ltd. |
581,797 | 13,263,570 | ||||||
|
|
|||||||
27,655,319 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 14.12% |
||||||||
CAPITAL MARKETS 1.51% |
||||||||
UBS AG |
359,646 | 7,357,164 | ||||||
CONSUMER FINANCE 3.79% |
||||||||
Capital One Financial Corp. |
268,542 | 18,459,577 | ||||||
DIVERSIFIED FINANCIAL SERVICES 8.82% |
||||||||
Bank of America Corp. |
880,500 | 12,150,900 | ||||||
Citigroup, Inc. |
384,490 | 18,651,610 | ||||||
a ING Groep N.V. |
1,071,400 | 12,104,306 | ||||||
|
|
|||||||
68,723,557 | ||||||||
|
|
|||||||
ENERGY 5.75% |
||||||||
ENERGY EQUIPMENT & SERVICES 2.40% |
||||||||
a Franks International N.V. |
390,533 | 11,688,653 | ||||||
OIL, GAS & CONSUMABLE FUELS 3.35% |
||||||||
a Bankers Petroleum Ltd. |
4,337,800 | 16,297,545 | ||||||
|
|
|||||||
27,986,198 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 3.18% |
||||||||
FOOD & STAPLES RETAILING 3.18% |
||||||||
Walgreen Co. |
287,650 | 15,475,570 | ||||||
|
|
|||||||
15,475,570 | ||||||||
|
|
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
FOOD, BEVERAGE & TOBACCO 2.29% |
||||||||
FOOD PRODUCTS 2.29% |
||||||||
BRF SA |
456,900 | $ | 11,132,338 | |||||
|
|
|||||||
11,132,338 | ||||||||
|
|
|||||||
MEDIA 1.82% |
||||||||
MEDIA 1.82% |
||||||||
Asian Pay Television Trust |
13,664,793 | 8,877,132 | ||||||
|
|
|||||||
8,877,132 | ||||||||
|
|
|||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 10.02% |
||||||||
PHARMACEUTICALS 10.02% |
||||||||
Roche Holding AG |
33,740 | 9,099,559 | ||||||
a Valeant Pharmaceuticals International, Inc. |
295,417 | 30,820,855 | ||||||
Zoetis, Inc. |
284,550 | 8,855,196 | ||||||
|
|
|||||||
48,775,610 | ||||||||
|
|
|||||||
REAL ESTATE 4.35% |
||||||||
REAL ESTATE INVESTMENT TRUSTS 4.35% |
||||||||
American Realty Capital Properties, Inc. |
758,700 | 9,256,140 | ||||||
Ryman Hospitality Properties, Inc. |
345,689 | 11,929,727 | ||||||
|
|
|||||||
21,185,867 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.00% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.00% |
||||||||
Samsung Electronics Co. Ltd. |
11,496 | 14,623,055 | ||||||
|
|
|||||||
14,623,055 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 10.11% |
||||||||
INFORMATION TECHNOLOGY SERVICES 5.06% |
||||||||
a InterXion Holding NV |
1,107,098 | 24,621,859 | ||||||
INTERNET SOFTWARE & SERVICES 3.28% |
||||||||
a Google, Inc. |
18,215 | 15,954,701 | ||||||
SOFTWARE 1.77% |
||||||||
Microsoft Corp. |
258,900 | 8,623,959 | ||||||
|
|
|||||||
49,200,519 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 8.07% |
||||||||
COMMUNICATIONS EQUIPMENT 4.47% |
||||||||
a EchoStar Corp. |
495,641 | 21,778,466 | ||||||
COMPUTERS & PERIPHERALS 3.60% |
||||||||
Apple, Inc. |
36,770 | 17,530,097 | ||||||
|
|
|||||||
39,308,563 | ||||||||
|
|
|||||||
TELECOMMUNICATION SERVICES 9.69% |
||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES 9.69% |
||||||||
a Level 3 Communications, Inc. |
1,010,526 | 26,970,939 | ||||||
Telefonica Brasil SA ADR |
548,400 | 12,306,096 | ||||||
Telstra Corp. Ltd. |
1,706,363 | 7,911,576 | ||||||
|
|
|||||||
47,188,611 | ||||||||
|
|
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
TRANSPORTATION 2.98% |
||||||||
AIR FREIGHT & LOGISTICS 2.98% |
||||||||
TNT Express N.V. |
1,589,900 | $ | 14,514,253 | |||||
|
|
|||||||
14,514,253 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $361,846,272) |
455,714,303 | |||||||
|
|
|||||||
EXCHANGE-TRADED FUNDS 0.18% |
||||||||
a SPDR Gold Trust |
6,760 | 866,429 | ||||||
|
|
|||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,044,127) |
866,429 | |||||||
|
|
|||||||
SHORT TERM INVESTMENTS 4.68% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 9/30/2013 due 10/1/2013, repurchase price $8,000,047 collateralized by 13 corporate debt securities and 6 U. S. Government debt securities, having an average coupon of 4.206%, a minimum credit rating of BBB-, maturity dates from 2/12/2016 to 2/1/2042, and having an aggregate market value of $8,573,298 at 9/30/2013 |
$ | 8,000,000 | 8,000,000 | |||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
8,000,000 | 8,000,000 | ||||||
Southern California Edison, 0.25%, 10/1/2013 |
6,800,000 | 6,800,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $22,800,000) |
22,800,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 98.48% (Cost $385,690,399) |
$ | 479,380,732 | ||||||
OTHER ASSETS LESS LIABILITIES 1.52% |
7,402,478 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 486,783,210 | ||||||
|
|
Footnote Legenda
Non-income producing.
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR American Depository Receipt
See notes to financial statements.
14 Certified Annual Report
This page intentionally left blank.
Certified Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $385,690,399) (Note 2) |
$ | 479,380,732 | ||
Cash |
10,413,086 | |||
Receivable for fund shares sold |
927,688 | |||
Unrealized appreciation on forward currency contracts (Note 7) |
706,758 | |||
Dividends receivable |
1,075,785 | |||
Dividend and interest reclaim receivable |
161,931 | |||
Interest receivable |
47 | |||
Prepaid expenses and other assets |
40,462 | |||
|
|
|||
Total Assets |
492,706,489 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
3,698,729 | |||
Payable for fund shares redeemed |
353,438 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
1,305,749 | |||
Payable to investment advisor and other affiliates (Note 3) |
444,478 | |||
Accounts payable and accrued expenses |
120,811 | |||
Dividends payable |
74 | |||
|
|
|||
Total Liabilities |
5,923,279 | |||
|
|
|||
NET ASSETS |
$ | 486,783,210 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Distribution in excess of net investment income |
$ | (1,505,544 | ) | |
Net unrealized appreciation |
93,095,087 | |||
Accumulated net realized gain (loss) |
(150,533,142 | ) | ||
Net capital paid in on shares of beneficial interest |
545,726,809 | |||
|
|
|||
$ | 486,783,210 | |||
|
|
16 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($96,855,048 applicable to 4,911,793 shares of beneficial interest outstanding - Note 4) |
$ | 19.72 | ||
Maximum sales charge, 4.50% of offering price |
0.93 | |||
|
|
|||
Maximum offering price per share |
$ | 20.65 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($ 87,808,168 applicable to 4,530,496 shares of beneficial interest outstanding - Note 4) |
$ | 19.38 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($249,283,044 applicable to 12,626,481 shares of beneficial interest outstanding - Note 4) |
$ | 19.74 | ||
|
|
|||
Class R3 Shares: |
||||
Net asset value, offering and redemption price per share ($1,652,987 applicable to 84,532 shares of beneficial interest outstanding - Note 4) |
$ | 19.55 | ||
|
|
|||
Class R4 Shares: |
||||
Net asset value, offering and redemption price per share ($2,161,169 applicable to 110,345 shares of beneficial interest outstanding - Note 4) |
$ | 19.59 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($49,022,794 applicable to 2,481,294 shares of beneficial interest outstanding - Note 4) |
$ | 19.76 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 17
STATEMENT OF OPERATIONS | ||
Thornburg Global Opportunities Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $99,210) |
$ | 8,522,546 | ||
Interest income |
74,149 | |||
|
|
|||
Total Income |
8,596,695 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
3,663,107 | |||
Administration fees (Note 3) |
||||
Class A Shares |
109,555 | |||
Class C Shares |
101,489 | |||
Class I Shares |
99,628 | |||
Class R3 Shares |
1,651 | |||
Class R4 Shares |
2,244 | |||
Class R5 Shares |
23,717 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
219,223 | |||
Class C Shares |
811,995 | |||
Class R3 Shares |
6,616 | |||
Class R4 Shares |
4,484 | |||
Transfer agent fees |
||||
Class A Shares |
93,555 | |||
Class C Shares |
100,644 | |||
Class I Shares |
204,634 | |||
Class R3 Shares |
3,312 | |||
Class R4 Shares |
7,086 | |||
Class R5 Shares |
52,085 | |||
Registration and filing fees |
||||
Class A Shares |
23,204 | |||
Class C Shares |
19,938 | |||
Class I Shares |
21,503 | |||
Class R3 Shares |
20,875 | |||
Class R4 Shares |
18,727 | |||
Class R5 Shares |
18,697 | |||
Custodian fees (Note 3) |
144,601 | |||
Professional fees |
70,181 | |||
Accounting fees |
10,055 | |||
Trustee fees |
14,416 | |||
Other expenses |
68,749 | |||
|
|
|||
Total Expenses |
5,935,971 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(367,510 | ) | ||
Fees paid indirectly (Note 3) |
(586 | ) | ||
|
|
|||
Net Expenses |
5,567,875 | |||
|
|
|||
Net Investment Income |
$ | 3,028,820 | ||
|
|
18 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Global Opportunities Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments |
$ | 35,962,031 | ||
Forward currency contracts (Note 7) |
(1,702,031 | ) | ||
Foreign currency transactions |
(142,011 | ) | ||
|
|
|||
34,117,989 | ||||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments |
55,088,946 | |||
Forward currency contracts (Note 7) |
(3,731 | ) | ||
Foreign currency translations |
9,843 | |||
|
|
|||
55,095,058 | ||||
|
|
|||
Net Realized and Unrealized Gain |
89,213,047 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 92,241,867 | ||
|
|
See notes to financial statements.
Certified Annual Report 19
STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Global Opportunities Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 3,028,820 | $ | 3,454,314 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions |
34,117,989 | 7,061,087 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations |
55,095,058 | 61,323,162 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
92,241,867 | 71,838,563 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(718,838 | ) | (1,101,887 | ) | ||||
Class C Shares |
| (818,921 | ) | |||||
Class I Shares |
(3,552,432 | ) | (2,138,758 | ) | ||||
Class R3 Shares |
(15,293 | ) | (1,619 | ) | ||||
Class R4 Shares |
(18,722 | ) | (14,589 | ) | ||||
Class R5 Shares |
(880,174 | ) | (604,925 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
1,325,826 | (11,261,925 | ) | |||||
Class C Shares |
(6,075,308 | ) | (8,102,839 | ) | ||||
Class I Shares |
38,975,631 | 23,854,604 | ||||||
Class R3 Shares |
481,465 | 733,390 | ||||||
Class R4 Shares |
460,617 | 225,946 | ||||||
Class R5 Shares |
(11,216,085 | ) | 9,951,359 | |||||
|
|
|
|
|||||
Net Increase in Net Assets |
111,008,554 | 82,558,399 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
375,774,656 | 293,216,257 | ||||||
|
|
|
|
|||||
End of Year |
$ | 486,783,210 | $ | 375,774,656 | ||||
|
|
|
|
|||||
Distributions in excess of net investment income |
$ | (1,505,544 | ) | $ | (4,725,571 | ) |
See notes to financial statements.
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Global Opportunities Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I), and Retirement Classes (Class R3, Class R4, and Class R5). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date. Exchange-traded funds are primarily valued using the closing price on the valuation date.
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 455,714,303 | $ | 455,714,303 | $ | | $ | | ||||||||
ExchangeTraded Funds |
866,429 | 866,429 | | | ||||||||||||
Short Term Investments |
22,800,000 | | 22,800,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 479,380,732 | $ | 456,580,732 | $ | 22,800,000 | $ | | ||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | 706,758 | $ | | $ | 706,758 | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (1,305,749 | ) | $ | | $ | (1,305,749 | ) | $ | |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $14,557 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,815 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I and R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Funds Class C and Class R3 shares, under which the Fund compensates the Distributor for services in promoting the sale of Class C and Class R3 shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares, and an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class R3 shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class I, Class R3, Class R4, and Class R5 expenses do not exceed 0.99%, 1.50%, 1.40%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $243,004 for Class I shares, $25,322 for Class R3 shares, $24,446 for Class R4 shares, and $74,738 for Class R5 shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $586.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
1,046,884 | $ | 18,540,353 | 853,746 | $ | 12,457,821 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
37,924 | 680,864 | 70,808 | 989,188 | ||||||||||||
Shares repurchased |
(1,001,012 | ) | (17,895,391 | ) | (1,687,138 | ) | (24,708,934 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
83,796 | $ | 1,325,826 | (762,584 | ) | $ | (11,261,925 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
428,607 | $ | 7,505,412 | 538,895 | $ | 7,769,777 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | 48,742 | 672,643 | ||||||||||||
Shares repurchased |
(789,625 | ) | (13,580,720 | ) | (1,140,342 | ) | (16,545,259 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(361,018 | ) | $ | (6,075,308 | ) | (552,705 | ) | $ | (8,102,839 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
4,300,906 | $ | 78,134,818 | 4,505,733 | $ | 64,312,088 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
184,266 | 3,302,095 | 138,782 | 1,942,947 | ||||||||||||
Shares repurchased |
(2,403,672 | ) | (42,461,282 | ) | (2,873,125 | ) | (42,400,431 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
2,081,500 | $ | 38,975,631 | 1,771,390 | $ | 23,854,604 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R3 Shares |
||||||||||||||||
Shares sold |
36,597 | $ | 621,846 | 52,219 | $ | 759,470 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
359 | 6,326 | 104 | 1,439 | ||||||||||||
Shares repurchased |
(8,663 | ) | (146,707 | ) | (1,812 | ) | (27,519 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
28,293 | $ | 481,465 | 50,511 | $ | 733,390 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R4 Shares |
||||||||||||||||
Shares sold |
54,964 | $ | 960,249 | 38,859 | $ | 586,646 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,032 | 18,376 | 1,050 | 14,589 | ||||||||||||
Shares repurchased |
(29,237 | ) | (518,008 | ) | (25,057 | ) | (375,289 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
26,759 | $ | 460,617 | 14,852 | $ | 225,946 | ||||||||||
|
|
|
|
|
|
|
|
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares |
||||||||||||||||
Shares sold |
134,426 | $ | 2,354,735 | 746,703 | $ | 10,797,179 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
49,731 | 880,175 | 42,912 | 601,202 | ||||||||||||
Shares repurchased |
(833,812 | ) | (14,450,995 | ) | (97,533 | ) | (1,447,022 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(649,655 | ) | $ | (11,216,085 | ) | 692,082 | $ | 9,951,359 | ||||||||
|
|
|
|
|
|
|
|
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $273,112,696 and $261,101,580, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 390,212,086 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 108,019,392 | ||
Gross unrealized depreciation on a tax basis |
(18,850,746 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 89,168,646 | ||
|
|
During the year ended September 30, 2013, the Fund utilized $24,184,693 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2013, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.
Such capital loss carryforwards expire as follows.
2017 |
$ | 7,829,388 | ||
2018 |
140,739,212 | |||
|
|
|||
$ | 148,568,600 | |||
|
|
In order to account for permanent book/tax differences, the Fund decreased distribution in excess of net investment income by $5,168,245 and increased accumulated net realized loss by $5,168,245. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency gains (losses) and from passive foreign investment company, partnership and other investment tax adjustments.
At September 30, 2013, the Fund had tax basis distributable ordinary income of $452,610 and no tax basis distributable capital gains.
The tax character of distributions paid during the years ended September 30, 2013 and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | 5,185,459 | $ | 4,409,376 | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 5,185,459 | $ | 4,409,376 | ||||
|
|
|
|
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $43,495,152. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Australian Dollar |
Sell | 9,111,600 | 11/15/2013 | 8,475,788 | $ | 496,040 | $ | | ||||||||||||||||
Australian Dollar |
Sell | 4,552,100 | 11/15/2013 | 4,234,452 | 90,498 | | ||||||||||||||||||
Australian Dollar |
Sell | 2,557,800 | 11/15/2013 | 2,379,315 | | (75,044 | ) | |||||||||||||||||
Australian Dollar |
Sell | 3,160,400 | 11/15/2013 | 2,939,866 | | (95,695 | ) | |||||||||||||||||
Euro |
Sell | 4,892,300 | 02/10/2014 | 6,620,964 | | (174,918 | ) | |||||||||||||||||
Euro |
Sell | 26,054,800 | 02/10/2014 | 35,261,101 | | (625,153 | ) | |||||||||||||||||
Swiss Franc |
Buy | 1,514,000 | 10/03/2013 | 1,674,144 | 71,434 | | ||||||||||||||||||
Swiss Franc |
Buy | 711,800 | 10/03/2013 | 787,091 | 48,786 | | ||||||||||||||||||
Swiss Franc |
Sell | 1,835,200 | 10/03/2013 | 2,029,319 | | (156,590 | ) | |||||||||||||||||
Swiss Franc |
Sell | 3,613,000 | 10/03/2013 | 3,995,167 | | (178,349 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total |
$ | 706,758 | $ | (1,305,749 | ) | |||||||||||||||||||
|
|
|
|
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2013
Asset Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Assets - Unrealized appreciation on forward currency contracts |
$ | 706,758 | |||
Liability Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts |
$ | (1,305,749 | ) |
The net realized gain (loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss) on Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | (1,702,031 | ) | $ | (1,702,031 | ) |
Amount of Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts |
|||||||
Foreign exchange contracts |
$ | (3,731 | ) | $ | (3,731 | ) |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers, credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 29
Thornburg Global Opportunities Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year )+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Year |
Net Investment Income (Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions(%) |
Expenses, After Expense Reductions and Net of Custody Credits(%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio (%)(a) |
Net Assets at End of Year (Thousands) |
|||||||||||||||||||||||||||||||||||||||
Class A Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$15.97 | 0.11 | 3.79 | 3.90 | (0.15 | ) | | (0.15 | ) | $19.72 | 0.60 | 1.46 | 1.46 | 1.46 | 24.50 | 66.12 | $96,855 | |||||||||||||||||||||||||||||||||||||
2012(b) |
$13.15 | 0.14 | 2.89 | 3.03 | (0.21 | ) | | (0.21 | ) | $15.97 | 0.94 | 1.49 | 1.49 | 1.49 | 23.22 | 66.07 | $77,103 | |||||||||||||||||||||||||||||||||||||
2011(b) |
$13.98 | 0.18 | (0.82 | ) | (0.64 | ) | (0.19 | ) | | (0.19 | ) | $13.15 | 1.13 | 1.48 | 1.48 | 1.48 | (4.81 | ) | 70.33 | $73,538 | ||||||||||||||||||||||||||||||||||
2010(b) |
$13.10 | 0.18 | 0.86 | 1.04 | (0.16 | ) | | (0.16 | ) | $13.98 | 1.29 | 1.47 | 1.47 | 1.47 | 7.98 | 66.27 | $92,927 | |||||||||||||||||||||||||||||||||||||
2009(b) |
$13.38 | 0.29 | 0.03 | 0.32 | (0.60 | ) | | (0.60 | ) | $13.10 | 2.96 | 1.53 | 1.52 | 1.55 | 3.60 | 103.02 | $82,309 | |||||||||||||||||||||||||||||||||||||
Class C Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$15.69 | (0.03 | ) | 3.72 | 3.69 | | | | $19.38 | (0.18 | ) | 2.22 | 2.22 | 2.22 | 23.52 | 66.12 | $87,808 | |||||||||||||||||||||||||||||||||||||
2012 |
$12.98 | 0.02 | 2.84 | 2.86 | (0.15 | ) | | (0.15 | ) | $15.69 | 0.17 | 2.27 | 2.27 | 2.27 | 22.21 | 66.07 | $76,738 | |||||||||||||||||||||||||||||||||||||
2011 |
$13.83 | 0.06 | (0.80 | ) | (0.74 | ) | (0.11 | ) | | (0.11 | ) | $12.98 | 0.40 | 2.23 | 2.23 | 2.23 | (5.45 | ) | 70.33 | $70,643 | ||||||||||||||||||||||||||||||||||
2010 |
$12.96 | 0.07 | 0.85 | 0.92 | (0.05 | ) | | (0.05 | ) | $13.83 | 0.48 | 2.28 | 2.28 | 2.28 | 7.10 | 66.27 | $82,139 | |||||||||||||||||||||||||||||||||||||
2009 |
$13.22 | 0.23 | 0.01 | 0.24 | (0.50 | ) | | (0.50 | ) | $12.96 | 2.36 | 2.31 | 2.31 | 2.35 | 2.79 | 103.02 | $81,334 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$16.06 | 0.19 | 3.80 | 3.99 | (0.31 | ) | | (0.31 | ) | $19.74 | 1.07 | 0.99 | 0.99 | 1.11 | 25.08 | 66.12 | $249,283 | |||||||||||||||||||||||||||||||||||||
2012 |
$13.20 | 0.21 | 2.90 | 3.11 | (0.25 | ) | | (0.25 | ) | $16.06 | 1.44 | 0.99 | 0.99 | 1.21 | 23.82 | 66.07 | $169,384 | |||||||||||||||||||||||||||||||||||||
2011 |
$14.01 | 0.26 | (0.83 | ) | (0.57 | ) | (0.24 | ) | | (0.24 | ) | $13.20 | 1.65 | 0.99 | 0.99 | 1.11 | (4.30 | ) | 70.33 | $115,837 | ||||||||||||||||||||||||||||||||||
2010 |
$13.13 | 0.24 | 0.87 | 1.11 | (0.23 | ) | | (0.23 | ) | $14.01 | 1.78 | 0.99 | 0.99 | 1.19 | 8.48 | 66.27 | $131,892 | |||||||||||||||||||||||||||||||||||||
2009 |
$13.45 | 0.37 | (0.01 | ) | 0.36 | (0.68 | ) | | (0.68 | ) | $13.13 | 3.65 | 0.99 | 0.99 | 1.33 | 4.16 | 103.02 | $107,132 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$15.91 | 0.11 | 3.74 | 3.85 | (0.21 | ) | | (0.21 | ) | $19.55 | 0.60 | 1.49 | 1.49 | 3.41 | 24.37 | 66.12 | $1,653 | |||||||||||||||||||||||||||||||||||||
2012 |
$13.11 | 0.11 | 2.90 | 3.01 | (0.21 | ) | | (0.21 | ) | $15.91 | 0.75 | 1.50 | 1.50 | 9.01 | (c) | 23.22 | 66.07 | $894 | ||||||||||||||||||||||||||||||||||||
2011 |
$13.93 | 0.18 | (0.82 | ) | (0.64 | ) | (0.18 | ) | | (0.18 | ) | $13.11 | 1.12 | 1.49 | 1.49 | 14.23 | (c) | (4.77 | ) | 70.33 | $75 | |||||||||||||||||||||||||||||||||
2010 |
$13.08 | 0.17 | 0.87 | 1.04 | (0.19 | ) | | (0.19 | ) | $13.93 | 1.28 | 1.46 | 1.46 | 32.05 | (c) | 7.97 | 66.27 | $151 | ||||||||||||||||||||||||||||||||||||
2009 |
$13.37 | 0.26 | 0.05 | 0.31 | (0.60 | ) | | (0.60 | ) | $13.08 | 2.57 | 1.50 | 1.49 | 116.95 | (c) | 3.61 | 103.02 | $20 | ||||||||||||||||||||||||||||||||||||
Class R4 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$15.90 | 0.12 | 3.76 | 3.88 | (0.19 | ) | | (0.19 | ) | $19.59 | 0.68 | 1.40 | 1.40 | 2.76 | 24.57 | 66.12 | $2,161 | |||||||||||||||||||||||||||||||||||||
2012 |
$13.09 | 0.15 | 2.88 | 3.03 | (0.22 | ) | | (0.22 | ) | $15.90 | 1.05 | 1.40 | 1.40 | 3.72 | 23.36 | 66.07 | $1,329 | |||||||||||||||||||||||||||||||||||||
2011 |
$13.90 | 0.19 | (0.81 | ) | (0.62 | ) | (0.19 | ) | | (0.19 | ) | $13.09 | 1.23 | 1.40 | 1.40 | 3.16 | (4.66 | ) | 70.33 | $900 | ||||||||||||||||||||||||||||||||||
2010 |
$13.04 | 0.19 | 0.84 | 1.03 | (0.17 | ) | | (0.17 | ) | $13.90 | 1.38 | 1.40 | 1.40 | 3.29 | 7.96 | 66.27 | $1,345 | |||||||||||||||||||||||||||||||||||||
2009 |
$13.38 | 0.40 | (0.08 | ) | 0.32 | (0.66 | ) | | (0.66 | ) | $13.04 | 3.19 | 1.40 | 1.40 | 14.73 | (c) | 3.73 | 103.02 | $1,244 | |||||||||||||||||||||||||||||||||||
Class R5 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$16.07 | 0.18 | 3.82 | 4.00 | (0.31 | ) | | (0.31 | ) | $19.76 | 1.03 | 0.99 | 0.99 | 1.15 | 25.13 | 66.12 | $49,023 | |||||||||||||||||||||||||||||||||||||
2012 |
$13.21 | 0.21 | 2.90 | 3.11 | (0.25 | ) | | (0.25 | ) | $16.07 | 1.44 | 0.99 | 0.99 | 1.15 | 23.80 | 66.07 | $50,327 | |||||||||||||||||||||||||||||||||||||
2011 |
$14.02 | 0.29 | (0.86 | ) | (0.57 | ) | (0.24 | ) | | (0.24 | ) | $13.21 | 1.84 | 0.99 | 0.99 | 1.24 | (4.29 | ) | 70.33 | $32,223 | ||||||||||||||||||||||||||||||||||
2010 |
$13.15 | 0.34 | 0.76 | 1.10 | (0.23 | ) | | (0.23 | ) | $14.02 | 2.46 | 0.99 | 0.99 | 1.64 | 8.41 | 66.27 | $16,380 | |||||||||||||||||||||||||||||||||||||
2009 |
$13.46 | 0.53 | (0.15 | ) | 0.38 | (0.69 | ) | | (0.69 | ) | $13.15 | 4.36 | 0.97 | 0.97 | 239.11 | (c) | 4.25 | 103.02 | $86 |
(a) | Not annualized for periods less than one year. (b) Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Annual Report | Certified Annual Report 31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Global Opportunities Fund
To the Trustees and Shareholders of
Thornburg Global Opportunities Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Global Opportunities Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
32 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,095.50 | $ | 7.67 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.74 | $ | 7.39 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,091.20 | $ | 11.66 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,013.92 | $ | 11.23 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,098.30 | $ | 5.21 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
Class R3 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,095.20 | $ | 7.77 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.65 | $ | 7.49 | ||||||
Class R4 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,096.20 | $ | 7.36 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,018.05 | $ | 7.08 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 1,098.20 | $ | 5.21 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.46%; C: 2.22%; I: 0.99%; R3: 1.48%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table at right provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 33
INDEX COMPARISON | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Global Opportunities Fund versus MSCI All Country (AC) World Index
(July 28, 2006 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | Since Inception |
|||||||||||||
A Shares (Incep: 7/28/06) |
18.92 | % | 11.72 | % | 9.30 | % | 8.81 | % | ||||||||
C Shares (Incep: 7/28/06) |
22.52 | % | 12.59 | % | 9.46 | % | 8.66 | % | ||||||||
I Shares (Incep: 7/28/06) |
25.08 | % | 14.01 | % | 10.86 | % | 10.06 | % | ||||||||
R3 Shares (Incep: 2/1/08) |
24.37 | % | 13.43 | % | 10.30 | % | 3.70 | % | ||||||||
R4 Shares (Incep: 2/1/08) |
24.57 | % | 13.57 | % | 10.41 | % | 3.79 | % | ||||||||
R5 Shares (Incep: 2/1/08) |
25.13 | % | 14.03 | % | 10.87 | % | 4.24 | % | ||||||||
MSCI AC World Index (Since: 7/28/06) |
17.73 | % | 10.21 | % | 7.71 | % | 4.42 | % |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R3, R4, and R5 shares.
34 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 35
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
36 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013 (6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. (8) Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 37
OTHER INFORMATION | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, the Thornburg Global Opportunities Fund is reporting 96.2% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 25.95% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the tax year ended September 30, 2013 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2013, foreign source income and foreign taxes paid are $4,368,059 and $99,210, respectively. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Global Opportunities Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan their evaluation of the Advisors performance, and to discuss the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the specified information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees unanimously voted at that meeting to renew the agreement for an additional term of one year.
38 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds investment performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment returns over various periods of time relative to a category of equity mutual funds selected by an independent mutual fund analyst firm, and relative to a broad-based securities index, (iv) the Funds cumulative investment return since inception relative to the securities index, and (v) comparative measures of estimated earnings growth, portfolio risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In reviewing quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the six calendar years since the Funds inception, which showed that the Funds investment return for the most recent calendar year exceeded the average return for the fund category and the return for the index, and that the Funds investment returns were comparable to the average return for the category and the return of the index in one of the preceding five years and exceeded the average returns for the category and the returns for the index in three of the preceding five years. Other noted quantitative data showed that the Funds annualized investment returns fell near the midpoint of performance for the fund category for the three-month period ended with the second quarter of the current year, fell in the second quartile of the category for the year-to-date, three-year and five-year periods, and fell within the top decile of the category for the one-year period. Data presented to the Trustees also demonstrated the Funds higher cumulative investment return since its inception (net of expenses) relative to the Funds benchmark index.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objectives and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fee charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to median and average fees and expenses charged to a category of equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data noted by the Trustees showed that the management fee charged to the Fund was slightly higher than the median and somewhat higher than the average fee rates for the fund category, and that the overall expense ratio of a reference share class of the Fund was slightly higher than the
Certified Annual Report 39
OTHER INFORMATION CONTINUED | ||
Thornburg Global Opportunities Fund |
September 30, 2013 (Unaudited) |
median and comparable to the average expense ratios for the fund category. The Trustees did not find the differences significant in view of the other factors considered. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as it grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of certain research services, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and costs charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
40 Certified Annual Report
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This page is not part of the Annual Report. 41
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
42 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 43
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
This page is not part of the Annual Report. 45
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46 This page is not part of the Annual Report.
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This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. | By switching from your postal mailbox to your email inbox, you reduce paper clutter, improve record keeping access, and help conserve our natural resources. | |||||
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IMPORTANT INFORMATION
The information presented on the following pages was current as of September 30, 2013. The managers views, portfolio holdings, and sector and country diversification are provided for the general information of the Funds shareholders and are subject to change; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.
Investments in the Fund carry risks, including possible loss of principal. Special risks may be associated with investments outside the United States, especially in emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. Investments in small capitalization companies may increase the risk of greater price fluctuations. Please see the Funds Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. Funds invested in a limited number of holdings may expose an investor to greater volatility.
Performance data given at net asset value (NAV) does not take into account the applicable sales charges. If the sales charges had been included, the performance would have been lower.
Class I, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares are higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains for the Fund. There is no assurance that the Fund will have continued access to profitable IPOs and, as the Funds assets grow, the impact of IPO investments may decline. Therefore, investors should not rely on these past gains as an indication of future performance.
Share Class |
NASDAQ Symbol | CUSIP | ||
Class A |
THDAX | 885-216-408 | ||
Class C |
THDCX | 885-216-507 | ||
Class I |
THDIX | 885-216-606 | ||
Class R5 |
THDRX | 885-216-846 | ||
Class R6 |
TDWRX | 885-216-838 |
Glossary
MSCI Emerging Markets Index A free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
MSCI Country Indices (Brazil, India, Indonesia, Philippines, and Russia) Free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country.
S&P 500 Index an unmanaged broad measure of the U.S. stock market.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Basis Point (bp) A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
BRIC Countries A reference to the emerging market countries of Brazil, Russia, India and China.
Gross Domestic Product (GDP) A countrys income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.
Leverage The amount of debt used to finance a firms assets. A firm with significantly more debt than equity is considered to be highly leveraged.
Median Market Capitalization Market capitalization (market cap) is the total value of a companys stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median and half have values that are less.
Price to Book ratio (P/B ratio) A ratio used to compare a stocks market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarters book value per share.
Price to Cash Flow The measure of the markets expectations regarding a firms future financial health. It is calculated by dividing price per share by cash flow per share.
Price to Earnings Ratio (P/E) A valuation ratio of a companys current share price compared to its per-share earnings. P/E equals a companys market value per share divided by earnings per share.
This page is not part of the Annual Report. 3
THORNBURG DEVELOPING WORLD FUND
Portfolio Manager
Lewis Kaufman, CFA
Important
Performance Information
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.85%, as disclosed in the most recent Prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, resulting in a net expense ratio of 1.83%. For more detailed information, please see the funds prospectus.
Philosophy/Strategy
| A flexible approach to developing markets targeting long-term capital appreciation, with an emphasis on risk-adjusted return. |
| Focus on self-funding businesses predicated on sound business fundamentals rather than financial leverage. |
| The ability to pursue the best risk-adjusted developing country opportunities, irrespective of domicile. |
| The portfolio is diversified across basic value, consistent earner, and emerging franchise companies. |
A Case for Developing Markets
| The Developing World Fund can complement the dollar diversification provided by other international strategies. Developing world currencies may benefit from manageable public debt/GDP ratios, current account and budget surpluses, and above-average GDP growth potential. |
| Household debt levels in the developing world are generally lower than those in the developed world, thereby presenting the possibility of increasing credit penetration and stronger domestic consumption. |
| Structural reforms surrounding health insurance, social security, education and currency should lead to stronger domestic consumption in many developing markets, while helping to smooth the transition away from export-driven growth models. |
| Many developing world countries have funded recent stimulus initiatives through reserves built earlier in the decade, and remain on sound fiscal footing. |
Average Annual Total Returns
For Periods Ended September 30, 2013
1 Yr | 3 Yrs | Since Inception |
||||||||||
A Shares (Incep: 12/16/09) |
||||||||||||
Without sales charge |
13.19 | % | 7.23 | % | 11.12 | % | ||||||
With sales charge |
8.10 | % | 5.59 | % | 9.78 | % | ||||||
MSCI Emerging Markets Index (Since 12/16/09) |
0.98 | % | -0.33 | % | 2.92 | % |
4 This page is not part of the Annual Report.
Why Thornburg?
| We have aligned interests. We are a privately held business, we invest side by side with our clients, and we are investment driven not market driven. |
| Collaborative, team-oriented approach provides for input from multiple members of the Thornburg Investment Management team and provides an installed base of knowledge on existing holdings. |
| We believe that stock selection is the best form of risk management. In-depth research allows the team to have a more intimate understanding of the companies in the portfolio. |
Basket Summary
| Basic Value Companies Companies which, in Thornburgs opinion, are financially sound with well established businesses selling at low valuations relative to the companies net assets or potential earning power. |
| Consistent Earners Companies which normally exhibit steady earnings growth, cashflow characteristics, and/or dividend growth. These companies may have above average profitability measures and normally sell at above average valuations. |
| Emerging Franchises Companies which, in Thornburgs opinion, are in the process of establishing a leading position in a product, service, or market with the potential to grow at an above average rate. |
Stocks Contributing and Detracting
For the Year Ended September 30, 2013
Top Contributors | Top Detractors | |
Biostime International Holdings Ltd. | International Meal Company Holdings S.A. | |
Galaxy Entertainment Group Ltd. | HDFC Bank Ltd. ADR | |
Magnit OJCS GDR | TTK Prestige Ltd. | |
NagaCorp Ltd. | Tullow Oil plc | |
Yandex NV | Siam Commercial Bank Public Co. Ltd. |
Source: FactSet
Key Portfolio Attributes
As of September 30, 2013
Portfolio P/E Trailing 12-months* |
22.3x | |||
Portfolio Price to Cash Flow* |
15.6x | |||
Portfolio Price to Book Value* |
4.4x | |||
Median Market Cap* |
$ | 3.8 B | ||
Number of Companies |
62 |
* Source: FactSet
Market Capitalization Exposure
As of September 30, 2013
Basket Structure
As of September 30, 2013
This page is not part of the Annual Report. 5
Thornburg Developing World Fund
September 30, 2013
7 | ||||
10 | ||||
16 | ||||
18 | ||||
20 | ||||
21 | ||||
30 | ||||
32 | ||||
33 | ||||
34 | ||||
35 | ||||
38 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position and the results of their operations for the period presented.
6 Certified Annual Report
October 16, 2013
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Developing World Fund for the period ended September 30, 2013. The net asset value (NAV) of a Class A share of the Fund increased $2.06 to $17.77 per share in the past 12 months, representing a total return of 13.19% compared to 0.98% for the MSCI Emerging Markets Index. While positive returns suggest a constructive market backdrop, they embed an 11.78% rally between November 16, 2012, and January 3, 2013, a 17.26% decline between January 3, 2013, and June 24, 2013, and a 12.66% increase between June 24, 2013, and September 30, 2013. This volatility reflects disparate factors but can be distilled to two key issues: the possibility of reduced monetary accommodation from the U.S. Federal Reserve (the Fed), and narrowing relative growth rate differentials for developed and emerging markets. Reflecting these concerns, the MSCI Emerging Markets Index underperformed the S&P 500 Index by 18.36%, 37.31%, and 58.15% for the one-, two-, and three-year periods ended September 30, 2013. We believe these two issues explain much of the relative weakness in emerging markets equities in the last year, and are likely to permeate the landscape for emerging-market investors in the near future (and perhaps a sustained period).
With respect to U.S. monetary accommodation, the pace of tapering in the United States is an open question. We believe that a modest reduction in asset purchases is likely by early 2014; that market interest rates are likely to rise with this initial reduction in asset purchases, and; that rates can rise further if and when the Fed raises policy rates. Said differently, we are most likely on an inexorable march toward global higher interest rates over the next 18 months. This dynamic is important for emerging-market equities not only because it implies a higher cost of capital, but also because imbalances that have been sustained for years (i.e., large current account deficits funded with stock and bond flows) can no longer be funded with ease. For this reason, regardless of when the taper actually begins, the effects of tighter U.S. policy are already visible in many emerging markets. Indeed, emerging-market stock and bond flows have been negative in recent quarters, exerting pressure on both markets and currencies even as reduced asset purchases have not yet occurred and U.S. policy rates have yet to rise. Similarly, emerging-markets interest rates are in many cases already rising as central bankers seek to defend their currencies and protect against the inflationary forces of diminished purchasing power.
Equally concerning are narrowing relative growth rate differentials for emerging markets versus developed markets. For example, BRIC (Brazil, Russia, India, and China) countries economic growth has slowed from approximately 6.2% for the year ended 2011 to an estimated 4.6% for the year ended 2013. This is occurring at a time when economic growth rates in the U.S., Europe and
Certified Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
Japan are generally accelerating (albeit off low levels, and against a backdrop of structural constraints). Admittedly, this narrowing growth rate differential has been visible for some time, and is arguably reflected to some degree in the relative underperformance of emerging markets equities. It is no great secret that China pursued an unsustainable level of fixed asset investment in the aftermath of the global financial crisis, or that Russian growth domestic product (GDP) growth has decelerated because the investment climate is poor, or that India cannot sustain its current level of fiscal transfers, or that Brazils regulatory backdrop and consumer indebtedness have made higher economic growth elusive. Less well understood are the second-order effects of the less accommodative monetary backdrop. Specifically, the most externally dependent countries are proving to be the most vulnerable to GDP growth pressures as regulators fight against capital flight, currency declines, and inflation with anti-growth measures. For example, in recent months, policy makers have raised interest rates in Brazil and Indonesia, and in this sense are prioritizing currency and inflation stability over growth. In countries with persistent imbalances where similar dynamics exist, earnings estimates for many companies remain too high.
Against this backdrop of tighter monetary policy and slowing growth, we believe our core investment philosophy has provided a useful construct for navigating a potentially difficult emerging-markets environment. At the investment level, we have long focused on financially sound, self-funding companies. Thus, we believe that we own companies that are less likely to impair capital by raising equity or addressing financing needs during periods of market duress, which have occurred with great frequency in recent months. Moreover, we generally own businesses with the wherewithal to continue their investment programs as access to capital becomes more challenging. At the country level, our focus on countries and currencies with favorable balance of payment outlooks and limited dependence on foreign capital has helped to mitigate the Funds volatility in dollar terms. Notably, we were approximately 12.57% underweight a group of five countries generally acknowledged by most market participants to be externally vulnerable (Brazil, South Africa, India, Indonesia, and Turkey); our aggregate exposure to this group is 16.40%, versus 29.03% for the benchmark, as of September 30, 2013.
It is worth noting that while there may be a protracted period of adjustment for some troubled countries, emerging markets continue to feature attractive attributes relative to their developed market counterparts, including low per capita GDP levels, low household credit penetration, high savings rates, and low government debt levels. Thus, there is some logic in taking advantage of opportunities afforded by this volatile, policy-driven environment. For example, countries with less exposure to tapering pressures such as the Philippines, China, Russia, and Saudi Arabia continue to stand out on a risk-adjusted basis during periods of high correlation and market duress or, as we are fond of saying, when the market is not making a distinction between the good stuff and the bad stuff. There is even some logic to a tactical approach to some of the more troubled places, even as we de-
8 Certified Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
emphasize such countries at the portfolio level. Indeed, of our top five holdings sold during the fiscal year, one is Indian and another is Brazilian even though we remain underweight in both countries. Ultimately, we are focused on constructing a portfolio with the potential to generate attractive long-term returns while mitigating the Funds exposure to the many risks inherent in emerging-markets investing.
Sincerely,
Lewis Kaufman, CFA
Portfolio Manager
Managing Director
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisors or portfolio managers forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Developing World Fund |
September 30, 2013 |
Top Ten Equity Holdings As of 9/30/13 |
||||||||||
Kroton Educacional S.A. |
3.0 | % | Credicorp Ltd. |
2.3 | % | |||||
Jeronimo Martins SGPS SA |
2.6 | % | Anton Oilfield Services Group |
2.2 | % | |||||
Galaxy Entertainment Group Ltd. |
2.6 | % | Qualicorp SA |
2.1 | % | |||||
Qualcomm, Inc. |
2.5 | % | Southern Copper Corp. |
2.1 | % | |||||
HDFC Bank Ltd. ADR |
2.4 | % | Al Tayyar Travel Group |
2.0 | % | |||||
Summary of Industry Exposure As of 9/30/13 |
| |||||||||
Consumer Services |
17.5 | % | Technology Hardware & Equipment |
2.5 | % | |||||
Banks |
11.9 | % | Health Care Equipment & Services |
2.1 | % | |||||
Software & Services |
10.8 | % | Materials |
2.1 | % | |||||
Food & Staples Retailing |
9.9 | % | Diversified Financials |
1.9 | % | |||||
Consumer Durables & Apparel |
7.6 | % | Semiconductors & Semiconductor Equipment |
1.7 | % | |||||
Food, Beverage & Tobacco |
5.1 | % | Pharmaceuticals, Biotechnology & Life Sciences |
1.1 | % | |||||
Energy |
5.0 | % | Capital Goods |
0.9 | % | |||||
Household & Personal Products |
4.8 | % | Media |
0.6 | % | |||||
Retailing |
3.6 | % | Other Assets & Liabilities |
8.3 | % | |||||
Transportation |
2.6 | % | ||||||||
Summary of Country Exposure As of 9/30/13 (percent of equity holdings) |
| |||||||||
China |
16.5 | % | Peru |
2.5 | % | |||||
United States |
11.0 | % | Cambodia |
2.1 | % | |||||
Brazil |
10.3 | % | Italy |
2.1 | % | |||||
Thailand |
7.0 | % | Switzerland |
2.1 | % | |||||
Mexico |
6.5 | % | Laos |
1.8 | % | |||||
Russia |
6.1 | % | Colombia |
1.4 | % | |||||
India |
5.2 | % | France |
1.2 | % | |||||
Philippines |
5.0 | % | Nigeria |
1.2 | % | |||||
Poland |
5.0 | % | Costa Rica |
1.1 | % | |||||
Taiwan |
3.9 | % | South Africa |
1.1 | % | |||||
Indonesia |
3.0 | % | Panama |
1.0 | % | |||||
Saudi Arabia |
2.8 | % | Malaysia |
0.1 | % |
10 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
COMMON STOCK 91.70% |
||||||||
BANKS 11.93% |
||||||||
COMMERCIAL BANKS 11.93% |
||||||||
Credicorp Ltd. |
234,034 | $ | 30,064,008 | |||||
Guaranty Trust Bank plc |
87,958,870 | 13,689,460 | ||||||
HDFC Bank Ltd. ADR |
999,170 | 30,754,453 | ||||||
PT Bank Mandiri Tbk |
30,454,751 | 20,908,054 | ||||||
Sberbank ADR |
2,022,120 | 24,326,104 | ||||||
Security Bank Corp. |
4,270,140 | 12,857,495 | ||||||
Siam Commercial Bank PCL |
4,672,204 | 22,106,336 | ||||||
|
|
|||||||
154,705,910 | ||||||||
|
|
|||||||
CAPITAL GOODS 0.91% |
||||||||
INDUSTRIAL CONGLOMERATES 0.91% |
||||||||
Alliance Global Group, Inc. |
21,765,925 | 11,747,801 | ||||||
|
|
|||||||
11,747,801 | ||||||||
|
|
|||||||
CONSUMER DURABLES & APPAREL 7.64% |
||||||||
HOUSEHOLD DURABLES 1.27% |
||||||||
TTK Prestige Ltd. |
309,881 | 16,482,769 | ||||||
TEXTILES, APPAREL & LUXURY GOODS 6.37% |
||||||||
Compagnie Financiere Richemont SA |
253,057 | 25,351,870 | ||||||
a Eclat Textile Co. Ltd. |
2,810,154 | 24,663,813 | ||||||
LPP S.A. |
2,676 | 7,412,268 | ||||||
Prada S.p.A. |
2,666,200 | 25,129,156 | ||||||
|
|
|||||||
99,039,876 | ||||||||
|
|
|||||||
CONSUMER SERVICES 17.47% |
||||||||
DIVERSIFIED CONSUMER SERVICES 3.61% |
||||||||
Kroton Educacional S.A. |
2,770,070 | 39,383,164 | ||||||
New Oriental Education & Technology Group, Inc. ADR |
299,600 | 7,460,040 | ||||||
HOTELS, RESTAURANTS & LEISURE 13.86% |
||||||||
Al Tayyar Travel Group |
1,077,564 | 26,003,478 | ||||||
a Alsea SAB de C.V. |
9,026,080 | 25,258,819 | ||||||
a Bloomberry Resorts Corp. |
47,336,351 | 10,893,666 | ||||||
a Galaxy Entertainment Group Ltd. |
4,760,837 | 33,392,583 | ||||||
Herfy Food Services Co. |
230,755 | 7,383,668 | ||||||
a International Meal Co. Holdings S.A. |
1,362,710 | 12,297,162 | ||||||
a Jubilant FoodWorks Ltd. |
781,080 | 14,433,854 | ||||||
NagaCorp Ltd. |
29,472,000 | 24,889,645 | ||||||
Yum! Brands, Inc. |
351,384 | 25,085,304 | ||||||
|
|
|||||||
226,481,383 | ||||||||
|
|
|||||||
DIVERSIFIED FINANCIALS 1.90% |
||||||||
CONSUMER FINANCE 1.90% |
||||||||
a First Cash Financial Services, Inc. |
426,363 | 24,707,736 | ||||||
|
|
|||||||
24,707,736 | ||||||||
|
|
Certified Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
ENERGY 5.02% |
||||||||
ENERGY EQUIPMENT & SERVICES 2.16% |
||||||||
Anton Oilfield Services Group |
42,245,642 | $ | 28,051,555 | |||||
OIL, GAS & CONSUMABLE FUELS 2.86% |
||||||||
a Coastal Energy Co. |
1,097,377 | 20,209,933 | ||||||
a Gran Tierra Energy, Inc. |
2,365,703 | 16,788,786 | ||||||
|
|
|||||||
65,050,274 | ||||||||
|
|
|||||||
FOOD & STAPLES RETAILING 9.91% |
||||||||
FOOD & STAPLES RETAILING 9.91% |
||||||||
a China Huishan Dairy Holdings Co. Ltd. |
7,586,888 | 2,445,522 | ||||||
Clicks Group Ltd. |
2,403,132 | 13,104,403 | ||||||
Eurocash SA |
1,168,928 | 18,012,013 | ||||||
Jeronimo Martins SGPS SA |
1,646,787 | 33,818,862 | ||||||
Magnit OJCS GDR |
375,236 | 23,170,823 | ||||||
PriceSmart, Inc. |
141,268 | 13,454,364 | ||||||
Puregold Price Club, Inc. |
25,533,360 | 24,454,320 | ||||||
|
|
|||||||
128,460,307 | ||||||||
|
|
|||||||
FOOD, BEVERAGE & TOBACCO 5.06% |
||||||||
BEVERAGES 2.95% |
||||||||
Fomento Economico Mexicano SAB de CV |
250,942 | 24,363,958 | ||||||
Remy Cointreau SA |
130,725 | 13,930,583 | ||||||
FOOD PRODUCTS 2.11% |
||||||||
Biostime International Holdings Ltd. |
3,399,682 | 25,708,345 | ||||||
Oldtown Berhad |
1,908,906 | 1,581,238 | ||||||
|
|
|||||||
65,584,124 | ||||||||
|
|
|||||||
HEALTH CARE EQUIPMENT & SERVICES 2.12% |
||||||||
HEALTH CARE PROVIDERS & SERVICES 2.12% |
||||||||
a Qualicorp SA |
3,016,100 | 27,557,652 | ||||||
|
|
|||||||
27,557,652 | ||||||||
|
|
|||||||
HOUSEHOLD & PERSONAL PRODUCTS 4.79% |
||||||||
HOUSEHOLD PRODUCTS 1.86% |
||||||||
Colgate-Palmolive Co. |
406,266 | 24,091,574 | ||||||
PERSONAL PRODUCTS 2.93% |
||||||||
Hengan International Group Co. Ltd. |
1,605,254 | 18,772,359 | ||||||
Prince Frog International Holdings Ltd. |
27,805,631 | 19,251,955 | ||||||
|
|
|||||||
62,115,888 | ||||||||
|
|
|||||||
MATERIALS 2.09% |
||||||||
METALS & MINING 2.09% |
||||||||
Southern Copper Corp. |
994,698 | 27,095,574 | ||||||
|
|
|||||||
27,095,574 | ||||||||
|
|
|||||||
MEDIA 0.55% |
||||||||
MEDIA 0.55% |
||||||||
VGI Global Media PCL |
18,894,600 | 7,127,758 | ||||||
|
|
|||||||
7,127,758 | ||||||||
|
|
12 Certified Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES 1.10% |
||||||||
PHARMACEUTICALS 1.10% |
||||||||
China Medical System Holdings Ltd. |
16,651,300 | $ | 14,234,082 | |||||
|
|
|||||||
14,234,082 | ||||||||
|
|
|||||||
RETAILING 3.58% |
||||||||
MULTILINE RETAIL 1.97% |
||||||||
a Matahari Department Store Tbk |
16,010,703 | 14,517,477 | ||||||
Robinson Department Store PCL |
7,278,497 | 11,052,705 | ||||||
SPECIALTY RETAIL 1.61% |
||||||||
Kolao Holdings |
690,005 | 20,899,028 | ||||||
|
|
|||||||
46,469,210 | ||||||||
|
|
|||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.65% |
||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.65% |
||||||||
Hermes Microvision, Inc. |
734,094 | 21,352,212 | ||||||
|
|
|||||||
21,352,212 | ||||||||
|
|
|||||||
SOFTWARE & SERVICES 10.81% |
||||||||
INTERNET SOFTWARE & SERVICES 8.45% |
||||||||
a Facebook, Inc. |
482,522 | 24,241,905 | ||||||
a Forgame Holdings Ltd. |
285,400 | 1,895,604 | ||||||
MercadoLibre, Inc. |
152,944 | 20,633,675 | ||||||
a SINA Corp. |
92,264 | 7,489,069 | ||||||
Tencent Holdings Ltd. |
451,903 | 23,702,490 | ||||||
a Yandex NV |
681,730 | 24,828,607 | ||||||
a YY, Inc. |
143,807 | 6,727,291 | ||||||
SOFTWARE 2.36% |
||||||||
Linx S.A. |
1,376,600 | 23,136,918 | ||||||
a NQ Mobile, Inc. ADR |
343,718 | 7,489,615 | ||||||
|
|
|||||||
140,145,174 | ||||||||
|
|
|||||||
TECHNOLOGY HARDWARE & EQUIPMENT 2.53% |
||||||||
COMMUNICATIONS EQUIPMENT 2.53% |
||||||||
Qualcomm, Inc. |
487,698 | 32,851,337 | ||||||
|
|
|||||||
32,851,337 | ||||||||
|
|
|||||||
TRANSPORTATION 2.64% |
||||||||
AIRLINES 0.89% |
||||||||
Copa Holdings SA |
83,024 | 11,512,938 | ||||||
TRANSPORTATION INFRASTRUCTURE 1.75% |
||||||||
Airports of Thailand Public Company Ltd. |
3,767,700 | 22,704,970 | ||||||
|
|
|||||||
34,217,908 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $1,127,055,072) |
1,188,944,206 | |||||||
|
|
Certified Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
Shares/ Principal Amount |
Value | |||||||
SHORT TERM INVESTMENTS 4.32% |
||||||||
Bank of New York Tri-Party Repurchase Agreement 0.21% dated 09/30/2013, due 10/1/2013, repurchase price $13,000,076 collateralized by 10 corporate debt securities having an average coupon of 5.189%, a minimum credit rating of BBB, maturity dates from 5/1/2018 to 1/15/2038, and having an aggregate market value of $13,879,994 at 9/30/2013 |
$ | 13,000,000 | $ | 13,000,000 | ||||
Eni Finance USA, Inc., 0.30%, 10/1/2013 |
17,000,000 | 17,000,000 | ||||||
Northeast Utilities, 0.20%, 10/1/2013 |
26,000,000 | 26,000,000 | ||||||
|
|
|||||||
TOTAL SHORT TERM INVESTMENTS (Cost $56,000,000) |
56,000,000 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 96.02% (Cost $1,183,055,072) |
$ | 1,244,944,206 | ||||||
OTHER ASSETS LESS LIABILITIES 3.98% |
51,562,630 | |||||||
|
|
|||||||
NET ASSETS 100.00% |
$ | 1,296,506,836 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt | |
GDR | Global Depository Receipt |
See notes to financial statements.
14 Certified Annual Report
This page intentionally left blank.
Certified Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Developing World Fund |
September 30, 2013 |
ASSETS |
||||
Investments at value (cost $1,183,055,072) (Note 2) |
$ | 1,244,944,206 | ||
Cash |
26,240,620 | |||
Cash denominated in foreign currency (cost $3,828,101) |
3,827,708 | |||
Receivable for investments sold |
7,421,317 | |||
Receivable for fund shares sold |
55,742,857 | |||
Dividends receivable |
580,239 | |||
Dividend and interest reclaim receivable |
73,599 | |||
Interest receivable |
76 | |||
Prepaid expenses and other assets |
60,572 | |||
|
|
|||
Total Assets |
1,338,891,194 | |||
|
|
|||
LIABILITIES |
||||
Payable for investments purchased |
37,024,608 | |||
Payable for fund shares redeemed |
1,332,064 | |||
Unrealized depreciation on forward currency contracts (Note 7) |
2,791,084 | |||
Payable to investment advisor and other affiliates (Note 3) |
1,027,987 | |||
Accounts payable and accrued expenses |
208,615 | |||
|
|
|||
Total Liabilities |
42,384,358 | |||
|
|
|||
NET ASSETS |
$ | 1,296,506,836 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Undistributed net investment income |
$ | 465,891 | ||
Net unrealized appreciation |
59,095,212 | |||
Accumulated net realized gain (loss) |
(20,899,089 | ) | ||
Net capital paid in on shares of beneficial interest |
1,257,844,822 | |||
|
|
|||
$ | 1,296,506,836 | |||
|
|
16 Certified Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
NET ASSET VALUE: |
||||
Class A Shares: |
||||
Net asset value and redemption price per share ($347,072,375 applicable to 19,535,865 shares of beneficial interest outstanding - Note 4) |
$ | 17.77 | ||
Maximum sales charge, 4.50% of offering price |
0.84 | |||
|
|
|||
Maximum offering price per share |
$ | 18.61 | ||
|
|
|||
Class C Shares: |
||||
Net asset value and offering price per share* ($106,168,103 applicable to 6,122,597 shares of beneficial interest outstanding - Note 4) |
$ | 17.34 | ||
|
|
|||
Class I Shares: |
||||
Net asset value, offering and redemption price per share ($828,147,154 applicable to 45,871,982 shares of beneficial interest outstanding - Note 4) |
$ | 18.05 | ||
|
|
|||
Class R5 Shares: |
||||
Net asset value, offering and redemption price per share ($697,324 applicable to 38,648 shares of beneficial interest outstanding - Note 4) |
$ | 18.04 | ||
|
|
|||
Class R6 Shares: |
||||
Net asset value, offering and redemption price per share ($14,421,880 applicable to 797,507 shares of beneficial interest outstanding - Note 4) |
$ | 18.08 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Certified Annual Report 17
STATEMENT OF OPERATIONS | ||
Thornburg Developing World Fund |
Year Ended September 30, 2013 |
INVESTMENT INCOME |
||||
Dividend income (net of foreign taxes withheld of $460,710) |
$ | 7,640,264 | ||
Interest income |
84,398 | |||
|
|
|||
Total Income |
7,724,662 | |||
|
|
|||
EXPENSES |
||||
Investment advisory fees (Note 3) |
4,781,545 | |||
Administration fees (Note 3) |
||||
Class A Shares |
177,708 | |||
Class C Shares |
52,212 | |||
Class I Shares |
156,259 | |||
Class R5 Shares |
78 | |||
Distribution and service fees (Note 3) |
||||
Class A Shares |
350,928 | |||
Class C Shares |
417,697 | |||
Transfer agent fees |
||||
Class A Shares |
118,582 | |||
Class C Shares |
46,457 | |||
Class I Shares |
138,232 | |||
Class R5 Shares |
1,167 | |||
Class R6 Shares |
2,476 | |||
Registration and filing fees |
||||
Class A Shares |
54,432 | |||
Class C Shares |
30,631 | |||
Class I Shares |
125,114 | |||
Class R5 Shares |
24,314 | |||
Class R6 Shares |
21,365 | |||
Custodian fees (Note 3) |
411,038 | |||
Professional fees |
66,513 | |||
Accounting fees |
6,277 | |||
Trustee fees |
16,433 | |||
Other expenses |
161,356 | |||
|
|
|||
Total Expenses |
7,160,814 | |||
Less: |
||||
Expenses reimbursed by investment advisor (Note 3) |
(315,518 | ) | ||
Investment advisory fees waived by investment advisor (Note 3) |
(517,162 | ) | ||
Fees paid indirectly (Note 3) |
(142 | ) | ||
|
|
|||
Net Expenses |
6,327,992 | |||
|
|
|||
Net Investment Income |
$ | 1,396,670 | ||
|
|
18 Certified Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Developing World Fund |
Year Ended September 30, 2013 |
REALIZED AND UNREALIZED GAIN (LOSS) |
||||
Net realized gain (loss) from: |
||||
Investments (net of foreign capital gain taxes paid of $2,014) |
$ | (16,097,027 | ) | |
Forward currency contracts (Note 7) |
483,430 | |||
Foreign currency transactions |
(374,774 | ) | ||
|
|
|||
(15,988,371 | ) | |||
|
|
|||
Net change in unrealized appreciation (depreciation) on: |
||||
Investments (net of change in deferred taxes payable of $104,746) |
48,708,682 | |||
Forward currency contracts (Note 7) |
(2,700,571 | ) | ||
Foreign currency translations |
(3,102 | ) | ||
|
|
|||
46,005,009 | ||||
|
|
|||
Net Realized and Unrealized Gain |
30,016,638 | |||
|
|
|||
Net Increase in Net Assets Resulting from Operations |
$ | 31,413,308 | ||
|
|
See notes to financial statements.
Certified Annual Report 19
STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Developing World Fund |
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||
INCREASE (DECREASE) IN NET ASSETS FROM |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 1,396,670 | $ | 140,440 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions, net of foreign capital gains taxes paid |
(15,988,371 | ) | (2,778,899 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes |
46,005,009 | 19,227,506 | ||||||
|
|
|
|
|||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
31,413,308 | 16,589,047 | ||||||
DIVIDENDS TO SHAREHOLDERS: |
||||||||
From net investment income |
||||||||
Class A Shares |
(30,996 | ) | | |||||
Class I Shares |
(445,713 | ) | | |||||
FUND SHARE TRANSACTIONS (NOTE 4) |
||||||||
Class A Shares |
297,364,931 | 7,947,002 | ||||||
Class C Shares |
94,374,393 | 923,614 | ||||||
Class I Shares |
756,746,811 | 17,833,797 | ||||||
Class R5 Shares |
683,542 | | ||||||
Class R6 Shares |
13,901,372 | | ||||||
|
|
|
|
|||||
Net Increase in Net Assets |
1,194,007,648 | 43,293,460 | ||||||
NET ASSETS |
||||||||
Beginning of Year |
102,499,188 | 59,205,728 | ||||||
|
|
|
|
|||||
End of Year |
$ | 1,296,506,836 | $ | 102,499,188 | ||||
|
|
|
|
|||||
Undistributed net investment income |
$ | 465,891 | $ | |
See notes to financial statements.
20 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Developing World Fund |
September 30, 2013 |
NOTE 1 ORGANIZATION
Thornburg Developing World Fund, hereinafter referred to as the Fund, is a diversified series of Thornburg Investment Trust (the Trust). The Fund commenced operations on December 16, 2009. The Trust was organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of sixteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation.
The Fund currently offers five classes of shares of beneficial interest: Class A, Class C, Institutional Class (Class I) and Retirement Classes (Class R5 and Class R6). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (v) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.
NOTE 2 SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Funds Trustees of the Trust (the Trustees) have authorized employees of the Funds investment advisor, acting as the Valuation and Pricing Committee (the Committee), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Funds financial statements. The Committees determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.
Valuation of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investments primary market, as of the close of that exchange preceding the time of the Funds valuation measurement date.
In any case when the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committees determinations are made using procedures in accordance with
Certified Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investments market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investments market value may be deemed not readily available under other circumstances identified by the Trustees, including when developments occurring after the most recent close of the investments primary exchange or market, but before the most recent close of trading in Fund shares, or an unusual event or significant period of time occurring since the availability of a market quotation, create a question about the reliability of the investments market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are ordinarily valued at amortized cost, which approximates market value.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing services valuation or to use an alternative method to determine a fair value for the debt obligation.
Quotations in foreign currencies for foreign portfolio investments are converted to U.S. dollar equivalents using the foreign exchange quotation in effect at the time of valuation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the FASB). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investments level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the 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 rating, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committees own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
22 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Funds investments as of September 30, 2013. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets |
||||||||||||||||
Investments in Securities* |
||||||||||||||||
Common Stock |
$ | 1,188,944,206 | $ | 1,124,056,833 | $ | 64,887,373 | $ | | ||||||||
Short Term Investments |
56,000,000 | | 56,000,000 | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 1,244,944,206 | $ | 1,124,056,833 | $ | 120,887,373 | $ | | ||||||||
Other Financial Instruments** |
||||||||||||||||
Spot Currency |
$ | 65,665 | $ | 65,665 | $ | | $ | | ||||||||
Liabilities |
||||||||||||||||
Other Financial Instruments** |
||||||||||||||||
Forward Currency Contracts |
$ | (2,791,084 | ) | $ | | $ | (2,791,084 | ) | $ | |
* | See Schedule of Investments for a summary of the industry exposure as grouped according to the Global Industry Classification Standard (GICS), which is an industry taxonomy developed by MSCI, Inc. and Standard & Poors (S&P). |
** | Other Financial Instruments include investments not reflected in the Schedule of Investments, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04 (ASU No. 2011-04), it is the policy of the Fund to disclose transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against the U.S. dollar on the date of valuation. Purchases and sales of investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of such spot contracts are included in receivable for investments sold and payable for investments purchased on the Statement of Assets and Liabilities.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between
Certified Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
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.
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
Deferred Taxes: The Fund is subject to a tax imposed on net realized gains of securities of certain foreign countries. The Fund records an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements.
Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders substantially all taxable income, including any net realized gain on investments of the Fund. Therefore, no provision for federal income taxes is required.
Management reviews each uncertain tax position believed to be material to the preparation of the Funds financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of September 30, 2013, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Funds tax returns remain subject to examination for three years after filing.
When-Issued and Delayed Delivery Transactions: The 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 Funds investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the 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 Funds records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.
Dividends: Dividends to shareholders, if any, are generally paid quarterly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date or, at the shareholders option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually. Distributions to shareholders are based on income tax regulations and therefore, their characteristics may differ for financial statement and tax purposes.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repurchase agreement. Provisions in the agreements require that the market value of the collateral is at least equal to the repurchase value in the event of default. In the event of default, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
General: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current share activity of the respective class). Expenses common to all Funds are allocated among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
Guarantees and Indemnifications: Under the Trusts organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general
24 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
indemnification clauses. The Trusts maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Use of Estimates: The preparation of financial statements, in conformity with United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual amounts could differ from those estimates.
NOTE 3 INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the Advisor) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2013, these fees were payable at annual rates ranging from .975 of 1% to .775 of 1% per annum of the average daily net assets of the Fund depending on the Funds asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds shares (except for Class R6 shares, which do not have an administrative services agreement) and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.
The Trust has an underwriting agreement with Thornburg Securities Corporation (the Distributor, an affiliate of the Advisor), which acts as the distributor of the Funds shares. For the year ended September 30, 2013, the Distributor has advised the Fund that it earned commissions aggregating $161,294 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $18,128 from redemptions of Class C shares of the Fund.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2013, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Funds shares.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by each class of shares of the Fund under their respective service and distribution plans for the year ended September 30, 2013, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual Class A, Class C, Class I, Class R5, and Class R6 expenses do not exceed 1.83%, 2.38%, 1.09%, 1.09%, and 0.99%, respectively. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2014, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $7,264 for Class A shares, $14,725 for Class C shares, $244,272 for Class I shares, $25,416 for Class R5 shares, and $23,841 for Class R6 shares, and voluntarily waived investment advisory fees of $517,162.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodians fees through credits earned by the Funds cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2013, fees paid indirectly were $142.
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
Certified Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
NOTE 4 SHARES OF BENEFICIAL INTEREST
At September 30, 2013, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2013 |
Year Ended September 30, 2012 |
|||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares |
||||||||||||||||
Shares sold |
19,453,529 | $ | 338,888,450 | 1,082,854 | $ | 15,910,582 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
1,867 | 29,767 | | | ||||||||||||
Shares repurchased |
(2,427,380 | ) | (41,553,286 | ) | (570,116 | ) | (7,963,630 | ) | ||||||||
Redemption fees received* |
| | | 50 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
17,028,016 | $ | 297,364,931 | 512,738 | $ | 7,947,002 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C Shares |
||||||||||||||||
Shares sold |
5,727,322 | $ | 98,637,056 | 244,119 | $ | 3,529,222 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(252,716 | ) | (4,262,663 | ) | (182,871 | ) | (2,605,622 | ) | ||||||||
Redemption fees received* |
| | | 14 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
5,474,606 | $ | 94,374,393 | 61,248 | $ | 923,614 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class I Shares |
||||||||||||||||
Shares sold |
49,361,214 | $ | 874,895,509 | 1,646,787 | $ | 24,383,131 | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
21,647 | 349,371 | | | ||||||||||||
Shares repurchased |
(6,837,358 | ) | (118,498,069 | ) | (460,724 | ) | (6,549,398 | ) | ||||||||
Redemption fees received* |
| | | 64 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
42,545,503 | $ | 756,746,811 | 1,186,063 | $ | 17,833,797 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R5 Shares** |
||||||||||||||||
Shares sold |
39,400 | $ | 696,856 | | $ | | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(752 | ) | (13,314 | ) | | | ||||||||||
Redemption fees received* |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
38,648 | $ | 683,542 | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class R6 Shares** |
||||||||||||||||
Shares sold |
841,101 | $ | 14,680,898 | | $ | | ||||||||||
Shares issued to shareholders in reinvestment of dividends |
| | | | ||||||||||||
Shares repurchased |
(43,594 | ) | (779,526 | ) | | | ||||||||||
Redemption fees received* |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
797,507 | $ | 13,901,372 | | $ | | ||||||||||
|
|
|
|
|
|
|
|
* | The Fund previously charged a redemption fee of 1% of the Class A and Class I shares redeemed or exchanged within 30 days of purchase. Effective February 1, 2012, the Fund stopped imposing this redemption fee. Redemption fees that were charged to any class prior to February 1, 2012 were allocated to all classes upon receipt of payment based on relative net asset values of each class or other appropriate allocation methods. |
** | Inception date for this share Class was February 1, 2013. |
26 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
NOTE 5 INVESTMENT TRANSACTIONS
For the year ended September 30, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,354,104,160 and $293,331,059, respectively.
NOTE 6 INCOME TAXES
At September 30, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes |
$ | 1,188,667,079 | ||
|
|
|||
Gross unrealized appreciation on a tax basis |
$ | 109,004,191 | ||
Gross unrealized depreciation on a tax basis |
(52,727,064 | ) | ||
|
|
|||
Net unrealized appreciation (depreciation) on investments (tax basis) |
$ | 56,277,127 | ||
|
|
At September 30, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2012 of $14,340,933. For tax purposes, such losses will be reflected in the year ending September 30, 2014.
At September 30, 2013, the Fund had cumulative tax basis short-term capital losses of $3,737,233 generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards may be carried forward indefinitely.
At September 30, 2013, the Fund had $505,256 of tax basis distributable ordinary income and no tax basis distributable capital gains.
The tax character of distributions paid during the years ended September 30, 2013, and September 30, 2012, was as follows:
2013 | 2012 | |||||||
Distributions from: |
||||||||
Ordinary income |
$ | 476,709 | $ | | ||||
Capital gains |
| | ||||||
|
|
|
|
|||||
Total |
$ | 476,709 | $ | | ||||
|
|
|
|
In order to account for permanent book/tax differences, the Fund decreased accumulated net realized loss by $376,789, and decreased undistributed net investment income by $376,789. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from foreign currency gains (losses) and foreign capital gains.
NOTE 7 DERIVATIVE FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND FOREIGN INVESTMENT RISK
The Fund may use a variety of derivative financial instruments to hedge or adjust the risks affecting its investment portfolio or to enhance investment returns. Provisions of FASB Accounting Standards Codification 815-10-50 (ASC 815) require certain disclosures. The disclosures are intended to provide users of financial statements with an understanding of the use of derivative instruments by the Fund and how these derivatives affect the financial position, financial performance and cash flows of the Fund. The Fund does not designate any derivative instruments as hedging instruments under ASC 815. During the year ended September 30, 2013, the Funds principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign exchange contracts. A foreign exchange contract is an agreement between two parties to exchange different currencies at a specified rate of exchange at an agreed upon future date. Foreign exchange contracts involve risks to the Fund, including the risk that a contracts counterparty will not meet its obligations to the Fund, the risk that a change in a contracts value may not correlate perfectly with the currency the contract was intended to track, and the risk that the Advisor is unable to correctly
Certified Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
implement its strategy in using a contract. In any such instance, the Fund may not achieve the intended benefit of entering into a contract, and may experience a loss. Additionally, the Funds risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
The Fund entered into forward currency contracts during the year ended September 30, 2013 in the normal course of pursuing its investment objectives, with the objective 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.
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Funds 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 contracts inception date. Net realized gain (loss) on contracts closed during the period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Funds Statement of Operations. The average value of open sell currency contracts for the year ended September 30, 2013 was $25,379,376. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2013:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2013
Contract Description |
Buy/Sell | Contract Amount |
Contract Value Date |
Value USD | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||
Euro |
Sell | 8,512,800 | 01/10/2014 | 11,519,572 | $ | | $ | (144,939 | ) | |||||||||||||
Euro |
Sell | 6,592,600 | 01/10/2014 | 8,921,146 | | (163,536 | ) | |||||||||||||||
Euro |
Sell | 36,923,800 | 01/10/2014 | 49,965,508 | | (2,482,609 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
Total |
$ | | $ | (2,791,084 | ) | |||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Funds Statement of Assets and Liabilities at September 30, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2013
Liability Derivatives |
Balance Sheet Location |
Fair Value | ||||
Foreign exchange contracts |
Liabilities - Unrealized depreciation on forward currency contracts | $ | (2,791,084 | ) |
28 Certified Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
The net realized gain(loss) from forward currency contracts, and the net change in unrealized appreciation (depreciation) of outstanding forward currency contracts recognized in the Funds Statement of Operations for the year ended September 30, 2013 are disclosed in the following tables:
Amount of Net Realized Gain (Loss) on Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||
Foreign exchange contracts |
$483,430 | $ | 483,430 |
Amount of Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments
Recognized in Income for the Year Ended September 30, 2013
Total | Forward Currency Contracts | |||||
Foreign exchange contracts |
$(2,700,571) | $ | (2,700,571) |
OTHER NOTES:
Risks: The Funds investments subject it to risks including, but not limited to, management risk, market and economic risk, risks affecting specific issuers, liquidity risk, the risks associated with investments in smaller companies and non-U.S. issuers (including developing country issuers), credit risk, and interest rate risk. Please see the Funds prospectus for a discussion of the risks associated with an investment in the Fund.
Subsequent Events: Fund management believes no events have occurred between September 30, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Annual Report 29
Thornburg Developing World Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ |
RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless |
Net Asset Value Beginning of Period |
Net Investment Income (Loss) |
Net Realized & Unrealized Gain (Loss) on Investments |
Total from Investment Operations |
Dividends from Net Investment Income |
Dividends |
Total Dividends |
Net |
Net Investment Income (Loss) (%) |
Expenses, After Expense Reductions (%) |
Expenses, After Expense Reductions and Net of Custody Credits (%) |
Expenses, Before Expense Reductions (%) |
Total Return (%)(a) |
Portfolio |
Net Assets at End of Period (Thousands) |
|||||||||||||||||||||||||||||||||||||||
Class A Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) |
$ | 15.71 | 0.01 | 2.06 | 2.07 | (0.01 | ) | | (0.01 | ) | $17.77 | 0.05 | 1.48 | 1.48 | 1.59 | 13.19 | 61.67 | $ | 347,073 | |||||||||||||||||||||||||||||||||||
2012(b) |
$ | 12.50 | (0.01 | ) | 3.22 | 3.21 | | | | $15.71 | (0.05 | ) | 1.69 | 1.69 | 1.85 | 25.68 | 129.49 | $ | 39,390 | |||||||||||||||||||||||||||||||||||
2011(b) |
$ | 14.44 | (0.01 | ) | (1.91 | ) | (1.92 | ) | (0.02 | ) | | (0.02 | ) | $12.50 | (0.05 | ) | 1.63 | 1.62 | 1.89 | (13.34 | ) | 129.15 | $ | 24,929 | ||||||||||||||||||||||||||||||
2010(b)(c) |
$ | 11.94 | 0.06 | 2.44 | 2.50 | | | | $14.44 | 0.55 | (d) | 1.83 | (d) | 1.82 | (d) | 3.30 | (d) | 20.94 | 47.37 | $ | 14,116 | |||||||||||||||||||||||||||||||||
Class C Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.44 | (0.12 | ) | 2.02 | 1.90 | | | | $17.34 | (0.71 | ) | 2.26 | 2.26 | 2.40 | 12.31 | 61.67 | $ | 106,168 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 12.37 | (0.11 | ) | 3.18 | 3.07 | | | | $15.44 | (0.76 | ) | 2.38 | 2.38 | 2.86 | 24.82 | 129.49 | $ | 10,006 | |||||||||||||||||||||||||||||||||||
2011 |
$ | 14.39 | (0.11 | ) | (1.90 | ) | (2.01 | ) | (0.01 | ) | | (0.01 | ) | $12.37 | (0.74 | ) | 2.34 | 2.34 | 2.89 | (13.96 | ) | 129.15 | $ | 7,258 | ||||||||||||||||||||||||||||||
2010(c) |
$ | 11.94 | (0.01 | ) | 2.46 | 2.45 | | | | $14.39 | (0.11 | )(d) | 2.39 | (d) | 2.38 | (d) | 6.89 | (d) | 20.52 | 47.37 | $ | 2,889 | ||||||||||||||||||||||||||||||||
Class I Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 |
$ | 15.96 | 0.09 | 2.09 | 2.18 | (0.09 | ) | | (0.09 | ) | $18.05 | 0.52 | 1.04 | 1.04 | 1.22 | 13.74 | 61.67 | $ | 828,147 | |||||||||||||||||||||||||||||||||||
2012 |
$ | 12.62 | 0.08 | 3.26 | 3.34 | | | | $15.96 | 0.57 | 1.09 | 1.09 | 1.45 | 26.47 | 129.49 | $ | 53,103 | |||||||||||||||||||||||||||||||||||||
2011 |
$ | 14.52 | 0.09 | (1.96 | ) | (1.87 | ) | (0.03 | ) | | (0.03 | ) | $12.62 | 0.55 | 1.04 | 1.04 | 1.47 | (12.89 | ) | 129.15 | $ | 27,019 | ||||||||||||||||||||||||||||||||
2010(c) |
$ | 11.94 | 0.11 | 2.47 | 2.58 | | | | $14.52 | 1.09 | (d) | 1.10 | (d) | 1.09 | (d) | 2.63 | (d) | 21.61 | 47.37 | $ | 17,581 | |||||||||||||||||||||||||||||||||
Class R5 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(e) |
$ | 17.49 | 0.08 | 0.47 | 0.55 | | | | $18.04 | 0.47 | (d) | 1.07 | (d) | 1.07 | (d) | 17.45 | (d)(f) | 3.14 | 61.67 | $ | 697 | |||||||||||||||||||||||||||||||||
Class R6 Shares |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(e) |
$ | 17.51 | 0.04 | 0.53 | 0.57 | | | | $18.08 | 0.20 | (d) | 0.98 | (d) | 0.98 | (d) | 1.99 | (d) | 3.26 | 61.67 | $ | 14,422 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Fund commenced operations on December 16, 2009. |
(d) | Annualized. |
(e) | Effective date of this class of shares was February 1, 2013. |
(f) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Annual Report | Certified Annual Report 31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Developing World Fund
To the Trustees and Shareholders of
Thornburg Developing World Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Developing World Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the Fund) at September 30, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 22, 2013
32 Certified Annual Report
EXPENSE EXAMPLE | ||
Thornburg Developing World Fund |
September 30, 2013 |
As a shareholder of the Fund, you incur two types of costs:
(1) | transaction costs, including |
(a) sales charges (loads) on purchase payments for Class A shares;
(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;
(c) a deferred sales charge on redemptions of Class C shares within 12 months of purchase;
(2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on April 1, 2013, and held until September 30, 2013.
Beginning Account Value 4/1/13 |
Ending Account Value 9/30/13 |
Expenses Paid During Period 4/1/139/30/13 |
||||||||||
Class A Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 992.70 | $ | 7.27 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,017.77 | $ | 7.37 | ||||||
Class C Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 988.60 | $ | 11.19 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,013.81 | $ | 11.33 | ||||||
Class I Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 994.50 | $ | 5.16 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,019.90 | $ | 5.22 | ||||||
Class R5 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 993.90 | $ | 5.34 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,019.72 | $ | 5.41 | ||||||
Class R6 Shares |
||||||||||||
Actual |
$ | 1,000.00 | $ | 994.50 | $ | 4.90 | ||||||
Hypothetical* |
$ | 1,000.00 | $ | 1,020.16 | $ | 4.96 |
| Expenses are equal to the annualized expense ratio for each class (A: 1.46%; C: 2.24%; I: 1.03%; R5: 1.07%; R6: 0.98%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Certified Annual Report 33
INDEX COMPARISON | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Developing World Fund versus MSCI Emerging Markets Index
(December 16, 2009 to September 30, 2013)
Average Annual Total Returns
For Periods Ended September 30, 2013 (with sales charge)
1 Yr | 3 Yrs | Since Inception |
||||||||||
A Shares (Incep: 12/16/09) |
8.10 | % | 5.59 | % | 9.78 | % | ||||||
C Shares (Incep: 12/16/09) |
11.31 | % | 6.44 | % | 10.37 | % | ||||||
I Shares (Incep: 12/16/09) |
13.74 | % | 7.81 | % | 11.75 | % | ||||||
R5 Shares (Incep: 2/1/13)* |
| | 3.14 | % | ||||||||
R6 Shares (Incep: 2/1/13)* |
| | 3.26 | % | ||||||||
MSCI Emerging Markets Index (Since 12/16/09) |
0.98 | % | -0.33 | % | 2.92 | % |
* | Not annualized for periods less than one year. |
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no up-front sales charge for Class I, R5, and R6 shares.
34 Certified Annual Report
TRUSTEES AND OFFICERS | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) |
||||
Garrett Thornburg, 68 Chairman of Trustees, Trustee since 1987(3) |
Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit); Chairman until 2009 of TMST, Inc. (f/k/a Thornburg Mortgage, Inc.) (real estate investment trust); President and Sole Director of Thornburg Mortgage Advisory Corporation (investment manager to TMST, Inc.). | None | ||
Brian J. McMahon, 58 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997 (5)(6) |
CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) |
||||
David A. Ater, 68 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee |
Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 72 Trustee since 2000, Chairman of Audit Committee |
Managing Member of Vestor Associates, LLC, Santa Fe, NM (private equity fund); Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund family office). | None | ||
Susan H. Dubin, 64 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee |
President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
Sally Corning, 52 Trustee since 2012, Member of Operations Risk Oversight Committee |
Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Owen D. Van Essen, 59 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee |
President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None |
Certified Annual Report 35
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
James W. Weyhrauch, 54 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee |
Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None | ||
EMERITUS TRUSTEE (1)(2)(4) |
||||
Eliot R. Cutler, 67 Emeritus Trustee since 2012 |
Chairman, MaineAsia LLC; Principal, Chamisa Energy, LLC; Senior Counsel until 2012 and Partner until 2009 in Akin, Gump, Strauss, Hauer & Feld, LLP (law firm), Washington, D.C. and Beijing, China.(7) | Not Applicable | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8)(9) |
||||
William V. Fries, 74 Vice President since 1995 |
Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 46 Vice President since 2001 |
Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Wendy Trevisani, 42 Vice President since 1999 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 50 Vice President since 1999 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ihlefeld, 43 Vice President since 2003 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 47 Vice President since 2003 |
Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Sasha Wilcoxon, 39 Vice President since 2003 Secretary since 2007(6) |
Managing Director, Director of Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable | ||
Edward Maran, 55 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 43 Vice President since 2004 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 42 Vice President since 2006 |
Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 42 Vice President since 2006 |
Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 34 Vice President since 2006 |
Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
36 Certified Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
Name, Age, Position Held with Fund Year Elected |
Principal Occupation(s) During Past Five Years |
Other Directorships Held by Trustee | ||
Jason Brady, 39 Vice President since 2007 Treasurer since 2013 (6) |
Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lewis Kaufman, 37 Vice President since 2007 |
Portfolio Manager and Managing Director and, until 2009, Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 57 Vice President since 2008 |
Portfolio Manager and Managing Director since 2009, and Associate Portfolio Manager from 20082009 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 38 Vice President since 2008 |
Portfolio Manager and Managing Director since 2010, and Associate Portfolio Manager from 20082010 of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 53 Vice President since 2008 |
Senior Tax Accountant of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 57 Vice President since 2013 |
Executive Vice President and Chief Operating Officer of Thornburg Investment Management, Inc. since 2013; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010; Chief Administrative Officer of Prudential Financials, Inc. - International Division until 2008. | Not applicable |
(1) | Each persons address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of sixteen separate investment Funds or series of Thornburg Investment Trust (the Trust), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the sixteen Funds of the Trust. Each Trustee oversees the sixteen Funds of the Trust. |
(3) | Mr. Thornburg is considered an interested Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the sixteen active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire upon his having reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an interested Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trusts president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Cutler was a Trustee of the Trust through December 31, 2011, and was appointed as an Emeritus Trustee effective January 1, 2012. (8) Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
(9) | Effective November 8, 2013, Christopher Ihlefeld concluded his service as a portfolio manager and managing director. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
Certified Annual Report 37
OTHER INFORMATION | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the Advisor) voting decisions respecting proxies for the Funds voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commissions website at www.sec. gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding
June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at
1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange
Commissions website at www.sec.gov.
TAX INFORMATION
For the tax year ended September 30, 2013, the Thornburg Developing World Fund is reporting 100.00% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 72.11% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2013, as qualified for the corporate dividends received deduction.
For the tax year ended September 30, 2013, foreign source income and foreign taxes paid are $3,456,237 and $462,724, respectively.
The information and distributions reported herein may differ from the information and distributions reported to shareholders for the calendar year ending December 31, 2013. Complete information will be reported in conjunction with your 2013 Form 1099.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Funds Forms N-Q are available on the Commissions website at www.sec.gov, or may be reviewed and copied at the Commissions Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the Advisor) provides investment management services to Thornburg Developing World Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 16, 2013.
In anticipation of their recent annual consideration of the advisory agreements renewal, the independent Trustees met in April and May 2013 to consider aspects of their annual evaluation of the Advisors service to the Fund, to plan the annual evaluation of the Advisors performance, and to discuss the information the Advisor would present to the Trustees for their review. The independent Trustees met again in August to consider portions of the information submitted by the Advisor. The Advisors chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions presented by the Trustees at a meeting session scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisors presentation and various specific issues respecting their consideration of the advisory agreements renewal. Following these sessions, the Trustees met to consider a renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
38 Certified Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 |
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the matters considered by the Trustees in making their determination.
Quality of Services; Fund Investment Performance. The Trustees evaluated the nature, extent and quality of services provided by the Advisor under the advisory agreement, and evaluated the investment performance of the Fund.
In connection with their general supervision of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees received and considered reports from the Advisor throughout the year. These reports addressed a wide variety of topics, including particularly the Advisors selection of investments and execution of the Funds investment strategies. In addition, the Trustees considered information provided to them at their request in anticipation of their annual evaluation of the Advisors services, including (i) the Funds absolute investment performance and achievement of stated objectives, (ii) the Advisors commentary on the Funds performance in the context of the Funds objectives and reasonable expectations, and business, market and economic conditions, (iii) measures of the Funds investment returns over different periods of time relative to a diversified emerging markets category of equity mutual funds selected by an independent mutual fund analyst firm, and relative to a broad-based securities index, (iv) the Funds cumulative investment return since inception relative to the securities index, and (v) comparative measures of estimated earnings growth, portfolio risk and return.
The Trustees also considered their perceptions of portfolio management personnel developed in formal and informal meetings throughout the year, the Advisors identification and response to investment risks, the Advisors development of its systems and other capabilities, the Advisors financial resources and business management, the personnel performing accounting and other functions, the Advisors observance of compliance and regulatory requirements, the Advisors responsiveness to the Trustees, and other factors.
In evaluating quantitative and performance data presented for specific share classes, the Trustees considered (among other aspects of the data) comparative performance data for the three full calendar years since the Funds inception, which showed that the Funds relative investment returns in each year exceeded the average return of the mutual fund category and the return of the Funds benchmark index. Other noted quantitative data showed that the Funds annualized investment returns fell within the top quartile of performance for the fund category for the three-month period ended with the second quarter of the current year, and within the top decile of the category for the year-to-date, one-year and three-year periods. Data presented to the Trustees also demonstrated the Funds higher cumulative return since inception (net of expenses) relative to the Funds benchmark index.
The Trustees concluded, based upon these and other considerations, that the nature, extent and quality of the Advisors services were sufficient and that the Advisor had satisfactorily pursued the Funds stated investment objectives. The Trustees further concluded that the investment performance of the Fund was satisfactory in the context of the Funds objective and policies, and prevailing market conditions.
Fees and Expenses; Profitability of Advisor; Economies of Scale; Ancillary Benefits to Advisor. The Trustees evaluated the level of the management fee charged by the Advisor to the Fund, and in this connection, reviewed the profitability of the Advisor, economies of scale potentially available to the Fund and whether the Advisor received any ancillary benefits from its relationship with the Fund.
In evaluating the level of the management fee, the Trustees considered the fees charged by the Advisor and the other expenses charged to the Fund in light of the nature and quality of services provided and the Funds investment performance, comparison of the actual Advisors fee and Fund expenses to the statement of fees and expenses in the Funds prospectuses, and comparisons of the Advisors fee and overall Fund expenses to and median and average fees and expenses charged to a category of equity mutual funds selected by an independent mutual fund analyst firm. Comparative fee and expense data considered by the Trustees showed that the management fee for the Fund was slightly lower than the median and comparable to the average fee rates for the fund category, and that the overall expense ratio of a reference share class of the Fund was slightly higher than the median and comparable to the average expense ratios for the fund category. The Trustees also considered information about the fees charged by the Advisor to other investment management clients and information about fees charged by other advisors to different clients, together with analyses of the differences between the services provided by advisors to institutional clients and mutual
Certified Annual Report 39
OTHER INFORMATION, CONTINUED | ||
Thornburg Developing World Fund |
September 30, 2013 (Unaudited) |
funds, and did not find the differences between the fee rates charged by the Advisor to different types of clients exceptional in view of the information presented.
In reviewing the profitability of the Advisor, the Trustees considered an analysis of the profitability to the Advisor of its services for the Fund and additional data respecting the overall profitability of other investment management firms. The Trustees also considered in this regard the relationship of the Advisors efficiency and cost management to its profitability, and the contribution of the Advisors cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund. The information considered did not indicate to the Trustees that the Advisors profitability was excessive. In reviewing the extent to which economies of scale would be realized by the Fund as it grows and whether fee levels reflect economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, the demonstrated economies of scale enjoyed by other Funds of the Trust as they had grown in size, and economies of scale realized by other mutual funds. The information provided demonstrated to the Trustees that the Fund may reasonably be expected to realize economies of scale as the Fund grows in size, due to the breakpoint fee structure of the advisory agreement and other factors. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees considered the Advisors receipt of research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisors expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
The Trustees concluded that the management fee charged to the Fund by the Advisor was fair and reasonable in view of the nature and quality of the services provided by the Advisor, the clear disclosure of fees and expenses in the Funds prospectuses, the investment performance of the Fund, comparisons of fees and costs charged to the Fund with fees and expenses charged to other mutual funds, and the other factors considered.
40 Certified Annual Report
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This page is not part of the Annual Report. 41
TRUSTEES STATEMENT TO SHAREHOLDERS
Not part of the Certified Annual Report
Reissued September 15, 2013
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds investment advisor and in reviewing the advisors contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trusts 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 advisors 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 Funds 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 advisors services, and to confirm that the advisor actively and competently pursues the Funds objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Funds portfolio and to discuss the advisors specific actions and judgments in pursuing the Funds objective. We do not substitute our own judgment for the advisors decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisors performance, that the advisor is doing just that.
Second, while we are conscious of costs and the effect that costs have on shareholders returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Funds 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 Funds 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 Funds 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 Funds objective and policies, and we watch to see that it does so.
42 This page is not part of the Annual Report.
RETIREMENT AND EDUCATION ACCOUNTS
Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.
Individual Retirement Accounts
Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.
Traditional IRAs Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.
Roth IRAs Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg.com/ira.
SEP IRAs Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employees SEP IRA on a discretionary basis.
SIMPLE IRAs Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employees SIMPLE IRA. Employees may make salary deferral contributions.
Coverdell Education Savings Account
These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.
Funds Available
The following funds are available in the accounts listed above:
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
This page is not part of the Annual Report. 43
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburgs equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.
| Thornburg Value Fund |
| Thornburg International Value Fund |
| Thornburg Core Growth Fund |
| Thornburg Investment Income Builder Fund |
| Thornburg Global Opportunities Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
Thornburg Bond Funds
Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.
| Thornburg Limited Term Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Strategic Income Fund |
Before investing, carefully consider the Funds investment goals, risks, charges, and expenses. For a prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.
For additional information, please visit thornburg.com
Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506
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TH2149 |
Item 2. Code of Ethics
Thornburg Investment Trust (the Trust) has adopted a code of ethics described in Item 2 of Form N-CSR. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Trustees of Thornburg Investment Trust have determined that two members of the Trusts audit committee, David A. Ater and David D. Chase, are each audit committee financial experts as defined in Item 3 of Form N-CSR. Mr. Ater and Mr. Chase are each independent for purposes of Item 3 of Form N-CSR. The Trustees determinations in this regard were based upon their current understandings of the definition of audit committee financial expert and current interpretations of the definition. The Trustees call attention to the lack of clarity in the definition, and that shareholders and prospective investors may wish to evaluate independently this definition and the qualifications of the Trusts audit committee. The definition of audit committee financial expert, together with comments on the definition, is set forth in the Securities and Exchange Commissions website (www.sec.gov).
Item 4. Principal Accountant Fees and Services
Audit Fees
The aggregate fees billed to Thornburg Investment Trust in each of the last two fiscal years for the audit of the Trusts financial statements and for services that are normally provided by PricewaterhouseCoopers LLP, registered independent public accounting firm (PWC), in connection with statutory and regulatory filings or requirements for those fiscal years are set out below.
Year Ended September 30, 2012 |
Year Ended September 30, 2013 | |||
Thornburg Investment Trust |
$826,950 | $651,600 |
Audit-Related Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for assurance and related services that are reasonably related to the audit or review of the Trusts financial statements (and that are not reflected in Audit Fees, above) are set out below.
Year Ended September 30, 2012 |
Year Ended September 30, 2013 | |||
Thornburg Investment Trust |
$-0- | $-0- |
Tax Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for professional services rendered by PWC for tax compliance, tax advice or tax planning are set out below.
Year Ended September 30, 2012 |
Year Ended September 30, 2013 | |||
Thornburg Investment Trust |
$210,200 | $352,563 |
All Other Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for all other services rendered by PWC to the Trust are set out below.
Year Ended September 30, 2012 |
Year Ended September 30, 2013 | |||
Thornburg Investment Trust |
$12,000 | $22,242 |
The figure shown under All Other Fees for the year ended September 30, 2012 includes amounts from out of pocket expenses during the 2011 annual audit as well as a consent fee pertaining to a closing agreement with the IRS during the fiscal year ended September 30, 2012. The figure shown under All Other Fees for the year ended September 30, 2013 includes amounts from out of pocket expenses during the 2012 annual audit.
PWC performs no services for the investment advisor, the Funds principal underwriter or any other person controlling, controlled by, or under common control with the investment advisor which provides ongoing services to the Funds.
Audit Committee Pre-Approval Policies and Procedures
As of September 30, 2013, the Trusts Audit Committee has not adopted pre-approval policies and procedures.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Filed as part of the reports to shareholders filed under item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
The authority to consider candidates recommended by the shareholders in accordance with the Trusts 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 Trusts 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 Trusts internal control over financial reporting that occurred during the registrants second fiscal quarter of the period covered by this report (that is, the registrants fourth fiscal quarter) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Exhibits
(a) | (1) Code of Business Conduct and Ethics. |
(a) | (2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 70.30a-2(a)) attached hereto as Exhibit 99.CERT. |
(a) | (3) Not Applicable |
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 70.30a-2(b)) attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Thornburg Investment Trust, in respect of the following Thornburg Funds: Limited Term Municipal Fund, California Limited Term Municipal Fund, Intermediate Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Value Fund, International Value Fund, Core Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, International Growth Fund, Strategic Income Fund, Strategic Municipal Income Fund, and Developing World Fund.
By: | /s/ Brian J. McMahon |
Brian J. McMahon
President and principal executive officer
Date: November | 26, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian J. McMahon |
Brian J. McMahon
President and principal executive officer
Date: November | 26, 2013 |
By: | /s/ Jason H. Brady |
Jason H. Brady
Treasurer and principal financial officer
Date: November | 26, 2013 |
Item 12(a)(1)
THORNBURG INVESTMENT TRUST
CODE OF BUSINESS CONDUCT AND ETHICS
September 10, 2003
as revised to December 6, 2009
Introduction
Honesty and integrity are hallmarks of Thornburg Investment Trust (the Trust). We pride ourselves on maintaining the highest standards of ethics and conduct in all of our business relationships. This Code of Business Conduct and Ethics covers a wide range of business practices and procedures and applies to the officers and Trustees of the Trust in their conduct of the business and affairs of the Trust. It does not cover every issue that may arise, but it sets out basic principles to guide the officers and Trustees of the Trust in discharging their duties for the Trust. This Code has been adopted by the Trustees of the Trust with the objectives of deterring wrongdoing and promoting (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships, (2) full, fair, accurate, timely and understandable disclosure in reports and documents which the Trust files with the Securities and Exchange Commission and in other public communications made by the Trust, (3) compliance with applicable governmental laws, rules and regulations, (4) prompt internal reporting of violations of this Code, and (5) accountability for adherence to this Code.
This Code is intended as a code of ethics under Section 406 of the Sarbanes-Oxley Act of 2002 and Item 2 of Form N-CSR under the Investment Company Act of 1940, and is specifically applicable to the principal executive officer, principal financial officer, and principal accounting officer (or persons performing similar functions, whether or not as officers or employees of the Trust) of the Trust (each a Covered Officer).
All records and reports created or maintained pursuant to this Code are intended solely for the internal use of the Trust, are confidential, and in no event constitute an admission by any person as to any fact, circumstance or legal conclusion.
Compliance with Laws, Rules and Regulations
The Trust expects its officers and Trustees to comply with all laws, rules and regulations applicable to the Trusts operations and business. Officers and Trustees should seek guidance whenever they are in doubt as to the applicability of any law, rule or regulation regarding any contemplated course of action. The Trust and its investment adviser hold information and training sessions to promote compliance with laws, rules and regulations, including insider-trading laws. Please consult the various guidelines and policies which the Trust has prepared in accordance with specific laws and regulations. A good guideline, if in doubt on a course of action, is Always ask first, act later if you are unsure of what to do in any situation, seek guidance before you act.
As a registered investment company, we are subject to regulation by the Securities and Exchange Commission, and compliance with federal, state and local laws. The Trust and its Trustees insist on strict compliance with the spirit and the letter of these laws and regulations.
Conflicts of Interest
Each officer and Trustee of the Trust should be scrupulous in avoiding any conflict of interest or appearance of such a conflict with regard to the Trusts interests. A conflict of interest occurs when an individuals private interest interferes with the interests of the Trust. The appearance of a conflict occurs for purposes of this Code when an individual enters into a transaction, has a relationship with or receives a benefit from a third party, or engages in any other conduct, which would cause an unrelated observer to reasonably conclude that an actual conflict exists. A conflict may arise when an officer or Trustee pursues interests that prevent the individual from performing his duties to the Trust objectively and effectively. A conflict also may arise when an officer or Trustee or member of the individuals family receives undisclosed, improper benefits as a result of the individuals position with the Trust. The appearance of a conflict may arise when an individual or his family member has a relationship with a person who does business with the Trust or its investment adviser. Any conflict of interest that arises in a specific situation or transaction must be disclosed by the individual and resolved before taking any action.
Matters involving a conflict of interest or appearance of a conflict are prohibited as a matter of Trust policy, except when approved by the Trustees or the Trusts audit committee for any Covered Officer or Trustee, or except when approved by the Trusts president for any other individual. Conflicts of interest may not always be evident, and individuals should consult with higher levels of management or the Trusts legal counsel if they are uncertain about any situation. In no event, however, shall investment in any security made in accordance with the Trusts Policy on Personal Securities Transactions (or comparable policy or code then in effect) be considered a conflict of interest with the Trust.
Corporate Opportunities
Officers and Trustees shall not take for themselves personally opportunities that are discovered through the use of their position with the Trust, except with the approval of the Trustees or the Trusts audit committee for any Covered Officer or Trustee, or except with the approval by the Trusts president for any other individual. Officers and Trustees owe a duty to the Trust to advance its legitimate interests when the opportunity to do so arises. In no event, however, shall investment in any security made in accordance with the Trusts Policy on Personal Securities Transactions (or comparable policy or code then in effect) be considered a business opportunity of the Trust.
Confidentiality
Officers and Trustees shall exercise care in maintaining the confidentiality of any confidential information respecting the Trust, except where disclosure is authorized or legally mandated. Officers and Trustees should consult with the Trusts legal counsel if they believe they have a legal obligation to disclose confidential information. Confidential information includes non-public information of the Trust that may be helpful to competitors, or otherwise harmful to the Trust or its shareholders. The obligation to preserve confidentiality of this information continues after association with the Trust ends.
2
Fair Dealing
Officers and Trustees should endeavor to deal fairly with the Trusts shareholders, service providers and competitors, and shall not seek unfair advantage through improper concealment, abuse of improperly acquired confidential information, misrepresentation of material facts when the other party is known by the officer or Trustee to rely justifiably on the individual to disclose those facts truthfully, or improper and unfair dealing.
Business Gifts and Entertainment
The purpose of business entertainment and gifts in a commercial setting is to create goodwill and sound working relationships, not to gain unfair advantage. No gift or entertainment should ever be offered, given, provided or accepted by any officer or Trustee in connection with the Trusts business unless it (1) is not a cash gift, (2) is consistent with customary business practices, (3) is not excessive in value, (4) cannot be construed as a bribe, payoff or kickback and (5) does not violate any laws or regulations.
Protection and Proper Use of Trust Assets
All officers and Trustees should endeavor to protect the Trusts assets and pursue their efficient investment in accordance with the Trusts business purposes and declaration of trust. Any suspected incident of fraud or theft should be immediately reported for investigation.
The obligation of officers and Trustees to protect the Trusts assets includes its proprietary information. Proprietary information includes intellectual property such as trademarks and copyrights, as well as business, marketing and service plans, databases, records, salary information and any unpublished financial data and reports. Unauthorized use or distribution of this information violates this Code.
Insider Trading
All officers and Trustees should pay particular attention to potential violations of insider trading laws. Insider trading is both unethical and illegal and will be dealt with decisively if it occurs. Officers and Trustees are expected to familiarize themselves with the Policy Statement on Insider Trading, adopted by the Trusts investment adviser. If they have questions about these guidelines, they should consult with the Trusts president, the investment advisers compliance office, or the Trusts legal counsel.
Certain Political Contributions Proscribed
Contributions or solicitations for contributions, by any officer or Trustee of the Trust who is an employee, officer or director of the Trusts investment advisor or distributor, to any political campaign in which an independent Trustee is a candidate, are prohibited. This prohibition does not apply to (i) a contribution by an independent Trustee to a political campaign of another independent Trustee, or (ii) a solicitation by an independent Trustee for the political campaign of another independent Trustee if the solicitation is made to an individual with whom the soliciting Trustee has some relationship, or to an individual who either has a relationship with the candidate Trustee or who would be expected to have an interest in the outcome of the campaign.
3
Reporting Illegal or Unethical Behavior
The Trustees encourage each officer to talk to senior officers, the investment advisers compliance officers, or the Trustees about observed illegal or unethical behavior, or when the officer is in doubt about the best course of action in a particular situation. Officers should report actual and suspected violations of laws, rules, regulations or this Code to appropriate personnel. If an individual does not believe it appropriate or is not comfortable approaching senior officers or the investment advisers compliance officers about their concerns, then the individual may contact any member of the Trusts audit committee. If the individuals concerns require confidentiality, then this confidentiality will be protected, subject to applicable law, regulation or legal proceedings. The Trust will not permit retaliation of any kind by or on behalf of the Trust or its officers and Trustees against good faith reports or complaints of violations of this Code or other illegal or unethical conduct.
Reporting and Disclosure
As a registered investment company, it is of critical importance that the Trusts filings with the Securities and Exchange Commission contain full, fair, accurate, timely and understandable disclosure. Each officer and Trustee should become familiar with the disclosure laws and regulations applicable to the Trust, consistent with the individuals authority and duties. Depending on the Trust, each officer and Trustee may be called upon to provide necessary information to ensure that the Trusts public reports are complete, fair and understandable. The Trustees expect officers and Trustees to take this responsibility very seriously and to provide prompt and accurate answers to inquiries related to the Trusts public disclosure requirements. Officers may be asked to certify as to the accuracy of all responses and information provided for inclusion in the Trusts public reports and filings.
Recordkeeping
The Trust requires accurate recording and reporting of information in order to make responsible business decisions. The Trustees expect each of the Trusts officers, consistent with the officers individual authority and duties, to maintain the Trusts books, records, accounts and financial statements in reasonable detail, and to appropriately reflect the Trusts transactions in conformity with applicable legal requirements and the Trusts system of internal controls.
Accounting and Financial Reporting Concerns
The Trust seeks to comply with all applicable financial reporting and accounting regulations applicable to the Trust. Officers who have concerns or complaints regarding questionable accounting or auditing matters or procedures involving the Trust are encouraged to submit those concerns or complaints to the Trusts audit committee which will, subject to its duties arising under applicable law, regulations and legal proceedings, treat such submissions confidentially. These submissions may be directed to the attention of the audit committee chairman, or any Trustee who is a member of the audit committee, at the principal executive offices of the Trust or at the Trustees residence address.
4
Waivers of the Code of Business Conduct and Ethics
Any waiver of this Code for any Covered Officer or Trustee may be made only by the Trustees or the Trusts audit committee and will be promptly disclosed as required by law or by Securities and Exchange Commission regulations. Waivers of this Code for any other individual may be made by the president only upon the individuals making full disclosure in advance of the transaction in question. This Code may be amended or modified at any time by the Trustees.
History: | Approved and adopted by Trustees of Thornburg Investment Trust on September 10, 2003, effective the same date; amended effective July 20, 2005 to revise provisions respecting conflicts of interest; amended effective December 6, 2009 to add a paragraph respecting campaign contributions. |
5
Item 12(a)(2)
Exhibit 99.CERT
CERTIFICATION
I, Brian J. McMahon, certify that:
1. I have reviewed this report on Form N-CSR of Thornburg Investment Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: November 26, 2013
/s/ Brian J. McMahon
Brian J. McMahon
President and principal executive officer
Item 12(a)(2)
Exhibit 99.CERT
CERTIFICATION
I, Jason H. Brady, certify that:
1. I have reviewed this report on Form N-CSR of Thornburg Investment Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: November 26, 2013
/s/ Jason H. Brady
Jason H. Brady
Treasurer and principal financial officer
Item 12(b)
Exhibit 99.906CERT
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of
section 1350, chapter 63 of title 18, United States Code)
In connection with the attached Report on Form N-CSR of Thornburg Investment Trust in respect of the following Thornburg Funds: Limited Term Municipal Fund, California Limited Term Municipal Fund, Intermediate Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Value Fund, International Value Fund, Core Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, International Growth Fund, Strategic Income Fund, Strategic Municipal Income Fund, and Developing World Fund (hereafter referred to as the Funds) to be filed with the Securities and Exchange Commission (the Report), each of the undersigned officers of the Trust does hereby certify pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 that, to the best of such officers knowledge:
1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Thornburg Investment Trust, in respect of the Funds as of, and for, the periods presented in the Report.
Dated: November 26, 2013
/s/ Brian J. McMahon
Brian J. McMahon
President and principal executive officer
Dated: November 26, 2013
/s/ Jason H. Brady
Jason H. Brady
Treasurer and principal financial officer
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.
This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of the Report or as a separate disclosure document.
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