N-CSRS 1 d729482dncsrs.htm N-CSRS N-CSRS

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, 2014

Date of reporting period:    March 31, 2014

Item 1. Reports to Stockholders

The following annual reports are attached hereto, in order:

Thornburg Low Duration Municipal Fund

Thornburg Limited Term Municipal Fund

Thornburg Intermediate Municipal Fund

Thornburg Strategic Municipal Income Fund

Thornburg California Limited Term Municipal Fund

Thornburg New Mexico Intermediate Municipal Fund

Thornburg New York Intermediate Municipal Fund

Thornburg Low Duration Income Fund

Thornburg Limited Term Income Funds

Thornburg Strategic Income Fund

Thornburg Value Fund

Thornburg International Value Fund

Thornburg Core Growth Fund

Thornburg International Growth Fund

Thornburg Investment Income Builder Fund

Thornburg Global Opportunities Fund

Thornburg Developing World Fund


LOGO


LOGO

 

2    This page is not part of the Semi-Annual Report


IMPORTANT INFORMATION

The information presented on the following pages is current as of March 31, 2014. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.

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

   TLMAX    885-216-788

Class I

   TLMIX    885-216-770

Glossary

Bloomberg Economic Evaluation of States (BEES) Index – A survey, updated quarterly, that examines the pace of states’ growth following the 18-month recession that officially ended in June 2009.

Bloomberg State Stock Indices – Capitalization-weighted indices consisting of equities domiciled in each state.

BofA Merrill Lynch 1-3 Year Municipal Securities Index – An index that is a subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 3 years.

Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.

Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.

Barbell Structure – A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.

Bullet Structure – A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.

Participation Rate – The number of people who are either employed or are actively looking for work. The people who are no longer actively searching for work would not be included in the participation rate. During an economic recession, many workers often get discouraged and stop looking for employment, as a result, the participation rate decreases.

Quantitative Easing – The Federal Reserve’s monetary policy intended to stimulate the U.S. economy following the recession that began in 2007/08.

Quantitative Easing 3 (QE3) – The third round of the Federal Reserve’s monetary policy intended to stimulate the U.S. economy following the recession that began in 2007/08. Announced in September 2012 and revised in December 2012, December 2013, and January 2014, the Fed intends to buy $65 billion in mortgage-backed securities and Treasuries each month until the economy improves.

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.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

 

 

This page is not part of the Semi-Annual Report    3


THORNBURG LOW DURATION MUNICIPAL FUND

Laddering – an All Weather Strategy

The newest addition to Thornburg’s municipal fund line-up is Thornburg Low Duration Municipal Fund. The Fund pursues its primary goal by investing principally in a laddered maturity portfolio of municipal obligations issued by states and state agencies, local governments and their agencies and by certain United States territories and possessions. Thornburg Investment Management actively manages the Fund’s portfolio.

In our opinion, current market conditions have created an ideal situation in which to launch this strategy. Because the magnitude of changes in value of interest-bearing obligations is greater for obligations with longer durations, given an equivalent change in interest rates, the Fund seeks to reduce changes in its share value compared to longer duration fixed income portfolios by maintaining a portfolio of investments with a dollar-weighted average duration of normally no more than three years. The Fund also attempts to reduce changes in its share value through credit analysis, selection, and diversification.

At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.

We apply these techniques to manage risk and pursue attractive returns:

 

   

Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk.

 

   

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.

 

   

Investing on a cash-only basis without using leverage.

Portfolio Managers

 

LOGO

Josh Gonze                   Chris Ryon, CFA

Objectives

The Fund seeks current income exempt from federal income taxes, consistent with preservation of capital.

Average Annual Total returns

For Periods Ended March 31, 2014

 

     1 Yr      3 Yrs      5 Yrs      10 Yrs      Since
Inception
 

A Shares (Incep: 12/30/13)

              

Without sales charge

     —           —           —           —           0.06

With sales charge

     —           —           —           —           -1.46

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for the Fund’s Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 1.73%, as disclosed in the most recent Prospectus. Thornburg Investment Management and Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses until at least February 1, 2015, so that actual expenses for Class A shares do not exceed 0.70%.

 

30-Day Yields, A Shares

As of March 31, 2014

 

Annualized Distribution Yield

     0.18

SEC Yield

     0.42

Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been negative 1.58% and the Annualized Distribution Yield would have been negative 1.81%.

Key Portfolio Attributes

As of March 31, 2014

 

Number of Bonds

     38   

Effective Duration

     1.5Yrs   

Average Maturity

     1.6Yrs   

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

 

4    This page is not part of the Semi-Annual Report


THORNBURG’S SUITE OF MUNICIPAL FUNDS

Municipal Funds for a Range of Interest-Rate Scenarios

At Thornburg, we often say that predicting interest rates is a fool’s game. And with the Federal Reserve still heavily involved in the markets, it’s even more difficult to forecast how rates may rise than when they may rise. Will long rates rise first and short rates follow? Will long and short rates climb simultaneously?

A traditional strategy to protect oneself against interest-rate risk is to move into shorter-duration bond strategies. But the seemingly counterintuitive response of moving to longer-duration strategies can sometimes yield better results.

Diversify Across the Yield Curve

This uncertainty points to why it’s important for investors to match their investment horizon to the duration of the strategy in which they’re invested, and to diversify assets across the yield curve.

For any interest-rate scenario, Thornburg’s comprehensive suite of municipal funds gives prudent investors the ability to diversify across the yield curve.

Diversify Across the Yield Curve with Thornburg Municipal Funds

AAA General Obligation Municipal Yield Curve, as of April 2, 2014

 

LOGO

LOGO

 
    Low Duration
Municipal Fund
  Limited Term
Municipal  Funds
  Intermediate
Municipal Funds
  Strategic Municipal
Income Fund

Maturity Range (yrs)

  1-5   1-10   1-20   1-30

Portfolio Structure

  Laddered   Laddered   Laddered   Flexible

Credit Quality

  Investment Grade   Investment Grade   Investment Grade   Flexible

(Maximum of 50%
below investment grade)

Objective

  Seeks current income
exempt from federal
income taxes,
consistent with
preservation of
capital
  Primary:
Obtain as high a level of current
income exempt from individual
income tax as is consistent with
preservation of capital

 

Secondary:

Reduce expected changes in
share price compared to longer
intermediate and long-term
bond portfolios

  Primary:
Obtain as high a level of current
income exempt from individual
income tax as is consistent with
preservation of capital

 

Secondary:

Reduce expected changes in
share price compared to long-
term bond portfolios

  Seeks a high level of current
income exempt from federal
individual income tax

 

This page is not part of the Semi-Annual Report    5


 

LOGO

Thornburg Low Duration Municipal Fund –

March 31, 2014

 

Table of Contents

  

Letter to Shareholders

     7   

Schedule of Investments

     11   

Statement of Assets and Liabilities

     14   

Statement of Operations

     15   

Statement of Changes in Net Assets

     16   

Notes to Financial Statements

     17   

Financial Highlights

     22   

Expense Example

     24   

Other Information

     25   

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

 

6    Certified Semi-Annual Report


LETTER TO SHAREHOLDERS

April 15, 2014

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for the Thornburg Low Duration Municipal Fund. The fund commenced operations on December 30, 2013. Therefore this “semi-annual” report will reference the first three months of operations. The net asset value (NAV) of the Class A shares remained $12.31 per share during the three months ended March 31, 2014. If you were with us for the entire period, you received dividends of 0.0799 cents per share. If you reinvested your dividends, you received 0.0800 cents per share. Dividends were higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a total return of 0.06% at NAV for the three months ended March 31, 2014, compared to the 0.25% total return for the BofA Merrill Lynch 1-3 Year Municipal Securities Index (BAML 1-3 Year Municipal Index). The Fund generated 0.85% more price return and 1.04% less income than the index.

The first three months of fiscal 2014 were very interesting, as interest-rate changes went in various directions, depending on the maturity discussed. This period certainly highlighted that interest rates do not change uniformly across the entire maturity spectrum (the yield curve).

Chart I illustrates how yields changed during the period. It is good to remember the tone of the market at the end of 2013. Most market commentators believed the stock market and yields were going in the same direction: up. The blue bars show the yield changes from December 31, 2013 through March 31, 2014. Those commentators were only partially correct: the only yields to increase were those for the shortest-maturity segment of the municipal bond market. Again, yield changes were not uniform across the yield curve. This time, after new U.S. Federal Reserve Chair Janet Yellen hinted that short-term interest rates may eventually need to increase, short-term yields increased and long-term yields decreased.

Investors may wonder how best to protect themselves from these changes. One way to hedge this risk is to own securities or mutual funds that spread their investments across the different segments of the yield curve. In our opinion, that would mean owning some of our new Thornburg Low Duration Municipal Fund and our Limited Term Municipal, Intermediate Municipal, and Strategic Municipal Income Funds. The percentage ownership of each would depend on levels of risk tolerance.

Chart I: Changes in AAA General-Obligation Municipal Yield Curve

 

LOGO

The Economy and the Federal Reserve

Gross domestic product (GDP) for the year ended December 31, 2013 came in at 2.6%, around its long-term average (to March 1990) of 2.5%. Additions to non-farm payroll employment have averaged about 178,000 per month for the three months ended March 31, 2014. The unemployment rate declined to 6.7%, but it has been clouded by a declining labor participation rate. The percentage of the U.S. population that is employed declined to 58.9% as of March 31, 2014, from 63.3% on March 31, 2007. The retirement of the “baby boomer” generation has certainly contributed to this decline but does not account for all of it. Chart II illustrates each of these trends from 1990.

 

Certified Semi-Annual Report    7


LETTER TO SHAREHOLDERS,   

CONTINUED

  

 

Chart II: Labor Market Indicators

2/28/1990 – 3/31/2014

 

LOGO

Inflation, the bondholder’s worst enemy, has remained well controlled in the last three months. The year-over-year change in the Consumer Price Index increased (CPI) increased to 1.5% as of March 31, 2014 from 1.2% as of December 30, 2013. Subtracting the food and energy components to arrive at the core measure presents a picture of a well-behaved, unchanged 1.7%. The economic backdrop is one of mild expansion with low inflation. The $64,000 question is, “How long can it last?”

In January 2014, Janet Yellen replaced Ben Bernanke as Fed Chair. Her appointment assured a continuation of current Fed policies. Last year, Bernanke roiled the fixed income markets by alluding to the prospect of a decrease in the Fed’s monthly purchases of Treasury and mortgage-backed securities, the tapering of QE3. Rates went up! This year, the tapering started in actuality with the Fed reducing its purchases by $10.0 billion per meeting. Rates went down! Go figure!

Chair Yellen learned that in her new position (to borrow an old E.F. Hutton advertisement tag line), “When she speaks, markets listen.” At her first news conference, Ms. Yellen tried to clarify what “for a considerable time” meant from the last Fed Statement: “This is the kind of term it’s hard to define,” Yellen said. “Probably means something on the order of six months, or that type of thing” [after QE3 tapering ends]. This sent the debt markets, especially the short-term debt markets, lower in price and higher in yield. The results can be seen in Chart I.

 

8    Certified Semi-Annual Report


LETTER TO SHAREHOLDERS,

CONTINUED

 

The Municipal Market

The long end of the municipal market has performed very well over the last three months. The short end, those maturities of five years or less, has not been so fortunate. Even with the increase in interest rates in the short end of the market, the NAV of the Thornburg Low Duration Municipal Fund did not change. Low NAV volatility is a key feature of the Fund.

Monthly outflows from municipal bond mutual funds have abated. The Investment Company Institute (ICI), an industry trade group, reported that for the last three months of calendar year 2013, municipal bond mutual funds lost an average of $6.6 billion per month. For the first three months of calendar year 2014, municipal bond mutual funds experienced $1.1 billion of inflows per month. This is not a significant amount, but at least it is positive.

These cash flows would normally not support a significantly positive return environment but when coupled with a decline in new issuance of municipal bonds, a clearer picture presents itself. The supply of new municipal bonds was down 26% for the first three months of 2014. So muted demand was met with reduce supply yielding positive results.

The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of States Index, which includes:

 

   

Mortgage delinquencies – from the Mortgage Bankers Association

 

   

State personal income – from the Bureau of Economic Analysis

 

   

Tax revenue – from the U.S. Census Bureau

 

   

Employment – from the Bureau of Labor Statistics

 

   

Home prices – from the Federal Housing Finance Agency

 

   

Bloomberg State Stock Index

From the fourth quarter of 2012 through the last quarter of 2013 (latest data available), the index increased on average 2.8%, ranging from a high of 8.8% to a low of negative 7.5%. For the comparable prior year period, the average was an increase of 0.2%, with a range from 9.9% to negative 4.1%. Nonetheless, state pension funds are still wrestling with some issues. The median funding level has declined from 82.6% in 2007 to 68.6% in 2012 (the Pew Center on the States suggests a funding level of 80% is adequate).

Two municipal bond market credit stories (Detroit and Puerto Rico) continue to grab headlines. In Detroit’s case, some significant settlements have been announced, but they are short on specifics, including where the new cash came from, and are dependent upon state approval. As in most Chapter 9 proceedings, one should read very little into early reports because the final results may prove very different. For example, a settlement was announced between insured bondholders and the city for a recovery of about 74% of par (a bond’s original face value); a second component of the settlement was reached with several unions for 100% of existing pension obligations and a reduction in cost-of-living adjustments. The original opening offer for these parties was 20% of par for the bondholders, and between 75% and 95% of outstanding pension obligations. It appears to us that these compromises do not address the root problems.

Puerto Rico made the news in March 2014 by successfully coming to market with the largest “junk” bond deal in municipal market history. Puerto Rico, which is now rated BB, pulled off a $3.5 billion offering, which was purchased by non-traditional market participants, i.e. hedge funds. It was a 21-year maturity bond that was priced at $93.00 to yield 8.73%. We looked at the issue very closely as a potential addition to the Thornburg Strategic Municipal Income Fund and decided not to purchase it. The deal initially traded up to around $97.00, but as of this writing (close of business April 15th) it is trading at a dollar price of $87.50, a loss of almost 6.00% from the original offering price. Thornburg Funds are among the 30% of U.S. municipal mutual funds that do not own any debt from the Commonwealth of Puerto Rico.

 

Certified Semi-Annual Report    9


LETTER TO SHAREHOLDERS,

CONTINUED

 

Chart III: Percent of Portfolio Maturing

 

LOGO

Conclusion

Your Thornburg Low Duration Municipal Fund maintains a laddered portfolio structure, which was comprised of 38 municipal obligors as of March 31, 2014. We believe that this structure tends to maximize an investor’s income. In our opinion, a laddered portfolio outperforms the other structures (bullet and barbell) two-thirds of the time.1 It effectively manages a portfolio’s yield-curve exposure by owning a roughly equal weighting of each maturity, thereby minimizing a major risk factor.

We diversify our holdings across the Fund’s investment universe. Chart I illustrates that yield changes are not uniform across the Fund’s investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year so it can be reinvested. More importantly, it frees the team to concentrate on higher value-added tasks, such as fundamental, bottom-up credit research. It is just this type of research has allowed us to avoid the two largest, headline-grabbing credit issues in the municipal bond market.

This year has gotten off to a strong start. We thank you for the trust you have placed in us and will keep that foremost in our minds.

Sincerely,

 

LOGO    LOGO
Christopher Ryon, CFA    Josh Gonze
Portfolio Manager    Portfolio Manager
Managing Director    Managing Director

 

1 For a copy of the study, go to www.thornburg.com/whyladder

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

 

10    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

SUMMARY OF SECURITY CREDIT RATINGS†

 

LOGO

We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

ARIZONA — 3.93%

        

Pima County COP, 3.00% due 12/1/2014 (Sewer System & Fleet Services Facilities)

   A+/NR    $ 200,000       $ 203,736   

a State of Arizona COP, 5.00% due 10/1/2014 (Lease-Purchases-Various State Agency Properties; Insured: AGM)

   AA/A1      200,000         204,724   

ARKANSAS — 2.00%

        

Jefferson County, 4.00% due 6/1/2015 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      200,000         207,566   

CALIFORNIA — 6.79%

        

a California HFFA, 4.00% due 7/1/2016 (Children’s Hospital; Insured: AGM)

   AA/A2      200,000         212,208   

California Statewide Communities Development Authority, 5.25% due 7/1/2017 (St. Joseph Health System; Insured: AGM)

   AA/A1      100,000         112,835   

San Diego Redevelopment Agency, 5.00% due 9/1/2016 (Centre City Redevelopment; Insured: AMBAC)

   NR/Baa3      50,000         53,544   

b Successor Agency to the Richmond County Redevelopment Agency, 4.00% due 9/1/2017 (Insured: BAM)

   AA/NR      300,000         326,622   

COLORADO — 5.16%

        

City & County of Denver Airport System, 0.28% due 11/15/2025 put 4/1/2014 (Denver International Airport; Insured: AGM; SPA: Morgan Stanley Bank) (daily demand notes)

   AA/A1      200,000         200,000   

City & County of Denver GO, 3.00% due 8/1/2015 (Civic Facilities and Denver Zoological Gardens Improvements)

   AAA/Aaa      200,000         207,580   

Denver Convention Center Hotel Authority, 5.25% due 12/1/2014 (Insured: Syncora)

   BBB-/Baa3      125,000         128,569   

DISTRICT OF COLUMBIA — 2.10%

        

District of Columbia, 5.00% due 4/1/2016 (National Public Radio) (ETM)

   AA-/Aa3      200,000         217,994   

FLORIDA — 4.22%

        

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2015 (Nova Southeastern University)

   BBB/Baa1      200,000         207,594   

Hillsborough County IDA, 5.65% due 5/15/2018 (Tampa Electric Co.)

   BBB+/A2      200,000         230,612   

GEORGIA — 2.12%

        

City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station Project; Insured: AGM)

   AA/A3      200,000         220,570   

ILLINOIS — 5.32%

        

City of Chicago, 0.29% due 1/1/2034 put 4/1/2014 (Liquidity Facility; SPA: JPMorgan Chase Bank) (daily demand notes)

   AAA/Baa1      200,000         200,000   

a Illinois Finance Authority, 4.30% due 6/1/2035 put 6/1/2016 (Peoples Gas Light & Coke Co.; Insured: AMBAC)

   A/Aa3      200,000         214,480   

Town of Cicero Cook County GO, 5.00% due 1/1/2018 (Insured: AGM)

   AA/A2      125,000         137,907   

INDIANA — 4.11%

        

b Hammond Multi-School Building Corp., 4.00% due 7/15/2017 (School City of Hammond Educational Facilities) (State Aid Withholding)

   AA+/NR      300,000         327,216   

Indiana Finance Authority, 0.08% due 2/1/2037 put 4/1/2014 (Stadium Project; SPA: JPMorgan Chase Bank) (dailydemand notes)

   AA+/Aa2      100,000         100,000   

IOWA — 2.00%

        

Iowa Finance Authority, 5.00% due 2/15/2015 (Iowa Health System; Insured: AGM)

   NR/Aa3      200,000         207,836   

 

Certified Semi-Annual Report    11


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&p/ Moody’s
   Principal
Amount
     Value  

MICHIGAN — 4.24%

        

Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health)

   AA+/Aa2    $ 200,000       $ 222,292   

Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 put 12/1/2015 (Trinity Health)

   AA-/Aa2      200,000         217,650   

NEVADA — 3.68%

        

a Carson City, 4.00% due 9/1/2016 (Carson Tahoe Regional Healthcare Project)

   BBB+/NR      200,000         211,852   

Washoe County School District GO, 5.25% due 6/1/2017 (School Improvements; Insured: AGM)

   AA/Aa3      150,000         169,997   

NEW YORK — 2.14%

        

Lake Placid Central School District GO, 5.00% due 6/15/2017 (Elementary, Middle/High School Projects; Insured: Natl-Re) (State Aid Withholding)

   NR/A1      200,000         222,402   

NORTH DAKOTA — 2.06%

        

North Dakota Building Authority, 4.25% due 12/1/2015 (Various State Agency Capital Projects; Insured: Natl-Re)

   AA+/Aa2      200,000         213,412   

OHIO — 6.76%

        

City of Cleveland, 3.00% due 10/1/2016 (Public Facilities)

   AA/A1      200,000         211,634   

a County of Franklin, 4.00% due 11/15/2033 put 8/1/2016 (OhioHealth Corp. Hospital Facilities)

   AA+/Aa2      200,000         215,166   

University of Toledo, 3.50% due 6/1/2016 (University Facilities Improvements)

   A+/A1      260,000         275,192   

PENNSYLVANIA — 9.11%

        

City of Philadelphia Gas Works, 5.00% due 10/1/2017 (Insured: AMBAC)

   BBB+/Baa2      200,000         222,872   

b East Allegheny School District GO, 2.00% due 4/1/2017 (Insured: BAM) (State Aid Withholding)

   AA/A3      300,000         306,117   

Pennsylvania Economic Development Financing Authority, 3.375% due 12/1/2040 put 7/1/2015 (Shippingport Project)

   BBB-/NR      200,000         203,524   

Wilson School District GO, 3.00% due 6/1/2017 (State Aid WIthholding)

   AA/NR      200,000         212,984   

TEXAS — 4.93%

        

Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured:
Natl-Re)

   AA-/Baa1      200,000         210,676   

Harris County Health Facilities Development Corp., 0.07% due 10/1/2041 put 4/1/2014 (Texas Children’s Hospital; SPA: Wells Fargo Bank N.A.) (daily demand notes)

   AA/Aa2      100,000         100,000   

a State of Texas, 2.00% due 8/28/2014 (General Revenue Fund-Cash Flow Management)

   SP-1+/Mig1      200,000         201,552   

VIRGINIA — 2.04%

        

Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding)

   AAA/Aaa      200,000         211,438   

WASHINGTON — 2.09%

        

Seattle Municipal Light & Power, 5.00% due 2/1/2016

   AA/Aa2      200,000         216,824   
        

 

 

 

TOTAL INVESTMENTS — 74.80% (Cost $7,764,817)

         $ 7,767,177   

OTHER ASSETS LESS LIABILITIES — 25.20%

           2,616,932   
        

 

 

 

NET ASSETS — 100.00%

         $ 10,384,109   
        

 

 

 

 

12    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

Footnote Legend

 

Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings.
a Segregated as collateral for a when-issued security.
b When-issued security.

Portfolio Abbreviations

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

 

AGM    Insured by Assured Guaranty Municipal Corp.
AMBAC    Insured by American Municipal Bond Assurance Corp.
BAM    Build America Mutual Insurance Co.
COP    Certificates of Participation
ETM    Escrowed to Maturity
GO    General Obligation
HFFA    Health Facilities Financing Authority
IDA    Industrial Development Authority
Natl-Re    Insured by National Public Finance Guarantee Corp.
SPA    Stand-by Purchase Agreement
Syncora    Insured by Syncora Guarantee Inc.

See notes to financial statements.

 

Certified Semi-Annual Report    13


STATEMENT OF ASSETS AND LIABILITIES   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

ASSETS

  

Investments at value (cost $7,764,817) (Note 2)

   $ 7,767,177   

Cash

     3,328,833   

Receivable for investments sold

     100,000   

Receivable from investment advisor

     7,123   

Interest receivable

     81,373   

Prepaid expenses and other assets

     58,546   
  

 

 

 

Total Assets

     11,343,052   
  

 

 

 

LIABILITIES

  

Payable for investments purchased

     958,905   

Dividends payable

     38   
  

 

 

 

Total Liabilities

     958,943   
  

 

 

 

NET ASSETS

   $ 10,384,109   
  

 

 

 

NET ASSETS CONSIST OF

  

Net unrealized appreciation on investments

   $ 2,360   

Net capital paid in on shares of beneficial interest

     10,381,749   
  

 

 

 
   $ 10,384,109   
  

 

 

 

NET ASSET VALUE

  

Class A Shares:

  

Net asset value and redemption price per share ($2,679,462 applicable to 217,600 shares of beneficial interest outstanding - Note 4)

   $ 12.31   

Maximum sales charge, 1.50% of offering price

     0.19   
  

 

 

 

Maximum offering price per share

   $ 12.50   
  

 

 

 

Class I Shares:

  

Net asset value, offering and redemption price per share ($7,704,647 applicable to 625,714 shares of beneficial interest outstanding - Note 4)

   $ 12.31   
  

 

 

 

See notes to financial statements.

 

14    Certified Semi-Annual Report


STATEMENT OF OPERATIONS   

Thornburg Low Duration Municipal Fund

   Period ended March 31, 2014 (Unaudited)*

 

INVESTMENT INCOME

  

Interest income (net of premium amortized of $40,323)

   $ 15,915   
  

 

 

 

EXPENSES

  

Investment advisory fees (Note 3)

     7,102   

Administration fees (Note 3)

  

Class A Shares

     793   

Class I Shares

     571   

Distribution and service fees (Note 3)

  

Class A Shares

     1,282   

Transfer agent fees

  

Class A Shares

     920   

Class I Shares

     920   

Registration and filing fees

  

Class A Shares

     4,600   

Class I Shares

     4,600   

Custodian fees (Note 3)

     4,622   

Professional fees

     6,992   

Accounting fees

     92   

Trustee fees

     92   

Other expenses

     7,081   
  

 

 

 

Total Expenses

     39,667   

Less:

  

Expenses reimbursed by investment advisor (Note 3)

     (12,771

Investment advisory fees waived by investment advisor (Note 3)

     (17,630

Fees paid indirectly (Note 3)

     (22
  

 

 

 

Net Expenses

     9,244   
  

 

 

 

Net Investment Income

     6,671   
  

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

  

Net change in unrealized appreciation (depreciation) of investments

     2,360   
  

 

 

 

Net Realized and Unrealized Gain

     2,360   
  

 

 

 

Net Increase in Net Assets Resulting from Operations

   $ 9,031   
  

 

 

 

 

* For the period from commencement of operations on December 30, 2013 through March 31, 2014.

See notes to financial statements.

 

Certified Semi-Annual Report    15


STATEMENT OF CHANGES IN NET ASSETS   

Thornburg Low Duration Municipal Fund

  

 

     Period Ended*
March 31, 2014
 

INCREASE (DECREASE) IN NET ASSETS FROM

  

OPERATIONS

  

Net investment income

   $ 6,671   

Net unrealized appreciation (depreciation) on investments

     2,360   
  

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

     9,031   

DIVIDENDS TO SHAREHOLDERS

  

From net investment income

  

Class A Shares

     (1,649

Class I Shares

     (5,022

FUND SHARE TRANSACTIONS (NOTE 4)

  

Class A Shares

     2,678,714   

Class I Shares

     7,703,035   
  

 

 

 

Net Increase in Net Assets

     10,384,109   

NET ASSETS

  

Beginning of Period

     —     
  

 

 

 

End of Period

   $ 10,384,109   
  

 

 

 

 

* For the unaudited period from commencement of operations on December 30, 2013 through March 31, 2014.

See notes to financial statements.

 

16    Certified Semi-Annual Report


NOTES TO FINANCIAL STATEMENTS   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

NOTE 1 – ORGANIZATION

Thornburg Low Duration Municipal Fund (the “Fund”) is a diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Fund is currently one of eighteen separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to seek current income exempt from federal income tax consistent with preservation of capital.

The Fund currently offers two classes of shares of beneficial interest outstanding: Class A and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs, and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to service and distribution fees, administration fees, and certain registration and transfer agent expenses.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Significant accounting policies of the Trust are as follows:

Valuation Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.

In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Fund upon a sale of the investment, and that difference could be material to the Fund’s financial statements. The Committee’s determination of fair value for an investment may also differ from the prices obtained by other persons (including other mutual funds) for the investment.

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

In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case when management believes that a price provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.

Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance from the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.

 

Certified Semi-Annual Report    17


NOTES TO FINANCIAL STATEMENTS, CONTINUED   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:

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

Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).

Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.

Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.

The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2014. 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 March 31, 2014  
     Total      Level 1      Level 2      Level 3  

Assets

           

Investments in Securities

           

Municipal Bonds

   $ 7,767,177       $ —         $ 7,767,177       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments in Securities

   $ 7,767,177       $ —         $ 7,767,177       $ —     

In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the period ended March 31, 2014.

Federal Income Taxes: It is the policy of the Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute to shareholders substantially all taxable (if any) and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.

Management reviews each uncertain tax position believed to be material to the preparation of the Fund’s financial statements, to assess if it is more likely than not that the position would be sustained upon examination, based upon the technical merits of the position. As of March 31, 2014, management has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities. The Fund’s tax returns remain subject to examination for three years after filing.

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

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

 

18    Certified Semi-Annual Report


NOTES TO FINANCIAL STATEMENTS, CONTINUED   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

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

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

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

NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the period ended March 31, 2014, these fees were payable at annual rates ranging from .40 of 1% to .225 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Trust also has entered into administrative services agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to each class of shares.

The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the period ended March 31, 2014, the Distributor has advised the Fund that it earned net commissions aggregating $25 from the sale of Class A shares of the Fund.

Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .20 of 1% per annum of the average daily net assets attributable to each Class of shares of the Fund for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the period ended March 31, 2014, there were no 12b-1 service plan fees charged for Class I shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.

The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed specified levels. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2015, unless the Advisor ceases to be the investment advisor to the Fund or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.

For the period ended March 31, 2014, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $6,681 for Class A shares and $6,090 for Class I shares, and voluntarily waived investment advisory fees of $17,630.

The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the period ended March 31, 2014, fees paid indirectly were $22.

Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.

 

Certified Semi-Annual Report    19


NOTES TO FINANCIAL STATEMENTS, CONTINUED   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

NOTE 4 – SHARES OF BENEFICIAL INTEREST

At March 31, 2014, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:

 

     Period Ended*
March 31,  2014
 
     Shares      Amount  

Class A Shares

     

Shares sold

     217,467       $ 2,677,069   

Shares issued to shareholders in reinvestment of dividends

     133         1,645   

Shares repurchased

     —           —     
  

 

 

    

 

 

 

Net increase (decrease)

     217,600       $ 2,678,714   
  

 

 

    

 

 

 

Class I Shares

     

Shares sold

     625,309       $ 7,698,050   

Shares issued to shareholders in reinvestment of dividends

     405         4,985   

Shares repurchased

     —           —     
  

 

 

    

 

 

 

Net increase (decrease)

     625,714       $ 7,703,035   
  

 

 

    

 

 

 

 

* Fund commenced operations on December 30, 2013.

NOTE 5 – INVESTMENT TRANSACTIONS

For the period ended March 31, 2014, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $7,205,141 and $0, respectively.

NOTE 6 – INCOME TAXES

At March 31, 2014, information on the tax components of capital was as follows:

 

Cost of investments for tax purposes

   $ 7,764,817   
  

 

 

 

Gross unrealized appreciation on a tax basis

   $ 11,161   

Gross unrealized depreciation on a tax basis

     (8,801
  

 

 

 

Net unrealized appreciation (depreciation) on investments (tax basis)

   $ 2,360   
  

 

 

 

OTHER NOTES

Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, management risk, market and economic risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.

Subsequent Events: Fund management believes no events have occurred between March 31, 2014 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.

 

20    Certified Semi-Annual Report


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Certified Semi-Annual Report     21


FINANCIAL HIGHLIGHTS

    Thornburg Low Duration Municipal Fund

 

    PER SHARE PERFORMANCE (for a share outstanding throughout the
Period)+
  RATIOS TO AVERAGE NET ASSETS    

SUPPLEMENTAL DATA

 

Unless
Otherwise
Noted,
Periods

are

Fiscal

Years

Ended

Sept. 30,

  Net Asset
Value
Beginning
of Period
   

Net
Investment
Income
(Loss)

  Net
Realized

&
Unrealized
Gain (Loss)
on
Investments
   

Total from
Investment
Operations

  Dividends
from Net
Investment
Income
   

Dividends
from Net
Realized
Gains

  Total
Dividends
   

Net
Asset
Value
End

of
Period

  Net
Investment
Income

(Loss)
(%)
    Expenses,
After
Expense
Reductions
(%)
    Expenses,
After
Expense
Reductions
and

Net of
Custody
Credits
(%)
    Expenses,
Before
Expense
Reductions
(%)
   

Total
Return
(%)(a)

 

Portfolio
Turnover
Rate

(%)(a)

  Net
Assets
at End
of
Period
(Thousands)
 

Class A Shares

  

2014(b)(c)(d)

  $ 12.31      0.01     —        0.01     (0.01   —       (0.01   $12.31     0.26 (e)      0.63 (e)      0.63 (e)      2.68 (e)    0.06   —     $ 2,679   

Class I Shares

  

2014(b)(d)

  $ 12.31      0.01     —        0.01     (0.01   —       (0.01   $12.31     0.44 (e)      0.46 (e)      0.46 (e)      1.99 (e)    0.11   —     $ 7,705   

 

(a) Not annualized for periods less than one year.
(b) Fund commenced operations on December 30, 2013.
(c) Sales loads are not reflected in computing total return.
(d) Unaudited Period Ended March 31.
(e) Annualized.
+ Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share.

See notes to financial statements.

 

22    Certified Semi-Annual Report     Certified Semi-Annual Report    23


EXPENSE EXAMPLE   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs:

 

  (1) transaction costs, including

(a) sales charges (loads) on purchase payments, for Class A shares;

(b) a deferred sales charge on redemptions of any part or all of a purchase of $1 million of Class A shares within 12 months of purchase;

 

  (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses.

This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on a $1,000 investment beginning on October 1, 2013, and held until March 31, 2014.

 

     Beginning
Account Value
10/1/13
     Ending
Account Value
3/31/14
     Expenses Paid
During Period
10/1/13–3/31/14
 

Class A Shares

        

Actual

   $ 1,000.00       $ 1,000.60       $ 3.14   

Hypothetical*

   $ 1,000.00       $ 1,021.79       $ 3.17   

Class I Shares

        

Actual

   $ 1,000.00       $ 1,001.10       $ 2.30   

Hypothetical*

   $ 1,000.00       $ 1,022.64       $ 2.32   

 

Expenses are equal to the annualized expense ratio for each class (A: 0.63%; I: 0.46%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period.
* Hypothetical assumes a rate of return of 5% per year before expenses.

ACTUAL EXPENSES

For each class of shares, the first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

For each class of shares, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

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OTHER INFORMATION   

Thornburg Low Duration Municipal Fund

   March 31, 2014 (Unaudited)

 

PORTFOLIO PROXY VOTING

Policies and Procedures:

The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy. A description of the Policy is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg. com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

No proxy voting information is currently available because the Fund commenced operations on December 30, 2013. The Fund expects to begin making annual proxy voting information available in accordance with applicable regulations commencing on or before August 31, 2014. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg. com/download or upon request by calling 1-800-847-0200.

 

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TRUSTEES’ STATEMENT TO SHAREHOLDERS

Not part of the Certified Semi-Annual Report

Reissued September 15, 2013

The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.

We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.

Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.

Second, while we are conscious of costs and the effect that costs have on shareholders’ returns, we do not seek the lowest fees or expense ratio as our sole or primary objective. We try to make sure that your Fund’s fees and costs are reasonable in relationship to the services rendered and that they are generally in line with those charged by other expert investment advisors, consistent with our belief that the Fund’s investors searched for and expect that expertise and attention and have decided to pay a reasonable price for it. We do not put the management contract “out to bid” as a matter of course, and we would not do so unless we had concluded that the advisor materially had failed to pursue the Fund’s objectives in accordance with its policies, or for other equally important reasons. We believe that any other approach would be inconsistent with your interests and contrary to your expectations when you bought shares of the Fund in the first place.

Finally, because we believe that most Thornburg Fund shareholders have invested with a long-term perspective, we try not to focus too much on the fashions of the moment and on short-term performance. The market will not favor any specific investment objective or set of policies at all times and under all economic circumstances. A fund will experience periods of both high and low returns relative to other funds and other investments. Even if one of our Funds is not favored by the market at a particular time, we believe that the advisor is nonetheless obliged to remain true to the Fund’s objective and policies, and we watch to see that it does so.

 

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RETIREMENT AND EDUCATION ACCOUNTS

Thornburg Investment Management offers retirement and education savings accounts that can help you meet a variety of planning challenges. For account applications or further information on any of the accounts below, please call 1-800-847-0200 or go to www.thornburg.com/ira. Your financial advisor can help you determine which plan is right for you.

Individual Retirement Accounts

Individual Retirement Accounts (IRAs) provide a tax-advantaged means to save money for the future. For a detailed outline of the difference between retirement accounts, see www.thornburg.com/ira. Rollovers are available. Call 1-800-847-0200 for more information.

Traditional IRAs – Contributions to Traditional IRAs are tax deductible for eligible individuals, and withdrawals are taxed as additional ordinary income. You may contribute to an IRA if you receive compensation and are under 70 1/2, even if you are covered by an employer retirement plan. Deductible contributions are subject to certain qualifications. Please consult your tax advisor.

Roth IRAs – Under a Roth IRA, there is no tax deduction for contributions, but there is no income tax on qualified withdrawals. For a more detailed comparison of Traditional and Roth IRAs, please see our website at www.thornburg. com/ira.

SEP IRAs – Simplified Employee Pension (SEP) IRAs are established by employers. The employer is allowed a tax deduction for contributions made to the SEP Plan and makes contributions to each eligible employee’s SEP IRA on a discretionary basis.

SIMPLE IRAs – Savings Incentive Match Plan for Employees of Small Employers (SIMPLE) is designed to give small business owners a simplified method to establish and contribute to a retirement plan for employees. The employer is allowed a tax deduction for contributions and makes either matching or non-elective contributions to each eligible employee’s SIMPLE IRA. Employees may make salary deferral contributions.

Coverdell Education Savings Account

These savings accounts are designed to provide a way to save money for higher education expenses. In an Education Savings Account, earnings and interest grow tax-free, and qualified withdrawals used to pay for eligible higher-education expenses are tax- and penalty-free.

Funds Available

The following funds are available in the accounts listed above:

 

   

Thornburg Value Fund

 

   

Thornburg Core Growth Fund

 

   

Thornburg International Value Fund

 

   

Thornburg International Growth Fund

 

   

Thornburg Developing World Fund

 

   

Thornburg Investment Income Builder Fund

 

   

Thornburg Global Opportunities Fund

 

   

Thornburg Low Duration Income Fund

 

   

Thornburg Limited Term U.S. Government Fund

 

   

Thornburg Limited Term Income Fund

 

   

Thornburg Strategic Income Fund

 

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THORNBURG FUND FAMILY

Thornburg Equity Funds

Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term value.

 

   

Thornburg Value Fund

 

   

Thornburg Core Growth Fund

 

   

Thornburg International Value Fund

 

   

Thornburg International Growth Fund

 

   

Thornburg Developing World Fund

 

   

Thornburg Investment Income Builder Fund

 

   

Thornburg Global Opportunities Fund

Thornburg Bond Funds

Thornburg Investment Management applies a disciplined philosophy to fixed-income management. Since the launch of our first fixed-income fund over 25 years ago, we have been conducting fundamental, bottom-up research in an effort to identify bonds which we believe provide the best return for a given level of risk. We avoid leverage or complex strategies which could backfire in periods of market uncertainty.

 

   

Thornburg Low Duration Income Fund

 

   

Thornburg Limited Term U.S. Government Fund

 

   

Thornburg Limited Term Income Fund

 

   

Thornburg Strategic Income Fund

 

   

Thornburg Low Duration Municipal Fund

 

   

Thornburg Limited Term Municipal Fund

 

   

Thornburg Intermediate Municipal Fund

 

   

Thornburg California Limited Term Municipal Fund

 

   

Thornburg New Mexico Intermediate Municipal Fund

 

   

Thornburg New York Intermediate Municipal Fund

 

   

Thornburg Strategic Municipal Income Fund

Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit thornburg.com. Read it carefully before investing.

For additional information, please visit thornburg.com

Thornburg Investment Management, Inc. 2300 North Ridgetop Road, Santa Fe, NM 87506

 

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IMPORTANT INFORMATION

 

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Best Short-Intermediate Municipal Debt Fund

Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested). In 2014, Class I shares won for the ten-year period ended 11/30/2013 among 29 funds. The Fund did not win the award for other time periods.

The information presented on the following pages is current as of March 31, 2014. The managers’ views, portfolio holdings, and sector diversification are provided for the general information of the Fund’s shareholders; to the extent this information is historical, it should not be considered predictive of future circumstances. This material should not be deemed a recommendation to buy or sell any of the securities mentioned.

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

Bloomberg Economic Evaluation of States (BEES) Index – A survey, updated quarterly, that examines the pace of states’ growth following the 18-month recession that officially ended in June 2009.

Bloomberg State Stock Indices – Capitalization-weighted indices consisting of equities domiciled in each state.

BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index – A subset of the BofA Merrill Lynch U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.

Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.

Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.

Alternative Minimum Tax (AMT) – A federal tax aimed at ensuring that high-income individuals, estates, trusts, and corporations pay a minimal level income tax. For individuals, the AMT is calculated by adding tax preference items to regular taxable income.

Annualized Distribution Yield – The distribution yield reflects actual distributions made to shareholders. The annualized distribution yield is calculated by summing the last 30 days of income at a given month end and annualizing to a 360-day year. The result is divided by the ending maximum offering price.

Barbell Structure – A bond investment strategy that concentrates holdings in shorter-term and longer-term maturities, forming a structure that resembles a barbell.

Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).

Bond Credit Ratings – A bond credit rating assesses the financial ability of a debt issuer to make timely payments of principal and interest. Ratings of AAA (the highest), AA, A, and BBB are investment-grade quality. Ratings of BB, B, CCC, CC, C, and D (the lowest) are considered below investment grade, speculative grade, or junk bonds. Unless otherwise noted, the ratings listed are from Municipal Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and Fitch Ratings.

Bullet Structure – A bond investment strategy that concentrates holdings in intermediate-term maturities and avoids shorter-term or longer-term maturities.

Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.

Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Effective Duration – A bond’s sensitivity to interest rates, incorporating the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.

Fed Funds Rate – The interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight.

General Obligation Bond – A municipal bond backed by the credit and “taxing power” of the issuing jurisdiction rather than the revenue from a given project.

Gross Domestic Product (GDP) – A country’s income minus foreign investments: the total value of all goods and services produced within a country in a year, minus net income from investments in other countries.

Participation Rate – The number of people who are either employed or are actively looking for work. The people who are no longer actively searching for work would not be included in the participation rate. During an economic recession, many workers often get discouraged and stop looking for employment, as a result, the participation rate decreases.

Quantitative Easing – The Federal Reserve’s monetary policy intended to stimulate the U.S. economy following the recession that began in 2007/08.

Quantitative Easing 3 (QE3) – The third round of the Federal Reserve’s monetary policy intended to stimulate the U.S. economy following the recession that began in 2007/08. Announced in September 2012 and revised in December 2012, December 2013, and January 2014, the Fed intends to buy $65 billion in mortgage-backed securities and Treasuries each month until the economy improves.

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.

Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

 

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THORNBURG LIMITED TERM MUNICIPAL FUND

Laddering – an All Weather Strategy

At Thornburg, our approach to management of the Fund is based on the premise that investors in the Fund seek preservation of capital along with an attractive, relatively stable yield. While aggressive bond strategies may generate stronger returns when the market is turning a blind eye towards risk, they often fail to stack up over longer periods of time.

We apply these techniques to manage risk and pursue attractive returns:

 

   

Building a laddered portfolio. Laddering has been shown over time to mitigate reinvestment and interest rate risk.

 

   

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.

 

   

Investing on a cash-only basis without using leverage.

Portfolio Managers

 

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Josh Gonze    Chris Ryon, CFA

Objectives and Strategies

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 preservation of capital (may be subject to Alternative Minimum Tax).

The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.

This Fund is a laddered portfolio of municipal bonds with an average maturity of normally less than five years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.

Long-Term Stability of Principal

Net Asset Value History of A Shares from September 28, 1984 through March 31, 2014

 

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Average Annual Total Returns

For Periods Ended March 31, 2014

 

     1 Yr     3 Yrs     5 Yrs     10 Yrs     Since
Inception
 

A Shares (Incep: 9/28/84)

          

Without sales charge

     0.25     3.37     3.94     3.20     5.24

With sales charge

     (1.23 %)      2.86     3.63     3.05     5.18

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.

The maximum sales charge for the Fund’s Class A shares is 1.50%. The total annual fund operating expense of Class A shares is 0.71%, as disclosed in the most recent Prospectus.

30-Day Yields, A Shares

As of March 31, 2014

 

Annualized Distribution Yield

     1.72

SEC Yield

     0.92

Key Portfolio Attributes

As of March 31, 2014

 

Number of Bonds

     1,970   

Effective Duration

     3.5 Yrs   

Average Maturity

     4.0 Yrs   

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

 

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THORNBURG’S SUITE OF MUNICIPAL FUNDS

 

Municipal Funds for a Range of Interest-Rate Scenarios

 

At Thornburg, we often say that predicting interest rates is a fool’s game. And with the Federal Reserve still heavily involved in the markets, it’s even more difficult to forecast how rates may rise than when they may rise. Will long rates rise first and short rates follow? Will long and short rates climb simultaneously?

 

A traditional strategy to protect oneself against interest-rate risk is to move into shorter-duration bond strategies. But the seemingly counterintuitive response of moving to longer-duration strategies can sometimes yield better results.

 

Diversify Across the Yield Curve

 

This uncertainty points to why it’s important for investors to match their investment horizon to the duration of the strategy in which they’re invested, and to diversify assets across the yield curve.

 

For any interest-rate scenario, Thornburg’s comprehensive suite of municipal funds gives prudent investors the ability to diversify across the yield curve.

 

Diversify Across the Yield Curve with Thornburg Municipal Funds

AAA General Obligation Municipal Yield Curve, as of April 2, 2014

 

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Thornburg Limited Term Municipal Fund

March 31, 2014

 

Table of Contents

  

Letter to Shareholders

     7   

Schedule of Investments

     11   

Statement of Assets and Liabilities

     46   

Statement of Operations

     47   

Statements of Changes in Net Assets

     48   

Notes to Financial Statements

     49   

Financial Highlights

     54   

Expense Example

     56   

Other Information

     57   

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

 

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LETTER TO SHAREHOLDERS

April 15, 2014

Dear Fellow Shareholder:

We are pleased to present the semi-annual report for the Thornburg Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares increased seven cents to $14.45 per share during the six months ended March 31, 2014. If you were with us for the entire period, you received dividends of 13.3 cents per share. If you reinvested your dividends, you received 13.4 cents per share. Dividends were lower for Class C shares and higher for Class I shares to account for varying class-specific expenses. The Class A shares of your Fund underperformed the index with a total return of 1.42% at NAV for the six months ended March 31, 2014, compared to the 1.74% total return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index (BAML 1-10 Year Municipal Index). The Fund generated 0.91% more price return and 1.23% less income than the index.

The first six months of fiscal 2014 were very interesting as interest-rate changes went in various directions, depending on the maturity discussed. This period certainly highlighted the fact that interest rates do not change uniformly across the entire maturity spectrum (the yield curve).

Chart I illustrates how yields changed during the period. The gold bars show the yield changes from September 30, 2013 through December 31, 2013. Short-term yields (maturities of five years or less) moved lower, while yields in maturities from five years to 20 years moved higher by varying amounts, and longer-term maturities were flat to slightly lower. It is helpful to remember the market tone during that period. Most market commentators believed the stock market and yields were going in the same direction: up. The blue bars show the yield changes from December 31, 2013 through March 31, 2014. Again, yield changes were not uniform across the yield curve. This time, after the new U.S. Federal Reserve Chair Janet Yellen hinted that short-term interest rates may eventually need to increase, short-term yields increased and long-term yields decreased.

Investors may wonder how best to protect themselves from these changes. One way to hedge this risk is to own securities or mutual funds that focus their investment universe across the different segments of the yield curve. In our opinion, that would mean owning some of our new Thornburg Low Duration Municipal Fund and our Limited Term Municipal, Intermediate Municipal, and Strategic Municipal Income Funds. The percentage ownership of each would depend on levels of risk tolerance.

Throughout the six-month period the Fund maintained a lower risk posture on interest rates than its benchmark; the average effective duration was 3.49 years compared to 4.00 years for the benchmark. This helped relative performance by 0.03% as interest rates increased during the period. The Fund’s position along the yield curve added 0.03% and sector selection was immaterial to relative performance. Our underweight in high-quality AAA bonds was a contributor, adding 0.33% to performance. Other factors including security selection cost 0.08% of underperformance and other factors cost 0.60%.

Chart I Changes in AAA General-Obligation Municipal Yield Curve

 

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LETTER TO SHAREHOLDERS,

CONTINUED

 

Chart II Labor Market Indicators

2/28/1990 – 3/31/2014

 

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The Economy and the Federal Reserve

Gross domestic product (GDP) for the year ended December 31, 2013 came in at 2.6%, around its long-term average (to March 1990) of 2.5%. Additions to non-farm payroll employment have averaged about 185,000 per month for the six months ended March 31, 2014. The unemployment rate has declined to 6.7%, but it has been clouded by a declining labor participation rate. The percentage of the U.S. population that is employed has declined to 58.9% as of March 31, 2014 from 63.3% on March 31, 2007. The retirement of the “baby boomer” generation certainly contributes to this decline, but does not account for all of it. Chart II illustrates each of these trends from 1990.

Inflation, the bondholder’s worst enemy, has remained well controlled in the last six months. The year-over-year change in the Consumer Price Index (CPI) increased to 1.5% as of March 31, 2014 from 1.2% as of September 30, 2013. Subtracting the food and energy components to arrive at the core measure presents a picture of a well-behaved, unchanged 1.7%. The economic backdrop is one of mild expansion with low inflation. The $64,000 question is, “How long can it last?”

In January 2014, Janet Yellen replaced Ben Bernanke as Federal Reserve Chair. Her appointment as Fed Chair assured a continuation of the current Fed policies. Last year, Bernanke roiled the fixed income markets by alluding to the prospect of a decrease in the Fed’s monthly purchases of Treasury and mortgage-backed securities, the tapering of QE3. Rates went up! This year, the tapering started in actuality with the Fed reducing its purchases by $10.0 billion per meeting. Rates went down! Go figure!

Chair Yellen learned that in her new position (to borrow an old E.F. Hutton advertisement tag line), “When she speaks, markets listen.” At her first news conference, Ms. Yellen tried to clarify what “for a considerable time” meant from the last Fed Statement: “This is the kind of term it’s hard to define,” Yellen said. “Probably means something on the order of six months, or that type of thing” [after QE3 tapering ends]. This sent the debt markets, especially the short-term debt markets, lower in price and higher in yield. The results can be seen in Chart I.

 

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LETTER TO SHAREHOLDERS,

CONTINUED

 

The Municipal Market

The municipal market has performed very well over the last six months. The monthly outflows from municipal bond mutual funds have abated. The Investment Company Institute (ICI), an industry trade group, has reported that for the last three months of calendar year 2013, municipal bond mutual funds lost an average of $6.6 billion per month. For the first three months of calendar year 2014 municipal bond mutual funds experienced $1.1 billion inflows per month. This is not a significant amount, but at least it is positive.

These cash flows would normally not support a significantly positive return environment, but when coupled with a decline in new issuance of municipal bonds, a clearer picture presents itself. The supply of the new municipal bonds was down 26% for the first three months of 2014. So muted demand was met with reduced supply, yielding positive results.

The overall economic health of the municipal bond market is improving, albeit unevenly. We arrive at this judgment in part through the use of the Bloomberg Economic Evaluation of States Index, which includes:

 

   

Mortgage delinquencies – from the Mortgage Bankers Association

 

   

State personal income – from the Bureau of Economic Analysis

 

   

Tax revenue – from the U.S. Census Bureau

 

   

Employment – from the Bureau of Labor Statistics

 

   

Home prices – from the Federal Housing Finance Agency

 

   

Bloomberg State Stock Index

From the fourth quarter of 2012 through the fourth quarter of 2013 (the latest data available), the index increased on average 2.8%. It ranged from a high of 8.8% to a low of negative 7.5%. For the comparable period from the prior year, the average was an increase of 0.2%, with a range from 9.9% to negative 4.1%. In addition, state pension funds are still wrestling with some of their issues. The median funding levels have declined from 82.6% in 2007 to 68.6% in 2012 (the Pew Center on the States suggests a funding level of 80% is adequate).

Two municipal bond market credit stories (Detroit and Puerto Rico) continue to grab headlines. In Detroit’s case, some significant settlements have been announced, but they are short on specifics, including where the new cash came from, and are dependent upon state approval. As in most Chapter 9 proceedings, one should read very little into early reports because the final results may prove very different. For example, a settlement was announced between insured bondholders and the city for a recovery of about 74% of par (a bond’s original face value); a second component of the settlement was reached with several unions for 100% of existing pension obligations and a reduction in cost-of-living adjustments. The original opening offer for these parties was 20% of par for the bondholders, and between 75% and 95% of outstanding pension obligations. It appears to us that these compromises do not address the root problems. Thornburg Funds do not have direct exposure to the city of Detroit.

Puerto Rico made the news in March 2014 by successfully coming to market with the largest “junk” bond deal in municipal market history. Puerto Rico, which is now rated BB, pulled off a $3.5 billion offering, which was purchased by non-traditional market participants, i.e. hedge funds. It was a 21-year maturity bond that was priced at $93.00 to yield 8.73%. We looked at the issue very closely as a potential addition to the Thornburg Strategic Municipal Income Fund and decided not to purchase it. The deal initially traded up to around $97.00, but as of this writing (close of business April 15th), it is trading at a dollar price of $87.50, a loss of almost 6.00% from the original offering price. Thornburg Funds are among the 30% of U.S. municipal mutual funds that do not own any debt from the Commonwealth of Puerto Rico.

 

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LETTER TO SHAREHOLDERS,

CONTINUED

 

Conclusion

Your Thornburg Limited Term Municipal Fund maintains a laddered portfolio structure comprised of 774 municipal obligors as of March 31, 2014. We ladder our core portfolios because we believe that this structure tends to maximize an investor’s income. In our opinion, a laddered portfolio structure outperforms the other structures (bullet and barbell) two thirds of the time.1 This structure effectively manages a portfolio’s yield curve exposure by owning a roughly equal weighting of each maturity, thereby minimizing a major risk factor.

We diversify our holdings across the Fund’s investment universe. Chart I illustrates that yield changes are not uniform across the Thornburg Limited Term Municipal Fund’s investment universe. Laddering also reduces reinvestment risk by ensuring that a portion of the portfolio matures each year so it can be reinvested. More importantly, it frees the team to concentrate on higher value-added tasks, such as bottom-up credit research. It is just this type of research that has allowed us to avoid the two largest headline-grabbing credit issues fundamental in the municipal bond market.

This year has gotten off to a strong start. We thank you for the trust you have placed in us and will continue to keep that foremost in our minds.

Sincerely,

 

LOGO        LOGO   
Christopher Ryon, CFA    Josh Gonze   
Portfolio Manager    Portfolio Manager   
Managing Director    Managing Director   

 

1 

For a copy of the study, go to www.thornburg.com/whyladder

Chart III Percent of Portfolio Maturing

 

LOGO

 

                                  LOGO

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

 

10    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

SUMMARY OF SECURITY CREDIT RATINGS†

 

LOGO

We have used ratings from Standard & Poor’s (S&P). Where S&P ratings are not available, we have used Moody’s Investors Service. Where neither rating is available, we have used ratings from Fitch Ratings. The category of investments identified as “AAA” in this graph includes investments which are pre-refunded or escrowed to maturity. Such investments are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities to satisfy the timely payment of principal and interest and, therefore, are normally deemed to be equivalent to AAA-rated securities.

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

ALABAMA — 1.64%

        

Alabama Public School & College Authority, 5.00% due 5/1/2015 (Education System Capital Improvements)

   NR/Aa1    $ 8,530,000       $ 8,976,375   

Alabama Public School & College Authority, 5.00% due 5/1/2016 (Education System Capital Improvements)

   AA/Aa1      5,000,000         5,473,400   

Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements)

   AA/Aa1      4,840,000         5,681,240   

Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements)

   AA/Aa1      770,000         903,834   

Alabama Public School & College Authority, 5.00% due 6/1/2020 (Education System Capital Improvements)

   AA/Aa1      5,085,000         6,007,012   

Alabama Public School & College Authority, 5.00% due 6/1/2021 (Education System Capital Improvements)

   AA/Aa1      5,335,000         6,309,758   

Alabama Public School & College Authority, 5.00% due 6/1/2022 (Education System Capital Improvements)

   AA/Aa1      5,605,000         6,656,666   

Alabama Public School & College Authority, 5.00% due 6/1/2023 (Education System Capital Improvements)

   AA/Aa1      735,000         875,400   

Alabama State Board of Education, 3.00% due 5/1/2017 (Calhoun Community College)

   NR/A1      2,070,000         2,158,141   

Alabama State Board of Education, 3.00% due 5/1/2018 (Calhoun Community College)

   NR/A1      2,130,000         2,222,208   

a Alabama State Board of Education, 4.00% due 5/1/2019 (Calhoun Community College)

   NR/A1      2,195,000         2,372,685   

Alabama State Board of Education, 4.00% due 5/1/2020 (Calhoun Community College)

   NR/A1      1,000,000         1,073,650   

Alabama State Board of Education, 4.00% due 5/1/2021 (Calhoun Community College)

   NR/A1      1,000,000         1,064,940   

Alabama State Board of Education, 4.00% due 5/1/2022 (Calhoun Community College)

   NR/A1      1,230,000         1,304,107   

City of Birmingham GO, 5.00% due 2/1/2015 (Government Services)

   AA/Aa2      4,240,000         4,404,300   

City of Birmingham GO, 4.00% due 8/1/2015 (Government Services)

   AA/Aa2      3,005,000         3,149,120   

City of Birmingham GO, 5.00% due 2/1/2016 (Government Services)

   AA/Aa2      3,775,000         4,069,072   

City of Birmingham GO, 4.00% due 8/1/2016 (Government Services)

   AA/Aa2      3,645,000         3,917,573   

City of Birmingham GO, 5.00% due 2/1/2017 (Government Services)

   AA/Aa2      2,045,000         2,271,995   

City of Birmingham GO, 4.00% due 8/1/2017 (Government Services)

   AA/Aa2      2,760,000         3,020,240   

City of Birmingham GO, 5.00% due 2/1/2018 (Government Services)

   AA/Aa2      2,000,000         2,269,600   

City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project)

   A/A1      6,000,000         6,004,860   

City of Mobile Industrial Development Board PCR, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Company Barry Plant Project)

   A/A1      6,000,000         6,247,440   

City of Mobile Private Placement Warrants GO, 4.50% due 8/15/2016 (Senior Center)

   NR/NR      920,000         947,444   

City of Mobile Warrants GO, 5.00% due 2/15/2019 (City Capital Improvements)

   AA-/Aa2      2,000,000         2,249,700   

East Alabama Health Care Authority GO, 5.00% due 9/1/2021

   A/NR      1,245,000         1,402,082   

East Alabama Health Care Authority GO, 5.00% due 9/1/2022

   A/NR      800,000         889,136   

Montgomery Waterworks and Sanitation, 5.00% due 9/1/2016

   AAA/Aa1      2,080,000         2,299,045   

Montgomery Waterworks and Sanitation, 5.00% due 9/1/2019

   AAA/Aa1      3,375,000         3,847,297   

Town of Courtland Industrial Development Board, 4.75% due 5/1/2017 (Solid Waste Disposal-International Paper Company Project)

   BBB/NR      5,000,000         5,089,250   

University of Alabama at Birmingham Hospital, 5.25% due 9/1/2017

   A+/A1      2,500,000         2,837,900   

University of Alabama at Birmingham Hospital, 5.00% due 9/1/2018

   A+/A1      1,700,000         1,945,446   

ALASKA — 0.75%

        

Alaska Housing Finance Corp. GO, 5.00% due 12/1/2018 (Insured: Natl-Re)

   AA+/Aa2      2,000,000         2,254,600   

b Alaska Industrial Development & Export Authority, 5.00% due 4/1/2023 (Greater Fairbanks Community Hospital Foundation)

   A/NR      1,000,000         1,123,990   

b Alaska Industrial Development & Export Authority, 5.00% due 4/1/2024 (Greater Fairbanks Community Hospital Foundation)

   A/NR      1,000,000         1,109,660   

Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2014

   AA+/Aa3      2,000,000         2,000,000   

Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2015

   AA+/Aa3      1,900,000         1,989,984   

Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2016

   AA+/Aa3      1,100,000         1,195,040   

Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017

   AA+/Aa3      3,000,000         3,356,160   

Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018

   AA+/Aa3      2,455,000         2,805,893   

 

Certified Semi-Annual Report    11


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: Natl-Re) (State Aid Withholding)

   AA+/Aa2    $ 1,175,000       $ 1,184,471   

City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project)

   A/A2      3,700,000         4,266,137   

City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project)

   A/A2      12,000,000         13,836,120   

North Slope Borough GO, 5.00% due 6/30/2015 (Insured: Natl-Re)

   AA-/Aa3      3,250,000         3,445,487   

North Slope Borough GO, 5.00% due 6/30/2017 (Insured: Natl-Re)

   AA-/Aa3      8,800,000         9,953,064   

State of Alaska, 5.00% due 10/1/2017 (Alaska International Airports System; Insured: Natl-Re)

   AA-/A1      1,115,000         1,227,336   

ARIZONA — 3.71%

        

Arizona Board of Regents, 4.00% due 7/1/2014 (ASU Polytechnic, Tempe, West Campus Capital Projects)

   AA/Aa3      400,000         403,848   

Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re)

   AA-/A1      1,285,000         1,429,717   

Arizona Board of Regents COP, 3.00% due 9/1/2018 (Northern Arizona University Projects)

   A/A2      1,000,000         1,057,230   

Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re)

   AA-/A1      3,735,000         4,160,977   

Arizona Board of Regents COP, 3.00% due 9/1/2019 (Northern Arizona University Projects)

   A/A2      2,525,000         2,639,307   

Arizona Board of Regents COP, 5.00% due 9/1/2019 (Arizona State University)

   AA-/A1      1,085,000         1,252,036   

Arizona Board of Regents COP, 5.00% due 9/1/2019 pre-refunded 9/1/2014 (Northern Arizona University Research Infrastructure Projects; Insured: AMBAC)

   A/A2      3,500,000         3,570,140   

Arizona Board of Regents COP, 5.00% due 9/1/2020 (Northern Arizona University Projects)

   A/A2      1,000,000         1,139,040   

Arizona Board of Regents COP, 5.00% due 9/1/2020 (Arizona State University)

   AA-/A1      3,170,000         3,655,264   

Arizona Board of Regents COP, 5.00% due 9/1/2021 (Arizona State University)

   AA-/A1      4,020,000         4,637,552   

Arizona Board of Regents COP, 5.00% due 6/1/2022 (University of Arizona)

   AA-/Aa3      6,080,000         6,980,205   

Arizona Board of Regents COP, 5.00% due 9/1/2022 (Northern Arizona University Projects)

   A/A2      2,500,000         2,848,125   

Arizona Board of Regents COP, 5.00% due 9/1/2022 (Arizona State University)

   AA-/A1      4,380,000         5,049,439   

Arizona Board of Regents COP, 5.00% due 9/1/2023 (Northern Arizona University Projects)

   A/A2      3,325,000         3,737,333   

Arizona Board of Regents COP, 5.00% due 9/1/2023 (Arizona State University)

   AA-/A1      5,580,000         6,405,505   

Arizona HFA, 5.25% due 1/1/2018 (Banner Health)

   AA-/NR      3,500,000         3,993,290   

Arizona HFA, 5.00% due 7/1/2018 (Catholic Health Care West)

   A/A3      1,470,000         1,651,971   

Arizona HFA, 5.00% due 7/1/2019 (Catholic Health Care West)

   A/A3      1,365,000         1,552,756   

Arizona HFA, 5.00% due 7/1/2020 (Catholic Health Care West)

   A/A3      1,290,000         1,449,741   

Arizona School Facilities Board, 5.00% due 7/1/2016 (State School Land Trust; Insured: AMBAC)

   NR/NR      5,775,000         6,245,836   

Arizona School Facilities Board, 5.00% due 1/1/2017 pre-refunded 7/1/2015 (State School Improvement)

   AAA/Aaa      1,225,000         1,298,365   

Arizona School Facilities Board COP, 5.25% due 9/1/2023 (School Site and Building Projects)

   A+/A1      1,315,000         1,434,218   

Arizona Transportation Board, 5.00% due 7/1/2019

   AA+/Aa2      3,510,000         4,125,970   

Arizona Transportation Board, 5.00% due 7/1/2021

   AA+/Aa2      7,465,000         8,850,504   

Arizona Transportation Board, 5.00% due 7/1/2022

   AA+/Aa2      5,000,000         5,862,150   

City of Chandler, 3.00% due 7/1/2014

   AA/Aa3      2,790,000         2,809,363   

City of Tucson, 5.00% due 7/1/2022

   AA+/A1      2,135,000         2,460,160   

City of Tucson GO, 3.625% due 7/1/2015 (Insured: Natl-Re)

   AA-/Aa3      1,750,000         1,823,430   

City of Yuma Municipal Property Corp., 5.00% due 7/1/2016 (Water and Wastewater System; Insured: Syncora)

   A+/A1      2,000,000         2,171,900   

City of Yuma Municipal Property Corp., 5.00% due 7/1/2018 (Water and Wastewater System; Insured: Syncora)

   A+/A1      2,130,000         2,341,339   

Deer Valley USD No. 97 of Maricopa County, 4.00% due 7/1/2015 (2004 School Improvement Project; Insured: AGM)

   NR/Aa2      1,325,000         1,387,818   

Glendale IDA, 5.00% due 5/15/2015 (Midwestern University)

   A-/NR      1,000,000         1,042,340   

Glendale IDA, 5.00% due 5/15/2016 (Midwestern University)

   A-/NR      1,325,000         1,422,374   

Glendale IDA, 5.00% due 5/15/2017 (Midwestern University)

   A-/NR      1,440,000         1,571,414   

Maricopa County IDA Health Facilities, 4.125% due 7/1/2015 (Catholic Health Care West)

   A/A3      1,600,000         1,673,408   

Maricopa County IDA Health Facilities, 5.00% due 7/1/2038 put 7/1/2014 (Catholic Health Care West)

   A/A3      7,500,000         7,588,350   

Maricopa County Public Finance Corp., 5.00% due 7/1/2024 (Insured: AMBAC)

   AA+/Aa1      1,000,000         1,079,430   

Mesa Highway GO, 3.25% due 7/1/2016

   AA+/Aa3      10,000,000         10,069,100   

Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: Syncora) (ETM)

   AA+/NR      3,135,000         3,135,000   

Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC)

   BBB+/NR      12,100,000         12,598,157   

Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.)

   A-/A3      1,600,000         1,613,104   

Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.)

   A-/A3      2,600,000         2,621,294   

Navajo County PCR, 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.)

   A-/A3      9,700,000         10,696,675   

Phoenix Union High School District No. 210 of Maricopa County GO, 4.00% due 7/1/2015 (2003 School Improvement Project; Insured: Natl-Re)

   AA/Aa2      1,500,000         1,571,700   

Pima County, 4.00% due 7/1/2014 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      1,500,000         1,514,535   

Pima County, 5.00% due 7/1/2015 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      1,400,000         1,484,392   

Pima County, 5.00% due 7/1/2016 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      2,000,000         2,203,480   

Pima County, 4.50% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM)

   AA/A2      5,040,000         5,635,274   

Pima County, 5.00% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      2,750,000         3,118,830   

Pima County, 3.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      500,000         538,040   

Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM)

   AA/A2      5,000,000         5,793,900   

Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      2,000,000         2,317,560   

Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      700,000         811,146   

Pima County, 5.00% due 7/1/2020 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      500,000         589,805   

a Pima County, 3.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      1,200,000         1,255,416   

Pima County, 5.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      400,000         471,892   

 

12    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

Pima County, 3.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR    $ 1,325,000       $ 1,368,619   

Pima County, 5.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities)

   AA-/NR      500,000         591,235   

Pima County COP, 3.00% due 12/1/2014 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      2,220,000         2,261,470   

Pima County COP, 5.00% due 12/1/2015 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      1,250,000         1,347,150   

Pima County COP, 5.00% due 12/1/2016 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      600,000         668,538   

Pima County COP, 5.00% due 12/1/2017 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      1,395,000         1,589,951   

Pima County COP, 5.00% due 12/1/2019 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      500,000         578,890   

Pima County COP, 5.00% due 12/1/2020 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      765,000         882,871   

Pima County COP, 5.00% due 12/1/2021 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      1,220,000         1,403,512   

Pima County COP, 5.00% due 12/1/2022 (Sewer System & Fleet Services Facilities Expansion)

   A+/NR      1,275,000         1,465,472   

Pima County IDA, 5.00% due 7/1/2016 (Metro Police Facility)

   AA-/Aa2      2,500,000         2,703,825   

Pima County IDA, 5.00% due 7/1/2017 (Metro Police Facility)

   AA-/Aa2      3,000,000         3,299,640   

Pima County IDA, 5.00% due 7/1/2018 (Metro Police Facility)

   AA-/Aa2      3,285,000         3,670,298   

Pima County IDA, 5.00% due 7/1/2019 (Metro Police Facility)

   AA-/Aa2      2,000,000         2,246,600   

Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare)

   A-/A2      6,885,000         7,613,433   

State of Arizona COP, 5.00% due 10/1/2014 (State Dept. of Administration Lease Purchase Agreement; Insured: AGM)

   AA/A1      10,175,000         10,415,333   

State of Arizona Department of Administration, 5.00% due 7/1/2018 (State Lottery; Insured: AGM)

   AA/A1      8,370,000         9,605,161   

State of Arizona Department of Administration, 5.00% due 7/1/2020 (State Lottery; Insured: AGM)

   AA/A1      8,705,000         10,063,154   

Town of Gilbert Public Facilities Municipal Property Corporation, 3.00% due 7/1/2015

   AA/Aa2      1,080,000         1,115,662   

University Arizona Medical Center Corp. GO, 5.00% due 7/1/2014

   BBB+/Baa1      1,000,000         1,010,050   

ARKANSAS — 0.53%

        

Arkansas Development Finance Authority, 2.00% due 12/1/2016 (State Dept. of Environmental Quality Project)

   AA-/NR      460,000         474,651   

Board of Trustees of the University of Arkansas, 1.00% due 9/15/2014 (Fayetteville Campus Athletic Facilities)

   NR/Aa2      475,000         476,724   

Board of Trustees of the University of Arkansas, 1.00% due 11/1/2014 (Fayetteville Campus Capital Projects)

   NR/Aa2      295,000         296,392   

Board of Trustees of the University of Arkansas, 2.00% due 9/15/2015 (Fayetteville Campus Athletic Facilities)

   NR/Aa2      455,000         465,388   

Board of Trustees of the University of Arkansas, 2.00% due 11/1/2015 (Fayetteville Campus Capital Projects)

   NR/Aa2      375,000         384,398   

Board of Trustees of the University of Arkansas, 2.00% due 11/1/2016 (Fayetteville Campus Capital Projects)

   NR/Aa2      600,000         618,984   

Board of Trustees of the University of Arkansas, 5.00% due 9/15/2019 (Fayetteville Campus Athletic Facilities)

   NR/Aa2      600,000         661,962   

City of Fort Smith, 3.00% due 10/1/2014 (Water and Sewer System Construction; Insured: AGM)

   AA/NR      1,000,000         1,013,580   

City of Fort Smith, 3.50% due 10/1/2016 (Water and Sewer System Construction; Insured: AGM)

   AA/NR      1,370,000         1,465,242   

City of Fort Smith, 3.50% due 10/1/2017 (Water and Sewer System Construction; Insured: AGM)

   AA/NR      1,930,000         2,091,367   

City of Fort Smith, 4.00% due 10/1/2018 (Water and Sewer System Construction; Insured: AGM)

   AA/NR      1,000,000         1,111,840   

City of Fort Smith, 4.00% due 10/1/2019 (Water and Sewer System Construction; Insured: AGM)

   AA/NR      1,670,000         1,859,679   

Independence County PCR, 4.90% due 7/1/2022 (Entergy Mississippi, Inc.; Insured: AMBAC)

   NR/A3      6,400,000         6,511,040   

Jefferson County, 4.00% due 6/1/2015 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      1,005,000         1,043,019   

Jefferson County, 4.00% due 6/1/2016 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      1,395,000         1,475,491   

Jefferson County, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      1,375,000         1,468,115   

Jefferson County, 1.55% due 10/1/2017 (Entergy Arkansas, Inc. Project)

   A-/A3      10,000,000         10,075,700   

Jefferson County, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      1,495,000         1,631,763   

Jefferson County, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM)

   AA/NR      1,580,000         1,739,201   

CALIFORNIA — 7.57%

        

Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC)

   AA/NR      1,220,000         1,386,249   

Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Alameda County Medical Center Highland Hospital)

   AA/Aa3      1,000,000         1,176,760   

Alameda County Joint Powers Authority, 5.00% due 12/1/2022 (Alameda County Medical Center Highland Hospital)

   AA/Aa3      2,000,000         2,357,200   

Alameda County Joint Powers Authority, 5.00% due 12/1/2023 (Alameda County Medical Center Highland Hospital)

   AA/Aa3      3,200,000         3,771,680   

Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM)

   AA/A2      3,250,000         2,443,675   

Brentwood Infrastructure, 2.00% due 11/1/2015 (Insured: AGM)

   AA/NR      520,000         529,438   

Brentwood Infrastructure, 4.00% due 11/1/2016 (Insured: AGM)

   AA/NR      325,000         345,761   

Brentwood Infrastructure, 5.00% due 11/1/2017 (Insured: AGM)

   AA/NR      965,000         1,063,411   

Brentwood Infrastructure, 5.25% due 11/1/2018 (Insured: AGM)

   AA/NR      1,020,000         1,147,286   

Brentwood Infrastructure, 5.25% due 11/1/2019 (Insured: AGM)

   AA/NR      725,000         820,301   

Cabrillo USD GO, 0% due 8/1/2015 (Educational Facilities Projects; Insured: AMBAC)

   NR/NR      1,000,000         991,180   

Cabrillo USD GO, 0% due 8/1/2021 (Educational Facilities; Insured: AMBAC)

   NR/NR      1,000,000         768,960   

California Educational Facilities Authority, 5.00% due 4/1/2017 (Pitzer College)

   NR/A2      1,460,000         1,631,959   

California Educational Facilities Authority, 5.00% due 4/1/2021 (Chapman University)

   NR/A2      4,870,000         5,618,860   

California HFFA, 5.50% due 2/1/2017 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)

   A/NR      2,575,000         2,866,438   

California HFFA, 5.50% due 2/1/2019 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)

   A/NR      2,865,000         3,316,553   

California HFFA, 5.75% due 2/1/2020 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)

   A/NR      1,975,000         2,323,844   

California HFFA, 5.00% due 3/1/2020 (Catholic HealthCare West Health Facilities)

   A/A3      4,400,000         5,030,960   

California HFFA, 5.75% due 2/1/2021 (Community Developmental Disabilities Program; Insured: California Mtg Insurance)

   A/NR      1,695,000         1,979,913   

California HFFA, 5.00% due 3/1/2021 (Catholic HealthCare West Health Facilities)

   A/A3      3,450,000         3,929,343   

California HFFA, 5.25% due 3/1/2022 (Catholic HealthCare West Health Facilities)

   A/A3      7,020,000         8,026,668   

California HFFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic HealthCare West Health Facilities)

   A/A3      3,500,000         3,542,315   

California HFFA, 5.00% due 7/1/2028 put 7/1/2014 (Catholic HealthCare West Health Facilities)

   A/A3      2,000,000         2,022,960   

 

Certified Semi-Annual Report    13


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System)

   AA-/A1    $ 5,000,000       $ 5,815,200   

California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re)

   AA-/A2      570,000         572,371   

California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program)

   AA-/Aa2      5,000,000         5,260,700   

California State Department of Water Resources, 5.00% due 5/1/2016

   AA-/Aa2      5,000,000         5,476,350   

California State Economic Recovery GO, 5.00% due 7/1/2018

   AA/Aa2      4,000,000         4,656,800   

California State Economic Recovery GO, 5.00% due 7/1/2020

   AA/Aa2      4,200,000         4,954,530   

California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments-MFH; Collateralized: GNMA)

   NR/Aa1      1,725,000         1,755,550   

California State Public Works Board, 3.00% due 4/1/2014 (Various Capital Projects)

   A-/A2      250,000         250,000   

California State Public Works Board, 5.00% due 9/1/2016 (Regents of University of California; Insured: Natl-Re) (ETM)

   AA+/Aaa      3,000,000         3,326,670   

California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: Natl-Re) (ETM)

   AA+/Aaa      3,000,000         3,420,870   

California State Public Works Board, 5.00% due 11/1/2017 (California State University)

   A-/Aa3      3,000,000         3,428,100   

California State Public Works Board, 5.00% due 11/1/2018 (California State University)

   A-/Aa3      2,700,000         3,129,894   

California State Public Works Board, 5.00% due 4/1/2020 (Riverside Campus)

   A-/A2      1,585,000         1,846,034   

California State Public Works Board, 5.00% due 6/1/2020 (Yuba City Courthouse)

   A-/A2      1,675,000         1,953,938   

California State Public Works Board, 5.00% due 6/1/2020 (Coalinga State Hospital)

   A-/A2      5,685,000         6,631,723   

California State Public Works Board, 5.00% due 10/1/2020 (California State University)

   A-/A2      1,000,000         1,169,870   

California State Public Works Board, 5.00% due 11/1/2020 (Various Capital Projects)

   A-/A2      1,500,000         1,755,855   

California State Public Works Board, 5.00% due 4/1/2021 (Riverside Campus)

   A-/A2      890,000         1,037,375   

California State Public Works Board, 5.00% due 6/1/2021 (Yuba City Courthouse)

   A-/A2      1,250,000         1,459,950   

California State Public Works Board, 5.00% due 6/1/2021 (Coalinga State Hospital)

   A-/A2      5,000,000         5,839,800   

California State Public Works Board, 5.00% due 10/1/2021 (Various Capital Projects)

   A-/A2      1,000,000         1,172,620   

California State Public Works Board, 5.00% due 11/1/2021 (Various Capital Projects)

   A-/A2      1,750,000         2,053,975   

California State Public Works Board, 5.00% due 11/1/2021 (Laboratory Facility and San Diego Courthouse)

   A-/A2      750,000         880,275   

California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus)

   A-/A2      500,000         585,010   

California State Public Works Board, 5.00% due 6/1/2022 (Coalinga State Hospital)

   A-/A2      11,555,000         13,524,896   

California State Public Works Board, 5.00% due 11/1/2022 (Laboratory Facility and San Diego Courthouse)

   A-/A2      10,075,000         11,799,941   

California State Public Works Board, 5.00% due 6/1/2023 (Yuba City Courthouse)

   A-/A2      1,900,000         2,216,065   

California State Public Works Board, 5.00% due 11/1/2024 (Laboratory Facility and San Diego Courthouse)

   A-/A2      2,050,000         2,366,417   

California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals)

   A+/NR      27,000,000         31,536,000   

California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC)

   NR/NR      2,080,000         2,075,424   

Castaic Lake Water Agency COP, 0% due 8/1/2023 (Water System Improvement; Insured: AMBAC)

   AA/NR      10,125,000         7,348,219   

Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re)

   AA-/NR      4,870,000         4,171,058   

Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice)

   AA-/A1      600,000         677,580   

Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice)

   AA-/A1      1,750,000         2,038,837   

Chula Vista COP, 5.25% due 3/1/2018

   AA-/NR      1,170,000         1,331,355   

Chula Vista COP, 5.25% due 3/1/2019

   AA-/NR      1,235,000         1,420,411   

City and County of San Francisco GO, 5.00% due 6/15/2015 (Various Capital Projects)

   AA+/Aa1      18,385,000         19,470,267   

Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re)

   AA/Baa1      2,685,000         2,380,628   

Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM)

   AA/NR      5,000,000         5,597,200   

Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2018 (Insured: AGM)

   AA/NR      3,000,000         3,420,930   

Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2019 (Insured: AGM)

   AA/NR      3,000,000         3,433,290   

County of Los Angeles COP, 0% due 3/1/2017 (Disney Parking Garage and Walt Disney Concert Hall)

   AA/A1      1,075,000         1,031,151   

County of Los Angeles COP, 0% due 9/1/2017 (Disney Parking Garage and Walt Disney Concert Hall; Insured: AMBAC)

   AA/A1      1,200,000         1,139,604   

Escondido Union High School District GO, 0% due 11/1/2020 (Insured:
Natl-Re)

   AA-/Baa1      2,655,000         2,145,373   

Inland Valley Development Agency, 5.50% due 4/1/2014 (ETM)

   NR/NR      2,000,000         2,000,000   

Kern Community College District COP, 4.00% due 4/1/2014

   SP-1+/NR      12,000,000         12,000,000   

Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018

   A+/A2      2,295,000         2,635,027   

Los Angeles County Metropolitan Transportation Authority, 5.00% due 7/1/2019 pre-refunded 7/1/2014 (Metro Orange Line Transit System; Insured: Natl-Re)

   AA+/Aa3      2,185,000         2,211,198   

Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2019 (Multiple Capital Projects)

   AA/A1      17,935,000         20,974,444   

Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects)

   AA/A1      4,000,000         4,631,240   

Los Angeles USD COP, 5.00% due 10/1/2017 (Information Technology; Insured: AMBAC)

   A+/A1      2,445,000         2,773,290   

Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Projects)

   A+/A1      4,600,000         5,418,156   

Los Angeles USD COP, 5.50% due 12/1/2019 (Educational Facilities Improvements)

   A+/A1      7,040,000         8,361,056   

Los Angeles USD GO, 5.00% due 7/1/2018 (Educational Facilities Improvements; Insured: AGM)

   AA/Aa2      4,000,000         4,516,160   

Monterey County COP, 5.00% due 8/1/2016 (Insured: AGM)

   AA/A1      1,435,000         1,568,240   

Monterey County COP, 5.00% due 8/1/2018 (Insured: AGM)

   AA/A1      2,260,000         2,560,580   

Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) (ETM)

   AA/Aa2      5,000,000         4,851,150   

Needles USD GO, 0% due 8/1/2023

   AA-/Baa1      1,005,000         629,683   

North City West School Facilities Financing Authority, 5.00% due 9/1/2023 (Carmel Valley Educational Facilities; Insured: AGM)

   AA/NR      4,545,000         5,108,625   

Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project)

   A+/A1      1,000,000         1,136,190   

Northern California Power Agency, 5.00% due 6/1/2018 (Lodi Energy Center)

   A-/A2      4,480,000         5,188,915   

Northern California Power Agency, 5.00% due 7/1/2019 (Hydroelectric Project)

   A+/A1      1,000,000         1,176,600   

Northern California Power Agency, 5.00% due 7/1/2020 (Hydroelectric Project)

   A+/A1      1,325,000         1,525,724   

 

14    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re)

   AA-/Aa3    $ 1,245,000       $ 1,406,402   

Palo Alto USD GO, 0% due 8/1/2019

   AAA/Aa1      1,000,000         904,610   

Palomar Community College District GO, 0% due 8/1/2021

   AA-/Aa2      2,560,000         2,072,627   

Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM)

   NR/A2      3,955,000         4,434,979   

Regents of the University of California, 5.00% due 5/15/2019 (Higher Education Facilities; Insured: AGM)

   AA/Aa2      4,245,000         4,509,930   

Rocklin USD GO, 0% due 8/1/2022 (Insured: Natl-Re)

   AA-/Aa2      3,910,000         2,984,972   

Sacramento City Financing Authority, 0% due 12/1/2019 (Merged Downtown & Oak Park; Insured: Natl-Re)

   AA-/Baa1      2,920,000         2,394,517   

Sacramento City Financing Authority, 0% due 12/1/2021 (Merged Downtown & Oak Park; Insured: Natl-Re)

   AA-/Baa1      1,600,000         1,158,576   

Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements)

   A+/A1      3,265,000         3,797,293   

a Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Insured: AMBAC)

   BBB-/NR      8,290,000         8,642,491   

Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble)

   AA-/A1      750,000         846,975   

Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl-Re)

   AA-/A3      4,870,000         5,284,047   

Sacramento Municipal Utility District, 5.00% due 7/1/2019 (Cosumnes Project; Insured: Natl-Re)

   AA-/A3      5,000,000         5,429,800   

Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re)

   AA-/A3      8,675,000         9,348,006   

San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2020

   AA-/NR      4,000,000         4,564,320   

San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2021

   AA-/NR      3,000,000         3,427,500   

San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2022

   AA-/NR      8,000,000         9,174,800   

San Diego Redevelopment Agency, 4.50% due 9/1/2019 (Centre City Redevelopment; Insured: AMBAC)

   NR/Baa3      1,240,000         1,278,601   

San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re)

   AA-/Aa3      10,000,000         11,939,600   

San Francisco Bay Area Rapid Transit District, 5.00% due 7/1/2022 (Insured: Natl-Re)

   AA+/Aa2      1,220,000         1,286,197   

San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM)

   AA/Aa2      7,600,000         6,556,900   

San Jose Redevelopment Agency, 6.00% due 8/1/2015 (Insured: Natl-Re)

   AA-/Baa1      2,780,000         2,949,469   

San Juan USD GO, 0% due 8/1/2015 (Sacramento County Educational Facilities; Insured: AGM)

   AA/Aa2      760,000         754,247   

Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re)

   AA-/Baa1      4,035,000         4,746,451   

Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re)

   AA-/Baa1      3,425,000         3,047,976   

Santa Clara County Financing Authority, 4.00% due 5/15/2014 (Multiple Facilities)

   AA+/A1      4,245,000         4,265,164   

Santa Fe Springs Community Development Commission, 0% due 9/1/2024 (Consolidated Redevelopment Project; Insured: Natl-Re)

   AA-/Baa1      7,000,000         4,422,740   

Solano County COP, 5.00% due 11/15/2017

   AA-/A1      1,580,000         1,773,787   

South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities)

   SP-1+/NR      5,130,000         5,735,956   

Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC)

   A+/A2      2,000,000         2,007,780   

State of California GO, 4.75% due 4/1/2018 (Various Purposes)

   A/A1      1,250,000         1,426,763   

State of California GO, 5.00% due 9/1/2020 (Various Purposes)

   A/A1      10,000,000         11,813,200   

State of California GO, 5.00% due 9/1/2021 (Various Purposes)

   A/A1      5,000,000         5,921,750   

Tuolumne Wind Project Authority, 5.00% due 1/1/2018

   A+/A2      2,000,000         2,274,680   

Tuolumne Wind Project Authority, 5.00% due 1/1/2019 (Tuolumne Co.)

   A+/A2      2,000,000         2,303,860   

Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment)

   A/NR      935,000         1,000,581   

Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 (Tustin Redevelopment)

   A/NR      1,010,000         1,083,932   

Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 (Tustin Redevelopment)

   A/NR      1,050,000         1,114,197   

Twin Rivers USD GO, 0% due 4/1/2014 (Educational Facilities)

   SP-1/NR      3,490,000         3,490,000   

Ventura County COP, 5.00% due 8/15/2016

   AA+/Aa3      1,520,000         1,673,976   

Ventura County COP, 5.25% due 8/15/2017

   AA+/Aa3      1,635,000         1,860,189   

West Contra Costa USD GO, 0% due 8/1/2022 (Educational Facilities Projects; Insured: AGM)

   AA/Aa3      4,000,000         2,999,120   

West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza)

   AA+/NR      6,180,000         6,995,945   

COLORADO — 1.84%

        

Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) (ETM)

   AA-/NR      1,475,000         1,533,174   

Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: Natl- Re/FHA) (ETM)

   AA-/NR      1,505,000         1,598,762   

Beacon Point Metropolitan District, 4.375% due 12/1/2015 (LOC: Compass Bank)

   BBB-/NR      220,000         220,378   

Castle Oaks Metropolitan District GO, 6.125% due 12/1/2035 pre-refunded 12/1/2015

   NR/NR      1,428,000         1,557,834   

City & County of Denver Airport System, 5.00% due 11/15/2016 (Insured: Natl-Re)

   AA-/A1      1,725,000         1,917,872   

City & County of Denver Airport System, 5.00% due 11/15/2017 (Insured: Natl-Re)

   AA-/A1      1,000,000         1,140,410   

City & County of Denver Airport System, 0.24% due 11/15/2025 put 4/1/2014 (Denver International Airport; Insured: AGM; SPA: Morgan Stanley Bank) (daily demand notes)

   AA/A1      200,000         200,000   

City & County of Denver Airport System, 0.28% due 11/15/2025 put 4/1/2014 (Denver International Airport; Insured: AGM; SPA: Morgan Stanley Bank) (daily demand notes)

   AA/A1      11,710,000         11,710,000   

City & County of Denver COP, 5.00% due 5/1/2014 (Human Services Center Properties; Insured: MBIA)

   AA+/Aa1      4,000,000         4,015,520   

City & County of Denver COP, 5.00% due 12/1/2020 (Buell Theatre Property)

   AA+/Aa1      3,065,000         3,565,913   

City & County of Denver COP, 5.00% due 12/1/2021 (Buell Theatre Property)

   AA+/Aa1      3,825,000         4,446,907   

City & County of Denver COP, 5.00% due 12/1/2023 (Buell Theatre Property)

   AA+/Aa1      1,720,000         2,008,289   

City & County of Denver COP, 0.07% due 12/1/2029 put 4/1/2014 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)

   AA+/Aa1      3,530,000         3,530,000   

City & County of Denver COP, 0.07% due 12/1/2029 put 4/1/2014 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)

   AA+/Aa1      2,500,000         2,500,000   

 

Certified Semi-Annual Report    15


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

City & County of Denver COP, 0.07% due 12/1/2031 put 4/1/2014 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes)

   AA+/Aa1    $ 3,590,000       $ 3,590,082   

City & County of Denver GO, 3.00% due 8/1/2015 (Civic Facilities and Denver Zoological Gardens Improvements)

   AAA/Aaa      720,000         747,288   

City & County of Denver School District No. 1 COP, 4.00% due 12/15/2016 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      350,000         379,831   

City & County of Denver School District No. 1 COP, 4.00% due 12/15/2019 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      400,000         440,372   

City & County of Denver School District No. 1 COP, 4.00% due 12/15/2020 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      600,000         654,912   

City & County of Denver School District No. 1 COP, 5.00% due 12/15/2021 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      1,000,000         1,150,590   

City & County of Denver School District No. 1 COP, 5.00% due 12/15/2022 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      1,030,000         1,180,555   

City & County of Denver School District No. 1 COP, 5.00% due 12/15/2023 (Eastbridge Elementary and Conservatory Green K-8 Schools)

   NR/Aa3      1,180,000         1,352,268   

City of Longmont, 6.00% due 5/15/2019

   AA+/NR      3,215,000         3,860,379   

Colorado Department of Corrections COP, 5.00% due 3/1/2016 (Colorado Penitentiary II Project) (ETM)

   AA-/Aa2      2,000,000         2,174,140   

Colorado Department of Corrections COP, 5.00% due 3/1/2017 (Colorado Penitentiary II Project) (ETM)

   AA-/Aa2      2,000,000         2,245,640   

Colorado Department of Corrections COP, 5.00% due 3/1/2018 (Colorado Penitentiary II Project) (ETM)

   AA-/Aa2      1,590,000         1,830,646   

Colorado Department of Corrections COP, 5.00% due 3/1/2019 pre-refunded 3/1/2016 (Colorado Penitentiary II Project; Insured: AMBAC)

   AA-/Aa2      4,930,000         5,365,220   

Colorado Educational & Cultural Facilities, 4.00% due 6/1/2014 (NCSL)

   A/A3      660,000         663,439   

Colorado Educational & Cultural Facilities, 5.00% due 6/1/2016 (NCSL)

   A/A3      1,475,000         1,592,012   

Colorado Educational & Cultural Facilities, 5.00% due 6/1/2018 (NCSL)

   A/A3      1,625,000         1,817,303   

Colorado Educational & Cultural Facilities, 5.00% due 6/1/2020 (NCSL)

   A/A3      1,805,000         2,043,242   

Colorado Educational & Cultural Facilities, 5.00% due 6/1/2021 (NCSL)

   A/A3      1,000,000         1,122,220   

Colorado HFA, 5.00% due 11/15/2015 (Adventist Health/Sunbelt Group)

   AA-/Aa3      2,365,000         2,541,429   

Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM)

   AA/NR      1,185,000         1,325,257   

Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM)

   AA/NR      2,225,000         2,588,342   

Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives)

   A+/A1      1,000,000         1,081,550   

Colorado HFA, 5.00% due 7/1/2039 put 11/11/2014 (Catholic Health Initiatives)

   A+/A1      3,000,000         3,085,440   

Denver Convention Center Hotel Authority, 5.25% due 12/1/2014 (Insured: Syncora)

   BBB-/Baa3      3,450,000         3,548,497   

Denver Convention Center Hotel Authority, 5.25% due 12/1/2021 (Insured: Syncora)

   BBB-/Baa3      3,700,000         3,872,013   

Denver Convention Center Hotel Authority, 5.25% due 12/1/2022 (Insured: Syncora)

   BBB-/Baa3      1,100,000         1,148,730   

Denver West Metropolitan District GO, 5.00% due 12/1/2021 (Insured: AGM)

   AA/NR      2,175,000         2,490,875   

E-470 Public Highway Authority, 0% due 9/1/2014 (Insured: Natl-Re)

   AA-/Baa1      1,910,000         1,902,704   

El Paso County COP, 4.00% due 12/1/2021 (Pikes Peak Regional Development Center)

   AA-/Aa2      1,000,000         1,081,880   

El Paso County COP, 5.00% due 12/1/2023 (Pikes Peak Regional Development Center)

   AA-/Aa2      1,330,000         1,527,625   

Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: AGM)

   AA/NR      1,000,000         1,069,070   

Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: AGM)

   AA/NR      1,035,000         1,140,187   

Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM)

   AA/NR      1,525,000         1,711,874   

Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM)

   AA/NR      1,200,000         1,390,536   

Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM)

   AA/NR      1,000,000         1,169,040   

Regents of the University of Colorado COP, 5.00% due 11/1/2016 (UCDHSC Fitzsimons Academic Facilities)

   AA-/Aa2      700,000         778,435   

Regents of the University of Colorado COP, 5.00% due 11/1/2017 (UCDHSC Fitzsimons Academic Facilities)

   AA-/Aa2      850,000         970,649   

Regional Transportation District COP, 5.00% due 6/1/2018

   A/Aa3      1,750,000         2,003,575   

Regional Transportation District COP, 5.00% due 6/1/2019

   A/Aa3      4,730,000         5,439,405   

Regional Transportation District COP, 5.00% due 6/1/2020

   A/Aa3      3,655,000         4,181,210   

Regional Transportation District COP, 5.50% due 6/1/2021

   A/Aa3      2,370,000         2,740,715   

Southlands Metropolitan District GO, 6.75% due 12/1/2016 pre-refunded 12/1/2014

   AA+/NR      500,000         520,540   

CONNECTICUT — 0.27%

        

Capital City EDA, 5.00% due 6/15/2015 (Adriaen’s Landing Convention Center; Insured: AGM)

   AA/A2      1,705,000         1,721,879   

City of West Haven GO, 4.00% due 8/1/2018 (Insured: AGM)

   AA/A2      2,080,000         2,246,837   

State of Connecticut GO, 5.00% due 6/1/2019 (General State Capital Projects; Insured: AGM)

   AA/Aa3      2,865,000         3,137,605   

State of Connecticut GO Floating Rate Note, 0.83% due 9/15/2018 (General State Capital Projects)

   AA/Aa3      725,000         731,192   

State of Connecticut GO Floating Rate Note, 0.71% due 9/15/2024 (Education Capital Projects)

   AA/Aa3      10,000,000         10,050,100   

DELAWARE — 0.03%

        

State of Delaware GO, 5.00% due 7/1/2014

   AAA/Aaa      860,000         870,526   

State of Delaware GO, 5.25% due 8/1/2014

   AAA/Aaa      1,000,000         1,017,150   

DISTRICT OF COLUMBIA — 0.71%

        

District of Columbia, 4.00% due 4/1/2015 (National Public Radio) (ETM)

   AA-/Aa3      1,000,000         1,037,070   

District of Columbia, 5.00% due 4/1/2016 (National Public Radio) (ETM)

   AA-/Aa3      685,000         746,629   

 

16    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

District of Columbia, 4.00% due 4/1/2017 (National Public Radio)

   AA-/Aa3    $ 1,830,000       $ 1,996,127   

District of Columbia, 5.00% due 4/1/2018 (National Public Radio)

   AA-/Aa3      1,745,000         1,997,362   

District of Columbia, 5.00% due 4/1/2019 (National Public Radio)

   AA-/Aa3      805,000         930,999   

District of Columbia, 5.00% due 4/1/2020 (National Public Radio)

   AA-/Aa3      1,890,000         2,192,003   

District of Columbia COP, 5.25% due 1/1/2015 (St. Elizabeth Hospital Lease; Insured: Natl-Re)

   AA-/Aa3      3,125,000         3,239,813   

District of Columbia COP, 5.25% due 1/1/2016 (St. Elizabeth Hospital Lease; Insured: Natl-Re)

   AA-/Aa3      4,700,000         5,075,530   

District of Columbia COP, 5.00% due 1/1/2018 (St. Elizabeth Hospital Lease; Insured: Natl-Re)

   AA-/Aa3      5,000,000         5,305,500   

District of Columbia COP, 5.00% due 1/1/2019 (St. Elizabeth Hospital Lease; Insured: Natl-Re)

   AA-/Aa3      5,000,000         5,295,650   

District of Columbia COP, 4.50% due 1/1/2021 (St. Elizabeth Hospital Lease; Insured: Natl-Re)

   AA-/Aa3      1,100,000         1,157,354   

District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re)

   AA-/Aa2      5,000,000         5,965,300   

District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora)

   AA-/Aa2      3,005,000         3,576,070   

a District of Columbia Housing Finance Agency, 5.00% due 7/1/2014 (Insured: AGM-HUD Loan)

   AA/A2      1,195,000         1,208,348   

District of Columbia Housing Finance Agency, 5.00% due 7/1/2015 (Insured: AGM-HUD Loan)

   AA/A2      1,480,000         1,558,100   

Metropolitan Washington Airports Authority, 0% due 10/1/2014 (Dulles Toll Road; Insured: AGM)

   AA/A3      2,000,000         1,994,700   

Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: AGM)

   AA/A3      4,000,000         3,829,960   

FLORIDA — 7.27%

        

a Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC) (ETM)

   NR/A1      1,625,000         1,664,049   

Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC)

   A+/A1      2,375,000         2,432,546   

Broward County, 5.00% due 9/1/2017 (Port Facilities)

   A-/A2      2,820,000         3,123,235   

Broward County, 4.00% due 10/1/2017 (Airport, Marina & Port Improvements)

   A+/A1      500,000         550,005   

Broward County, 5.00% due 10/1/2017 (Airport, Marina & Port Improvements)

   A+/A1      1,000,000         1,134,270   

Broward County, 5.50% due 9/1/2018 (Port Facilities)

   A-/A2      3,500,000         4,009,845   

Broward County, 4.00% due 10/1/2018 (Airport, Marina & Port Improvements)

   A+/A1      425,000         471,057   

Broward County, 5.00% due 10/1/2018 (Airport, Marina & Port Improvements)

   A+/A1      500,000         575,865   

Broward County, 5.50% due 9/1/2019 (Port Facilities)

   A-/A2      2,800,000         3,239,768   

Broward County, 5.00% due 10/1/2019 (Airport, Marina & Port Improvements)

   A+/A1      1,000,000         1,153,520   

Broward County, 4.00% due 10/1/2020 (Airport, Marina & Port Improvements)

   A+/A1      1,660,000         1,813,201   

Broward County, 5.00% due 10/1/2020 (Airport, Marina & Port Improvements)

   A+/A1      2,000,000         2,304,060   

Broward County School Board COP, 5.25% due 7/1/2015 (Insured: AGM)

   AA/A1      3,035,000         3,215,582   

Broward County School Board COP, 5.00% due 7/1/2016 (Insured: AGM)

   AA/A1      1,495,000         1,632,959   

Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM)

   AA/A1      3,715,000         4,078,476   

Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM)

   AA/A1      7,630,000         8,376,519   

Broward County School Board COP, 5.00% due 7/1/2017 (Insured: Natl-Re)

   AA-/A1      1,000,000         1,118,710   

Broward County School Board COP, 5.00% due 7/1/2021

   A/A1      4,000,000         4,586,480   

Broward County School Board COP, 5.00% due 7/1/2022

   A/A1      4,580,000         5,253,947   

Capital Projects Finance Authority, 5.50% due 10/1/2015 (University of Central Florida Apartment Student Housing; Insured: Natl-Re)

   AA-/Baa1      2,660,000         2,660,426   

City of Fort Myers, 5.00% due 12/1/2018 (Gulf Breeze Loan Program; Insured: Natl-Re)

   AA-/Aa3      2,195,000         2,465,226   

City of Fort Myers, 5.00% due 10/1/2023 (Utility Systems Capital Projects)

   A/Aa3      3,360,000         3,852,038   

City of Jacksonville, 5.00% due 10/1/2017

   AA-/Aa2      1,000,000         1,138,340   

City of Jacksonville, 5.00% due 10/1/2018

   AA-/Aa2      1,050,000         1,214,273   

City of Jacksonville, 5.00% due 10/1/2019

   AA-/Aa2      500,000         583,695   

City of Jacksonville, 5.00% due 10/1/2020

   AA-/Aa2      1,000,000         1,167,890   

City of Jacksonville, 5.00% due 10/1/2023

   AA-/Aa2      1,105,000         1,292,485   

City of Lakeland, 6.05% due 10/1/2014 (Energy System; Insured: AGM)

   AA/A1      3,750,000         3,858,112   

City of Lakeland, 4.00% due 11/15/2014 (Lakeland Regional Health Systems)

   NR/A2      1,000,000         1,019,520   

City of Lakeland, 5.00% due 10/1/2016 (Energy System; Insured: AGM)

   AA/A1      9,780,000         10,819,027   

City of Lakeland, 5.00% due 10/1/2017 (Energy System; Insured: AGM)

   AA/A1      7,105,000         8,064,246   

City of Lakeland, 5.00% due 10/1/2019 (Energy System; Insured: AGM)

   AA/A1      5,000,000         5,825,550   

City of Lakeland, 5.00% due 11/15/2019 (Lakeland Regional Health Systems)

   NR/A2      5,655,000         6,367,587   

City of Lakeland, 5.00% due 10/1/2020 (Energy System; Insured: AGM)

   AA/A1      1,695,000         1,972,878   

City of Miami, 5.00% due 1/1/2018 (Street & Sidewalk Improvement Program; Insured: Natl-Re)

   AA-/A2      1,970,000         2,202,874   

City of North Miami Beach, 5.00% due 8/1/2017 (North Miami Beach Water Project)

   A+/NR      750,000         840,998   

City of North Miami Beach, 3.00% due 8/1/2018 (North Miami Beach Water Project)

   A+/NR      1,280,000         1,351,936   

City of North Miami Beach, 5.00% due 8/1/2019 (North Miami Beach Water Project)

   A+/NR      1,650,000         1,890,735   

City of North Miami Beach, 5.00% due 8/1/2020 (North Miami Beach Water Project)

   A+/NR      780,000         892,679   

City of North Miami Beach, 5.00% due 8/1/2021 (North Miami Beach Water Project)

   A+/NR      1,000,000         1,147,410   

City of Port St. Lucie, 5.00% due 9/1/2015 (Tesoro Special Assessment District; Insured: Natl-Re)

   NR/A1      250,000         265,260   

City of Port St. Lucie, 1.70% due 7/1/2016 (Tesoro Special Assessment District)

   NR/A1      2,140,000         2,162,342   

City of Port St. Lucie, 1.875% due 7/1/2017 (Tesoro Special Assessment District; Insured: AGM)

   NR/A1      2,175,000         2,184,309   

City of Port St. Lucie, 2.00% due 7/1/2018 (Tesoro Special Assessment District; Insured: AGM)

   NR/A1      2,215,000         2,216,772   

Collier County, 4.00% due 10/1/2014

   AA/Aa2      1,410,000         1,436,903   

Escambia County HFA, 5.25% due 11/15/2014 (Ascension Health Credit)

   AA+/Aa2      1,835,000         1,892,949   

Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: AGM)

   AA/A2      1,605,000         1,629,332   

Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: AGM)

   AA/A2      1,500,000         1,588,335   

 

Certified Semi-Annual Report    17


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

Florida Atlantic University Financing Corp., 5.00% due 7/1/2014 (Innovation Village Capital Improvements)

   A/A1    $ 1,950,000       $ 1,973,673   

Florida Atlantic University Financing Corp., 5.00% due 7/1/2015 (Innovation Village Capital Improvements)

   A/A1      2,395,000         2,530,054   

Florida Atlantic University Financing Corp., 5.00% due 7/1/2016 (Innovation Village Capital Improvements)

   A/A1      2,275,000         2,482,798   

Florida Department of Management Services, 5.25% due 9/1/2016 (Insured: AGM)

   AA+/Aa2      3,500,000         3,878,210   

a Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2014 (Nova Southeastern University)

   BBB/Baa1      2,365,000         2,365,000   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2015 (Nova Southeastern University)

   BBB/Baa1      2,150,000         2,231,635   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2016 (Nova Southeastern University)

   BBB/Baa1      2,345,000         2,508,517   

Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2017 (Nova Southeastern University)

   BBB/Baa1      1,325,000         1,452,439   

Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2018 (Nova Southeastern University)

   BBB/Baa1      2,630,000         2,925,954   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (University of Tampa)

   BBB+/NR      1,225,000         1,360,510   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (Nova Southeastern University)

   BBB/Baa1      1,035,000         1,149,492   

Florida Higher Educational Facilities Financing Authority, 5.50% due 4/1/2019 (Nova Southeastern University)

   BBB/Baa1      1,705,000         1,933,317   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2020 (Nova Southeastern University)

   BBB/Baa1      1,030,000         1,143,104   

Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2022 (University of Tampa)

   BBB+/NR      620,000         687,152   

Florida Hurricane Catastrophe Fund Finance Corp., 5.00% due 7/1/2014

   AA-/Aa3      11,000,000         11,133,540   

Florida State Board of Governors, 4.00% due 7/1/2020 (University System Capital Improvements)

   AA/Aa2      4,055,000         4,492,778   

Florida State Board of Governors, 4.00% due 7/1/2021 (University System Capital Improvements)

   AA/Aa2      4,215,000         4,645,141   

Florida State Board of Governors, 4.00% due 7/1/2022 (University System Capital Improvements)

   AA/Aa2      4,385,000         4,816,002   

Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC)

   AA+/Aa2      2,000,000         2,031,420   

Florida State Department of Children & Families COP, 5.00% due 10/1/2014

   AA+/NR      905,000         923,951   

Florida State Department of Children & Families COP, 5.00% due 10/1/2015

   AA+/NR      925,000         980,371   

Florida State Department of Transportation GO, 5.00% due 7/1/2018

   AAA/Aa1      3,000,000         3,395,220   

Florida State Housing Finance Corp., 1.625% due 1/1/2015 (Captiva Cove Apartments-Multi-Family Mtg; Insured: FNMA)

   NR/Aaa      1,600,000         1,601,904   

Highlands County HFA, 5.00% due 11/15/2015 (Adventist Health System Sunbelt Group)

   AA-/Aa3      1,000,000         1,075,030   

Highlands County HFA, 5.00% due 11/15/2016 (Adventist Health System Orange County Health Facilities)

   AA-/Aa3      1,000,000         1,113,120   

Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Orange County Health Facilities)

   AA-/Aa3      3,200,000         3,638,912   

Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Sunbelt Group)

   AA-/Aa3      1,000,000         1,072,870   

Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health System Orange County Health Facilities)

   AA-/Aa3      3,000,000         3,473,700   

Highlands County HFA, 5.00% due 11/15/2035 pre-refunded 11/15/2015 (Adventist Health System Sunbelt Group)

   AA-/Aa3      1,225,000         1,317,475   

Hillsborough County, 5.00% due 3/1/2015 (Water and Wastewater System Capital Improvements; Insured: Natl-Re)

   AA-/A1      5,000,000         5,192,500   

Hillsborough County, 5.00% due 11/1/2016 (Transportation Related Capital Improvements; Insured: AMBAC)

   AA/A1      1,000,000         1,109,140   

Hillsborough County, 5.00% due 11/1/2018 (Court Facilities)

   AA/A1      4,210,000         4,856,698   

Hillsborough County, 5.00% due 11/1/2019 (Court Facilities)

   AA/A1      4,420,000         5,121,100   

Hillsborough County, 5.00% due 11/1/2020 (Court Facilities)

   AA/A1      4,645,000         5,368,459   

Hillsborough County, 5.00% due 11/1/2021 (Court Facilities)

   AA/A1      4,880,000         5,633,960   

Hillsborough County, 5.00% due 11/1/2021 (Jail and Storm Water Projects)

   AA/A1      2,300,000         2,655,350   

Hillsborough County, 5.00% due 11/1/2022 (Jail and Storm Water Projects)

   AA/A1      3,005,000         3,473,479   

Hillsborough County IDA PCR, 5.65% due 5/15/2018 (Tampa Electric Co.)

   BBB+/A2      3,200,000         3,689,792   

Hillsborough County School Board COP, 5.25% due 7/1/2017 (Insured: Natl-Re)

   AA-/Aa2      1,300,000         1,473,979   

Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: Syncora)

   NR/A3      2,000,000         2,131,880   

Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: Syncora)

   NR/A3      2,000,000         2,169,200   

Hollywood Community Redevelopment Agency, 5.00% due 3/1/2024 (Beach BCA; Insured: Syncora)

   NR/A3      4,850,000         5,082,460   

Hollywood Water & Sewer, 5.00% due 10/1/2014 (Insured: AGM)

   NR/Aa2      1,300,000         1,305,226   

Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute)

   NR/NR      3,695,000         4,101,819   

JEA, 4.00% due 10/1/2016 (Electric System)

   A+/Aa3      3,540,000         3,843,272   

JEA, 5.00% due 10/1/2018 (Water & Sewer Systems)

   AA/Aa2      1,500,000         1,740,360   

JEA, 5.00% due 10/1/2023 (Electric System)

   A+/Aa3      1,395,000         1,634,215   

JEA, 5.00% due 10/1/2024 (Electric System)

   A+/Aa3      1,200,000         1,389,048   

Kissimmee Utility Authority, 5.25% due 10/1/2016 (Electrical Systems; Insured: AGM)

   NR/A1      1,700,000         1,883,957   

Manatee County, 5.00% due 10/1/2016 (County Capital Projects)

   NR/Aa2      1,000,000         1,109,930   

Manatee County, 5.00% due 10/1/2018 (County Capital Projects)

   NR/Aa2      2,400,000         2,785,176   

Manatee County, 5.00% due 10/1/2021 (County Capital Projects)

   NR/Aa2      2,775,000         3,265,953   

Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) (ETM)

   NR/Baa1      1,000,000         1,054,170   

Miami Beach GO, 4.00% due 9/1/2019

   AA-/Aa2      2,745,000         3,040,691   

Miami Beach GO, 5.00% due 9/1/2020

   AA-/Aa2      3,720,000         4,315,832   

Miami Beach GO, 4.00% due 9/1/2021

   AA-/Aa2      1,015,000         1,111,455   

Miami Beach GO, 5.00% due 9/1/2022

   AA-/Aa2      1,000,000         1,148,070   

Miami-Dade County, 5.00% due 10/1/2014 (Water and Sewer System; Insured: BHAC)

   AA+/Aa1      1,070,000         1,095,520   

Miami-Dade County, 0% due 10/1/2015 (Professional Sports Franchise Facilities; Insured: AGM)

   AA/A1      3,845,000         3,785,864   

Miami-Dade County, 0% due 10/1/2016 (Professional Sports Franchise Facilities; Insured: AGM)

   AA/A1      3,535,000         3,391,444   

Miami-Dade County, 0% due 10/1/2017 (Professional Sports Franchise Facilities; Insured: AGM)

   AA/A1      2,435,000         2,255,078   

Miami-Dade County, 0% due 10/1/2018 (Professional Sports Franchise Facilities; Insured: AGM)

   AA/A1      5,385,000         4,834,599   

Miami-Dade County, 0% due 10/1/2019 (Professional Sports Franchise Facilities; Insured: AGM)

   AA/A1      2,170,000         1,863,748   

Miami-Dade County Educational Facilities Authority GO, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC)

   A-/A3      3,000,000         3,234,240   

Miami-Dade County Expressway Authority, 5.00% due 7/1/2019 (Insured: AGM)

   AA/A2      7,530,000         8,707,240   

 

18    Certified Semi-Annual Report


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

Miami-Dade County Expressway Authority, 5.00% due 7/1/2029 pre-refunded 7/1/2014 (Toll System Five-Year Work Program; Insured: Natl-Re)

   AA-/A3    $ 490,000       $ 495,939   

Miami-Dade County Expressway Authority, 5.00% due 7/1/2033 pre-refunded 7/1/2014 (Toll System Five-Year Work Program; Insured: Natl-Re)

   AA-/A3      305,000         308,697   

Miami-Dade County GO, 5.25% due 7/1/2018 (Building Better Communities)

   AA/Aa2      5,040,000         5,837,782   

Miami-Dade County School Board, 5.00% due 5/1/2014

   AA-/A1      615,000         617,472   

Miami-Dade County School Board, 5.00% due 5/1/2014

   AA-/A1      385,000         386,552   

Miami-Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC)

   A/A1      1,000,000         1,069,190   

Miami-Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re)

   AA-/A1      4,065,000         4,430,891   

Miami-Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC)

   A/A1      1,000,000         1,105,710   

Miami-Dade County School Board COP, 5.00% due 5/1/2032 put 5/1/2016

   A/A1      6,000,000         6,518,280   

Miami-Dade County School District GO, 5.375% due 8/1/2015 (Insured: AGM)

   AA/Aa3      5,130,000         5,478,276   

Orange County HFA, 5.00% due 10/1/2014 (Orlando Health, Inc.)

   A/A3      2,790,000         2,850,487   

Orange County HFA, 5.00% due 10/1/2015 (Orlando Health, Inc.)

   A/A3      500,000         530,475   

Orange County HFA, 6.25% due 10/1/2016 (Orlando Health, Inc.; Insured: Natl-Re)

   AA-/A3      2,310,000         2,469,505   

Orange County HFA, 5.00% due 10/1/2017 (Orlando Health, Inc.)

   A/A3      1,980,000         2,216,867   

Orange County HFA, 5.25% due 10/1/2019 (Orlando Health, Inc.)

   A/A3      6,050,000         7,026,470   

Orange County HFA, 6.25% due 10/1/2021 (Orlando Health, Inc.; Insured: Natl-Re)

   AA-/A3      1,870,000         2,214,192   

Orange County HFA, 5.375% due 10/1/2023 (Orlando Health, Inc.)

   A/A3      4,150,000         4,534,082   

Orlando and Orange County Expressway Authority, 8.25% due 7/1/2016 (Insured: Natl-Re/FGIC/IBC)

   AA-/A2      3,000,000         3,497,880   

Palm Beach County School Board COP, 5.00% due 8/1/2018 (Master Lease Purchase Agreement)

   NR/Aa3      800,000         916,048   

Palm Beach County School Board COP, 4.00% due 8/1/2019 (Master Lease Purchase Agreement)

   NR/Aa3      940,000         1,037,948   

Palm Beach County School Board COP, 5.00% due 8/1/2020 (Master Lease Purchase Agreement)

   NR/Aa3      1,090,000         1,257,108   

Palm Beach County School Board COP, 4.00% due 8/1/2021 (Master Lease Purchase Agreement)

   NR/Aa3      3,835,000         4,157,945   

Palm Beach County School Board COP, 5.00% due 8/1/2022 (Master Lease Purchase Agreement)

   NR/Aa3      1,660,000         1,906,659   

Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 (Master Lease Purchase Agreement)

   NR/Aa3      1,300,000         1,425,255   

Polk County, 4.00% due 10/1/2020 (Water and Wastewater Utility Systems; Insured: AGM)

   A+/Aa3      3,100,000         3,415,952   

Polk County, 3.00% due 10/1/2021 (Water and Wastewater Utility Systems; Insured: AGM)

   A+/Aa3      3,125,000         3,205,906   

Polk County, 5.00% due 10/1/2023 (Water and Wastewater Utility Systems)

   A+/Aa3      1,420,000         1,646,703   

Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC)

   A-/A3      4,165,000         4,730,524   

Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC)

   A-/A3      10,000,000         11,357,800   

Reedy Creek Improvement District, 5.00% due 10/1/2014 (Walt Disney World Resort Complex Utility Systems)

   A/A1      460,000         470,640   

Reedy Creek Improvement District, 5.00% due 10/1/2017 (Walt Disney World Resort Complex Utility Systems)

   A/A1      400,000         451,648   

Reedy Creek Improvement District, 5.00% due 10/1/2018 (Walt Disney World Resort Complex Utility Systems)

   A/A1      755,000         865,660   

Reedy Creek Improvement District, 5.00% due 10/1/2021 (Walt Disney World Resort Complex Utility Systems)

   A/A1      1,200,000         1,373,544   

Reedy Creek Improvement District, 5.00% due 10/1/2022 (Walt Disney World Resort Complex Utility Systems)

   A/A1      625,000         714,144   

Reedy Creek Improvement District, 5.00% due 10/1/2023 (Walt Disney World Resort Complex Utility Systems)

   A/A1      750,000         854,565   

Reedy Creek Improvement District GO, 5.00% due 6/1/2023

   A+/Aa3      1,940,000         2,286,348   

School Board of Alachua County COP, 5.00% due 7/1/2022 (Educational Facilities)

   A+/Aa3      1,600,000         1,811,664   

School Board of Alachua County COP, 5.00% due 7/1/2023 (Educational Facilities)

   A+/Aa3      2,250,000         2,556,562   

School Board of Lake County COP, 5.25% due 6/1/2017 (Insured: AMBAC)

   A/NR      2,000,000         2,260,140   

School Board of Lake County COP, 5.25% due 6/1/2018 (Insured: AMBAC)

   A/NR      1,475,000         1,688,683   

South Broward Hospital District, 5.00% due 5/1/2020 (Insured: Natl-Re)

   AA-/Aa3      7,260,000         7,816,406   

South Florida Water Management District COP, 5.00% due 10/1/2015 (Everglades Restoration Plan; Insured: AMBAC)

   AA/Aa3      1,000,000         1,066,150   

South Florida Water Management District COP, 5.00% due 10/1/2023 (Everglades Restoration Plan; Insured: AMBAC)

   AA/Aa3      500,000         548,785   

South Miami HFA, 5.00% due 8/15/2016 (Baptist Health)

   AA/Aa2      4,985,000         5,499,901   

South Miami HFA, 5.00% due 8/15/2017 (Baptist Health)

   AA/Aa2      4,610,000         5,214,279   

St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement)

   NR/NR      745,000         751,839   

St. Petersburg HFA, 5.50% due 11/15/2015 (All Children’s Hospital; Insured: AMBAC)

   NR/A1      1,995,000         2,003,638   

a St. Petersburg HFA, 5.50% due 11/15/2016 (All Children’s Hospital; Insured: AMBAC)

   NR/A1      1,980,000         1,988,534   

Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Miami-Dade County Program)

   AA-/Aa3      1,450,000         1,647,345   

Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Insured: AGM)

   AA/Aa3      5,000,000         5,694,800   

Sunshine State Governmental Financing Commission, 5.00% due 9/1/2022 (Miami-Dade County Program)

   AA-/Aa3      2,000,000         2,278,500   

Sunshine State Governmental Financing Commission, 5.00% due 9/1/2023 (Miami-Dade County Program)

   AA-/Aa3      2,100,000         2,394,168   

Sunshine State Governmental Financing Commission, 5.00% due 9/1/2024 (Miami-Dade County Program)

   AA-/Aa3      1,725,000         1,934,398   

Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017

   AA+/Aa2      5,615,000         6,408,456   

Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018

   AA+/Aa2      2,890,000         3,362,053   

Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019

   AA+/Aa2      3,000,000         3,529,740   

Tampa BayCare Health Systems, 5.00% due 11/15/2016

   NR/Aa2      2,855,000         3,185,095   

Tampa BayCare Health Systems, 5.00% due 11/15/2017

   NR/Aa2      1,215,000         1,377,944   

Tampa Sports Authority, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re)

   AA-/Baa1      500,000         512,665   

University of Central Florida Athletics Association, Inc. COP, 5.00% due 10/1/2016 (Insured: Natl-Re)

   AA-/Baa1      1,640,000         1,720,803   

Volusia County Educational Facility Authority, 5.00% due 10/15/2016 (Embry-Riddle; Insured: AGM)

   AA/A2      2,320,000         2,563,809   

Volusia County Educational Facility Authority, 4.00% due 10/15/2017 (Embry-Riddle; Insured: AGM)

   AA/A2      1,030,000         1,129,271   

Volusia County Educational Facility Authority, 5.00% due 10/15/2018 (Embry-Riddle; Insured: AGM)

   AA/A2      2,075,000         2,382,411   

Volusia County Educational Facility Authority, 5.00% due 10/15/2019 (Embry-Riddle; Insured: AGM)

   AA/A2      2,350,000         2,706,448   

 

Certified Semi-Annual Report    19


SCHEDULE OF INVESTMENTS, CONTINUED   

Thornburg Limited Term Municipal Fund

   March 31, 2014 (Unaudited)

 

Issuer-Description

   Credit Rating†
S&P/ Moody’s
   Principal
Amount
     Value  

GEORGIA — 2.22%

        

Athens-Clarke County Unified Government Development Authority, 3.00% due 6/15/2015 (UGAREF Bolton Commons, LLC)

   NR/Aa2    $ 3,575,000       $ 3,682,894   

Athens-Clarke County Unified Government Development Authority, 3.00% due 12/15/2015 (UGAREF Coverdell Building, LLC)

   NR/Aa2      670,000         697,885   

Athens-Clarke County Unified Government Development Authority, 3.00% due 6/15/2016 (UGAREF Bolton Commons, LLC)

   NR/Aa2      300,000         314,550   

Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2017 (UGAREF Bolton Commons, LLC)

   NR/Aa2      495,000         539,070   

Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2019 (UGAREF Bolton Commons, LLC)

   NR/Aa2      400,000         457,924   

Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2020 (UGAREF Bolton Commons, LLC)

   NR/Aa2      395,000         429,258   

City of Atlanta, 5.50% due 11/1/2014 (Water & Wastewater System; Insured: Natl-Re)

   AA-/Aa3      3,000,000         3,092,820   

City of Atlanta, 5.50% due 11/1/2015 (Water & Wastewater System; Insured: Natl-Re)

   AA-/Aa3      4,000,000         4,326,280   

City of Atlanta, 5.00% due 1/1/2016 (Hartsfield-Jackson Atlanta International Airport)

   NR/A1      1,495,000         1,612,328   

City of Atlanta, 5.00% due 11/1/2016 (Water & Wastewater System; Insured: AGM)

   AA/Aa3      3,215,000         3,565,885   

City of Atlanta, 5.50% due 11/1/2016 (Water & Wastewater System; Insured: Natl-Re)

   AA-/Aa3      8,215,000         9,213,533   

City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station Project; Insured: AGM)

   AA/A3      3,650,000         4,025,403   

City of Atlanta, 5.00% due 11/1/2017 (Water & Wastewater System; Insured: AGM)

   AA/Aa3      4,745,000         5,395,112   

City of Atlanta, 5.00% due 1/1/2018 (Hartsfield-Jackson Atlanta International Airport)

   NR/A1      2,100,000         2,394,210   

City of Atlanta, 5.00% due 1/1/2019 (Hartsfield-Jackson Atlanta International Airport)

   NR/Aa3      3,145,000         3,638,388   

City of Atlanta, 6.00% due 11/1/2019 (Water & Wastewater System)

   A+/Aa3      5,650,000         6,863,394   

City of Atlanta, 5.00% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport)

   NR/A1      6,000,000         6,951,720   

City of Atlanta, 5.25% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport)

   NR/Aa3      5,000,000         5,884,300   

City of Atlanta, 5.00% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport)

   NR/A1      7,000,000         7,992,040   

City of Atlanta, 5.50% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport)

   NR/Aa3      3,525,000         4,219,073   

b City of Atlanta, 5.00% due 1/1/2023 (Airport Passenger Facility)

   A+/Aa3      1,000,000         1,167,950   

b City of Atlanta, 5.00% due 1/1/2024 (Airport Passenger Facility)

   A+/A1      1,350,000         1,571,751   

b City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility)

   A+/A1      2,500,000         2,878,750   

b City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility)

   A+/Aa3      1,645,000         1,901,686   

Development Authority of Bartow County, 2.70% due 8/1/2043 put 8/23/2018 (Georgia Power Co. Plant Bowen Project)

   A/A3