UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05201

Thornburg Investment Trust

(Exact name of registrant as specified in charter)

c/o Thornburg Investment Management, Inc.

2300 North Ridgetop Road, Santa Fe, New Mexico 87506

(Address of principal executive offices) (Zip code)

Garrett Thornburg, 2300 North Ridgetop Road, Santa Fe, New Mexico 87506

(Name and address of agent for service)

Registrant’s telephone number, including area code: 505-984-0200

Date of fiscal year end: September 30, 2009

Date of reporting period: September 30, 2009

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

2    This page is not part of the Annual Report.

Important Information

The information presented on the following pages is current as of September 30, 2009. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; they are historical and subject to change. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.

Investments in the Fund carry risks, including possible loss of principal. Bond funds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The principal value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Please see the Fund’s Prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Fund are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity. There is no guarantee that the Fund will meet its investment objectives. The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.

Performance data given at net asset value (NAV) does not take into account applicable sales charges. If the sales charges had been included, the performance would have been lower. Minimum investments for Class I shares are higher than those for other classes. Class I shares may not be available to all investors.

Share Class	NASDAQ Symbol	Cusip
Class A	LTMFX	885-215-459
Class C	LTMCX	885-215-442
Class I	LTMIX	885-215-434

Glossary

Barclays Capital Five-Year Municipal Bond Index – A rules-based, market-value-weighted index of the tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.

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 Rate – The distribution rate is calculated by taking the sum of the month’s total distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending maximum offering price per share to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change.

Duration – The weighted maturity of a bond’s cash flows. Duration measures the price sensitivity of a bond for a given change in interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

General Obligation (GO) Bonds – A municipal bond secured by the pledge of the issuer’s full faith, credit, and taxing power rather than the revenue from a given project.

Leverage – The amount of debt used to finance a firm’s assets. A firm with significantly more debt than equity is considered to be highly leveraged.

Pre-Refunded Bond – A type of municipal bond that has been escrowed or collateralized either by direct obligations guaranteed by the U.S. government, or by other types of securities. The escrow account is structured so that these refunded bonds are to be called at the first possible call date. Such bonds, if escrowed with securities guaranteed by the U.S. government, have little if any credit risk.

Revenue Bond – A bond on which the debt service is payable solely from the revenue generated from the operation of the project being financed or a category of facilities, or from other non-tax sources.

SEC Yield – SEC Yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.

Tender Option Bonds – Obligations, also known as “put bonds” or “puttable securities,” that grant the bondholder the right to require the issuer to purchase the bonds, usually at par, at a certain time or times prior to maturity or upon the occurrence of specified events or conditions. The put option, or tender option, right is typically available to the investor on a periodic (e.g., daily, weekly or monthly) basis.

Lease-Backed Bonds – Bonds issued by a municipality or state that are secured by the payments made on leased assets.

This page is not part of the Annual Report.    3

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 usually fail to stack up over longer periods of time. Our patience and diligence was recognized by Lipper in 2008 with the Best Fixed-Income Fund Family Award.

We apply time-tested techniques to manage risk and provide attractive returns. These include:

• Building a laddered portfolio. Laddering has been shown over time to mitigate price 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.

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.

The maximum sales charge for the Fund’s Class A shares is 1.50% . The total annual fund operating expense of Class A shares is 0.89%, as disclosed in the most recent Prospectus.

AVERAGE ANNUAL TOTAL RETURNS

For periods ended September 30, 2009

	1 Yr		3 Yrs		5 Yrs		10 Yrs		Since Inception
A Shares (Incep: 9/28/84)
Without sales charge	9.67	%	4.74	%	3.64	%	4.18	%	5.65	%
With sales charge	8.04	%	4.20	%	3.33	%	4.02	%	5.58	%

30-DAY YIELDS, A SHARES

As of September 30, 2009

Annualized Distribution Rate	SEC Yield
3.16%	2.15%

KEY PORTFOLIO ATTRIBUTES

As of September 30, 2009

Average Credit Quality	AA-
Number of Bonds	683
Duration	3.6 Yrs
Average Maturity	4.6 Yrs

See the entire portfolio in the Schedule of Investments beginning on page 11.

4    This page is not part of the Annual Report.

THORNBURG LIMITED TERM MUNICIPAL FUND VERSUS

LIPPER TAX-EXEMPT MONEY MARKET FUNDS AVERAGE

Class A shares as of September 30, 2009

We are often asked to compare Thornburg Limited Term Municipal Fund to money market fund returns. Municipal bond funds are not an exact substitute for money market funds. These investments have certain differences, which are summarized below. Investors in the Thornburg Limited Term Municipal Fund took more risk than tax-exempt money market fund investors to earn their higher returns.

Past performance does not guarantee future results. Performance data above does not include the 1.50% sales charge for Class A shares. If the sales charge had been included, returns would have been lower. Returns shown are minus the initial investment.

Investors in municipal bond funds may experience more volatility than those in comparable money market funds. There are also differences in fees and expenses.

Investors in the Thornburg Limited Term Municipal Fund took more risk than money market investors to earn their higher returns, including reinvestment risk, credit risk, and inflation risk. Unlike money market funds, the prices of bonds fluctuate relative to changes in interest rates, with principal values decreasing when interest rates rise and increasing when interest rates fall. Generally, money market funds seek to maintain an investment portfolio with an average maturity of 90 days or less. Thornburg Limited Term Municipal

Fund has an average maturity of normally less than five years. Interest dividends paid by the Fund or by tax-exempt money market funds are generally exempt from federal income tax (interest dividends may be subject to AMT). Income sourced from state of residency is generally exempt from state income tax.

Money market funds seek to preserve the value per share at $1.00, whereas the Thornburg Limited Term Municipal Fund’s net asset value changes daily. It is possible to lose money when investing in either the Thornburg Limited Term Municipal Fund or a tax-exempt money market fund. Neither are insured by the FDIC or any other government agency.

Lipper Tax-Exempt Money Market Funds Average is an arithmetic average of the total return of all tax-exempt money market mutual funds. You cannot invest in a category average.

This page is not part of the Annual Report.    5

Awards & Rankings

Ranked #1 by Morningstar & Lipper for Total Return

Total Return Ranks as of 9/30/09

Fund Rank in Morningstar

Muni National Short Category

Class	1-Yr	3-Yr	5-Yr	10-Yr
I	2	1	1	1
A	3	7	7	4
# Funds	133	119	117	64

Fund Rank in Lipper

Short-Intermediate Municipal Debt Category

Class	1-Yr	3-Yr	5-Yr	10-Yr
I	1	1	1	2
A	2	3	4	4
# Funds	42	38	38	25

Past performance does not guarantee future results. Class A share total returns are before sales charge. I shares do not have a sales charge.

^© 2009 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Lipper’s 2008

Best Fixed-Income Fund Family

Thornburg Investment Management ranked #1 out of 41 eligible firms in Lipper, Inc.’s fixed income large firm universe for the three-year period ended 12/31/07, based on risk-adjusted returns. Past performance does not guarantee future results.

Lipper’s large firm universe is comprised of fund families with more than $28 billion in total net assets. Only fund families with at least five bond funds were eligible. Risk-adjusted returns were calculated with dividends reinvested and without sales charges. We did not win this award in 2009.

6    This page is not part of the Annual Report.

Thornburg Limited Term Municipal Fund

September 30, 2009

Table of Contents
Letter to Shareholders	8
Schedule of Investments	11
Statement of Assets and Liabilities	31
Statement of Operations	32
Statements of Changes in Net Assets	33
Notes to Financial Statements	34
Financial Highlights	39
Report of Independent Registered Public Accounting Firm	42
Expense Example	43
Index Comparison	44
Trustees and Officers	45
Other Information	48

This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.

Certified Annual Report    7

Letter to Shareholders

George Strickland Co-Portfolio Manager	October 20, 2009 Dear Fellow Shareholder: We are pleased to present the Annual Report for the Thornburg Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares increased by 78 cents per share to $14.00 during the twelve months ended September 30, 2009. If you were with us for the entire period, you received dividends of 47.3 cents per share, if you reinvested your dividends, you received 48.0 cents per share. Dividends per share were lower for Class C and higher for Class I to account for varying class-specific expenses.
Josh Gonze Co-Portfolio Manager	In last year’s annual report letter, we wrote about the massive deleveraging of the municipal market, evidenced by the unwinding of billions of tender option bond programs and investors’ mass exodus out of high-risk investment strategies employing leverage and other speculative high-yield strategies. The forced liquidation of assets placed inordinate supply into a market already reeling from the effects of the mortgage and banking crisis. Compounding matters was the downgrade of nearly all AAA-rated municipal bond insurers that provided credit enhancement to nearly half of all bonds outstanding, including the two largest insurers AMBAC and MBIA. Investor scrutiny over the ratings agencies led many investors to question whether they should be participating in the municipal market at all; and who could blame them given the deluge of negative headline press directed at the municipal market? These events caused 2008 to be one of the worst performing years on record for municipal bonds, and we were quite pleased to see positive returns in your Fund for 2008 given that many bond funds experienced double-digit negative returns.
Christopher Ihlefeld Co-Portfolio Manager	Today’s municipal market reflects an impressive rebound from where we were this time last year. Municipal sectors that were hit the hardest in 2008 – health care, lease-backed bonds, and industrial development revenue bonds – have been among the best performing sectors in 2009. This has helped your Fund’s performance as we have market over-weights in each of these sectors. Revenue bonds in general have outperformed all other broad sectors of the market. State general obligation and government-backed pre-refunded bonds, sectors in which we are under-weighted and that led the pack in 2008, have lagged revenue bonds by a substantial margin in 2009. Your Fund’s comparatively higher exposure to strong middle-tier investment grade credits (single-A rated bonds) has also helped performance this year, as credit spreads have contracted from their recent peak in 2008, and investors have been compensated for in-depth credit research.
	For years, credit research was overshadowed in our industry by the simplicity and dominance of bond insurance. A prevalent though misguided understanding that the use of municipal insurance could effectively eliminate credit risk led to the diminished value of financial analysis in

8    Certified Annual Report

favor of financial engineering. Talent was directed to craft complex hedging strategies to generate attractive returns. As bond insurance lost most of its relevance following a string of downgrades, the market understandably has a renewed interest in credit research. While credit research represents a lost art to some in our industry, we have emphasized credit research from the Fund’s inception and will continue our time honored tradition of bottom-up credit research well into the future.

Market liquidity has greatly improved with the passage of the American Reinvestment and Recovery Act, which pledged $144 billion in state and local government fiscal relief. The passage of this act in February 2009 spurred investors back into the municipal bond market as bond investors gained confidence in the federal government’s support of state and local governments. Stabilization among major investment banks has aided the municipal market as well as bank balance sheets have improved, municipal under-writings have gotten back to healthy levels, and retail demand for bonds has picked up substantially. We’ve even seen reasonable appetite for lower-rated, higher-yielding municipal credits as high-yield funds have garnered capital. The municipal market otherwise appears quite orderly with a steady supply of new issuance, strong demand coming from retail investors, and an active secondary market.

Yields of late have trended lower along the yield curve, attributable in large part to a compelling surge in demand for municipal bonds. The months leading up to the current fiscal year end saw a significant migration of investor assets out of oppressively low yielding money market funds into short and intermediate bond funds. For example, municipal money market funds accounted for $495 billion of assets at the end of 2008. As of September 30, 2009, assets in municipal money market funds were $416 billion, a reduction of $79 billion. Municipal bond funds have grown by $52 billion during this period, nearly four times the annual average over the last twenty years. If this disintermediation trend continues, we would expect it to have a positive effect on bond prices in the months ahead.

We continue to maintain a watchful eye on state and local economies. State tax collections have been weak through the middle of 2009 with 48 states reporting budgets gaps totaling $178 billion. The Nelson A. Rockefeller Institute of Government reported that state tax collections are down 16.6% year-over-year through the second quarter of 2009. The biggest drag on state revenues by far has been a significant decline in personal income tax, down nearly 28%. Local government tax revenues look better with tax revenues down only 2.8%, due in large part to local governments’ reliance on stable property tax revenue. We expect income tax revenues to remain weak until the economy starts creating a significant number of new jobs. The worst is yet to come for property tax revenues that typically adjust to real estate values after a significant lag. We are closely watching these trends in recently exuberant real estate markets such as Florida, Nevada, Arizona, and California.

The Class A shares of your Fund produced a total return of 9.67% over the twelve-month period ended September 30, 2009 at NAV, compared to an 11.01% return for the Barclays Capital Five-Year Municipal Bond Index. Over the last year, the yield curve has moved lower in a somewhat parallel fashion. The Fund invests in a laddered portfolio of bonds that mature over the next ten years, so it has significant exposure to bonds whose maturities are shorter than five years. Since those bonds generally underperformed, the Fund experienced some underperformance relative to the Index.

Certified Annual Report    9

Letter to Shareholders,

Continued

Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 680 municipal obligations from 48 states. We ladder the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years. Laddering intermediate bonds accomplishes two goals. First, the staggered bond maturities contained in a ladder reduce interest-rate risk and dampen the Fund’s price volatility. Second, laddering gives the Fund a steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher. The chart on the right describes the percentages of your Fund’s bond portfolio maturing in each of the coming years.

Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your Fund to perform consistently well in varying interest rate environments. 2009 has proven to be another strong year for our municipal bond funds. We are pleased to report that as of September 30, 2009, the Limited Term Municipal Fund, Class I shares, was the top performer in its peer group over several time periods as ranked by both Lipper and Morningstar. It is a rare achievement to receive top honors for each of these time periods by two of the leading mutual fund evaluation services. We believe this reflects our team’s competent approach to managing risk, its disciplined laddering process to bond investing, and its passionate pursuit of quality execution.

Thank you for investing in Thornburg Limited Term Municipal Fund.

Sincerely,

George Strickland	Josh Gonze	Christopher Ihlefeld
Co-Portfolio Manager	Co-Portfolio Manager	Co-Portfolio Manager
Managing Director	Managing Director	Managing Director

The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.

10    Certified Annual Report

SCHEDULE OF INVESTMENTS
Thornburg Limited Term Municipal Fund	September 30, 2009

We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refund- ed 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† Moody’s/S&P	Principal Amount		Value
ALABAMA — 0.78%
Alabama Public Schools & College Authority, 5.75% due 8/1/2011	Aa2/AA	$	75,000	$	76,421
Lake Martin Area IDA, 5.00% due 11/1/2011	NR/BBB+		3,000,000		3,064,800
Mobile GO Warrants, 4.50% due 8/15/2016	NR/NR		2,330,000		2,475,532
Mobile Industrial Development PCR, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Co.)	A2/A		6,000,000		6,527,520
University of Alabama at Birmingham Hospital Revenue, 5.25% due 9/1/2017	A1/A+		2,500,000		2,715,550
University of Alabama at Birmingham Hospital Revenue, 5.00% due 9/1/2018	A1/A+		1,500,000		1,602,270
ALASKA — 0.44%
Alaska Energy Power Authority, 6.00% due 7/1/2011 (Bradley Lake Hydroelectric; Insured: FSA)	Aa3/AAA		955,000		1,033,138
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: Natl-Re; State Aid Withholding)	A1/A+		1,175,000		1,316,106
Alaska Student Loan Corp., 5.25% due 1/1/2012 (Insured: FSA)	NR/AAA		3,000,000		3,195,840
North Slope Boro GO, 5.00% due 6/30/2015 (Insured: Natl-Re)	A2/AA-		3,250,000		3,712,637
ARIZONA — 3.49%
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University)	NR/A-		1,000,000		1,072,780
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University)	NR/A-		1,325,000		1,424,521
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University)	NR/A-		1,440,000		1,539,634
Glendale Western Loop 101 Public Facilities Corp., 6.00% due 7/1/2019	A2/AA		2,200,000		2,381,984
Maricopa County IDA Health Facilities Revenue, 5.00% due 7/1/2016 (Catholic Healthcare West)	A2/A		2,355,000		2,368,376
Maricopa County IDA Health Facilities Revenue, 5.00% due 7/1/2038 put 7/1/2014 (Catholic Healthcare West)	A2/A		7,500,000		8,022,150
Maricopa County Pollution Control Corp. PCR, 5.50% due 5/1/2029 put 5/1/2012 (Arizona Public Services Co.)	Baa2/BBB-		10,000,000		10,387,100
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: Syncora) (ETM)	NR/AAA		3,135,000		3,588,227
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC)	NR/BBB+		12,000,000		12,884,280
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.)	Baa2/BBB-		1,200,000		1,240,920
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.)	Baa2/BBB-		2,600,000		2,710,786
Navajo County PCR, 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.)	Baa2/BBB-		5,600,000		5,834,640
Phoenix Civic Improvement Wastewater Systems, 6.00% due 7/1/2011 (Insured: FGIC)	Aa3/AA+		4,105,000		4,320,430
Pima County IDA, 6.40% due 7/1/2013 (Arizona Charter Schools)	Baa3/NR		745,000		743,927
Pima County IDA, 5.00% due 7/1/2016 (Metro Police Facility)	Aa3/AA		2,500,000		2,804,275
Pima County IDA, 5.00% due 7/1/2017 (Metro Police Facility)	Aa3/AA		3,000,000		3,370,200
Pima County IDA, 5.00% due 7/1/2018 (Metro Police Facility)	Aa3/AA		2,100,000		2,362,584
Pima County IDA, 5.00% due 7/1/2019 (Metro Police Facility)	Aa3/AA		2,000,000		2,254,780
Pima County IDA Lease Obligation, 7.25% due 7/15/2010 (Insured: FSA)	Aa3/AAA		135,000		135,747
Salt River Agricultural Improvement & Power District, 5.00% due 1/1/2020	Aa1/AA		1,205,000		1,214,941
Show Low IDA Hospital, 5.25% due 12/1/2010 (Navapache Regional Medical Center; Insured: ACA)	NR/BBB		1,000,000		1,002,640

Certified Annual Report    11

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Yuma Property Corp. Utility Systems Revenue, 5.00% due 7/1/2016 (Insured: XCLA)	A3/A+	$	2,000,000	$	2,188,360
ARKANSAS — 0.10%
Jefferson County Hospital Improvement, 5.50% due 6/1/2010 (Jefferson Hospital Association)	NR/A		1,000,000		1,022,720
Jefferson County Hospital Improvement, 5.50% due 6/1/2011 (Jefferson Hospital Association)	NR/A		1,075,000		1,125,256
CALIFORNIA — 8.28%
Calexico USD COP, 5.75% due 9/1/2013	NR/BBB+		2,185,000		2,268,773
California HFA, 5.25% due 10/1/2013 (Kaiser Permanente) (ETM)	NR/AAA		2,620,000		2,642,925
California HFA, 5.00% due 7/1/2028 (Catholic Healthcare)	A2/A		2,000,000		2,169,400
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re)	Baa2/A		1,000,000		1,003,290
California State Department of Water Resources Power Supply, 5.50% due 5/1/2012	Aa3/A+		2,600,000		2,869,100
California State Department of Water Resources Power Supply, 6.00% due 5/1/2013	Aa3/A+		2,550,000		2,860,131
California State Department of Water Resources Power Supply, 0.45% due 5/1/2022 put 10/1/2009 (Insured: FSA) (daily demand notes)	VMIG1/A-1		14,700,000		14,700,000
California State GO, 5.15% due 12/1/2014 (Veterans Bonds)	Baa1/AA-		1,000,000		1,004,500
California State Public Works Board, 5.00% due 9/1/2016 (Regents of University of California; Insured: FGIC)	Aa2/AA-		3,000,000		3,419,760
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: FGIC)	Aa2/AA-		3,000,000		3,420,090
California Statewide Communities Development Authority, 5.00% due 5/15/2017 (Irvine LLC- UCI East Campus)	Baa2/NR		2,200,000		2,338,798
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Permanente)	NR/A+		12,000,000		13,220,040
a Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice)	A1/A+		600,000		673,602
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice)	A1/A+		1,300,000		1,464,463
Corona Norco USD GO Bond Anticipation Note, 3.50% due 2/1/2010	NR/SP-1+		7,470,000		7,515,418
Desert Sands USD COP, 5.25% due 3/1/2016	A2/A+		1,500,000		1,617,855
Escondido USD GO, 5.60% due 11/1/2009 (Insured: Natl-Re) (ETM)	NR/A		1,250,000		1,255,537
Golden State Tobacco Securitization Corp., 5.50% due 6/1/2043 pre-refunded 6/1/2013	Aaa/AAA		2,000,000		2,276,080
Inland Valley Development Agency, 5.25% due 4/1/2013	NR/A		2,000,000		2,093,280
Inland Valley Development Agency, 5.50% due 4/1/2014	NR/A		2,000,000		2,107,340
Irvine Ranch Water District, 0.28% due 4/1/2033 put 10/1/2009 (LOC: Bank of America) (daily demand notes)	VMIG1/A-1		900,000		900,000
Irvine Ranch Water District GO, 0.30% due 7/1/2035 put 10/1/2009 (LOC: Landesbank Baden) (daily demand notes)	VMIG1/A-2		2,500,000		2,500,000
Irvine Ranch Water District GO, 0.27% due 10/1/2041 put 10/1/2009 (LOC: Bank of America) (daily demand notes)	VMIG1/A-1		5,900,000		5,900,000
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2018	A1/AA-		2,000,000		2,195,880
Los Angeles USD GO, 5.00% due 7/1/2018 (Insured: FSA)	Aa3/AAA		4,000,000		4,533,280
Modesto Health Facilities, 6.00% due 6/1/2018 (Memorial Hospitals Association; Insured: Natl-Re)	Aa3/A+		1,300,000		1,302,587
Newport Beach Revenue, 5.00% due 12/1/2038 put 2/7/2013 (Hoag Memorial Hospital)	Aa3/AA		3,000,000		3,256,200
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re)	A1/A+		1,245,000		1,374,331
Pittsburg Redevelopment Agency, 5.00% due 8/1/2012 (Los Medanos Community Development; Insured: Natl-Re)	Baa1/A+		1,255,000		1,336,939
Riverside County Transportation Commission, 5.00% due 6/1/2029 pre-refunded 12/1/2009	Aa2/AA+		20,000,000		20,150,200
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble)	A1/A+		750,000		845,295
Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl- Re)	Baa1/A		4,870,000		5,202,962
Sacramento Municipal Utility District, 5.00% due 7/1/2019 (Cosumnes Project; Insured: Natl-Re)	Baa1/A		5,000,000		5,286,950

12    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
San Diego County Regional Transportation, 0.40% due 4/1/2038 put 10/1/2009 (SPA: Dexia Credit Local) (daily demand notes)	VMIG1/A-1	$	15,000,000	$	15,000,000
San Joaquin County Transportation Authority, 5.00% due 4/1/2011	NR/AA		3,000,000		3,148,350
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: FSA)	Aa3/AAA		7,600,000		4,987,044
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (Water Utility Improvements)	NR/A+		3,900,000		4,121,169
Santa Margarita-Dana Point Authority, 5.125% due 8/1/2018 (Insured: AMBAC)	Baa3/NR		14,000,000		14,002,520
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 (Tuolumne Co.)	A1/A+		2,000,000		2,210,300
Tuolumne Wind Project Authority, 5.00% due 1/1/2019 (Tuolumne Co.)	A1/A+		2,000,000		2,203,680
Ventura County COP, 5.00% due 8/15/2016	A1/AA		1,520,000		1,682,458
Ventura County COP, 5.25% due 8/15/2017	A1/AA		1,635,000		1,827,766
COLORADO — 2.33%
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: FHA, Natl-Re)	NR/A		1,530,000		1,653,517
a Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: FHA, Natl-Re)	NR/A		1,565,000		1,698,620
Beacon Point Metropolitan District, 4.375% due 12/1/2015 (LOC: Compass Bank)	NR/A+		2,100,000		2,054,157
Central Platte Valley Metropolitan District GO, 5.00% due 12/1/2031 put 12/1/2009 (LOC: BNP Paribas)	NR/AAA		12,400,000		12,485,808
Colorado Educational & Cultural Facilities, 6.00% due 6/1/2011	A3/A		710,000		726,216
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; insured: FSA)	NR/AAA		1,185,000		1,300,727
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; insured: FSA)	NR/AAA		2,225,000		2,439,868
Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives)	Aa2/AA		1,000,000		1,126,990
Denver City and County Airport System, 5.00% due 11/15/2016 (Insured: Natl-Re)	A1/A+		1,515,000		1,707,405
Denver City and County Airport System, 5.00% due 11/15/2017 (Insured: Natl-Re)	A1/A+		1,000,000		1,125,190
Denver Convention Center Hotel, 5.25% due 12/1/2014 (Insured: Syncora)	Baa3/BBB-		3,450,000		3,553,500
E-470 Public Highway Authority Capital Appreciation, 0% due 9/1/2014 (Insured: Natl-Re)	Baa1/A		1,910,000		1,526,377
Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: Assured Guaranty)	NR/AAA		1,000,000		1,129,690
Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: Assured Guaranty)	NR/AAA		1,035,000		1,168,877
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: Assured Guaranty)	NR/AAA		1,525,000		1,720,658
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: Assured Guaranty)	NR/AAA		1,200,000		1,400,940
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: Assured Guaranty)	NR/AAA		1,000,000		1,174,990
Plaza Metropolitan District, 7.125% due 12/1/2010 (Public Improvement Fee/Tax Increment)	NR/NR		4,210,000		4,211,052
Plaza Metropolitan District, 7.60% due 12/1/2016 (Public Improvement Fee/Tax Increment)	NR/NR		6,000,000		5,885,880
Southlands Metropolitan District GO, 6.75% due 12/1/2016 pre-refunded 12/1/2014	NR/AAA		1,000,000		1,175,560
CONNECTICUT — 0.10%
Connecticut Development Authority PCR, 5.75% due 6/1/2026 put 2/1/2012	Baa2/NR		1,000,000		1,055,430
Connecticut Health & Educational Facilities, 3.50% due 11/15/2029 put 2/1/2012 (Ascension Health)	Aa1/AA		1,000,000		1,026,570
DELAWARE — 0.16%
Delaware EDA, 5.50% due 7/1/2025 put 7/1/2010 (Delmarva Power & Light)	Baa2/BBB		2,045,000		2,105,798
Delaware HFA, 5.25% due 6/1/2011 (Beebe Medical Center)	Baa1/BBB+		1,275,000		1,304,210
DISTRICT OF COLUMBIA — 1.75%
District of Columbia Convention Center Authority, 5.00% due 10/1/2013 (Washington Convention Center; Insured: AMBAC)	A2/A		3,000,000		3,305,040
District of Columbia COP, 5.25% due 1/1/2013 (Insured: AMBAC)	NR/A		5,950,000		6,345,318
District of Columbia COP, 5.25% due 1/1/2015 (Insured: FGIC)	A2/A		2,875,000		3,218,218
District of Columbia COP, 5.25% due 1/1/2016 (Insured: FGIC)	A2/A		4,125,000		4,650,360

Certified Annual Report    13

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
District of Columbia COP, 5.00% due 1/1/2019 (Insured: Natl-Re)	A2/A	$	5,000,000	$	5,429,350
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re)	A1/A+		5,000,000		6,018,750
District of Columbia Tax Increment, 0% due 7/1/2011 (Mandarin Oriental; Insured: FSA)	Aa3/AAA		1,990,000		1,931,812
District of Columbia Tax Increment, 0% due 7/1/2012 (Mandarin Oriental; Insured: FSA)	Aa3/AAA		1,480,000		1,396,528
Metropolitan Washington Airports Authority, 0% due 10/1/2014 (Dulles Toll Road; Insured: Assured Guaranty)	Aa2/AAA		2,000,000		1,677,160
Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: Assured Guaranty)	Aa2/AAA		4,000,000		3,019,120
FLORIDA — 9.96%
Broward County Airport Systems, 5.00% due 10/1/2014 (Insured: AMBAC)	A1/A+		4,000,000		4,479,920
Broward County Port Facilities, 5.00% due 9/1/2013	A2/A-		2,000,000		2,190,000
Broward County Port Facilities, 5.50% due 9/1/2018	A2/A-		3,500,000		3,950,135
Broward County Port Facilities, 5.50% due 9/1/2019	A2/A-		2,800,000		3,145,912
Broward County Resource Recovery, 5.375% due 12/1/2009 (Wheelabrator South)	A3/AA		5,000,000		5,036,500
Broward County School Board COP, 5.00% due 7/1/2010 (Insured: AMBAC)	A1/NR		2,000,000		2,006,340
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: FSA)	Aa3/AAA		7,630,000		8,612,286
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: FGIC)	A1/A+		1,000,000		1,119,030
a Capital Projects Finance Authority, 5.50% due 10/1/2012 (Insured: Natl-Re)	Baa1/A		1,820,000		1,888,705
Capital Projects Finance Authority, 5.50% due 10/1/2015 (Insured: Natl-Re)	Baa1/A		3,260,000		3,322,853
Capital Trust Agency Multi Family Housing, 5.15% due 11/1/2030 put 11/1/2010 (Shadow Run; Collateralized: FNMA)	Aaa/NR		3,190,000		3,316,707
Crossings at Fleming Island Community Development, 5.45% due 5/1/2010 (Insured: Natl-Re)	Baa1/A		825,000		833,885
Escambia County HFA, 5.125% due 10/1/2014 (Baptist Hospital/Baptist Manor)	Baa1/BBB-		2,350,000		2,362,737
Escambia County HFA, 5.00% due 11/1/2028 pre-refunded 11/1/2010 (Charity Obligated Group)	Aaa/NR		2,540,000		2,575,255
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: FSA)	Aa3/AAA		1,605,000		1,783,797
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: FSA)	Aa3/AAA		1,500,000		1,675,290
Florida Hurricane Catastrophe, 5.00% due 7/1/2014	Aa3/AA-		11,000,000		11,951,940
Florida State Board of Education Lottery Revenue, 5.00% due 7/1/2016 (Insured: Natl-Re/ FGIC)	A2/AAA		5,000,000		5,007,950
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC)	Aa2/AA+		2,000,000		2,191,960
Florida State Department of Children & Families COP, 5.00% due 10/1/2012	NR/AA+		770,000		834,072
Florida State Department of Children & Families COP, 5.00% due 10/1/2014	NR/AA+		905,000		1,005,156
Florida State Department of Children & Families COP, 5.00% due 10/1/2015	NR/AA+		925,000		1,028,887
Florida State Department of Transportation GO, 5.00% due 7/1/2018	Aa1/AAA		3,000,000		3,482,280
Florida State Division of Bond Finance (Preservation 2000), 5.375% due 7/1/2011 (Insured: Natl-Re/FGIC)	A1/AA-		2,515,000		2,547,796
Gainesville Utilities Systems Revenue, 0.45% due 10/1/2026 put 10/1/2009 (SPA: Suntrust Bank) (daily demand notes)	VMIG1/A-1		4,500,000		4,500,000
Gainesville Utilities Systems Revenue, 0.45% due 10/1/2026 put 10/1/2009 (SPA: Suntrust Bank) (daily demand notes)	VMIG1/A-2		7,500,000		7,500,000
Hillsborough County Assessment, 5.00% due 3/1/2015 (Insured: FGIC)	A3/A+		5,000,000		5,335,900
Hillsborough County IDA PCR, 5.10% due 10/1/2013 (Tampa Electric Co.)	Baa1/BBB		6,410,000		6,789,985
Hillsborough County IDA PCR, 5.00% due 12/1/2034 put 3/15/2012 (Tampa Electric Co.; Insured: AMBAC)	Baa1/BBB		3,250,000		3,379,935
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: Syncora)	Baa1/NR		2,000,000		2,036,720
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: Syncora)	Baa1/NR		2,000,000		2,020,160
JEA, 5.25% due 10/1/2012 (St. John’s River Park Systems)	Aa2/AA-		5,000,000		5,364,450
JEA, 5.00% due 10/1/2014 (Electric Systems)	Aa3/A+		7,165,000		7,895,113
JEA Water & Sewer Systems Revenue, 5.00% due 10/1/2018	Aa3/AA-		1,500,000		1,707,615
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems)	A3/NR		1,000,000		1,020,770

14    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Miami Dade County Educational Facilities Authority, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC; GO of University)	A2/A-	$	3,000,000	$	3,313,470
Miami Dade County GO, 5.25% due 7/1/2018 (Building Better Communities)	Aa3/AA-		4,540,000		5,193,170
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2015 (Insured: Assured Guaranty)	Aa2/AAA		3,845,000		3,056,852
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2016 (Insured: Assured Guaranty)	Aa2/AAA		3,535,000		2,660,830
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2017 (Insured: Assured Guaranty)	Aa2/AAA		2,435,000		1,722,592
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2018 (Insured: Assured Guaranty)	Aa2/AAA		5,385,000		3,568,532
Miami Dade County Professional Sports Franchise Facilities Tax, 0% due 10/1/2019 (Insured: Assured Guaranty)	Aa2/AAA		2,170,000		1,346,919
Miami Dade County School Board COP, 5.00% due 5/1/2014 (Insured: Natl-Re)	A3/A		1,000,000		1,104,650
Miami Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC)	A3/A		1,000,000		1,112,720
Miami Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re)	A3/A		4,015,000		4,447,777
Miami Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC)	A3/A		1,000,000		1,111,130
Miami Dade County School Board COP, 5.50% due 5/1/2030 put 5/1/2011 (Insured: Natl-Re)	A3/A		1,010,000		1,048,430
Miami Dade County School District GO, 5.375% due 8/1/2015 (Insured: FSA)	Aa3/AAA		5,000,000		5,765,650
Miami Dade County Special Housing, 5.80% due 10/1/2012 (HUD Section 8)	Baa3/NR		1,735,000		1,829,106
Miami GO, 5.00% due 1/1/2017 (Homeland Defense/Neighborhood Capital Improvements)	A3/A		1,245,000		1,362,814
Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements)	A3/A		2,040,000		2,231,576
Miami GO, 5.00% due 1/1/2019 (Homeland Defense/Neighborhood Capital Improvements)	A3/A		1,870,000		2,045,107
Miami Special Obligation, 5.00% due 1/1/2018 (Insured: Natl-Re)	A3/A		1,970,000		2,213,157
Orange County HFA, 5.80% due 11/15/2009 (Adventist Health) (ETM)	A1/NR		1,395,000		1,404,430
Palm Beach County Public Improvement, 5.00% due 11/1/2030 put 11/1/2011 (Convention Center; Insured: FGIC)	Aa1/AA+		3,000,000		3,195,840
Palm Beach County School Board COP, 5.00% due 8/1/2025 (Insured: FGIC)	A1/AA-		1,500,000		1,551,240
Pelican Marsh Community Development District, 5.00% due 5/1/2011 (Insured: Radian)	NR/AA		1,110,000		1,094,371
Port Everglades Authority, 5.00% due 9/1/2016 (Insured: FSA)	Aa3/AAA		9,990,000		10,374,115
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC)	Baa1/A-		10,000,000		10,839,400
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health)	Aa3/AA-		1,560,000		1,732,006
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health)	Aa3/AA-		4,610,000		5,103,593
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement)	NR/NR		2,755,000		2,847,954
Tampa Sports Authority Revenue, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re)	Baa1/A		1,500,000		1,590,345
University of Central Florida Athletics Association Inc. COP, 5.00% due 10/1/2016 (Insured: FGIC)	NR/A		1,640,000		1,738,876
GEORGIA — 3.12%
Atlanta Tax Allocation, 5.25% due 12/1/2016 (Atlantic Station; Insured: Assured Guaranty)	Aa2/AAA		3,850,000		4,409,713
Atlanta Water & Wastewater Revenue, 6.00% due 11/1/2019	Baa1/A		5,650,000		6,514,111
Burke County PCR, 4.375% due 10/1/2032 put 4/1/2010 (Georgia Power Co.)	A2/A		5,000,000		5,071,750
Burke County PCR, 4.75% due 1/1/2039 put 4/1/2011 (Oglethorpe Power; Insured: Natl-Re)	A3/A		10,000,000		10,398,300
Fulton County Facilities COP, 5.90% due 11/1/2019 pre-refunded 11/1/2010 (Insured: FSA-CR AMBAC)	Aa3/AAA		16,865,000		18,044,707
Lagrange Troup County Hospital Authority, 5.00% due 7/1/2018	A1/A+		2,500,000		2,724,400
Main Street Natural Gas Inc., 5.00% due 3/15/2013 (Merrill Lynch)	A2/A		1,500,000		1,552,965
Main Street Natural Gas Inc., 5.00% due 3/15/2014 (JP Morgan)	Aa3/A+		3,000,000		3,210,570
Main Street Natural Gas Inc., 5.00% due 3/15/2014 (Merrill Lynch)	A2/A		3,590,000		3,702,080
Main Street Natural Gas Inc., 5.00% due 3/15/2015 (Merrill Lynch)	A2/A		2,000,000		2,052,360
Monroe County Development Authority PCR, 6.75% due 1/1/2010 (Oglethorpe Power; Insured: Natl-Re)	A3/A		2,000,000		2,028,060

Certified Annual Report    15

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Monroe County Development Authority PCR, 6.80% due 1/1/2012 (Oglethorpe Power; Insured: Natl-Re)	A3/A	$	1,000,000	$	1,104,900
Monroe County Development Authority PCR, 4.50% due 7/1/2025 put 4/1/2011 (Georgia Power Co.)	A2/A		5,000,000		5,180,750
GUAM — 0.62%
Guam Educational Financing Foundation COP, 5.00% due 10/1/2010 (Guam Public Schools)	NR/A-		1,000,000		1,015,980
Guam Government Limited Obligation Revenue, 5.25% due 12/1/2016	NR/BBB-		5,610,000		5,887,807
Guam Government Limited Obligation Revenue, 5.25% due 12/1/2017	NR/BBB-		2,000,000		2,084,240
Guam Government Limited Obligation Revenue, 5.50% due 12/1/2018	NR/BBB-		3,000,000		3,142,530
Guam Government Limited Obligation Revenue, 5.50% due 12/1/2019	NR/BBB-		1,000,000		1,047,120
HAWAII — 0.34%
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: Natl-Re)	Baa1/A		1,150,000		1,191,331
Hawaii State Department of Budget & Finance, 4.95% due 4/1/2012 (Hawaiian Electric Company; Insured: Natl-Re)	Baa1/A		5,750,000		6,032,613
IDAHO — 0.14%
Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014	NR/NR		1,640,000		1,589,996
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017	NR/NR		1,455,000		1,348,043
ILLINOIS — 8.02%
Bolingbrook GO, 0% due 1/1/2016 (Insured: Natl-Re)	A2/NR		1,500,000		1,201,410
Bolingbrook GO, 0% due 1/1/2017 (Insured: Natl-Re)	A2/NR		2,000,000		1,503,160
Broadview Tax Increment Revenue, 5.375% due 7/1/2015	NR/NR		3,400,000		3,400,068
Chicago Board of Education GO, 6.00% due 12/1/2009 (Insured: FGIC)	A1/AA-		2,000,000		2,018,240
Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re)	A1/AA-		1,000,000		1,147,160
Chicago Gas Supply, 4.75% due 3/1/2030 put 6/30/2014 (Peoples Gas Light & Coke)	A2/A-		1,500,000		1,525,125
Chicago GO, 6.125% due 1/1/2012 (Insured: AMBAC)	Aa3/AA-		1,000,000		1,104,400
Chicago GO, 5.375% due 1/1/2013 (Insured: Natl-Re)	Aa3/AA-		2,725,000		2,929,266
Chicago GO, 0% due 1/1/2016 (City Colleges; Insured: FGIC)	Aa3/AA-		2,670,000		2,167,826
Chicago GO, 5.40% due 1/1/2018 (Insured: FSA)	Aa3/AAA		3,000,000		3,019,230
Chicago GO, 0.50% due 1/1/2040 put 10/7/2009 (Insured: FSA/SPA-Dexia Credit Local) (weekly demand notes)	VMIG1/A-1		27,900,000		27,900,000
Chicago Housing Authority Capital Program, 5.25% due 7/1/2010 (ETM)	Aaa/NR		2,300,000		2,385,169
Chicago Housing Authority Capital Program, 5.00% due 7/1/2015 (Insured: FSA)	Aa3/AAA		8,460,000		9,470,885
Chicago Housing Authority Capital Program, 5.00% due 7/1/2016 (Insured: FSA)	Aa3/AAA		2,000,000		2,237,580
Chicago Metropolitan Water Reclamation District, 7.00% due 1/1/2011 (ETM)	Aaa/NR		735,000		769,244
Chicago Midway Airport, 5.50% due 1/1/2013 (Insured: Natl-Re)	A2/A		1,180,000		1,292,596
Chicago Park District Parking Facility, 5.75% due 1/1/2010 (ETM)	Baa1/NR		1,000,000		1,013,630
Cook County Community Consolidated School District GO, 0% due 12/1/2010 (Insured: FSA)	Aa3/NR		2,000,000		1,982,340
Cook County Community Consolidated School District GO, 9.00% due 12/1/2016 (Tinley Park; Insured: FGIC)	A1/NR		2,500,000		3,413,825
Cook County Community School District GO, 9.00% due 12/1/2013 (Oak Park; Insured: FGIC)	Aa3/NR		2,250,000		2,847,195
Cook County GO, 6.25% due 11/15/2013 (Insured: Natl-Re)	Aa3/AA		3,995,000		4,697,401
Du Page County Forest Preservation District GO, 0% due 11/1/2009 (Partial ETM)	Aaa/AAA		5,000,000		4,997,450
Illinois DFA, 6.00% due 11/15/2009 (Adventist Health; Insured: Natl-Re)	Baa1/AA		3,635,000		3,650,558
Illinois DFA, 6.00% due 11/15/2010 (Adventist Health; Insured: Natl-Re)	Baa1/AA		3,860,000		4,002,743
Illinois DFA, 6.00% due 11/15/2011 (Adventist Health; Insured: Natl-Re)	Baa1/AA		1,000,000		1,042,860

16    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Illinois DFA, 0.30% due 5/1/2031 put 10/1/2009 (Evanston Northwestern; SPA: JP Morgan) (daily demand notes)	VMIG1/A-1	$	7,600,000	$	7,600,000
Illinois DFA Community Rehab Providers, 6.00% due 7/1/2015	NR/BBB-		1,000,000		1,001,750
Illinois Educational Facilities, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago)	A1/A+		2,625,000		2,810,588
Illinois Educational Facilities, 5.00% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago)	A1/A+		3,000,000		3,170,520
Illinois Educational Facilities, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago)	A1/A+		3,500,000		3,764,425
Illinois Educational Facilities, 4.15% due 11/1/2036 put 11/1/2012 (Field Museum)	A2/A		5,250,000		5,461,050
Illinois Educational Facilities, 4.30% due 11/1/2036 put 11/1/2013 (Field Museum)	A2/A		3,000,000		3,126,780
a Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re)	A3/A		1,000,000		1,064,210
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health)	Aa3/AA		1,000,000		1,136,140
Illinois Finance Authority, 3.875% due 11/1/2030 put 5/1/2012 (Advocate Health)	Aa3/AA		2,000,000		2,045,540
Illinois Finance Authority Student Housing, 5.00% due 5/1/2014	Baa3/NR		3,895,000		3,879,069
Illinois HFA, 5.00% due 11/15/2013 (Northwestern Medical Facility; Insured: Natl-Re)	A2/NR		2,470,000		2,484,869
Illinois HFA, 0.30% due 7/1/2032 put 10/1/2009 (Northwest Community Hospital) (daily demand notes)	VMIG1/A-1		3,300,000		3,300,000
Illinois HFA, 6.50% due 2/15/2010 (Iowa Health System) (ETM)	Aa3/NR		1,465,000		1,489,949
Illinois HFA, 6.00% due 2/15/2011 (Iowa Health System; Insured: AMBAC) (ETM)	Aa3/NR		1,560,000		1,607,065
Illinois HFA, 5.50% due 11/15/2011 (Methodist Medical Center; Insured: Natl-Re)	A2/A		3,000,000		3,008,700
Illinois HFA, 6.00% due 7/1/2017 (Lake Forest Hospital)	A3/A-		1,500,000		1,553,985
Illinois Hospital District GO, 5.50% due 1/1/2010 (Insured: FGIC)	NR/A		1,040,000		1,047,353
Kane County Forest Preservation District GO, 5.00% due 12/15/2015 (Insured: FGIC)	NR/AA		2,780,000		3,223,716
Kane County Waubonsee Community College District GO, 0% due 12/15/2013 (Insured: FGIC)	Aa3/AA-		3,000,000		2,557,560
Lake County Community High School District GO, 0% due 12/1/2011 (Insured: FGIC)	NR/NR		3,235,000		3,059,339
Mc Lean & Woodford Counties United School District GO, 6.25% due 12/1/2014 (Insured: FSA)	Aa3/NR		1,005,000		1,112,334
McHenry & Kane Counties Community Consolidated School District GO, 0% due 1/1/2010 (Insured: FGIC)	NR/A		1,000,000		995,270
McHenry & Kane Counties Community Consolidated School District GO, 0% due 1/1/2012 (Insured: FGIC)	NR/A		2,200,000		2,075,634
Melrose Park Water Revenue, 5.20% due 7/1/2018 (Insured: Natl-Re)	Baa1/A		1,190,000		1,200,056
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2013 (McCormick Place; Insured: Natl-Re)	A2/AAA		1,045,000		939,654
Metropolitan Pier & Exposition Authority Dedicated State Tax, 0% due 6/15/2016 (McCormick Place; Insured: FGIC)	A2/A		11,295,000		8,967,778
Quincy Illinois, 5.00% due 11/15/2014 (Blessing Hospital)	A3/A-		1,000,000		1,035,000
Quincy Illinois, 5.00% due 11/15/2016 (Blessing Hospital)	A3/A-		1,000,000		1,021,150
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital)	Baa2/BBB		1,935,000		1,958,684
INDIANA — 4.63%
Allen County Economic Development, 5.60% due 12/30/2009 (Indiana Institute of Technology)	NR/NR		390,000		391,716
Allen County Economic Development, 5.00% due 12/30/2012 (Indiana Institute of Technology)	NR/NR		1,370,000		1,375,603
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 (ETM)	Aa3/NR		1,115,000		1,175,567
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2014 (Insured: Syncora)	Aa3/NR		1,000,000		1,118,530
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2015 (Insured: Syncora)	Aa3/NR		1,480,000		1,668,345
Allen County Jail Building Corp. First Mortgage, 5.00% due 10/1/2016 (Insured: Syncora)	Aa3/NR		1,520,000		1,706,686
Allen County Redevelopment District, 5.00% due 11/15/2016	A3/NR		1,000,000		1,090,100
b Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC/State Aid Withholding)	NR/A		2,500,000		2,829,400
Ball State University Student Fee, 5.75% due 7/1/2012 (Insured: FGIC)	A1/A+		1,000,000		1,088,650
Boonville Junior High School Building Corp., 0% due 7/1/2010 (State Aid Withholding)	NR/A		850,000		835,057
Boonville Junior High School Building Corp., 0% due 1/1/2011 (State Aid Withholding)	NR/A		850,000		822,222
Boonville Junior High School Building Corp., 0% due 7/1/2011 (State Aid Withholding)	NR/A		950,000		905,436

Certified Annual Report    17

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Brownsburg 1999 School Building Corp., 5.00% due 8/1/2018 (Insured: FSA; State Aid Withholding)	Aa3/AAA	$	1,250,000	$	1,373,750
Carmel Redevelopment Authority, 0% due 2/1/2015 (Performing Arts Center)	Aa2/AA		1,575,000		1,357,745
Center Grove Building Corp., 5.00% due 7/15/2010 (Insured: AMBAC) (ETM)	NR/AA+		1,135,000		1,176,677
Evansville Vanderburgh, 5.00% due 7/15/2014 (Insured: AMBAC)	NR/A+		1,000,000		1,098,440
Evansville Vanderburgh, 5.00% due 7/15/2015 (Insured: AMBAC)	NR/A+		1,000,000		1,103,660
Indiana Bond Bank, 4.80% due 2/1/2014	NR/AAA		4,060,000		4,090,206
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program)	Aa3/NR		1,545,000		1,662,775
Indiana Finance Authority, 5.00% due 5/1/2015 (Parkview Health Systems)	A1/A+		1,500,000		1,603,335
Indiana Finance Authority, 5.00% due 5/1/2016 (Parkview Health Systems)	A1/A+		3,090,000		3,290,634
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems)	A1/A+		1,000,000		1,054,130
Indiana Health Facilities, 3.625% due 11/15/2036 put 8/1/2011 (Ascension Health)	Aa1/AA		3,955,000		4,111,578
Indiana Multi School Building Corp. First Mortgage, 5.00% due 7/15/2016 (Insured: Natl-Re; State Aid Withholding)	Baa1/AA		5,000,000		5,703,750
Indiana State Educational Facilities Authority, 5.75% due 10/1/2009 (University of Indianapolis)	NR/A-		670,000		670,074
Indiana State Finance Authority Revenue, 5.00% due 7/1/2011 (Wabash Correctional Facilities)	Aa2/AA+		1,390,000		1,485,840
Indiana State Finance Authority Revenue, 4.90% due 1/1/2016 (Indianapolis Power & Light Co.)	A3/BBB		11,650,000		12,290,284
Indiana State Finance Authority Revenue, 5.00% due 7/1/2016 (Forensic & Health Science; Insured: Natl-Re)	Aa2/AA+		1,030,000		1,186,972
Indiana State Finance Authority Revenue, 5.25% due 7/1/2018 (Wabash Correctional Facilities)	Aa2/AA+		1,000,000		1,177,080
Indiana State Finance Authority Revenue, 5.25% due 7/1/2018 (Rockville Correctional Facilities)	Aa2/AA+		2,150,000		2,530,722
Indiana State Finance Authority Revenue, 5.00% due 11/1/2018	Aa3/AA+		2,000,000		2,297,140
Indianapolis Local Public Improvement Bond Bank, 5.00% due 1/1/2015 (Waterworks; Insured: Natl-Re)	A1/AA-		1,000,000		1,134,960
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2015 (Waterworks; Insured: Natl-Re)	A1/AA-		1,000,000		1,144,100
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2016 (Insured: FGIC)	Aa2/AA		1,030,000		1,160,666
Knox Middle School Building Corp. First Mortgage, 0% due 1/15/2020 (Insured: FGIC; State Aid Withholding)	NR/A		1,295,000		774,863
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re/ FGIC; State Aid Withholding)	NR/AA+		1,200,000		1,369,692
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re/ FGIC; State Aid Withholding)	NR/AA+		1,250,000		1,440,263
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2013 (Insured: Natl-Re; State Aid Withholding)	Baa1/A+		1,055,000		1,166,324
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2014 (Insured: Natl-Re; State Aid Withholding)	Baa1/A+		1,135,000		1,267,239
Mount Vernon of Hancock County First Mortgage, 5.00% due 7/15/2015 (Insured: Natl-Re; State Aid Withholding)	Baa1/A+		1,140,000		1,283,959
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A)	NR/AA-		1,660,000		1,847,049
Perry Township Multi School Building Corp., 5.00% due 7/10/2014 (Insured: FSA; State Aid Withholding)	Aa3/NR		2,130,000		2,404,685
Peru Community School Corp. First Mortgage, 0% due 7/1/2010 (State Aid Withholding)	NR/A		835,000		820,321
Plainfield Community High School Building Corp. First Mortgage, 5.00% due 1/15/2015 (Insured: Natl-Re/FGIC)	NR/A		1,445,000		1,617,258
Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co.)	Baa2/BBB		4,100,000		4,498,479
Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co.)	Baa2/BBB		1,000,000		1,097,190
South Bend Community School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re/FGIC; State Aid Withholding)	NR/AA+		1,785,000		2,052,589
Warren Township Vision 2005, 5.00% due 7/10/2015 (Insured: Natl-Re/FGIC; State Aid Withholding)	NR/AA+		2,095,000		2,387,504

18    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid Withholding) (ETM)	NR/AA+	$	995,000	$	1,035,715
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid Withholding) (ETM)	NR/AA+		1,095,000		1,189,039
West Clark School Building Corp., 5.25% due 1/15/2014 (Insured: Natl-Re)	Baa1/AA+		1,335,000		1,519,924
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: Natl-Re/ FGIC; State Aid Withholding)	NR/AA+		2,080,000		2,254,741
IOWA — 1.44%
Ankeny Community School District Sales & Services Tax, 5.00% due 7/1/2010	NR/AA-		2,900,000		2,988,073
Des Moines Limited Obligation, 4.40% due 12/1/2015 put 12/1/2011 (Des Moines Parking Associates; LOC: Wells Fargo Bank)	NR/NR		2,535,000		2,538,245
a Dubuque Community School District, 5.00% due 1/1/2013	A3/NR		1,600,000		1,615,088
Dubuque Community School District, 5.00% due 7/1/2013	A3/NR		1,640,000		1,654,793
Iowa Finance Authority, 6.50% due 2/15/2010 (Iowa Health Services)	Aa3/NR		2,955,000		3,005,442
Iowa Finance Authority, 5.75% due 12/1/2010 (Trinity Health)	Aa2/AA		2,260,000		2,314,217
Iowa Finance Authority, 6.00% due 2/15/2011 pre-refunded 2/15/2010 (Iowa Health Services; Insured: AMBAC)	NR/NR		3,145,000		3,240,954
Iowa Health Facilities Revenue, 5.00% due 2/15/2014 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		2,500,000		2,730,075
Iowa Health Facilities Revenue, 5.00% due 2/15/2015 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		2,300,000		2,518,684
Iowa Health Facilities Revenue, 5.00% due 2/15/2016 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		1,600,000		1,753,232
Iowa Health Facilities Revenue, 5.00% due 8/15/2016 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		1,500,000		1,662,465
Iowa Health Facilities Revenue, 5.00% due 2/15/2017 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		1,600,000		1,749,856
Iowa Health Facilities Revenue, 5.00% due 8/15/2017 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		990,000		1,091,049
Iowa Health Facilities Revenue, 5.00% due 2/15/2018 (Iowa Health System; Insured: Assured Guaranty)	Aa2/NR		1,405,000		1,532,279
KANSAS — 0.95%
Burlington Environmental Improvement, 5.00% due 12/1/2023 put 4/1/2011 (Kansas City Power & Light; Insured: Syncora)	A3/BBB+		1,500,000		1,553,955
Burlington Environmental Improvement, 5.25% due 12/1/2023 put 4/1/2013 (Kansas City Power & Light; Insured: Syncora)	A3/BBB+		5,000,000		5,330,250
Burlington Environmental Improvement, 5.374% due 9/1/2035 put 4/1/2013 (Kansas City Power & Light; Insured: FGIC)	Baa1/A		12,400,000		13,291,188
KENTUCKY — 0.79%
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: Natl-Re) (ETM)	NR/A		2,835,000		2,835,369
Kentucky Economic DFA, 5.35% due 10/1/2009 (Norton Healthcare; Insured: Natl-Re)	Baa1/A		4,565,000		4,565,365
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured: Natl-Re) (ETM)	NR/A		3,775,000		3,950,802
Kentucky Economic DFA, 5.40% due 10/1/2010 (Norton Healthcare; Insured Natl-Re)	Baa1/A		4,055,000		4,165,458
a Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare; Insured: Natl-Re)	Baa1/A		2,100,000		1,069,047
LOUISIANA — 2.72%
East Baton Rouge Sewer, 5.00% due 2/1/2018 (Insured: FSA)	Aa3/AAA		3,000,000		3,373,230
Ernest N. Morial New Orleans Exhibit Hall, 5.00% due 7/15/2013 (Insured: AMBAC)	NR/BBB		1,875,000		1,835,644
Jefferson Sales Tax, 5.00% due 12/1/2018 (Insured: Assured Guaranty)	Aa2/AAA		2,000,000		2,265,340

Certified Annual Report    19

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Louisiana Environmental Facilities & Community Development Authority, 5.00% due 9/1/2012 (Bellemont Apartments)	Ba3/NR	$	545,000	$	524,802
b Louisiana Environmental Facilities & Community Development Authority, 4.00% due 10/1/2013 (LCTCS Facilities Corp.)	A3/A		1,500,000		1,603,920
b Louisiana Environmental Facilities & Community Development Authority, 4.00% due 10/1/2014 (LCTCS Facilities Corp.)	A3/A		1,500,000		1,606,875
Louisiana Environmental Facilities & Community Development Authority, 5.00% due 3/1/2015 (Independence Stadium)	NR/A		1,000,000		1,081,130
Louisiana Environmental Facilities & Community Development Authority, 5.00% due 3/1/2016 (Independence Stadium)	NR/A		1,000,000		1,081,960
Louisiana Environmental Facilities & Community Development Authority, 5.00% due 3/1/2017 (Independence Stadium)	NR/A		1,265,000		1,364,846
Louisiana Environmental Facilities & Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium)	NR/A		1,000,000		1,074,550
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2014 (Ochsner Clinic Foundation)	A3/NR		1,000,000		1,040,850
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2015 (Ochsner Clinic Foundation)	A3/NR		1,825,000		1,885,189
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2016 (Ochsner Clinic Foundation)	A3/NR		1,000,000		1,028,490
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2017 (Ochsner Clinic Foundation)	A3/NR		1,035,000		1,059,312
Louisiana Public Facilities Authority Revenue, 5.00% due 5/15/2018 (Ochsner Clinic Foundation)	A3/NR		1,000,000		1,013,230
Louisiana Public Facilities Authority Revenue, 7.00% due 12/1/2038 put 12/1/2011 (Cleco Power LLC)	Baa1/BBB		9,000,000		9,673,470
Louisiana State Citizens Property Insurance Corp., 5.00% due 6/1/2015 (Insured: AMBAC)	Baa2/A-		10,265,000		10,802,373
Louisiana State GO, 5.00% due 8/1/2017 (Insured: Natl-Re)	A1/A+		4,000,000		4,429,760
Louisiana State Office Facilities Corp., 5.50% due 3/1/2013 (Capitol Complex; Insured: Natl-Re)	Baa1/A		1,000,000		1,013,180
Louisiana State Offshore Terminal Authority, 4.25% due 10/1/2037 put 10/1/2010 (Deepwater Port Loop LLC)	A3/A		4,200,000		4,267,494
Monroe Sales Tax Increment Garrett Road Economic Development Area, 5.00% due 3/1/2017 (Insured: Radian)	NR/BBB-		1,505,000		1,711,486
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.)	Baa3/BBB		2,400,000		2,467,848
Regional Transportation Authority, 8.00% due 12/1/2011 (Insured: FGIC)	NR/A-		1,250,000		1,374,425
MARYLAND — 0.75%
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2017 (Washington County Hospital)	NR/BBB-		1,000,000		1,029,330
Maryland Health & Higher Educational Facilities, 5.00% due 1/1/2018 (Washington County Hospital)	NR/BBB-		1,000,000		1,023,690
Maryland Health & Higher Educational Facilities, 0.41% due 7/1/2041 put 10/1/2009 (Insured: Suntrust Bank) (daily demand notes)	VMIG1/A-2		12,800,000		12,800,000
Montgomery County, 0.30% due 6/1/2026 put 10/1/2009 (daily demand notes)	VMIG1/A-1		1,000,000		1,000,000
MASSACHUSETTS — 2.73%
Massachusetts DFA Resource Recovery, 5.50% due 1/1/2011 (Seamass Partnership; Insured: Natl-Re)	Baa1/AA-		3,720,000		3,791,387
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018	NR/AA		7,500,000		8,356,125
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020	NR/AA		7,500,000		8,506,725
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2011 (Berkshire Health Systems; Insured: Assured Guaranty)	NR/AAA		2,345,000		2,474,374

20    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Massachusetts Health & Educational Facilities Authority, 5.375% due 5/15/2012 (New England Medical Center Hospital; Insured: FGIC) (ETM)	NR/NR	$	3,415,000	$	3,781,361
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2012 (Berkshire Health Systems; Insured: Assured Guaranty)	NR/AAA		2,330,000		2,488,090
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: Assured Guaranty)	NR/AAA		3,215,000		3,466,542
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2019 (Berkshire Health Systems; Insured: Assured Guaranty)	NR/AAA		1,750,000		1,827,385
Massachusetts Health & Educational Facilities Authority, 0.27% due 8/15/2034 put 10/1/2009 (Tufts University; SPA: Bank of America N.A.) (daily demand notes)	VMIG1/A-1		6,100,000		6,100,000
Massachusetts Solid Waste Disposal Revenue, 5.75% due 12/1/2042 put 5/1/2019 (Dominion Energy Brayton)	Baa2/A-		1,800,000		1,938,240
Massachusetts Western Turnpike Revenue, 5.55% due 1/1/2017 (Insured: Natl-Re)	Aa3/A		15,000,000		15,063,450
MICHIGAN — 5.26%
City of Battle Creek, 5.00% due 5/1/2020 (Insured: AMBAC)	A1/AA-		3,200,000		3,462,656
City of Detroit Water, 5.40% due 7/1/2011 (Insured: Natl-Re)	A2/A		1,000,000		1,051,400
Detroit Sewage Disposal Revenue, 5.00% due 7/1/2014 (Insured: Natl-Re)	A3/A		2,000,000		2,164,800
Detroit Sewage Disposal Revenue, 5.25% due 7/1/2019 (Insured: Natl-Re)	A2/A		3,900,000		4,181,658
Detroit Sewage Disposal Revenue, 5.50% due 7/1/2032 put 1/1/2012 (Insured: Natl-Re)	A3/A		5,000,000		5,193,600
Detroit Water Supply System, 6.00% due 7/1/2015 (Insured: Natl-Re)	A2/A+		3,280,000		3,692,788
Dickinson County Economic Development Corp. Environmental Impact, 5.75% due 6/1/2016 (International Paper Co.)	Baa3/BBB		3,715,000		3,778,898
Dickinson County Healthcare Systems, 5.50% due 11/1/2013 (Insured: ACA)	NR/NR		3,095,000		3,128,333
a Gull Lake Community School District GO, 0% due 5/1/2013 (Insured: FGIC)	NR/A		1,980,000		1,704,047
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2018 (Bronson Hospital; Insured: FSA)	Aa3/AAA		1,520,000		1,633,453
Kalamazoo Hospital Finance Authority Facilities Revenue, 5.00% due 5/15/2018 (Bronson Hospital; Insured: FSA)	Aa3/AAA		2,500,000		2,686,600
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health)	Aa3/AA		2,000,000		2,146,480
Kentwood Public Schools GO, 5.00% due 5/1/2015 (Insured: Natl-Re)	Aa3/AA-		4,050,000		4,377,362
Michigan HFA, 5.375% due 7/1/2012 (Port Huron Hospital; Insured: FSA)	NR/AAA		1,085,000		1,087,897
Michigan Housing Development Authority Rental Housing Revenue, 5.00% due 4/1/2016 (GO of Authority)	NR/AA		5,490,000		5,679,734
Michigan State Building Authority, 5.00% due 10/15/2015 (Insured: AMBAC)	A1/A+		6,000,000		6,601,080
Michigan State Building Authority, 5.50% due 10/15/2017	A1/A+		4,000,000		4,504,200
Michigan State COP, 4.25% due 9/1/2031 put 9/1/2011 (Insured: Natl-Re)	Baa1/A		5,500,000		5,492,795
Michigan State COP, 5.00% due 9/1/2031 put 9/1/2011 (Insured: Natl-Re)	Baa1/A		7,530,000		7,627,212
Michigan State HFA, 5.00% due 11/15/2017 (Sparrow Memorial Hospital)	A1/A+		1,000,000		1,059,490
Michigan State HFA, 5.75% due 12/1/2034 put 12/1/2015 (Trinity Health)	Aa2/AA		10,000,000		11,482,000
Michigan State Hospital Finance Authority, 6.00% due 12/1/2020 (Trinity Health)	Aa2/AA		1,175,000		1,216,149
Michigan State Strategic Fund, 4.75% due 8/1/2011 (NSF International)	NR/A-		2,240,000		2,303,773
Michigan State Strategic Fund, 5.00% due 10/15/2017 (Insured: Assured Guaranty)	Aa2/AAA		2,000,000		2,296,980
Michigan State Strategic Fund, 5.25% due 6/1/2018 (Clark Retirement Community)	NR/BBB-		1,000,000		952,380
Michigan State Strategic Fund, 5.25% due 8/1/2029 put 8/1/2014 (Detroit Edison Co.)	NR/A-		2,500,000		2,622,575
Michigan State Strategic Fund, 5.50% due 8/1/2029 put 8/1/2016 (Detroit Edison Co.)	NR/A-		2,500,000		2,648,875
Michigan State Strategic Fund, 4.85% due 9/1/2030 put 9/1/2011 (Detroit Edison Co.; Insured: AMBAC)	Baa1/NR		4,350,000		4,429,605
Royal Oak Hospital Finance Authority Hospital Revenue, 6.25% due 9/1/2014 (William Beaumont Hospital)	A1/A		1,000,000		1,104,520
b Western Townships Utilities Authority Sewage Disposal GO, 3.00% due 1/1/2011	NR/AA		1,000,000		1,020,040
b Western Townships Utilities Authority Sewage Disposal GO, 3.00% due 1/1/2012	NR/AA		655,000		673,294
b Western Townships Utilities Authority Sewage Disposal GO, 4.00% due 1/1/2013	NR/AA		1,000,000		1,061,360
b Western Townships Utilities Authority Sewage Disposal GO, 4.00% due 1/1/2014	NR/AA		1,000,000		1,065,960

Certified Annual Report    21

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
b Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2015	NR/AA	$	1,585,000	$	1,768,939
b Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2016	NR/AA		1,670,000		1,874,241
b Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2017	NR/AA		1,500,000		1,690,005
b Western Townships Utilities Authority Sewage Disposal GO, 5.00% due 1/1/2018	NR/AA		1,500,000		1,695,555
MINNESOTA — 0.63%
Dakota County Community Development Agency Multi Family Housing, 5.00% due 11/1/2017 (Commons on Marice)	NR/NR		1,150,000		1,084,841
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners Obligated Group)	Baa1/BBB		1,000,000		1,041,890
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners Obligated Group)	Baa1/BBB		2,200,000		2,293,874
Minneapolis St. Paul Metropolitan Airports, 5.00% due 1/1/2017 (Insured: AMBAC)	NR/AA-		8,005,000		8,969,202
MISSISSIPPI — 0.38%
Gautier Utility District Systems, 5.50% due 3/1/2012 (Insured: FGIC)	NR/NR		1,020,000		1,080,945
Mississippi Development Bank Public Improvement GO, 4.75% due 7/1/2017	NR/NR		1,565,000		1,598,491
Mississippi Development Bank Special Obligation, 5.00% due 1/1/2011 (Madison County; Insured: FSA-CR FGIC/County Guaranty)	Aa3/AAA		5,000,000		5,257,300
MISSOURI — 0.21%
Missouri Development Finance Board Healthcare Facilities, 4.80% due 11/1/2012 (Lutheran Home Aged; LOC: Commerce Bank)	Aa2/NR		1,045,000		1,076,026
Missouri State Health & Educational Facilities Authority, 5.00% due 6/1/2011 (SSM Healthcare Corp.)	NR/AA-		1,000,000		1,054,680
Springfield Public Utilities COP, 5.00% due 12/1/2013 (Insured: Natl-Re)	A1/AA-		2,000,000		2,271,880
NEBRASKA — 0.38%
Madison County Hospital Authority, 5.25% due 7/1/2010 (Faith Regional Health Services; Insured: Radian)	NR/NR		750,000		771,878
a Madison County Hospital Authority, 5.50% due 7/1/2012 (Faith Regional Health Services; Insured: Radian)	NR/NR		1,625,000		1,776,385
Omaha Public Power District Electric Systems, 5.00% due 2/1/2013	Aa1/AA		5,000,000		5,531,500
NEVADA — 1.85%
Clark County GO, 5.00% due 11/1/2014	Aa1/AA+		4,000,000		4,509,560
Clark County GO, 5.00% due 11/1/2017 (insured: AMBAC)	Aa1/AA+		1,185,000		1,334,440
Clark County Improvement District, 5.00% due 12/1/2015 (Insured: AMBAC)	NR/BBB+		1,860,000		1,894,447
Clark County School District GO, 5.00% due 6/15/2015 (Insured: Natl-Re)	Aa2/AA		1,000,000		1,094,040
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018	Aa3/AA		6,535,000		7,246,858
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019	Aa3/AA		3,000,000		3,327,870
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2013 (Insured: AMBAC)	Aa3/A+		1,530,000		1,670,010
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2014 (Insured: AMBAC)	Aa3/A+		2,555,000		2,810,142
Las Vegas Convention & Visitors Authority, 5.00% due 7/1/2019 (Insured: AMBAC)	Aa3/A+		1,000,000		1,052,450
Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center)	Aa2/AA		1,825,000		2,277,418
Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center)	Aa2/AA		2,095,000		2,647,871
Las Vegas Special Local Improvement District, 5.125% due 6/1/2011 (Insured: FSA)	Aa3/AAA		1,580,000		1,601,156
Las Vegas Special Local Improvement District, 5.375% due 6/1/2013 (Insured: FSA)	Aa3/AAA		1,090,000		1,102,448
Las Vegas Water District GO, 0.38% due 6/1/2036 put 10/1/2009 (SPA: Dexia) (daily demand notes)	VMIG1/A-1		900,000		900,000
Reno Hospital Revenue, 5.25% due 6/1/2014 (Washoe Medical Center; Insured: FSA)	Aa3/AAA		1,000,000		1,092,660
Reno Hospital Revenue, 5.25% due 6/1/2016 (Washoe Medical Center; Insured: FSA)	Aa3/AAA		1,100,000		1,202,410

22    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Reno Hospital Revenue, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: FSA)	Aa3/AAA	$	1,000,000	$	1,089,000
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2010 (Insured: Radian)	NR/BBB-		1,000,000		1,009,610
Sparks Redevelopment Agency Tax Allocation, 5.75% due 1/15/2011 (Insured: Radian)	NR/BBB-		1,285,000		1,314,889
NEW HAMPSHIRE — 0.54%
New Hampshire Health & Educational Facilities, 4.50% due 8/1/2014 (Dartmouth-Hitchcock)	NR/A+		1,835,000		1,943,394
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2016 (Southern NH Health Systems)	NR/A-		1,260,000		1,304,755
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2017 (Southern NH Health Systems)	NR/A-		1,000,000		1,033,290
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: Natl-Re; GO of Bond Bank)	Aa3/AA		2,985,000		3,486,450
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re; GO of Bond Bank)	Aa3/AA		3,130,000		3,672,679
NEW JERSEY — 1.56%
Hudson County COP, 7.00% due 12/1/2012 (Insured: Natl-Re)	Baa1/A		1,000,000		1,138,030
Hudson County COP, 6.25% due 12/1/2014 (Insured: Natl-Re)	Baa1/A		1,500,000		1,720,380
New Jersey EDA, 5.00% due 11/15/2011 (Seabrook Village)	NR/NR		1,000,000		1,027,120
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village)	NR/NR		1,000,000		1,019,400
New Jersey EDA Cigarette Tax Revenue, 5.00% due 6/15/2011 (Insured: FGIC)	Baa2/BBB		5,000,000		5,123,900
New Jersey EDA Cigarette Tax Revenue, 5.00% due 6/15/2012 (Insured: FGIC)	Baa2/BBB		7,375,000		7,625,307
New Jersey State Transit Corp. COP, 5.25% due 9/15/2013 (Insured: AMBAC)	A1/A		6,000,000		6,726,600
New Jersey State Transit Corp. COP, 5.50% due 9/15/2013 (Insured: AMBAC)	A1/A		7,650,000		8,648,784
NEW MEXICO — 0.82%
Albuquerque Airport, 5.50% due 7/1/2013	A1/A		1,820,000		2,006,113
Farmington PCR, 0.32% due 5/1/2024 put 10/1/2009 (LOC: Barclays Bank) (daily demand notes)	VMIG1/A-1+		2,500,000		2,500,000
Gallup PCR, 5.00% due 8/15/2016 (Insured: AMBAC)	Baa1/A		2,300,000		2,427,880
Los Alamos County Gross Receipts Tax, 5.50% due 6/1/2017	A1/AA+		2,365,000		2,720,081
Los Alamos County Gross Receipts Tax, 5.50% due 6/1/2018	A1/AA+		2,205,000		2,546,467
New Mexico Highway Commission Tax, 5.00% due 6/15/2011 (Insured: AMBAC) (ETM)	Aa2/AAA		4,865,000		5,223,453
NEW YORK — 5.15%
Monroe County IDA, 5.375% due 6/1/2017 (St. John Fisher College; Insured: Radian)	NR/BBB-		3,910,000		3,984,994
New York City GO, 0.28% due 11/1/2026 put 10/1/2009 (Insured: FSA/SPA-Dexia Credit Local) (daily demand notes)	NR/A-1		2,000,000		2,000,000
New York City GO, 0.31% due 8/1/2028 put 10/1/2009 (SPA: Dexia Credit Local) (daily demand notes)	VMIG1/A-1		3,160,000		3,160,000
New York City GO, 0.31% due 4/1/2035 put 10/1/2009 (SPA: Dexia Credit Local) (daily demand notes)	VMIG1/A-1		4,200,000		4,200,000
New York City IDA, 5.00% due 6/1/2010 (Lycee Francais de New York; Insured: ACA)	Baa1/BBB		1,175,000		1,188,301
New York City IDA, 5.25% due 6/1/2011 (Lycee Francais de New York; Insured: ACA)	Baa1/BBB		2,215,000		2,273,232
New York City IDA, 5.25% due 6/1/2012 (Lycee Francais de New York; Insured: ACA)	Baa1/BBB		2,330,000		2,417,258
New York City Municipal Water Finance Authority, 0.35% due 6/15/2032 put 10/1/2009 (SPA: Dexia Credit Local) (daily demand notes)	VMIG1/A-1		7,700,000		7,700,000
New York City Municipal Water Finance Authority, 0.35% due 6/15/2033 put 10/1/2009 (SPA: Dexia Credit Local) (daily demand notes)	VMIG1/A-1		10,000,000		10,000,000
New York City Transitional Finance Authority, 5.00% due 11/1/2012	Aa1/AAA		5,000,000		5,583,600
New York City Transitional Finance Authority, 5.00% due 11/1/2014	Aa1/AAA		2,000,000		2,314,220
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (State Aid Withholding)	A1/AA-		4,865,000		5,611,048

Certified Annual Report    23

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
New York State Dormitory Authority, 5.00% due 8/15/2010 (Mental Health Services; Insured: Natl-Re)	A1/AA-	$	1,600,000	$	1,657,552
New York State Dormitory Authority, 5.50% due 7/1/2012 (South Nassau Community Hospital)	Baa1/NR		1,820,000		1,890,853
New York State Dormitory Authority, 5.50% due 7/1/2013 (South Nassau Community Hospital)	Baa1/NR		1,500,000		1,565,355
New York State Dormitory Authority, 5.25% due 8/15/2013 (Presbyterian Hospital; Insured: FHA & FSA)	Aa3/AAA		3,650,000		4,047,631
New York State Dormitory Authority, 5.25% due 8/15/2015 (New York Presbyterian Hospital; Insured: FSA/FHA)	Aa3/AAA		4,425,000		4,836,082
New York State Dormitory Authority, 5.50% due 7/1/2016 (Brooklyn Law School; Insured: Radian)	Baa1/BBB+		1,220,000		1,287,015
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services)	NR/AA-		5,000,000		5,758,850
New York State Dormitory Authority, 5.50% due 7/1/2017 (Insured: Radian)	Baa1/BBB+		2,500,000		2,616,000
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services)	NR/AA-		5,000,000		5,789,100
New York State Dormitory Authority, 5.25% due 11/15/2026 put 5/15/2012 (Insured: AMBAC)	A1/AA-		4,000,000		4,315,920
New York State Dormitory Authority, 0.28% due 7/1/2037 put 10/1/2009 (Cornell University; SPA: Bank of America N.A.) (daily demand notes)	VMIG1/A-1+		4,325,000		4,325,000
New York State Dormitory Authority, 0.30% due 7/1/2037 put 10/1/2009 (Cornell University) (daily demand notes)	VMIG1/A-1+		1,600,000		1,600,000
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2012 (Insured: SONYMA)	Aa1/NR		2,000,000		2,076,980
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2013 (Insured: SONYMA)	Aa1/NR		4,600,000		4,777,054
New York State Dormitory Authority Aids Long Term Health Facilities, 5.00% due 11/1/2014 (Insured: SONYMA)	Aa1/NR		1,500,000		1,557,735
New York State Thruway Authority Service Contract, 5.50% due 4/1/2013 (Local Highway & Bridge; Insured: Syncora)	A1/AA-		1,000,000		1,092,470
Port Authority 148th, 5.00% due 8/15/2017 (Insured: FSA/GO of Authority)	Aa3/AAA		4,725,000		5,577,106
Tobacco Settlement Financing Corp. Asset Backed, 5.00% due 6/1/2011	NR/AA-		1,695,000		1,807,497
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013	A1/AA-		1,145,000		1,148,286
Tobacco Settlement Financing Corp. Asset Backed, 5.25% due 6/1/2013 (Insured: Syncora)	A1/AA-		715,000		717,031
NORTH CAROLINA — 2.78%
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2016 (Carolinas Health Network)	Aa3/AA-		3,420,000		3,780,468
Charlotte Mecklenberg Hospital Authority Health Care Systems, 5.00% due 1/15/2017 (Carolinas Health Network)	Aa3/AA-		2,000,000		2,206,380
Mecklenburg County COP, 5.00% due 2/1/2011	Aa1/AA+		1,000,000		1,055,540
North Carolina Eastern Municipal Power Agency, 5.375% due 1/1/2011	Baa1/A-		3,000,000		3,126,840
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2012	Baa1/A-		650,000		695,097
North Carolina Eastern Municipal Power Agency, 5.50% due 1/1/2012	Baa1/A-		1,100,000		1,180,828
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2013	Baa1/A-		1,055,000		1,148,156
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2016 (Insured: AMBAC)	Baa1/A-		1,700,000		1,860,990
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC)	Baa1/NR		7,500,000		8,699,325
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/ AMBAC)	Aa1/AAA		5,700,000		6,895,233
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 (Insured: Assured Guaranty)	Aa2/AAA		3,000,000		3,375,630
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 (Correctional Facilities)	Aa1/AA+		2,400,000		2,635,704
North Carolina Medical Care Commission, 5.00% due 9/1/2013 (Rowan Regional Medical Center; Insured: FSA & FHA 242)	Aa3/AAA		1,000,000		1,076,100

24    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
North Carolina Municipal Power Agency, 6.00% due 1/1/2010 (Catawba Electric; Insured: Natl-Re)	A2/A	$	2,400,000	$	2,431,224
North Carolina Municipal Power Agency, 5.50% due 1/1/2013 (Catawba Electric)	A2/A		2,505,000		2,778,872
North Carolina Municipal Power Agency, 6.375% due 1/1/2013 pre-refunded 1/1/2010 (Catawba Electric)	A2/A		1,500,000		1,537,665
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric)	A2/A		3,000,000		3,415,920
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 (Correctional Facilities)	Aa1/AA+		5,000,000		5,540,450
University of North Carolina Systems Pool Revenue, 5.00% due 4/1/2012 (Insured: AMBAC)	NR/NR		1,030,000		1,107,817
Wake County GO, 5.00% due 3/1/2011	Aaa/AAA		4,000,000		4,249,560
NORTH DAKOTA — 0.12%
a Ward County Health Care Facilities, 5.00% due 7/1/2011 (Trinity Obligated Group)	NR/BBB+		1,000,000		1,022,840
Ward County Health Care Facilities, 5.00% due 7/1/2013 (Trinity Obligated Group)	NR/BBB+		1,560,000		1,605,536
OHIO — 1.78%
Akron COP, 5.00% due 12/1/2013 (Insured: Assured Guaranty)	NR/AAA		3,000,000		3,394,860
Akron COP, 5.00% due 12/1/2014 (Insured: Assured Guaranty)	NR/AAA		2,000,000		2,287,520
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: Natl-Re)	Aa3/NR		1,000,000		1,135,100
Hudson City GO, 6.35% due 12/1/2011 pre-refunded 12/1/2010 (Library Improvement)	Aa1/NR		1,400,000		1,523,606
Mahoning Valley Sanitary District, 5.90% due 11/15/2009 (Insured: FSA)	Aa3/AAA		770,000		775,321
Montgomery County, 6.00% due 12/1/2009 (Catholic Health Initiatives)	Aa2/AA		2,385,000		2,404,271
Montgomery County, 6.00% due 12/1/2010 (Catholic Health Initiatives)	Aa2/AA		1,530,000		1,588,201
Montgomery County, 5.25% due 10/1/2038 put 11/1/2013 (Catholic Health Initiatives)	Aa2/AA		1,500,000		1,634,040
Montgomery County, 4.10% due 10/1/2041 put 11/10/2011 (Catholic Health Initiatives)	Aa2/AA		2,500,000		2,613,575
Ohio State Air Quality Development Authority, 5.625% due 6/1/2018 (First Energy Nuclear)	Baa1/BBB		5,000,000		5,429,650
Ohio State Air Quality Development Authority, 5.75% due 6/1/2033 put 12/1/2011 (First Energy Nuclear)	Baa2/BBB		2,350,000		2,525,592
Ohio State Air Quality Development Authority, 3.875% due 12/1/2038 (Columbus Southern Power Co.)	A3/BBB		4,800,000		4,900,224
Ohio State Higher Educational Facilities, 0.30% due 8/1/2033 put 10/1/2009 (Kenyon College; SPA: Bank One Illinois) (daily demand notes)	VMIG1/A-1		1,000,000		1,000,000
Ohio State Higher Educational Facilities, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College)	A1/A+		1,000,000		1,085,560
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (First Energy Nuclear)	Baa1/BBB		5,000,000		5,357,200
OKLAHOMA — 1.07%
Comanche County Hospital Authority, 5.00% due 7/1/2011 (Insured: Radian)	NR/BBB-		1,000,000		1,026,260
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian)	NR/BBB-		1,340,000		1,394,471
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2016 (Western Heights Public Schools)	NR/A+		3,000,000		3,255,150
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2017 (Western Heights Public Schools)	NR/A+		4,075,000		4,400,796
Oklahoma County Finance Authority Educational Facilities, 5.00% due 9/1/2018 (Western Heights Public Schools)	NR/A+		2,120,000		2,279,297
Oklahoma DFA, 5.75% due 6/1/2011 pre-refunded 12/1/2010 (Integris Health; Insured: AMBAC)	Aa3/NR		740,000		793,169
Oklahoma DFA Health Facilities, 5.00% due 8/15/2017 (Integris Health)	Aa3/AA-		2,900,000		3,217,057
Oklahoma DFA Health Systems, 5.25% due 12/1/2011 (Duncan Regional Hospital)	NR/A		1,215,000		1,281,315
Oklahoma DFA Health Systems, 5.25% due 12/1/2012 (Duncan Regional Hospital)	NR/A		1,330,000		1,424,270
Oklahoma State Capital Improvement Authority, 0.30% due 7/1/2033 put 10/1/2009 (daily demand notes)	VMIG1/A-1		1,100,000		1,100,000

Certified Annual Report    25

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Oklahoma State Industrial Authority, 5.00% due 7/1/2016 (Medical Research Foundation)	A1/NR	$	1,165,000	$	1,248,228
Oklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation)	A1/NR		1,075,000		1,170,471
OREGON — 0.46%
Clackamas County Oregon Hospital Facilities, 5.00% due 7/15/2037 put 7/15/2014 (Legacy Health Systems)	A2/A+		6,000,000		6,394,920
Clackamas County Oregon Hospital Facilities, 5.00% due 7/15/2039 put 7/15/2012 (Legacy Health Systems)	A2/A+		2,000,000		2,108,800
Oregon State Department of Administrative Services COP, 5.00% due 11/1/2014 (Insured: Natl-Re/FGIC)	Aa3/AA-		1,000,000		1,127,390
PENNSYLVANIA — 2.53%
Allegheny County Hospital Development Authority, 5.50% due 12/15/2014 (UPMC Health Systems; Insured: AMBAC)	Aa3/NR		4,500,000		4,553,235
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (UPMC Health Systems)	Aa3/A+		3,000,000		3,296,250
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (UPMC Health Systems)	Aa3/A+		3,000,000		3,306,720
Allegheny County Redevelopment Authority, 5.10% due 7/1/2014 (Pittsburgh Mills)	NR/NR		1,740,000		1,665,110
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC)	NR/A		1,915,000		2,120,977
Commonwealth of Pennsylvania, 5.00% due 2/15/2011	Aa2/AA		5,000,000		5,298,300
Northampton County IDA, 5.35% due 7/1/2010 (Moravian Hall Square; Insured: Radian)	NR/BBB-		615,000		616,119
Pennsylvania EDA, 3.60% due 9/1/2013 (Waste Management Income)	NR/BBB		2,500,000		2,506,125
Pennsylvania EDA, 5.00% due 12/1/2042 put 6/1/2012 (Exelon Generation)	A3/BBB		2,550,000		2,684,691
Pennsylvania Higher Educational Facilities Authority, 5.00% due 6/1/2015	Baa2/BBB		1,200,000		1,252,140
Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: FSA)	Aa2/AAA		3,000,000		3,373,620
Philadelphia Gas Works, 5.00% due 10/1/2014 (Insured: AMBAC)	Baa2/BBB-		1,825,000		1,925,631
Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: FSA)	Aa2/AAA		3,315,000		3,691,451
Philadelphia Parking Authority Revenue, 5.00% due 9/1/2016	A2/A-		1,500,000		1,661,055
Philadelphia Parking Authority Revenue, 5.00% due 9/1/2017	A2/A-		1,020,000		1,128,712
Pittsburgh GO, 5.00% due 9/1/2012 (Insured: Natl-Re)	Baa1/A		3,415,000		3,573,593
Pittsburgh GO, 5.50% due 9/1/2014 (Insured: AMBAC)	Baa1/BBB		1,710,000		1,857,505
Pittsburgh GO, 5.25% due 9/1/2016 (Insured: FSA)	Aa3/AAA		3,000,000		3,321,240
Pittsburgh GO, 5.25% due 9/1/2018 (Insured: FSA)	Aa3/AAA		2,740,000		2,970,982
Sayre HFA, 5.25% due 7/1/2011 (Latrobe Area Hospital; Insured: AMBAC) (ETM)	NR/NR		1,400,000		1,498,784
Sayre HFA, 5.25% due 7/1/2012 (Latrobe Area Hospital; Insured: AMBAC) (ETM)	NR/NR		1,000,000		1,101,020
RHODE ISLAND — 0.26%
Providence GO, 5.50% due 1/15/2012 (Insured: FGIC)	A3/A		1,880,000		2,043,541
Rhode Island COP, 5.00% due 10/1/2014 (Providence Plantations; Insured Natl-Re)	A1/AA-		1,000,000		1,109,080
Rhode Island State Economic Development Corp., 5.75% due 7/1/2010 (Providence Place Mall; Insured: Radian)	NR/BBB-		535,000		542,415
Rhode Island State Health & Education Building Corp., 5.25% due 7/1/2014 (Memorial Hospital; LOC: Fleet Bank)	NR/AA+		1,565,000		1,712,314
SOUTH CAROLINA — 1.69%
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.)	Baa3/BBB		7,975,000		8,377,737
Greenville County School District, 5.25% due 12/1/2015 (Building Equity Sooner Tomorrow)	Aa3/AA		1,000,000		1,096,160
Greenwood County Hospital Facilities, 5.00% due 10/1/2013 (Self Regional Healthcare; Insured: FSA)	Aa3/AAA		2,000,000		2,190,520

26    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: Assured Guaranty)	Aa2/AAA	$	1,000,000	$	1,144,540
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: Assured Guaranty)	Aa2/AAA		1,000,000		1,149,600
South Carolina Jobs Economic Development Carealliance, 5.00% due 8/15/2014	Aa3/AAA		4,000,000		4,382,600
South Carolina Jobs Economic Development Carealliance, 5.00% due 8/15/2015	Aa3/AAA		3,000,000		3,286,680
York County PCR, 2.25% due 9/15/2024 (North Carolina Electric)	A2/A		7,500,000		7,506,000
York County PCR, 2.25% due 9/15/2024 (North Carolina Electric)	A2/A		6,500,000		6,505,200
SOUTH DAKOTA — 0.11%
South Dakota State Health & Educational Facilities Authority, 5.50% due 9/1/2011 (Rapid City Regional Hospital; Insured: Natl-Re)	A1/A		1,100,000		1,154,956
South Dakota State Health & Educational Facilities Authority, 5.00% due 11/1/2015 (Sanford Health)	A1/AA-		1,000,000		1,088,010
TENNESSEE — 1.43%
Knox County Health, Educational, & Housing Facilities, 5.00% due 4/1/2017 (University Health Systems)	NR/BBB+		3,130,000		3,206,685
Tennessee Energy Acquisition Corp., 5.00% due 9/1/2014	Ba3/BB+		975,000		1,030,156
Tennessee Energy Acquisition Corp., 5.00% due 9/1/2015	Ba3/BB+		3,000,000		3,132,510
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2017	Baa1/A		5,000,000		5,112,400
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017	Ba3/BB+		11,000,000		11,371,580
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018	Ba3/BB+		5,000,000		5,129,750
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020	Ba3/BB+		1,190,000		1,203,459
TEXAS — 10.03%
Amarillo Health Facilities Corp., 5.50% due 1/1/2011 (St. Anthony’s Hospital Corp.; Insured: FSA)	Aa3/NR		1,350,000		1,407,442
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus)	Aa3/AA+		1,500,000		1,745,445
Austin Electrical Utilities Systems, 5.50% due 11/15/2013 (Insured: AMBAC)	A1/A+		1,000,000		1,130,650
Austin Water & Wastewater, 5.00% due 5/15/2014 (Insured: AMBAC)	Aa3/AA		2,890,000		3,296,652
Austin Water & Wastewater, 5.00% due 5/15/2015 (Insured: AMBAC)	Aa3/AA		1,520,000		1,752,074
Bexar County Housing Finance Corp. Multi Family Housing, 5.00% due 1/1/2011 (American Opportunity Housing; Insured: Natl-Re)	Baa1/NR		1,230,000		1,218,745
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: Natl-Re)	Baa1/A		2,315,000		2,389,034
Clint ISD GO, 5.50% due 2/15/2011 (Guaranty: PSF)	Aaa/AAA		1,700,000		1,813,033
Clint ISD GO, 5.50% due 2/15/2012 (Guaranty: PSF)	NR/AAA		1,155,000		1,227,280
Collin County Limited Tax Improvement GO, 5.00% due 2/15/2016	Aaa/AAA		1,465,000		1,717,698
Corpus Christi Business & Job Development Corp., 5.00% due 9/1/2012 (Arena Project; Insured: AMBAC)	A3/A		1,025,000		1,117,250
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018	A2/A+		5,240,000		3,577,034
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019	A2/A+		5,200,000		5,623,644
Dallas County Texas Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC)	Baa3/BBB+		1,260,000		1,337,666
Dallas County Texas Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC)	Baa3/BBB+		1,160,000		1,231,502
Dallas County Texas Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC)	Baa3/BBB+		1,935,000		2,033,221
Dallas County Texas Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC)	Baa3/BBB+		2,035,000		2,138,297
Dallas County Texas Utility & Reclamation District, 5.00% due 2/15/2019 (Insured: AMBAC)	Baa3/BBB+		2,175,000		2,268,851
Dallas Fort Worth International Airport, 4.00% due 11/1/2012	A1/A+		1,000,000		1,067,300
Dallas Fort Worth International Airport, 5.00% due 11/1/2013	A1/A+		1,175,000		1,306,036
Dallas Fort Worth International Airport, 5.00% due 11/1/2014	A1/A+		1,300,000		1,457,651
Dallas Fort Worth International Airport, 5.00% due 11/1/2015	A1/A+		2,365,000		2,668,358
Duncanville ISD GO, 0% due 2/15/2011 (Guaranty: PSF)	Aaa/AAA		4,945,000		4,893,028
Duncanville ISD GO, 0% due 2/15/2012 (Guaranty: PSF)	Aaa/AAA		1,245,000		1,209,692
Fort Worth Water & Sewer, 5.25% due 2/15/2011 (Tarrant & Denton County)	Aa2/AA		1,390,000		1,473,914

Certified Annual Report    27

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Grapevine Colleyville ISD GO, 0% due 8/15/2011 (Guaranty: PSF)	Aaa/AAA	$	7,350,000	$	7,230,636
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2015 (Teco Project)	Aa3/AA		1,450,000		1,652,434
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2018 (Teco Project)	Aa3/AA		1,365,000		1,564,454
Harris County Educational Facilities Finance Corp., 5.00% due 11/15/2019 (Teco Project)	Aa3/AA		1,000,000		1,150,200
Harris County Health Facilities Development Corp. Thermal Utility, 5.00% due 11/15/2015 (Teco; Insured: Natl-Re)	Aa3/AA		1,500,000		1,611,015
Harris County Hospital District, 5.75% due 2/15/2011 pre-refunded 8/15/2010 (Insured: Natl-Re)	NR/A		10,000,000		10,451,400
Harris County Hospital District Senior Lien, 5.00% due 2/15/2014 (Insured: Natl-Re)	A1/A		1,275,000		1,400,728
Harris County Hospital District Senior Lien, 5.00% due 2/15/2017 (Insured: Natl-Re)	A1/A		1,500,000		1,653,075
Harris County Sports Authority Senior Lien, 0% due 11/15/2010 (Insured: Natl-Re)	Baa1/A		3,260,000		3,159,429
Houston Airport Systems Revenue, 5.00% due 7/1/2015	Aa3/AA-		2,600,000		2,922,452
Houston Airport Systems Revenue, 5.00% due 7/1/2017	Aa3/AA-		1,600,000		1,797,440
Houston Airport Systems Revenue, 5.00% due 7/1/2018	Aa3/AA-		1,000,000		1,125,040
Houston Airport Systems Revenue, 5.00% due 7/1/2019	Aa3/AA-		1,500,000		1,674,285
Houston ISD Public West Side, 0% due 9/15/2014 (Insured: AMBAC)	Aa3/AA		6,190,000		5,533,241
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF)	NR/AAA		2,170,000		1,681,902
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF)	Aaa/AAA		1,000,000		789,370
Keller ISD GO, 0% due 8/15/2012 (Guaranty: PSF)	Aaa/AAA		1,250,000		1,203,462
Laredo GO, 5.00% due 2/15/2018 (Insured: Natl-Re)	A1/AA-		2,000,000		2,239,640
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2012 (Insured: AMBAC)	A3/A+		1,660,000		1,786,592
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2013 (Insured: AMBAC)	A3/A+		1,745,000		1,902,085
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2014 (Insured: AMBAC)	A3/A+		1,835,000		2,018,757
Laredo Sports Venue Sales Refunding & Improvement, 5.00% due 3/15/2015 (Insured: AMBAC)	A3/A+		1,930,000		2,129,330
Lower Colorado River Authority, 5.875% due 5/15/2016 (Insured: BHAC-CR FSA)	Aa1/AAA		10,000,000		10,141,100
Mesquite ISD GO, 0% due 8/15/2011 pre-refunded 8/15/2010 (Guaranty: PSF)	NR/AAA		1,865,000		1,762,817
Mesquite ISD GO, 0% due 8/15/2011 (Guaranty: PSF)	NR/AAA		1,200,000		1,130,052
Midtown Redevelopment Authority, 6.00% due 1/1/2010 (Insured: Radian)	Baa1/A-		700,000		706,160
Midtown Redevelopment Authority, 6.00% due 1/1/2011 (Insured: Radian)	Baa1/A-		740,000		769,289
North Central Health Facility Development, 5.00% due 5/15/2017 (Baylor Health Care System)	Aa2/AA-		5,000,000		5,041,300
North East ISD GO, 5.00% due 8/1/2016 (PSF Guaranty)	Aaa/AAA		2,000,000		2,347,740
North Texas Tollway Authority, 5.50% due 1/1/2038	A2/A-		10,000,000		10,461,100
North Texas Tollway Authority, 5.00% due 1/1/2043 put 1/1/2011	A2/A-		2,140,000		2,225,472
Red River Authority PCR, 5.20% due 7/1/2011 (Southwestern Public Service; Insured: AMBAC)	Baa1/BBB-		1,205,000		1,206,386
Richardson Refunding & Improvement GO, 5.00% due 2/15/2014 (Insured: Natl-Re)	Aa1/AAA		3,000,000		3,404,130
Sam Rayburn Municipal Power Agency, 5.50% due 10/1/2012	Baa2/NR		6,000,000		6,483,240
Sam Rayburn Municipal Power Agency, 6.00% due 10/1/2021	Baa2/NR		2,000,000		2,078,260
Tarrant County Cultural Educational Facilities, 5.00% due 8/15/2014 (Scott & White Memorial Hospital)	Aa3/A+		1,180,000		1,293,658
Tarrant County Cultural Educational Facilities, 5.00% due 8/15/2016 (Scott & White Memorial Hospital)	Aa3/A+		2,280,000		2,490,193
Tarrant County Cultural Educational Facilities, 5.00% due 8/15/2017 (Scott & White Memorial Hospital)	Aa3/A+		2,000,000		2,168,180
Tarrant County Health Facilities Development Corp., 6.00% due 11/15/2009 (Adventist/ Sunbelt Health System) (ETM)	A1/NR		650,000		654,550
Tarrant County Health Facilities Development Corp., 6.10% due 11/15/2011 pre-refunded 11/15/2010 (Adventist/Sunbelt Health System)	A1/NR		730,000		781,991
Texas Municipal Power Agency, 0% due 9/1/2013 (Insured: Natl-Re)	A2/A+		1,000,000		895,360
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: Assured Guaranty)	Aa2/AAA		10,000,000		11,575,800
Texas State Public Finance Authority, 5.00% due 10/15/2014 (Stephen F. Austin University; Insured: Natl-Re)	A2/NR		1,305,000		1,462,435

28    Certified Annual Report

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
Texas State Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University; Insured: Natl-Re)	A2/NR	$	1,450,000	$	1,637,775
Texas Tax & Revenue, 2.50% due 8/31/2010	MIG1/SP-1+		20,000,000		20,380,800
Tomball Hospital Authority, 5.00% due 7/1/2013	Baa3/NR		1,460,000		1,464,336
Travis County Health Facilities Development Corp., 5.75% due 11/15/2010 (Ascension Health; Insured: Natl-Re)	Aa1/AA		2,000,000		2,030,620
Washington County Health Facilities Development Corp., 5.75% due 6/1/2019 (Trinity Medical Center; Insured: ACA)	NR/NR		3,840,000		3,741,158
Weslaco GO Waterworks & Sewer System, 5.25% due 2/15/2019 (Insured: Natl-Re)	Baa1/A		2,835,000		3,197,710
West Harris County Regional Water, 5.25% due 12/15/2012 (Insured: FSA)	Aa3/AAA		2,435,000		2,677,916
U.S. VIRGIN ISLANDS — 0.40%
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Matching Fund Loan Diageo Project)	Baa3/BBB		7,690,000		8,531,978
UTAH — 1.34%
a Intermountain Power Agency Supply, 5.00% due 7/1/2012	A1/A+		15,000,000		16,376,250
Intermountain Power Agency Supply, 5.00% due 7/1/2012 (ETM)	NR/NR		4,355,000		4,368,152
Intermountain Power Agency Supply, 5.00% due 7/1/2013	A1/A+		5,000,000		5,563,500
Salt Lake County Municipal Building Authority, 5.50% due 10/1/2009	Aa1/AA+		1,500,000		1,500,210
Utah State Board of Regents Auxiliary Systems & Student Fee, 5.00% due 5/1/2010	NR/AA		510,000		523,719
VIRGINIA — 0.48%
Alexandria IDA, 5.75% due 10/1/2009 (Institute for Defense; Insured: AMBAC) (ETM)	NR/NR		1,130,000		1,130,170
Alexandria IDA, 5.75% due 10/1/2010 (Institute for Defense; Insured: AMBAC) (ETM)	NR/NR		1,195,000		1,259,912
Louisa IDA PCR, 5.00% due 11/1/2035 put 12/1/2011 (Virginia Electric & Power Company)	Baa1/A-		3,000,000		3,152,820
Norton IDA Hospital Improvement, 5.75% due 12/1/2012 (Norton Community Hospital; Insured: ACA)	NR/NR		1,460,000		1,503,902
Suffolk Redevelopment Housing Authority, 4.85% due 7/1/2031 put 7/1/2011 (Windsor at Potomac; Collateralized: FNMA)	Aaa/NR		3,000,000		3,153,270
WASHINGTON — 2.41%
Energy Northwest Washington Electric, 5.00% due 7/1/2017 (Number 3)	Aaa/AA		5,470,000		6,369,487
King & Snohomish Counties School District GO, 5.60% due 12/1/2010 (Insured: Natl-Re/ FGIC)	Aa2/AA-		6,150,000		6,340,404
Port Seattle Washington Revenue, 5.50% due 9/1/2018 (Insured: Natl-Re/FGIC)	A1/A		5,000,000		5,806,050
Snohomish County Public Utilities District, 5.00% due 12/1/2015 (Insured: FSA)	Aa3/AAA		5,015,000		5,657,321
Washington State GO, 0% due 1/1/2018 (Insured: Natl-Re/FGIC)	Aa1/AA+		4,000,000		3,070,560
Washington State GO, 0% due 1/1/2019 (Insured: Natl-Re/FGIC)	Aa1/AA+		3,000,000		2,190,060
Washington State HFA, 6.75% due 12/1/2011 (Group Health Co-op of Puget Sound; Insured: Natl-Re)	Baa1/NR		2,060,000		2,063,275
Washington State HFA, 5.375% due 12/1/2016 (Group Health Co-op of Puget Sound; Insured: AMBAC)	NR/BBB+		2,000,000		2,042,620
Washington State HFA, 5.50% due 12/1/2009 (Providence Services; Insured: Natl-Re) (ETM)	NR/A		1,500,000		1,513,065
Washington State HFA, 5.00% due 7/1/2013 (Overlake Hospital; Credit Support: Assured Guaranty)	Aa2/AAA		1,000,000		1,071,540
Washington State HFA, 5.25% due 8/1/2018 (Highline Medical Center; Insured: FSA 242)	NR/A+		8,095,000		9,020,016
Washington State Public Power Supply Systems, 5.40% due 7/1/2012 (Nuclear Number 2; Insured: FSA)	Aaa/AAA		1,300,000		1,445,509
Washington State Public Power Supply Systems, 0% due 7/1/2013 (Insured: Natl-Re-IBC)	Aaa/AA		1,760,000		1,643,083
Washington State Public Power Supply Systems, 0% due 7/1/2015 (Insured: Natl-Re-IBC)	Aaa/AA		3,000,000		2,601,180

Certified Annual Report    29

SCHEDULE OF INVESTMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

Issuer-Description	Credit Rating† Moody’s/S&P	Principal Amount		Value
WEST VIRGINIA — 0.42%
Kanawha, Mercer, Nicholas Counties Single Family Mortgage, 0% due 2/1/2015 pre-refunded 2/1/2014	Aaa/NR	$	2,260,000	$	1,848,296
Monongalia County Community Hospital, 5.25% due 7/1/2020 (Monongalia General Hospital)	NR/BBB+		4,750,000		4,992,297
West Virginia EDA PCR, 4.85% due 5/1/2019 (Appalachian Power Company)	Baa2/BBB		1,000,000		1,042,850
West Virginia EDA PCR, 4.85% due 5/1/2019 put 9/4/2013 (Appalachian Power Company)	Baa2/BBB		1,000,000		1,042,850
WISCONSIN — 0.91%
Wisconsin State Health & Educational Facilities Authority, 5.40% due 8/15/2013 (Sorrowful Mother Corp.; Insured: Natl-Re)	Baa1/A+		2,365,000		2,368,500
Wisconsin State Health & Educational Facilities Authority, 5.40% due 8/15/2013 (Sorrowful Mother Corp.; Insured: Natl-Re)	Baa1/AA		1,135,000		1,136,680
Wisconsin State Health & Educational Facilities Authority, 5.50% due 8/15/2019 (Sorrowful Mother Corp.; Insured: Natl-Re)	Baa1/A+		11,000,000		11,007,590
Wisconsin State Health & Educational Facilities Authority, 5.125% due 8/15/2027 (Aurora Health Care, Inc.)	A3/NR		4,500,000		4,634,460
WYOMING — 0.04%
West Park Hospital District, 5.90% due 7/1/2010 (Insured: ACA)	NR/NR		775,000		776,030
TOTAL INVESTMENTS — 98.68% (Cost $1,999,801,444)				$	2,085,572,650
OTHER ASSETS LESS LIABILITIES — 1.32%					27,834,914
NET ASSETS — 100.00%				$	2,113,407,564

Footnote Legend

† Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end.

a Segregated as collateral for a when-issued security.

b When-issued security.

Portfolio Abbreviations

To simplify the listings of securities, abbreviations are used per the table below:

ACA	Insured by American Capital Access
AMBAC	Insured by American Municipal Bond Assurance Corp.
BHAC	Insured by Berkshire Hathaway Assurance Corp.
COP	Certificates of Participation
DFA	Development Finance Authority
EDA	Economic Development Authority
ETM	Escrowed to Maturity
FGIC	Insured by Financial Guaranty Insurance Co.
FHA	Insured by Federal Housing Administration
FNMA	Collateralized by Federal National Mortgage Association
FSA	Insured by Financial Security Assurance Co.
GO	General Obligation
HFA	Health Facilities Authority
HUD	Department of Housing & Urban Development
IDA	Industrial Development Authority
ISD	Independent School District
JEA	Jacksonville Electric Authority
Natl-Re	Insured by National Public Finance Guarantee Corp.
PCR	Pollution Control Revenue Bond
PSF	Guaranteed by Permanent School Fund
Radian	Insured by Radian Asset Assurance
SONYMA	State of New York Mortgage Authority
Syncora	Insured by Syncora Guarantee Inc.
UPMC	University of Pittsburgh Medical Center
USD	Unified School District

See notes to financial statements.

30    Certified Annual Report

STATEMENT OF ASSETS AND LIABILITIES
Thornburg Limited Term Municipal Fund	September 30, 2009

ASSETS
Investments at value (cost $1,999,801,444) (Note 2)	$	2,085,572,650
Cash		1,084,812
Receivable for investments sold		7,960,544
Receivable for fund shares sold		24,495,927
Interest receivable		24,119,503
Prepaid expenses and other assets		51,690
Total Assets		2,143,285,126
LIABILITIES
Payable for securities purchased		23,298,291
Payable for fund shares redeemed		4,008,135
Payable to investment advisor and other affiliates (Note 3)		1,036,505
Accounts payable and accrued expenses		194,893
Dividends payable		1,339,738
Total Liabilities		29,877,562
NET ASSETS	$	2,113,407,564
NET ASSETS CONSIST OF:
Undistributed net investment income	$	40,807
Net unrealized appreciation on investments		85,771,206
Accumulated net realized gain (loss)		(4,885,647	)
Net capital paid in on shares of beneficial interest		2,032,481,198
	$	2,113,407,564
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($1,040,627,878 applicable to 74,345,950 shares of beneficial interest outstanding - Note 4)	$	14.00
Maximum sales charge, 1.50% of offering price		0.21
Maximum offering price per share	$	14.21
Class C Shares:
Net asset value and offering price per share * ($206,952,441 applicable to 14,758,408 shares of beneficial interest outstanding - Note 4)	$	14.02
Class I Shares:
Net asset value, offering and redemption price per share ($865,827,245 applicable to 61,848,978 shares of beneficial interest outstanding - Note 4)	$	14.00

* 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 Municipal Fund	Year Ended September 30, 2009

INVESTMENT INCOME:
Interest income (net of premium amortized of $7,165,620)	$	65,483,120
EXPENSES:
Investment advisory fees (Note 3)		5,964,871
Administration fees (Note 3)
Class A Shares		1,000,029
Class C Shares		168,512
Class I Shares		285,748
Distribution and service fees (Note 3)
Class A Shares		2,000,059
Class C Shares		1,342,973
Transfer agent fees
Class A Shares		318,948
Class C Shares		69,858
Class I Shares		210,407
Registration and filing fees
Class A Shares		51,179
Class C Shares		26,667
Class I Shares		65,047
Custodian fees (Note 3)		254,561
Professional fees		73,567
Accounting fees		70,635
Trustee fees		55,490
Other expenses		134,994
Total Expenses		12,093,545
Less:
Distribution fees waived (Note 3)		(671,486	)
Fees paid indirectly (Note 3)		(1,931	)
Net Expenses		11,420,128
Net Investment Income		54,062,992
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments		424,567
Net change in unrealized appreciation (depreciation) of investments		94,999,972
Net Realized and Unrealized Gain		95,424,539
Net Increase in Net Assets Resulting From Operations	$	149,487,531

See notes to financial statements.

32    Certified Annual Report

STATEMENTS OF CHANGES IN NET ASSETS

    Thornburg Limited Term Municipal Fund

	Year Ended September 30, 2009			Year Ended September 30, 2008
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income	$	54,062,992		$	41,145,120
Net realized gain (loss) on investments		424,567			762,038
Increase (Decrease) in unrealized appreciation (depreciation) of investments		94,999,972			(26,391,583	)
Net Increase (Decrease) in Net Assets Resulting from Operations		149,487,531			15,515,575
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares		(27,978,683	)		(24,624,429	)
Class C Shares		(4,327,521	)		(2,909,085	)
Class I Shares		(21,756,788	)		(13,611,606	)
FUND SHARE TRANSACTIONS (NOTE 4):
Class A Shares		286,098,982			22,835,685
Class C Shares		98,146,852			15,492,880
Class I Shares		391,133,787			142,907,714
Net Increase in Net Assets		870,804,160			155,606,734
NET ASSETS:
Beginning of Year		1,242,603,404			1,086,996,670
End of Year	$	2,113,407,564		$	1,242,603,404
Undistributed net investment income	$	40,807		$	—

See notes to financial statements.

Certified Annual Report    33

NOTES TO FINANCIAL STATEMENTS
Thornburg Limited Term Municipal Fund	September 30, 2009

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 fifteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (Class I) 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, (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 (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Significant accounting policies of the Trust are as follows:

Valuation of Investments: Debt obligations have a primary market over the counter and are valued by an independent pricing service approved by the Trustees of the Trust. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations are valued at evaluated prices determined by the pricing service using methods which include consideration of yields or prices of debt obligations of comparable quality, type of issue, coupon, maturity, and rating, and indications as to value from dealers and general market conditions. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.

In any case where a pricing service fails to provide a price for a debt obligation held by the Fund, the valuation and pricing committee determines a fair value for the obligation using procedures approved by the Trustees. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation may be unreliable, the valuation and pricing committee decides whether or not to use the pricing service’s valuation or to determine a fair value for the obligation.

In determining fair value for any portfolio security or other investment, the valuation and pricing committee seeks to determine the amount that an owner of the investment might reasonably expect to receive upon a sale of the investment. However, because fair value prices are estimated prices, the valuation and pricing committee’s determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The valuation and pricing committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

Valuation Measurements: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three levels listed below.

Level 1: Quoted prices in active markets for identical investments.

Level 2: Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

34    Certified Annual Report

NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

The following table displays a summary of the inputs used to value the Fund’s net assets as of September 30, 2009. 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, 2009
	Total		Level 1		Level 2		Level 3
Assets
Investments in Securities Municipal Bonds	$	2,085,572,650	$	—	$	2,085,572,650	$	—
Total Investments in Securities	$	2,085,572,650	$	—	$	2,085,572,650	$	—

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.

When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with the Fund’s investment objectives and not for the purpose of investment leverage or to speculate on interest rate and/or market changes. At the time the Fund makes a commitment to purchase a security on a when-issued or delayed delivery basis, the Fund will record the transaction and reflect the value in determining its net asset value. When effecting such transactions, assets of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund’s records on the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date.

Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholder’s option, paid in cash. Net realized capital gains, to the extent available, will be distributed at least annually.

General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income (other than class specific expenses) and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.

Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.

Use of Estimates: The preparation of financial statements, in conformity with generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services to the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2009, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby

Certified Annual Report    35

NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the year ended September 30, 2009, the Distributor has advised the Fund that it earned commissions aggregating $24,984 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $16,541 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. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.

The Trust has also adopted distribution plans pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares under which the Fund compensates the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum of the average daily net assets attributable to Class C shares. Total fees incurred by the Distributor for each class of shares of the Fund under their respective Service and Distribution Plans and Class C distribution fees waived by the Distributor for the year ended September 30, 2009, are set forth in the Statement of Operations. Distribution fees in the amount of $671,486 were waived for Class C shares.

The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2009, fees paid indirectly were $1,931.

Certain officers and Trustees of the Trust are also officers and/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, 2009, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

	Year Ended September 30, 2009					Year Ended September 30, 2008
	Shares		Amount			Shares		Amount
Class A Shares
Shares sold	30,849,769		$	417,998,677		10,565,297		$	142,941,921
Shares issued to shareholders in reinvestment of dividends	1,454,357			19,643,817		1,285,615			17,344,279
Shares repurchased	(11,307,850	)		(151,543,512	)	(10,153,413	)		(137,450,515	)
Net Increase (Decrease)	20,996,276		$	286,098,982		1,697,499		$	22,835,685
Class C Shares
Shares sold	8,903,827		$	120,924,995		2,274,026		$	30,831,860
Shares issued to shareholders in reinvestment of dividends	206,648			2,800,254		143,526			1,939,419
Shares repurchased	(1,900,973	)		(25,578,397	)	(1,274,574	)		(17,278,399	)
Net Increase (Decrease)	7,209,502		$	98,146,852		1,142,978		$	15,492,880

36    Certified Annual Report

NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

	Year Ended September 30, 2009					Year Ended September 30, 2008
	Shares		Amount			Shares		Amount
Class I Shares
Shares sold	43,056,660		$	582,984,830		16,181,603		$	218,944,840
Shares issued to shareholders in reinvestment of dividends	1,340,862			18,142,630		797,599			10,754,694
Shares repurchased	(15,632,398	)		(209,993,673	)	(6,409,073	)		(86,791,820	)
Net Increase (Decrease)	28,765,124		$	391,133,787		10,570,129		$	142,907,714

NOTE 5 – SECURITIES TRANSACTIONS

For the year ended September 30, 2009, the Fund had purchase and sale transactions of investment securities (excluding short-term investments) of $838,116,012 and $174,298,865, respectively.

NOTE 6 – INCOME TAXES

At September 30, 2009, information on the tax components of capital is as follows:

Cost of investments for tax purposes	$	1,998,589,802
Gross unrealized appreciation on a tax basis	$	88,912,684
Gross unrealized depreciation on a tax basis		(1,929,836	)
Net unrealized appreciation (depreciation) on investments (tax basis)	$	86,982,848

At September 30, 2009, the Fund did not have any undistributed tax-exempt/ordinary income or undistributed capital gains.

At September 30, 2009, the Fund had tax basis capital losses, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations.

Such capital loss carryforwards expire as follows:

2014	$	1,882,060
2015		2,811,143
2016		192,444
	$	4,885,647

The Fund utilized $424,567 of capital loss carryforwards during the year ended September 30, 2009.

In order to account for permanent book/tax differences, the Fund increased net investment income by $44,701 and decreased net capital paid in on shares of beneficial interest by $44,701. This reclassification has no impact on the net asset value of the Fund. Reclassification resulted primarily from taxable market discount income and other amortization adjustments.

Certified Annual Report    37

NOTES TO FINANCIAL STATEMENTS, CONTINUED
Thornburg Limited Term Municipal Fund	September 30, 2009

The tax character of distributions paid during the year ended September 30, 2009, and September 30, 2008, was as follows:

	2009		2008
Distributions from:
Tax exempt income	$	53,956,985	$	41,145,120
Ordinary income		106,007		—
Total distributions	$	54,062,992	$	41,145,120

OTHER NOTE

Fund management believes no events have occurred between September 30, 2009 and November 20, 2009, the date of issuance of the financial statements, that require adjustment of, or disclosure in, the accompanying financial statements.

38    Certified Annual Report

FINANCIAL HIGHLIGHTS

    Thornburg Limited Term Municipal Fund

	Year Ended September 30,
Class A Shares:	2009			2008			2007			2006			2005
PER SHARE PERFORMANCE
(for a share outstanding throughout the year)
Net asset value, beginning of year	$	13.22		$	13.49		$	13.53		$	13.59		$	13.83
Income from investment operations:
Net investment income (loss)		0.47			0.48			0.46			0.44			0.40
Net realized and unrealized gain (loss) on investments		0.78			(0.27	)		(0.04	)		(0.06	)		(0.24	)
Total from investment operations		1.25			0.21			0.42			0.38			0.16
Less dividends from:
Net investment income		(0.47	)		(0.48	)		(0.46	)		(0.44	)		(0.40	)
Change in net asset value		0.78			(0.27	)		(0.04	)		(0.06	)		(0.24	)
NET ASSET VALUE, end of year	$	14.00		$	13.22		$	13.49		$	13.53		$	13.59
RATIOS/SUPPLEMENTAL DATA
Total return (%)(a)		9.67			1.54			3.18			2.87			1.16
Ratios to average net assets:
Net investment income (loss) (%)		3.50			3.54			3.43			3.28			2.91
Expenses, after expense reductions (%)		0.86			0.89			0.90			0.91			0.90
Expenses, after expense reductions and net of custody credits (%)		0.86			0.88			0.90			0.90			0.90
Expenses, before expense reductions (%)		0.86			0.89			0.90			0.91			0.90
Portfolio turnover rate (%)		12.18			17.78			21.35			23.02			27.80
Net assets at end of year (thousands)	$	1,040,628		$	705,238		$	696,717		$	833,189		$	967,650

(a) Sales loads are not reflected in computing total return.

See notes to financial statements.

Certified Annual Report    39

FINANCIAL HIGHLIGHTS, CONTINUED

    Thornburg Limited Term Municipal Fund

	Year Ended September 30,
Class C Shares:	2009			2008			2007			2006			2005
PER SHARE PERFORMANCE
(for a share outstanding throughout the year)
Net asset value, beginning of year	$	13.24		$	13.51		$	13.55		$	13.62		$	13.86
Income from investment operations:
Net investment income (loss)		0.43			0.44			0.43			0.41			0.36
Net realized and unrealized gain (loss) on investments		0.79			(0.27	)		(0.04	)		(0.07	)		(0.24	)
Total from investment operations		1.22			0.17			0.39			0.34			0.12
Less dividends from:
Net investment income		(0.44	)		(0.44	)		(0.43	)		(0.41	)		(0.36	)
Change in net asset value		0.78			(0.27	)		(0.04	)		(0.07	)		(0.24	)
NET ASSET VALUE, end of year	$	14.02		$	13.24		$	13.51		$	13.55		$	13.62
RATIOS/SUPPLEMENTAL DATA
Total return (%)		9.37			1.26			2.90			2.52			0.89
Ratios to average net assets:
Net investment income (loss) (%)		3.21			3.26			3.15			3.00			2.63
Expenses, after expense reductions (%)		1.13			1.17			1.19			1.18			1.18
Expenses, after expense reductions and net of custody credits (%)		1.13			1.16			1.18			1.18			1.18
Expenses, before expense reductions (%)		1.63			1.67			1.68			1.68			1.68
Portfolio turnover rate (%)		12.18			17.78			21.35			23.02			27.80
Net assets at end of year (thousands)	$	206,952		$	99,972		$	86,564		$	105,436		$	140,606

See notes to financial statements.

40    Certified Annual Report

FINANCIAL HIGHLIGHTS, CONTINUED

    Thornburg Limited Term Municipal Fund

	Year Ended September 30,
Class I Shares:	2009			2008			2007			2006			2005
PER SHARE PERFORMANCE
(for a share outstanding throughout the year)
Net asset value, beginning of year	$	13.22		$	13.49		$	13.53		$	13.59		$	13.83
Income from investment operations:
Net investment income (loss)		0.51			0.52			0.51			0.49			0.44
Net realized and unrealized gain (loss) on investments		0.79			(0.27	)		(0.04	)		(0.06	)		(0.24	)
Total from investment operations		1.30			0.25			0.47			0.43			0.20
Less dividends from:
Net investment income		(0.52	)		(0.52	)		(0.51	)		(0.49	)		(0.44	)
Change in net asset value		0.78			(0.27	)		(0.04	)		(0.06	)		(0.24	)
NET ASSET VALUE, end of year	$	14.00		$	13.22		$	13.49		$	13.53		$	13.59
RATIOS/SUPPLEMENTAL DATA
Total return (%)		10.03			1.88			3.53			3.22			1.50
Ratios to average net assets:
Net investment income (loss) (%)		3.81			3.88			3.78			3.62			3.25
Expenses, after expense reductions (%)		0.53			0.55			0.57			0.57			0.57
Expenses, after expense reductions and net of custody credits (%)		0.53			0.55			0.57			0.57			0.57
Expenses, before expense reductions (%)		0.53			0.55			0.57			0.57			0.57
Portfolio turnover rate (%)		12.18			17.78			21.35			23.02			27.80
Net assets at end of year (thousands)	$	865,827		$	437,393		$	303,716		$