Form 485APOS THORNBURG INVESTMENT

 

Securities Act Registration No. 33-14905
Investment Company Act Registration No. 811-05201

 

As filed with the Securities and Exchange Commission July 6, 2026

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

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FORM N-1A

 

☒ REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933

☐ Pre-Effective Amendment No.

☒ Post-Effective Amendment No. 165

 

and

 

☒ REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940

☒ Amendment No. 184

 

THORNBURG INVESTMENT TRUST
(Registrant’s Exact Name as Specified in its Charter)

 

2300 North Ridgetop Road, Santa Fe, New Mexico 87506
(Address of Principal Executive Offices)
(Number, Street, City, State, Zip Code)

 

(505) 984-0200
(Registrant’s Telephone Number, including Area Code)

 

Garrett Thornburg
2300 North Ridgetop Road, Santa Fe, New Mexico 87506
(Name and Address of Agent for Service)

 

With a copy to:

 

Jeremy C. Smith
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036-8704

 

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Approximate Date of Proposed Public Offering: As soon as practicable after the effective date of this Registration Statement.

 

It is proposed that this filing will become effective (check appropriate box):

 

☐	Immediately upon filing pursuant to paragraph (b)

☐	On (date) pursuant to paragraph (b)

☐	60 days after filing pursuant to paragraph (a)

☒	On September 22, 2026 pursuant to paragraph (a)

☐	75 days after filing pursuant to paragraph (a)(2)

☐	On [date] pursuant to paragraph (a)(2) of Rule 485

 

If appropriate, check the following box:

 

☐	This post-effective amendment designates a new effective date for a previously filed post-effective amendment.

 

This filing relates only to the ETF Class shares of Thornburg Strategic Municipal Income Fund, a series of the Registrant.

 

 

Thornburg Investment Trust

Statement of Additional Information

Dated [   ], 2026 for

 

	Ticker Symbol	Exchange
Thornburg Strategic Municipal Income Fund (the “Fund”) ETF Class	[ ]	[ ]

2300 North Ridgetop Road

Santa Fe, New Mexico 87506

 

This Statement of Additional Information (“SAI”) is not a prospectus but should be read in conjunction with the “ETF Class Shares” Prospectus, dated [ ], 2026, which describes the ETF Class shares of the Fund (the “Prospectus”). Additional information about the Fund’s investments is available in the Fund’s annual and semi-annual reports to shareholders and in Form N-CSR. In the Fund’s annual report, you will find a discussion of the market conditions and strategies that significantly affected the Fund’s performance during its last fiscal year. In Form N-CSR, you will find the Fund’s audited financial statements for its last fiscal year. The Fund’s audited financial statements and accompanying independent registered public accounting firm’s report for the fiscal year ended September 30, 2025, as filed on Form N-CSR, are incorporated by reference. This SAI is incorporated by reference into the Prospectus. For a free copy of the Prospectus, this SAI, the Fund’s annual or semiannual report or other information such as the Fund’s financial statements, as they become available, or to request other information or ask questions about the Fund, call 800-847-0200 or visit https://www.thornburg.com/edelivery.

 

As of the date of this SAI, the ETF Class shares of the Fund have not yet commenced operations. In addition to ETF Class shares, the Fund offers one or more classes of shares that are not exchange-traded and that operate as mutual funds (each, a “Mutual Fund Class”). A separate prospectus and statement of additional information provides information about such Mutual Fund Class shares of the Fund. An investment in the Fund’s ETF Class shares is not an investment in a mutual fund.

 

The description of investment policies and limitations that appears in this SAI and the Prospectus does not impose a contractual duty on the Fund or its investment advisor to comply with those policies and limitations, and no express or implied contract is created among the Fund and its shareholders by virtue of those shareholders having made an investment in the Fund or having received this SAI or the Prospectus. Furthermore, while the Trust may enter into contracts with third parties to manage the Fund’s assets and provide other services, as described in this SAI and the Prospectus, the Thornburg Investment Trust and each such third party are the sole intended beneficiaries of those contracts, and the Fund’s shareholders are not third party beneficiaries of those contracts.

 

 

TABLE OF CONTENTS

[ORGANIZATION OF THE FUND		3
EXCHANGE LISTING AND TRADING		4
MULTI-CLASS ETF FUND STRUCTURE		5
CONTINUOUS OFFERING		6
INVESTMENT POLICIES		7
Investing in Debt Obligations		7
Investing in Equity Securities		21
Investing in Derivative Instruments		23
Other Investments, Investment Techniques and Other Risks		36
Market Indices Information		42
COMMODITY EXCHANGE ACT REGISTRATION EXEMPTION		42
INVESTMENT LIMITATIONS		42
ADDITIONAL MATTERS RESPECTING TAXES		45
Elections by the Fund - Subchapter M		46
Distributions by Investment Companies - In General		47
Foreign Currency Transactions		48
Foreign Withholding Taxes		48
Income Dividends		49
Short Sales		50
Derivatives and Other Fund Investments		51
Sale, Redemption or Other Disposition of Shares		51
Backup Withholding		52
Non-U.S. Shareholders		52
State and Local Taxes		53
INVESTMENT ADVISOR, INVESTMENT ADVISORY AGREEMENTS, & ADMINISTRATIVE SERVICES AGREEMENTS		54
Investment Advisory Agreement		54
Proxy Voting Policies		56
Administrative Services Agreement		57
DISTRIBUTION PLAN		58
FINANCIAL INTERMEDIARY COMPENSATION		58
PORTFOLIO TRANSACTIONS		59
Portfolio Trading by Authorized Participants		61
Portfolio Turnover Rates		63
DISCLOSURE OF PORTFOLIO HOLDINGS		63
MANAGEMENT		64
Additional Information about the Experiences, Qualifications, Attributes and Skills of Each Trustee		69
Structure and Responsibilities of the Board of Trustees		72
Structure and Responsibilities of the Committees of the Trustees		74
Compensation of Trustees		76
Personal Securities Transactions of Personnel		78
INFORMATION ABOUT PORTFOLIO MANAGERS		78
Portfolio Manager Compensation		78

 

 

Conflicts of Interest		79
Accounts Managed By Portfolio Managers		79
Portfolio Managers’ Ownership of Shares in the Fund		80
PRINCIPAL HOLDERS OF SECURITIES		81
NET ASSET VALUE		81
DISTRIBUTOR		81
BOOK ENTRY		82
CREATION AND REDEMPTION OF CREATION UNITS		82
BUSINESS CONTINUITY PLAN		94
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		94
FINANCIAL STATEMENTS		94]

 

ORGANIZATION OF THE FUND

 

The Fund is a diversified series of Thornburg Investment Trust, a Massachusetts business trust (the “Trust”) organized on June 3, 1987 as a diversified, open-end management investment company under a Declaration of Trust (the “Declaration”). See the disclosure under the heading “Investment Limitations,” below, for more information about the diversification policies of each series of the Trust that operates as a diversified series.

 

The Trust currently has 26 series, of which 24 are active. The Trustees are authorized to divide the Trust’s shares into additional series and classes. This SAI only relates to ETF Class shares of the Fund. In addition to ETF Class shares, the Fund offers one or more classes of shares that are not exchange-traded and that operate as mutual funds. A separate statement of additional information provides information about such Mutual Fund Class shares of the Fund.

 

The assets received for the issue or sale of shares of the Fund, including ETF Class shares and Mutual Fund Class shares of the Fund, and all income, earnings, profits, and proceeds thereof, subject only to the rights of creditors, are specifically allocated to the Fund, and constitute the underlying assets of that Fund. The underlying assets of the Fund are segregated on the books of account, and are charged with the liabilities with respect to that Fund and with a share of the general expense of the Trust. Expenses with respect to the Trust are allocated in proportion to the asset value of the respective series and classes of the Trust, except where allocations of direct expense can otherwise be fairly made. The officers of the Trust, subject to the general supervision of the Trustees, determine which expenses are allocable to a given Fund, or generally allocable to all of the series of the Trust. In the event of the dissolution or liquidation of the Trust, shareholders of the Fund are entitled to receive as a class the underlying assets of that Fund which are available for distribution.

 

The Fund may in the future, rather than invest in securities generally, seek to achieve its investment objective(s) by pooling its assets with assets of other funds for investment in another investment company having the same investment objective(s) and substantially similar investment policies and restrictions as the Fund. The purpose of such an arrangement is to achieve greater operational efficiencies and to reduce cost. It is expected that any such investment company would be managed by Thornburg Investment Management, Inc. (“Thornburg” or the “Advisor”) in a manner substantially similar to the corresponding Fund. Shareholders of the Fund would receive prior written notice of any such investment, but may not be entitled to vote on the action. Such an investment would be made only if at least a majority of the Trustees of the Fund determined it to be in the best interest of the participating Fund and its shareholders.

 

The Trust is an entity of the type commonly known as a “Massachusetts business trust.” Under Massachusetts law, shareholders of such a trust may, under certain circumstances, be held personally liable for the obligations of the trust. The Declaration of Trust provides that the Trust shall not have any claim against shareholders except for the payment of the purchase price of shares. However, the risk of a shareholder incurring financial loss on account of shareholder liability is limited to circumstances in which the Fund itself would be unable to meet its obligations. Thornburg believes that, in view of the above, the risk of personal liability to shareholders is remote.

 

 

Except in connection with a shareholder’s conversion of the Fund’s Mutual Fund Class shares to ETF Class shares, the Fund offers and issues ETF Class shares at its net asset value (“NAV”) per share only in aggregations of a specified number of ETF Class shares (each, a “Creation Unit”), generally in exchange for the deposit (or delivery) of a designated portfolio of securities, assets or other positions (including any portion of such securities for which cash may be substituted) (the “Deposit Securities”), together with the deposit of a specified cash payment (the “Cash Component”). ETF Class shares may be purchased or redeemed at NAV only in Creation Units by or through authorized participants (“Authorized Participants”) and, generally, in exchange for Deposit Securities and a Cash Component.

 

ETF Class shares of the Fund are listed and trade on [ ] (the “Exchange”) at market prices that may be at, above or below the Fund’s NAV.

 

The Fund may hold special shareholder meetings and transmit proxy materials. These meetings may be called to elect or remove Trustees, change fundamental investment policies, or for other purposes. Shareholders not attending these meetings are encouraged to vote by proxy. The Fund will transmit proxy materials in advance, including a voting card and information about the proposals to be voted on. The number of votes you are entitled to is based upon the number of shares you own. Shares do not have cumulative rights or preemptive rights.

 

[State Street Bank and Trust Company, Boston, Massachusetts], is custodian of the assets of the Fund (the “Custodian”). The Custodian is responsible for the safekeeping of the Fund’s assets and the appointment of subcustodian banks and clearing agencies. The Custodian takes no part in determining the investment policies of the Fund or in deciding which securities are purchased or sold by the Fund.

 

EXCHANGE LISTING AND TRADING

 

ETF Class shares of the Fund are listed for trading, and trade throughout the day, on the Exchange. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of the ETF Class shares of the Fund will continue to be met. The Exchange may consider the suspension of trading in, and will commence delisting proceedings outlined in the Exchange’s rulebook for, the ETF Class shares of the Fund under any of the following circumstances: (i) the Fund, with respect to ETF Class shares, is no longer eligible to operate an ETF Class as an exchange-traded fund pursuant to, or is otherwise no longer in compliance with the terms and conditions of, exemptive relief granted by the SEC that permits, subject to certain conditions and requirements, the Fund to issue ETF Class shares and one or more classes of shares that are not exchange-traded, (ii) if any of the continued listing requirements are not continuously maintained, (iii) if following the initial twelve-month period after commencement of trading of ETF Class shares of the Fund on the Exchange, there are fewer than 50 beneficial holders of the ETF Class shares of the Fund, or (iv) if such other event shall occur or condition exists that, in the opinion of the Exchange, makes further dealings on the Exchange inadvisable. In addition, the Exchange will remove the ETF Class shares of the Fund from listing and trading upon termination of the Fund.

 

 

As in the case of other publicly-traded securities, when you buy or sell ETF Class shares of the Fund through a broker, you may incur a brokerage commission determined by that broker, as well as other charges.

 

The Trust reserves the right to adjust the ETF Class share prices of the Fund in the future to maintain convenient trading ranges for investors. Any adjustments would be accomplished through stock splits or reverse stock splits, which would have no effect on the net assets of the Fund or an investor’s equity interest in the Fund.

 

The base and trading currency of the ETF Class shares of the Fund is the U.S. dollar. The base currency is the currency in which the NAV per ETF Class share of the Fund is calculated and the trading currency is the currency in which the ETF Class shares of the Fund are listed and traded on the Exchange.

 

MULTI-CLASS ETF FUND STRUCTURE

 

Thornburg and the Trust, on behalf of the Fund, have received an exemptive order from the SEC that permits the Fund to offer mutual fund share classes and an exchange-traded share class that operates as an ETF (a “Multi-Class ETF Fund”). Under this structure, the ETF Class shares are listed and traded on a national securities exchange and are generally bought and sold at market-determined prices, whereas the mutual fund share classes are purchased and redeemed at the net asset value of a Multi-Class ETF Fund’s mutual fund class shares next determined after receipt of the order.

 

Due to the structural and operational differences between mutual funds and ETFs, shareholders of the mutual fund and ETF Class shares of a Multi-Class ETF Fund will have differing shareholder rights with respect to exchange privileges, how shares are purchased and redeemed, the timing of dividend declarations and payments, and the timing and ability to automatically reinvest dividends. For additional information regarding these differences, see the “Distributions and Taxes” and “Conversions” sections of the Prospectus and the “Organization of the Fund” and “Creation and Redemptions of Creation Units” sections of this SAI. Because shareholders of the Fund have voting rights based on the number of shares owned (including fractional shares), and because the shareholders in the mutual fund classes may be able to reinvest dividends sooner than shareholders in the ETF Class, each mutual fund class shareholder could obtain more voting power than an ETF Class shareholder in the days immediately following an ex-dividend date.

 

In addition, because all of the classes of a Multi-Class ETF Fund represent interests in the same portfolio, transactions through one class could generate portfolio transaction costs and tax consequences for shareholders in other classes. For example, shareholders of the ETF Class of a Multi-Class ETF Fund (as opposed to shareholders of a standalone ETF) could experience greater portfolio transaction costs and taxable capital gains distributions as a result of shareholder purchases and redemptions through a mutual fund class, portfolio trading activity, as well as costs due to cash drag associated with the Fund holding the cash necessary to satisfy redemptions of mutual fund class shares, which could negatively impact the ETF Class shares’ performance. At the same time, shareholders of all classes of a Multi-Class ETF Fund might benefit from cost savings and economies of scale to the extent that the multiple classes draw additional assets to the Multi-Class ETF Fund.

 

 

A Multi-Class ETF Fund also is required to comply with certain requirements of Rule 6c-11 under the 1940 Act, in order to permit ETF operations, which do not normally apply to a mutual fund. For example, a Multi-Class ETF Fund is required to provide daily transparency of the Fund’s holdings, which has the potential to make the Fund more susceptible to front running than a traditional mutual fund that provides less frequent public disclosure of portfolio holdings. Also, unlike a traditional mutual fund, a Multi-Class ETF Fund may not have the same flexibility to close the Fund to new purchases.

 

The use of this structure is subject to terms and conditions set forth in the SEC exemptive order that are designed to ensure that Thornburg and the Board of Trustees of the Trust (the “Board”) consider these potential issues on an initial and ongoing basis. The conditions include that the Board, and a majority of the independent Trustees, approve (initially, and at least annually thereafter) the operation of a Multi-Class ETF Fund pursuant to a multiple-class plan, finding that the plan is in the best interests of each mutual fund class and the ETF Class individually, and in the best interests of the Multi-Class ETF Fund as a whole. Thornburg shall prepare written reports to assist the Board’s findings that contain information regarding, among other items, the potential and/or observed benefits and costs to each class individually and the Multi-Class ETF Fund as a whole due to the structure, the appropriateness of the Multi-Class ETF Fund’s investment strategy for the structure, and the potential and/or observed material conflicts of interest between the classes and/or material negative consequences resulting from the structure.

 

CONTINUOUS OFFERING

 

Except in connection with a shareholder’s conversion of the Fund’s Mutual Fund Class shares to ETF Class shares, the Fund offers and issues ETF Class shares at its NAV only in Creation Units. The method by which Creation Units are created and trade may raise certain issues under applicable securities laws. Because new Creation Units are issued and sold by the Fund’s ETF Class on an ongoing basis, at any point a “distribution,” as such term is used in the Securities Act of 1933 (the “1933 Act”), may occur.

 

Broker-dealers and other persons are cautioned that some activities on their part may, depending on the circumstances, result in their being deemed participants in a distribution in a manner that could render them statutory underwriters and subject them to the prospectus delivery requirement and liability provisions of the 1933 Act.

 

For example, a broker-dealer firm or its client may be deemed a statutory underwriter if it takes Creation Units after placing an order with the transfer agent of the Fund’s ETF Class shares, breaks them down into constituent ETF Class shares, and sells such shares directly to customers, or if it chooses to couple the creation of a supply of new ETF Class shares with an active selling effort involving solicitation of secondary market demand for ETF Class shares. A determination of whether one is an underwriter for purposes of the 1933 Act must take into account all the facts and circumstances pertaining to the activities of the broker-dealer or its client in the particular case, and the examples mentioned above should not be considered a complete description of all the activities that could lead to categorization as an underwriter.

 

 

Broker-dealer firms should also note that dealers who are not “underwriters” but are effecting transactions in ETF Class shares, whether or not participating in the distribution of ETF Class shares, generally are required to deliver a prospectus. This is because the prospectus delivery exemption in Section 4(a)(3) of the 1933 Act is not available in respect of such transactions as a result of Section 24(d) of the 1940 Act. Firms that incur a prospectus delivery obligation with respect to ETF Class shares of the Fund are reminded that, pursuant to Rule 153 under the 1933 Act, a prospectus delivery obligation under Section 5(b)(2) of the 1933 Act owed to an exchange member in connection with the sale on an exchange is satisfied by the fact that the prospectus is available at the exchange upon request. The prospectus delivery mechanism provided in Rule 153 is only available with respect to transactions on an exchange.

 

INVESTMENT POLICIES

 

Information about the Fund’s principal investment strategies and the principal risks associated with those investment strategies is provided in the Prospectus. A “principal investment strategy” of the Fund is a strategy which Thornburg anticipates may be important in pursuing the investment objective(s) stated in the Fund’s prospectus and which Thornburg anticipates may have a significant effect on the Fund’s performance. In general, a security or investment strategy will not be considered a principal strategy of the Fund if it will not represent more than ten percent of the Fund’s assets.

 

The following discussion supplements the information in the Prospectus by providing additional detail about some of the investments that the Fund may make in pursuing that Fund’s investment objective(s) and certain risks associated with those investments or to which the Fund may otherwise be subject. Not all of the investments identified below will be used by the Fund at all times.

 

Under certain circumstances, the Fund is only permitted to invest a certain percentage of its assets in a particular investment strategy. For more information about the specific investment limitations that may be applicable to the Fund, please refer to the Prospectus and to the “Investment Limitations” section of this Statement of Additional Information. For purposes of any such limitation on the percentage of the Fund’s assets that could be invested in a particular investment strategy, the term “assets” means net assets of the Fund (determined immediately after and as a result of the Fund’s acquisition of a given investment) plus the amount of any borrowings for investment purposes.

 

Investing in Debt Obligations

 

Bonds and other debt obligations are used by issuers to borrow money from investors. The issuer pays the investor a fixed or variable rate of interest, and must repay the amount borrowed at maturity. The values and yields of debt obligations are dependent upon a variety of factors, including the condition of the general market, general market interest rates, the size of a particular debt offering, the maturity of the debt obligations, and the creditworthiness and rating of the issuer. Variations in the value of a debt obligation held in the Fund’s portfolio arising from these or other factors will cause changes in the net asset value of the Fund’s shares.

 

 

The following discussion contains additional detail about debt obligations, including some of the specific types of debt obligations in which the Fund may invest and certain risks associated with those investments. You should read the Prospectus for more information about the characteristics and risks of debt obligations.

 

Bond Ratings

 

Many bonds and other debt obligations are assigned credit ratings by ratings agencies such as Moody’s Investors Service (“Moody’s”), S&P Global Ratings (“S&P”), Fitch Ratings Inc. (“Fitch”), and Kroll Bond Rating Agency (“Kroll”). The ratings of any such ratings agency reflects that agency’s current opinion as to the creditworthiness of the issuers of the debt obligations which the ratings agency undertakes to rate. In determining credit ratings, ratings agencies evaluate each issuer’s capacity and willingness to meet its financial commitments as they come due, and may assess terms, such as collateral security and subordination, which could affect payment in the event of the issuer’s default.

 

While credit ratings may be helpful in evaluating the safety of principal and interest payments under debt obligations, credit ratings do not reflect the risk that market values of debt obligations will fluctuate with changes in interest rates, general economic trends or other factors. Accordingly, even the highest rated debt obligation may experience wide price movements. Credit rating agencies may also fail to change credit ratings in a timely fashion to reflect events occurring subsequent to the initial ratings. Furthermore, it should be emphasized that credit ratings are general and are not absolute standards of quality. Debt obligations with the same maturity, coupon and rating may have different yields, while debt obligations of the same maturity and coupon with different ratings may have the same yield.

 

In addition to using information provided by ratings agencies, Thornburg will subject each debt obligation under consideration for investment to its own credit analysis in an effort to assess each issuer’s financial soundness. This analysis is performed by Thornburg for a particular debt obligation at the time that the Fund purchases that obligation and will be reviewed by Thornburg from time to time thereafter.

 

Each ratings agency uses its own rating classification system to indicate the credit rating assigned to a particular debt obligation. In general, the ratings agencies classify debt obligations into two categories for purposes of the ratings process - long term and short term. The ratings agencies typically assign short term ratings to debt obligations that are considered short term in the relevant market. In the United States, for example, the ratings agencies deem short term debt obligations to include commercial paper and other obligations with an original maturity of no more than 365 days. The following is a brief description of the applicable ratings symbols and their meanings for each of Moody’s, S&P, Fitch, and Kroll.

 

 

Ratings for Long Term Debt Obligations

 

Rating	Description (descriptions shown generally track language used by Moody’s though all ratings agencies use similar language for each rating category)
Aaa (Moody’s) AAA (S&P, Fitch, and Kroll)	Debt obligations judged to be of the highest quality, with minimal credit risk. The issuer is determined to have an extremely strong capacity to pay principal and interest on the obligation.
Aa (Moody’s) AA (S&P, Fitch, and Kroll)	Debt obligations judged to be of high quality, with very low credit risk. The issuer is determined to have a very strong capacity to pay principal and interest on the obligation.
A (all ratings agencies)	Debt obligations judged to be of upper-medium grade quality, with low credit risk. The issuer is determined to have a strong capacity to pay principal and interest on the obligation.
Baa (Moody’s) BBB (S&P, Fitch, and Kroll)	Debt obligations judged to be of medium grade quality, with moderate credit risk and certain speculative characteristics. Adverse economic conditions may weaken the ability of the issuer to pay principal and interest on the obligation. This is the last of the ratings categories commonly referred to as “investment grade.”
Ba (Moody’s) BB (S&P, Fitch, and Kroll)	Debt obligations judged to have speculative elements and are subject to substantial credit risk. The issuer may face major ongoing uncertainties, and adverse economic conditions may weaken the ability of the issuer to pay principal and interest on the obligation. This is the first of the ratings categories commonly referred to as “below investment grade,” “non-investment grade” or “speculative grade.”
B (all ratings agencies)	Debt obligations judged to be speculative and subject to high credit risk. Although the issuer currently has the capacity to make principal and interest payments on the obligation, adverse economic conditions will likely impair the ability of the issuer to meet those financial commitments.
Caa (Moody’s) CCC (S&P, Fitch, and Kroll)	Debt obligations judged to be of poor standing and subject to very high credit risk. Such obligations are currently vulnerable to nonpayment by the issuer, particularly in the event of adverse economic conditions or changing circumstances.
Ca (Moody’s) CC (S&P, Fitch, and Kroll)	Debt obligations judged to be highly speculative. These obligations are likely in, or very near, default, with some prospect of recovery of principal and interest.
C (all ratings agencies)	Debt obligations that are currently highly vulnerable to nonpayment, debt obligations that permit payment arrearages, or debt obligations of an issuer that is the subject of a bankruptcy petition or similar action but has not yet experienced a payment default. These obligations have little prospect for recovery of principal and interest.
RD (Fitch)	Debt obligations for an issuer that, in Fitch’s opinion, has experienced an uncured payment default but has not entered into bankruptcy or otherwise ceased business.
D (all ratings agencies)	Debt obligations that are currently in payment default.

 

 

Moody’s may append the numerical modifiers 1, 2 or 3 to any debt obligation rated Aa through Caa to indicate the relative standing of that obligation within its principal rating category. Similarly, S&P may append a “+” or “-” to any debt obligation rated AA through CCC to indicate the relative standing of that obligation within its principal rating category. The foregoing ratings are sometimes presented in parentheses preceded with “Con.” (Moody’s) or “p” (S&P), indicating that the obligations are rated conditionally/provisionally. Bonds for which the security depends upon the completion of some act or the fulfillment of some condition may be rated in this fashion. The parenthetical rating denotes the probable credit status upon completion of construction or elimination of the basis of the condition.

 

Ratings for Short Term Debt Obligations

 

Rating	Description (descriptions shown generally track language used by Moody’s though all ratings agencies use similar language for each rating category)
P-1 (Moody’s) A-1 (S&P) F1 (Fitch) K1 (Kroll)	Issuer has a superior ability to repay its short term debt obligations. S&P may also designate this type of obligation with a “+” to indicate that the issuer’s capacity to repay the obligation is extremely strong.
P-2 (Moody’s) A-2 (S&P) F2 (Fitch) K2 (Kroll)	Issuer has a strong ability to repay its short term debt obligations, though repayment of these obligations is somewhat more susceptible to adverse economic conditions than obligations in the higher rated category.
P-3 (Moody’s) A-3 (S&P) F3 (Fitch) K3 (Kroll)	Issuer has an acceptable ability to repay its short term debt obligations. Adverse economic conditions are more likely to weaken the ability of the issuer to meet its financial commitments on these types of obligations.
NP (Moody’s)	To the extent a short term debt obligation does not fall into one of the three previous categories, Moody’s identifies that obligation as NP or Not Prime.
B (S&P, Fitch, and Kroll)	The short term debt obligation is judged to have significant speculative characteristics. Although the issuer currently has the capacity to meet financial commitments on these obligations, the issuer faces ongoing uncertainties which could affect the issuer’s ability to meet those commitments. S&P may further delineate this ratings category into “B-1,” “B-2” or “B-3 to indicate the relative standing of an obligation within the category.
C (S&P, Fitch, and Kroll)	The short term debt obligation is currently vulnerable to nonpayment, and the issuer is dependent on favorable economic conditions to continue to meet its commitments on the obligation.
RD (Fitch)	The issuer is in default on one or more of its financial commitments but continues to meet other financial obligations.
D (S&P, Fitch, and Kroll)	The short term debt obligation is in payment default.

 

 

Ratings of Municipal Notes. In addition to the foregoing, the ratings agencies may separately categorize municipal notes. Municipal notes are debt obligations issued by states, cities and local authorities and which mature in one year or less. As with the ratings systems used for other debt obligations, the rating agencies’ categorization of municipal notes reflects a decreasing judgment of the ability of the issuer to meet its financial obligations under the note.

 

Dual Ratings. The rating agencies may assign dual ratings to all long term debt obligations that have a demand or multiple redemption feature. The first rating addresses the likelihood of repayment of principal and interest as due and the second rating addresses only the demand feature. The long term debt rating symbols are used to denote the long term maturity and the short term debt rating symbols are used to denote the put option (for example, “AAA/A-1+”). For certain “demand notes” maturing in 3 years or less, the respective municipal note rating symbols, combined with the short term debt obligation symbols, are used (for example. “SP-1/A-1”).

 

Determining a Portfolio’s Average Maturity

 

A debt obligation’s maturity generally represents the time remaining until the principal amount of that obligation becomes due and payable.

 

 

For purposes of determining an investment’s maturity, Thornburg will treat a debt obligation as having a maturity earlier than its stated maturity date if the instrument has technical features (such as put or demand features) or a variable rate of interest which, in the judgment of Thornburg, will result in the instrument being valued in the market as though it has an earlier maturity.

 

In addition, the Fund may estimate the expected maturities of certain securities it purchases in connection with achieving its investment objectives. Certain obligations, such as United States Treasury Bills and United States Treasury Notes, have stated maturities. However, other obligations the Fund may acquire are interests in pools of mortgages or other loans having varying maturities. Due to prepayments of the underlying mortgage instruments or other loans, such securities do not have a known actual maturity (the stated maturity date of collateralized mortgage obligations is, in effect, the maximum maturity date). In order to determine whether such a security is a suitable and permissible investment for the Fund (and assuming the security otherwise qualifies for purchase by the Fund), the security’s remaining term will be deemed equivalent to the estimated average life of the underlying mortgages at the time of purchase of the security by the Fund. Average life will be estimated by the Fund based on Thornburg’s evaluation of likely prepayment rates after taking into account current interest rates, current conditions in the relevant housing markets and such other factors as it deems appropriate. There can be no assurance that the average life as estimated will be the actual average life. For example, the mortgage instruments in the pools underlying mortgage-backed securities may have a range of different original maturities. The average life of such a security at the time of purchase by the Fund is likely to be substantially less than the maximum original maturity of the mortgage instruments underlying the security because of prepayments of the mortgage instruments, the passage of time from the issuance of the security until its purchase by the Fund and, in some cases, the wide dispersion of the original maturity dates of the underlying mortgage instruments.

 

Certain securities which have variable or floating interest rates or demand or put features may be deemed by Thornburg to have remaining actual lives which are less than their stated nominal lives. In addition, certain asset-backed securities which have variable or floating interest rates may be deemed by Thornburg to have remaining lives which are less than the stated maturity dates of the underlying mortgages.

 

Determining a Debt Obligation’s Duration

 

Duration is an estimate of the sensitivity of a debt obligation to changes in interest rates, and is consequently a measure of interest rate risk. The duration of a given debt obligation represents an approximation of the expected percentage change in a debt obligation’s value in response to a change in interest rates. Duration is commonly expressed as a number of years, and the value of an obligation or a portfolio of obligations with a higher number-a longer duration-will be more volatile in response to changes in interest rates.

 

Computations of duration for a specific debt obligation or for a portfolio of debt obligations will vary depending upon various factors, including the assumptions employed in performing the computations. Because duration figures are estimates, the actual changes in market values of specific debt obligations or portfolios of obligations may be different from the estimated changes in valuations based upon durations computed for the obligations or portfolios of obligations.

 

 

Lower-Quality Debt Obligations

 

The Fund may purchase debt obligations which are of lower-quality at the time of purchase or which, due to issuer default or credit ratings downgrades, are determined subsequent to purchase to be of lower-quality. Under normal conditions, the Fund may invest up to fifty percent of its portfolio in such lower-quality debt obligations.

 

For these purposes, “lower-quality” debt obligations include debt obligations rated below Baa by Moody’s or BBB by S&P, Fitch or Kroll, and unrated securities judged by Thornburg to be of equivalent quality. Lower-quality debt obligations typically have poor protection with respect to the payment of interest and repayment of principal, and may be in default. These obligations are often considered to be speculative and involve greater risk of loss or price changes due to changes in the issuer’s capacity to pay. The market prices of lower-quality debt obligations may fluctuate more than those of higher-quality debt obligations and may decline significantly in periods of general economic difficulty, which may follow periods of rising interest rates.

 

The market for lower-quality debt obligations may be thinner and less active than that for higher-quality debt obligations, which can adversely affect the prices at which the former are sold. If the Fund experiences unexpected net redemptions, it could be forced to sell lower-quality debt obligations in its portfolio at disadvantageous prices without regard to those obligations’ investment merits, which could depress the Fund’s net asset value and reduce the Fund’s overall investment performance. If market quotations are not available, lower-quality debt obligations will be valued in accordance with procedures established by Thornburg, subject to the oversight of the Trustees, including the use of outside pricing services. Judgment plays a greater role in valuing lower-quality debt obligations than is the case for securities for which more external sources for quotations and last-sale information are available. Adverse publicity and changing investor perceptions may affect the ability of outside pricing services to value lower-quality debt obligations and the Fund’s ability to sell these securities. Since the risk of default is higher for lower-quality debt obligations, Thornburg’s research and credit analysis are an especially important part of managing securities of this type held by the Fund. In considering investments for the Fund, Thornburg will attempt to identify those issuers of high-yielding securities whose financial condition is adequate to meet future obligations, has improved, or is expected to improve in the future. Thornburg’s analysis focuses on relative values based on such factors as interest or dividend coverage, asset coverage, earnings prospects, and the experience and managerial strength of the issuer.

 

The Fund may choose, for example in the event of a default by the issuer of a debt obligation, at its expense or in conjunction with others, to pursue litigation or otherwise to exercise its rights as a security holder to seek to protect the interests of security holders if it determines this to be in the best interest of the Fund’s shareholders.

 

The Fund may invest a significant portion of its portfolio in municipal obligations that are unrated. Unrated obligations may be less liquid than comparable rated obligations and may be more difficult to value. Moreover, unrated obligations may be more difficult for Thornburg to evaluate and there is the risk that Thornburg may not accurately evaluate an investment’s actual credit quality. In particular, an unrated obligation that Thornburg believes is equivalent to an investment grade obligation could ultimately exhibit characteristics associated with lesser rated obligations.

 

 

Mortgage-Backed Securities and Mortgage Pass-Through Securities

 

Mortgage-Backed Securities. The Fund may invest in mortgage-backed securities, in debt obligations which are secured with collateral consisting of mortgage-backed securities, and in other types of mortgage-related securities.

 

Mortgage-backed securities are interests in pools of mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Pools of mortgage loans are assembled as securities for sale to investors by various governmental, government-related and private organizations. A decline in interest rates may lead to a faster rate of repayment of the underlying mortgages, which may expose the Fund to a lower rate of return upon reinvestment of the prepayments. Additionally, the potential for prepayments in a declining interest rate environment might tend to limit to some degree the increase in net asset value of the Fund because the value of some mortgage-backed securities held by the Fund may not appreciate as rapidly as the price of non-callable debt obligations. During periods of increasing interest rates, prepayments likely will be reduced, and the value of the mortgage-backed securities will decline.

 

Interests in pools of mortgage-backed securities differ from other forms of debt obligations. Whereas other forms of debt obligations normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates, mortgage-backed securities provide a monthly payment which consists of both interest and principal payments. In effect, these payments are a “pass-through” of the monthly payments made by the individual borrowers on their mortgage loans, net of any fees paid to the issuer or insurer of such securities. Additional payments are caused by repayments of principal resulting from the sale of the underlying property, or upon refinancing or foreclosure, net of fees or costs which may be incurred. Some mortgage-related securities (such as securities issued by the Government National Mortgage Association) are described as “modified pass-through.” These securities entitle the holder to receive all interest and principal payments owed on the mortgage pool, net of certain fees, on the scheduled payment dates regardless of whether or not the mortgagor actually makes the payment.

 

The principal governmental guarantor of mortgage-related securities is the Government National Mortgage Association (“Ginnie Mae”). Ginnie Mae is a wholly-owned United States Government corporation within the Department of Housing and Urban Development. Ginnie Mae is authorized to guarantee, with the full faith and credit of the United States government, the timely payment of principal and interest on securities issued by institutions approved by Ginnie Mae (such as savings and loan institutions, commercial banks and mortgage bankers) and backed by pools of mortgages insured or guaranteed by the Federal Housing Administration, the U.S. Department of Veteran Affairs or the Farmers Home Administration. These guarantees, however, do not apply to the market value or yield of mortgage-backed securities or to the value of Fund shares. Also, Ginnie Mae securities often are purchased at a premium over the maturity value of the underlying mortgages. This premium is not guaranteed and will be lost if prepayment occurs.

 

 

Government-related guarantors (i.e., not backed by the full faith and credit of the United States Government) include the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Fannie Mae is a government-sponsored corporation subject to general regulation by the Secretary of Housing and Urban Development. Fannie Mae purchases conventional (i.e., not insured or guaranteed by any government agency) mortgages from a list of approved seller/servicers which include state and federally-chartered savings loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by Fannie Mae are guaranteed as to timely payment of principal and interest by Fannie Mae but are not backed by the full faith and credit of the United States Government. Freddie Mac is a corporate instrumentality of the United States Government and was created by Congress in 1970 for the purpose of increasing the availability of mortgage credit for residential housing. Its stock is owned by the twelve Federal Home Loan Banks. Freddie Mac issues Participation Certificates (“PCs”), which represent interests in conventional mortgages from Freddie Mac’s national portfolio. Freddie Mac guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the United States Government.

 

In September 2008, the U.S. Government placed Fannie Mae and Freddie Mac into conservatorship overseen by the Federal Housing Finance Authority. That arrangement is intended to provide additional financial support to Fannie Mae and Freddie Mac. Since 2009, Fannie Mae and Freddie Mac have also each received significant capital support through the purchase of United States Treasury stock, and the United States Treasury has announced its expectation that it would continue providing such support in order to prevent either Fannie Mae or Freddie Mac from having negative net worth. Despite these measures, there can be no assurance that Fannie Mae and Freddie Mac will remain successful in meeting their financial commitments under the debt obligations that they issue or guarantee. There is also an ongoing debate among federal policy makers regarding whether Fannie Mae and Freddie Mac should be nationalized, privatized, restructured, or eliminated altogether.

 

Municipal Obligations

 

The Fund may invest in municipal obligations. In particular, the Fund’s assets will normally consist of (1) municipal obligations or participation interests therein that are rated at the time of purchase within the four highest credit rating grades by Moody’s or S&P, (2) municipal obligations or participation interests therein that are not rated by a rating agency, but are issued by obligors that have other comparable debt obligations that are rated within the four highest credit rating grades by Moody’s or S&P, or in the case of obligors whose obligations are unrated, are deemed by Thornburg to be comparable with issuers having such debt ratings, and (3) a small amount of cash or equivalents.

 

Municipal obligations include debt and lease obligations issued by states, cities and local authorities to obtain funds for various public purposes, including the construction of a wide range of public facilities such as airports, bridges, highways, housing, hospitals, mass transportation, schools, streets and water and sewer works. Other public purposes for which municipal obligations may be issued include the refunding of outstanding obligations, the procurement of funds for general operating expenses and the procurement of funds to lend to other public institutions and facilities. In addition, certain types of industrial development bonds are issued by or on behalf of public authorities to obtain funds to provide privately-operated housing facilities, sports facilities, convention or trade show facilities, airport, mass transit, port or parking facilities, air or water pollution control facilities and certain local facilities for water supply, gas, electricity or sewage or solid waste disposal. Municipal obligations have also been issued to finance single-family mortgage loans and to finance student loans. Such obligations are included within the term “municipal obligations” for this discussion if the interest paid thereon is exempt from federal income tax.

 

 

Municipal obligations are generally classified as municipal bonds or municipal notes. A municipal bond typically has a maturity of more than one year and is issued by a state, city or local authority to meet longer-term capital needs. The two principal classifications of municipal bonds are “general obligation” and “revenue” bonds. General obligation bonds are secured by the issuer’s pledge of its faith, credit and taxing power for the payment of principal and interest. Revenue bonds are payable only from the revenues derived from a particular facility or class of facilities or, in some cases, from the proceeds of a specific revenue source. Industrial development bonds are in most cases revenue bonds and are generally not secured by the pledge of the credit or taxing power of the issuer of such bonds. There are, of course, variations in the security of municipal bonds, both within a particular classification and between classifications, depending on numerous factors. In contrast to municipal bonds, municipal notes typically have a maturity of one year or less and are issued by states, cities and local authorities to provide for short-term capital needs, often as an interim step in anticipation of the municipality receiving future revenue.

 

At times, a significant portion of the Fund’s assets may be invested in municipal obligations that are related in a manner that they may be affected negatively by specific economic, business, legal or political developments. For example, if the Fund has invested in revenue bonds issued by political subdivisions to finance healthcare facilities, reductions in medical expense reimbursements by private insurers or governmental agencies could have a negative impact on the revenues of those facilities and the ability of those facilities to service the revenue bonds. Similarly, if the Fund has invested in municipal obligations originating in a specific state, then adverse fiscal or economic developments in the state could negatively affect both general obligation and revenue bonds issued by the state and its political subdivisions, agencies and instrumentalities.

 

From time to time, proposals have been introduced before Congress for the purpose of restricting or eliminating the federal income tax exemption for interest on municipal securities. Similar proposals may be introduced in the future. These proposals, if enacted, may have the effect of reducing the availability of investments in municipal obligations and may adversely affect the value of the Fund’s portfolio. In addition, the Fund could be compelled to reevaluate its investment objectives and policies and submit possible changes in the structure of the Fund for the approval of its respective shareholders. Although the interest received from municipal securities generally is exempt from regular federal income tax, the Fund may from time to time invest a portion of its total assets in municipal securities whose income is not exempt from regular federal income tax, and the income on the Fund’s investments in municipal securities may also be subject to the federal alternative minimum tax (See “Additional Matters Respecting Taxes; Income Dividends” below for more information).

 

 

Auction Rate Securities. An auction rate security is a municipal obligation with a long-term nominal maturity for which the interest rate is reset at specific shorter frequencies (typically every seven to 35 days) through an auction process. The auction is a competitive bidding process used to determine interest rates on each auction date. In the auction, broker dealers submit bids to the auction agent on behalf of investors. The winning bid rate is the rate at which the auction clears, meaning the lowest possible interest rate at which the specific issue of municipal obligations can be sold at par. The clearing rate of interest established in the auction is paid on the entire issue of the municipal obligations for the upcoming period to the holders of those obligations. Investors who bid an interest rate above the clearing rate of interest receive no portion of the issue of municipal obligations, while those whose bids were at or below the clearing rate receive the clearing rate for the next period. Although the auction rate process is intended to permit the holders of a given issue of municipal obligations to sell their holdings at par in the auction at specified intervals, there is the risk that an auction will fail due to an insufficient demand for the obligations that are the subject of the auction, preventing the holders of the obligations from disposing of their holdings, potentially for an indeterminate period of time. In addition, auction rate securities may be subject to changes in interest rates, including decreased interest rates, thereby reducing the yields to holders of the obligations.

 

Fixed Rate Demand Obligations. The Fund may purchase fixed rate municipal demand obligations or instruments either in the public market or privately. Such instruments may provide for periodic adjustment of the interest rate paid to the holder. The “demand” feature permits the holder to demand payment of principal and interest prior to the instrument’s final stated maturity, either from the issuer or by drawing on a bank letter of credit, a guarantee or insurance issued with respect to the instrument. In some cases these demand instruments may be in the form of units, each of which consists of (i) a municipal obligation and (ii) a separate put option entitling the holder to sell to the issuer of such option the municipal obligation in the unit, or an equal aggregate principal amount of another municipal obligation of the same issuer, issue and maturity as the municipal obligation, at a fixed price on specified dates during the term of the put option. In those cases, each unit taken as a whole will be considered a municipal obligation, based upon an accompanying opinion of counsel. The Fund may invest in fixed rate municipal demand instruments of any credit quality.

 

Floating Rate and Variable Rate Demand Obligations. Floating rate and variable rate demand notes, obligations or instruments are municipal obligations or participations therein, either publicly underwritten and traded or privately purchased, that provide for a periodic adjustment of the interest rate paid on the instrument and may permit the holder to demand payment of the unpaid principal amount and accrued interest upon not more than seven days’ notice either from the issuer or by drawing on a bank letter of credit, a guarantee or insurance issued with respect to such instrument. Such letters of credit, guarantees or insurance will be considered in determining whether a municipal obligation meets the Fund’s investment criteria. The issuer of a variable rate demand instrument may have the corresponding right to prepay the principal amount prior to maturity.

 

 

Mortgage-Backed Municipal Obligations. Some municipal obligations the Fund may purchase are backed by mortgage loans made by financial institutions or governmental agencies to finance single and multi-family housing projects or other real estate-related projects. Repayment of these municipal obligations may be secured by the revenues from a single housing project, or may be secured by a number of housing units. Interests in securities backed by a pool of mortgages on multiple housing units differ from other forms of debt obligation, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified payment dates. Instead, these securities provide for a periodic (typically monthly) payment which consists of both interest and principal payments. For more information about the characteristics and risks of mortgage-backed securities, see “Mortgage-Backed Securities and Mortgage Pass-Through Securities” above.

 

Municipal Leases. The Fund may at times invest in municipal obligations, including lease revenue bonds and certificates of participation, which provide the Fund with a proportionate interest in payments made by the governmental issuer on an underlying municipal lease. Although municipal lease obligations do not constitute general obligations of the governmental issuer for which the issuer’s taxing power is pledged, these lease obligations are typically backed by the issuer’s covenant to budget for, appropriate and make the payments due on the underlying lease. However, certain municipal lease obligations may include “non-appropriation” clauses, which provide that the governmental issuer has no obligation to make lease payments unless money is appropriated each year for that purpose. While the lease obligation might be secured by the leased property, it might be difficult for the Fund to dispose of the leased property in case of a default by the governmental lessee. In addition, some municipal lease obligations may be less liquid than other debt obligations, making it difficult for the Fund to sell the obligation at an acceptable price. In seeking to reduce the special risks associated with investment by the Fund in municipal lease obligations, Thornburg will consider: (i) whether the underlying lease can be canceled; (ii) whether the nature of the leased equipment or property is such that its ownership or use is deemed essential to a governmental function of the governmental lessee (e.g., the potential for an “event of nonappropriation”); (iii) in cases where the obligation gives the Fund a secured interest in the underlying equipment, whether that equipment has elements of portability or use that enhance its marketability in the event of a default by the governmental lessee; (iv) whether the governmental issuer’s general credit is adequate; and (v) such other factors concerning credit quality or the Fund’s legal recourse in the event of a default by the governmental issuer as Thornburg may deem relevant. Thornburg will also evaluate the liquidity of each municipal lease obligation upon its acquisition and periodically while it is held based upon various factors, including: (a) the frequency of trades and quotes for the obligation; (b) the number of dealers who will buy or sell the obligation and the potential buyers for the obligation; (c) the willingness of dealers to make a market for the obligation; (d) the nature and timing of marketplace trades; and (e) such other factors concerning the trading market as Thornburg may deem relevant.

 

Tender Option Bonds. The Fund may invest in tender option bonds. Tender option bonds are created when the owner or owners of one or more fixed rate municipal obligations sell or transfer those obligations to a trust that is sponsored by a broker-dealer or other third party. The trust then issues two new securities, each of which represents a beneficial interest in the trust. One of these securities is a short-term, floating-rate security, sometimes referred to as a “senior certificate” or a “floater.” The interest rate on the senior certificate is initially set at a level that is lower than the interest rate on the underlying municipal obligation(s), and resets periodically based on the movement of a short-term benchmark interest rate. The senior certificates also have a demand feature which permits the security holder to put the security back to the trust after a specified notice period. In that event the security holder is entitled to receive the principal amount of the senior certificate plus accrued interest. Those amounts are paid by either the sponsor of the trust or by a third party that acts as a liquidity provider for the trust. The other security issued by the trust is a long-term, floating-rate security, sometimes referred to as a “residual interest” or an “inverse floater.” The residual interests pay an interest rate equal to the interest that is paid on the underlying municipal obligation(s) less the interest that was paid to the holders of the senior certificates and less any expenses of the trust. Unlike the senior certificates, the residual interest securities do not have a put feature. Upon maturity of the underlying municipal obligation(s) or another event which causes the termination or liquidation of the trust, holders of the senior certificates are generally entitled to receive the principal amount of their security plus a portion of any gains in the market value of the underlying municipal obligations, while holders of the residual interest are generally entitled to receive whatever amounts remain in trust after payment to the senior certificate holders and payment of trust expenses.

 

 

The senior certificates are sold to third parties, which may include the Fund, in a private placement transaction. Because the senior certificates have first priority to the cash flows from the underlying municipal obligation(s), and because the holders of senior certificates have a right to put those securities back to the trustee or to a third party liquidity facility, investments in senior securities are generally perceived as involving less interest rate, credit, and market risk than investments in the residual interests. Investors in senior certificates are, however, exposed to the risk that the trust sponsor or third party liquidity facility fails to meet its contractual obligation to buy back the security when the investor exercises its put option.

 

The residual interests are issued to the person(s) that transferred the municipal obligation(s) to the trust. The residual interest holders also receive the proceeds from the sale of the senior certificates, less certain transaction costs and trustee fees. Risks associated with an investment in residual interests include the risks associated with an investment in the underlying municipal obligations, and the risk that increases in short-term interest rates will increase interest payments to the senior certificate holders and therefore reduce interest payments to the residual interest holders. Investments in residual interests also typically involve leverage, which may magnify an investor’s losses.

 

U.S. Government Obligations

 

The Fund may invest in obligations of the U.S. Government.

 

U.S. Government Obligations include bills, certificates of indebtedness, notes and bonds issued or guaranteed as to principal or interest by the United States or by agencies or authorities controlled or supervised by, and acting as instrumentalities of, the U.S. government and established under the authority granted by Congress, including, but not limited to, Ginnie Mae, the Tennessee Valley Authority, the Bank for Cooperatives, the Farmers Home Administration, Federal Home Loan Banks, Federal Intermediate Credit Banks, Federal Land Banks, Farm Credit Banks and Fannie Mae. Some obligations of U.S. government agencies, authorities and other instrumentalities are supported by the full faith and credit of the U.S. Treasury; others by the right of the issuer to borrow from the Treasury; others only by the credit of the issuing agency, authority or other instrumentality. In the case of securities not backed by the full faith and credit of the United States, the investor must look principally to the agency issuing or guaranteeing the obligation for ultimate repayment, and may not be able to assert a claim against the United States itself in the event the agency or instrumentality does not meet its commitments. All U.S. Government Obligations are subject to the same risks affecting other debt obligations. Even if a U.S. Government Obligation is backed by the full faith and credit of the U.S. Treasury, it is possible that the U.S. government may be unable or unwilling to repay principal and interest when due, and may require that the terms for payment be renegotiated.

 

 

One specific type of U.S. Government Obligation is a Treasury Inflation Protected Security (“TIPS”). TIPS are debt obligations issued by the U.S. Treasury which are intended to protect investors from the negative effects of inflation. The principal value of the TIPS is periodically adjusted according to the rate of inflation, as measured by changes in the Consumer Price Index. Interest on TIPS is paid semi-annually as a fixed percentage of the inflation-adjusted principal amount. Typically, the interest rate on TIPS is lower than the interest rate paid on other U.S. Government Obligations of the same maturity.

 

Zero Coupon Bonds and “Stripped” Securities

 

The Fund may purchase zero coupon bonds, including stripped securities.

 

Zero coupon bonds are corporate or government-issued debt obligations which do not require the periodic payment of interest and are issued at a significant discount from face value. The discount approximates the total amount of interest the bonds will accrue and compound over the period until maturity at a rate of interest reflecting the market rate of the obligation at the time of issuance.

 

A “stripped” security is a zero coupon bond created by separating the principal and interest cash flows from another debt obligation, typically a U.S. Treasury security. The principal component is often referred to as a “principal only” or “P/O” security, while the interest component is often referred to as an “income only” or “I/O” security.

 

Because zero coupon bonds pay no interest and compound semi-annually at the rate fixed at the time of their issuance, their market value is generally more volatile than the market value of comparable, interest-paying bonds, particularly during periods of changing interest rates. The Fund is required to accrue income from zero coupon bonds on a current basis even though it does not receive the income currently in cash, and the Fund is required to distribute that income for each taxable year. To generate the cash necessary to satisfy such distributions, the Fund invested in zero coupon bonds may have to sell portfolio securities that it otherwise might have continued to hold or use cash flows from other sources, including the sale of Fund shares.

 

 

Investing in Equity Securities

 

Equity securities represent an ownership interest in the entity issuing the security. Common stocks, the most familiar type of equity security, represent an ownership interest in a corporation. The values of equity securities fluctuate significantly in response to changes in market conditions, political and economic news, changes in company earnings and dividends, changes in the prospects for company businesses, industry and technological developments, changes in interest rates, and developments affecting specific companies. When equity securities held by the Fund decline in value, the value of the Fund’s shares declines. These declines may be significant and there is no assurance that declines in value can be recaptured by future gains in value. When equity securities held in short position by the Fund increase in value, the Fund may experience a loss, as described in “Short Sales,” below.

 

The following discussion contains additional detail about equity securities, including some of the specific types of equity securities in which the Fund may invest and certain risks associated with those investments. You should read the Prospectus for more information about the characteristics and risks of equity securities.

 

Closed End Funds

 

The Fund may invest in the shares of closed end funds, including closed end funds which have elected to be treated as business development companies under the Investment Company Act of 1940 (the “1940 Act”). The Fund’s investment in the shares of closed end funds is limited to those closed end funds that invest in municipal obligations and distribute income that the Fund is permitted to designate as exempt interest dividends.

 

Closed end funds are investment companies that invest in various securities and other financial assets, and which issue shares that trade on exchanges in a manner similar to the shares of exchange traded funds (see “Exchange Traded Funds” below). The shares of a closed end fund change in value as the values of its component securities and other investments fluctuate with market changes. In contrast to exchange traded funds, however, the trading values of a closed end fund’s shares often diverge to a greater extent from the net asset value of the fund’s underlying portfolio investments. A closed end fund incurs its own operating expenses, so that if the Fund invests in a closed end fund, shareholders of the Fund bear the closed end fund’s expenses in addition to the expenses of the Fund.

 

Exchange Traded Funds

 

The Fund may invest in the shares of exchange traded funds (“ETFs”). The Fund’s investment in the shares of ETFs is limited to those ETFs that invest in municipal obligations and distribute income that the Fund is permitted to designate as exempt interest dividends.

 

ETFs are investment companies that invest in various securities and financial assets. ETFs are created either to provide investment results corresponding to a securities index, or are actively managed in a manner corresponding more closely to a traditional mutual fund. ETFs are typically available to investors as units of beneficial interest in a trust, and are purchased and sold on an exchange in the same way as common stocks. The values of ETF shares increase and decline as the values of the ETF’s component securities and other investments fluctuate with the market changes, and usually trade in a relatively narrow range relative to the net asset value of its underlying portfolio investments because the structure of an ETF permits certain major market participants to redeem shares of the ETF for a “basket” of the ETF’s underlying investments. Shares in an ETF held by the Fund are consequently subject to the same general market risks that affect the underlying investments by the ETF, except that the Fund’s investments in an ETF may not exactly match the performance of any specific index (and may not perform as well as any specific index) because of differences between the ETF’s investments and the index or other factors. In addition, each ETF incurs its own operating expenses, so that if the Fund invests in an ETF, shareholders of the Fund bear the ETF’s expenses in addition to the expenses of the Fund.

 

 

From time to time the Fund may take short positions in leveraged ETFs. Leveraged ETFs are ETFs that use derivatives instruments or other investment techniques to try to generate returns that exceed the returns of their underlying portfolio investments. The use of leverage by ETFs tends to exaggerate the effect of any increase or decrease in the value of the ETF’s underlying investments and may, therefore, cause the value of the ETF’s shares to be more volatile than if the ETF did not use leverage.

 

Investments in the Equity Securities of Smaller Companies

 

Smaller, less seasoned companies are generally subject to greater price fluctuations, limited market liquidity, higher transaction costs and generally higher investment risks. Smaller companies may have limited product lines, markets or financial resources, may have more limited management expertise and resources, and have more limited financing and capital. There may be less available information respecting these companies.

 

Short Sales

 

The Fund may enter into short sales with respect to an investment that Thornburg believes to be overvalued or to hedge against the Fund’s long exposures. The Fund may engage in short selling with respect to any of the securities in which the Fund is permitted to invest, including domestic and foreign equity securities and debt obligations.

 

In a short sale, the Fund borrows a security from a lender and then sells that borrowed security to another party. In order to complete the short sale, the Fund must return the borrowed security to the lender, which the Fund normally does by purchasing that security on the open market and delivering it to the lender. The Fund will realize a gain if the price of the security declines between the date the Fund borrowed the security and the date the Fund purchased the security to replace the borrowed security. The Fund will incur a loss if the price of the security increases between those dates. The Fund is required to pay to the lender amounts equal to any dividend or interest which accrues on the borrowed security during the period of the loan. The Fund may also be required to pay a premium, fee, or other amount to the lender in exchange for borrowing the security.

 

Although the Fund hopes to profit from its short sales, short sales may include risks that are different than, and in some respects may exceed, the Fund’s long investments. Because there is no limitation on the amount to which the price of a security may increase between the date that the Fund borrows it from the lender and the date that the Fund must purchase the security on the open market to deliver it to the lender, the losses that the Fund incurs from a short sale are potentially limitless. In contrast, the losses that the Fund may realize on its long positions cannot exceed the total amount of the Fund’s investments in those positions. The lender in a short sale transaction may have a right to require the Fund to return the borrowed securities earlier than scheduled, in which case the Fund may have to purchase the securities on the open market at a time when the securities’ prices are unfavorable. To the extent the Fund is required to deliver collateral to the lender in response to declines in the value of the Fund’s short positions, the Fund may have to sell other securities in its portfolio to meet those collateral requirements. Such sales may not be at favorable prices, or may impede the pursuit of the Fund’s investment strategy.

 

 

When the Fund sells securities short, it may use the proceeds from the sales to purchase long positions in additional securities that it believes will outperform the market or its peers. This strategy may effectively result in the Fund having a leveraged investment portfolio. The use of leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s underlying investments, and may, therefore, cause the Fund’s share price to be more volatile.

 

The Fund may also seek to achieve short exposure to an investment through the use of derivative instruments, which may involve risks different or greater than the risks affecting the investment that the Fund seeks to achieve short exposure to. See “Investing in Derivative Instruments,” below.

 

Investing in Derivative Instruments

 

A derivative instrument or derivatives transaction is a financial contract the value of which depends on, or is derived from, the value of some other underlying asset, reference rate, or index, such as equity securities, bonds, commodities, currencies, or interest rates. The use of derivative instruments may involve risks different from, or potentially greater than, the risks associated with investing directly in the underlying reference asset. In particular, the use by the Fund of privately negotiated, over-the-counter (“OTC”) derivatives contracts exposes the Fund to the risk that the counterparty to the OTC derivatives contract will be unable or unwilling to make timely payments under the contract or otherwise honor its obligations. Although Thornburg intends to monitor the creditworthiness of counterparties, there can be no assurance that a counterparty will meet its obligations, especially during periods of adverse market conditions. The market for certain types of derivative instruments may also be less liquid than the market for the underlying reference asset, making it difficult for the Fund to value its derivative investments or sell those investments at an acceptable price. Derivative instruments may also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to track.

 

Some derivatives transactions (including futures, options on futures and certain interest rate and credit default swaps) are required to be (or are capable of being) centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system. Credit risk of market participants with respect to derivatives that are centrally cleared is also concentrated in increasingly fewer clearing members. The Fund might not be fully protected in the event of the bankruptcy of the Fund’s clearing member because the Fund would be limited to recovering only a pro rata share of the funds held by the clearing member on behalf of customers for the relevant account class. Although a clearing member is required to segregate assets from customers with respect to cleared derivatives positions from the clearing member’s proprietary assets, if a clearing member does not comply with the applicable regulations, or in the event of fraud or misappropriation of customer assets by a clearing member, the Fund could have only an unsecured creditor claim in an insolvency of the clearing member with respect to the assets held by the clearing member. Clearing houses (and in many cases clearing members) have broad rights to increase margin requirements for existing transactions or to terminate those transactions at any time.

 

 

The Fund’s investment in derivative instruments may be limited by the requirements of Subchapter M of the Internal Revenue Code for qualification as a regulated investment company. See “Taxes.” The Fund’s investment in derivative instruments may also be limited to the extent Thornburg intends to continue to claim exclusion from the definition of “commodity pool operator” under the U.S. Commodity Exchange Act, as amended (the “CEA”). See “Commodity Exchange Act Registration Exemption.”

 

The U.S. Securities and Exchange Commission (the “SEC”) has adopted Rule 18f-4 of the 1940 Act related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies, and in connection with the adoption of the Rule, the SEC rescinded and withdrew certain previous guidance of the SEC and its staff regarding the use of asset segregation and cover transactions in connection with the Fund’s use of derivatives. Among other things, Rule 18f-4 requires funds that invest in derivative instruments beyond a specified limited amount to apply a value-at-risk (“VaR”) based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. Generally, these requirements apply unless the fund qualifies as a “limited derivatives user,” as defined in the Rule. Under Rule 18f-4, when the Fund trades reverse repurchase agreements or similar financing transactions it needs to aggregate the amount of indebtedness associated with those investments with the aggregate amount of any other senior securities representing indebtedness when calculating the Fund’s asset coverage ratio or treat all such transactions as derivatives transactions.

 

The Trust has adopted written policies and procedures to manage the derivatives risks of the Fund and comply with the requirements of Rule 18f-4. The Fund is currently classified as a limited derivatives user under Rule 18f-4. As a limited derivatives user, the Fund’s derivatives exposure, excluding certain currency and interest rate hedging transactions, may not exceed 10% of its net assets. Generally, the Fund may exclude from treating as a derivative certain currency or interest rate derivatives that are not used for investment purposes but instead are entered into and maintained by the fund for hedging purposes; and the notional amounts of such derivatives do not exceed the value of the hedged investments by more than 10%. The Fund’s limit on its derivatives exposure of 10% of its net assets is not fundamental and may be changed by the Fund without a shareholder vote. If the Fund were to no longer be classified as a limited derivatives user, the more extensive requirements of Rule 18f-4 which would then apply to the Fund may limit the ability of the Fund to use derivatives and potentially reverse repurchase agreements and similar financing transactions as part of its investment strategies, and may also increase the cost of the Fund’s investments and cost of doing business, which could adversely affect investors.

 

 

The U.S. government has enacted legislation that provides for increased regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (the “EU”) and the United Kingdom (the “UK”) (together with certain other jurisdictions) have implemented or are in the process of implementing similar requirements that will affect the Fund when it enters into derivatives transactions with a counterparty organized in that jurisdiction or otherwise subject to that jurisdiction’s derivatives regulations. These and other legislative and regulatory measures may reduce the availability of some types of derivative instruments, may increase the cost of trading in or maintaining other instruments or positions and may cause uncertainty in the markets for a variety of derivative instruments. While many of these requirements are already in effect, others are still being implemented, so their ultimate impact remains unclear.

 

Regulatory requirements may also limit the ability of the Fund to protect its interests in the event of an insolvency of a derivatives counterparty. In the event of a counterparty’s (or its affiliate’s) insolvency, the Fund’s ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under special resolution regimes adopted in the United States, the EU, the UK, and various other jurisdictions. Such regimes provide government authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the EU, the liabilities of such counterparties to the Fund could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

 

The following discussion contains additional detail about the types of derivative instruments in which the Fund may invest and certain risks associated with those investments. You should also read the Prospectus for more information about derivative instruments and their risks.

 

Combined Positions

 

The Fund, which is permitted to purchase or sell forward contracts, futures contracts and options (see “Futures Contracts” and “Options” below) and may also purchase and sell such forward contracts, futures contracts and options in combination with one another in order to adjust the risk and return characteristics of the overall position. For example, the Fund may purchase a put option and write a call option on the same underlying instrument, in order to construct a combined position whose risk and return characteristics are similar to selling a futures contract. Another possible combined position would involve writing a call option at one strike price and buying a call option at a lower price, in order to reduce the risk of the written call option in the event of a substantial price increase. Because combined options positions involve multiple trades, they result in higher transaction costs and may be more difficult to open and close out. A combined transaction will usually contain elements of risk that are present in its component transactions. Although combined transactions are normally entered into based on Thornburg’s judgment that the combined strategies will reduce risk or otherwise more effectively achieve the desired portfolio management goal, it is possible that the combination will instead increase such risks or hinder achievement of the goal.

 

 

Foreign Currency Transactions

 

The Fund may conduct foreign currency transactions on a spot (i.e., cash) basis or by entering into forward contracts to purchase or sell foreign currencies at a future date and price.

 

Conversions on a Spot Basis. The Fund may convert currency on a spot basis from time to time. Although foreign exchange dealers generally do not charge a fee for conversion, they do realize a profit based on the difference between the prices at which they are buying and selling various currencies. Thus, a dealer may offer to sell a foreign currency to the Fund at one rate, while offering a lesser rate of exchange should the Fund desire to resell that currency to the dealer.

 

Currency Forward Contracts. A currency forward contract is a privately negotiated obligation to purchase or sell a specific currency at a specific future date, at a price set at the time of the contract. The parties to a forward contract may agree to offset or terminate the contract before its maturity, or may hold the contract to maturity and complete the contemplated currency exchange. The Fund may use currency forward contracts for any purpose consistent with its investment objectives. The following discussion summarizes the principal currency management strategies involving forward contracts that could be used by the Fund. The Fund may also use swap agreements, indexed securities, and options and futures contracts relating to foreign currencies for the same purposes.

 

In those instances when the Fund enters into a forward currency contract, it typically does so for portfolio hedging purposes. In that regard, the Fund may enter into a forward contract to sell a foreign currency in which certain of its portfolio investments are denominated as a strategy to reduce the risk that a decline in the value of the foreign currency relative to the U.S. dollar will diminish the value of the portfolio investments denominated in that foreign currency. For example, if the Fund owned securities denominated in pounds sterling, it could enter into a forward contract to sell pounds sterling in return for U.S. dollars to hedge against possible declines in the pound’s value. Such a hedge, sometimes referred to as a “position hedge,” would tend to offset both positive and negative currency fluctuations, but would not offset changes in security values caused by other factors. The Fund could also hedge the position by selling another currency expected to perform similarly to the pound sterling. This type of hedge, sometimes referred to as a “proxy hedge,” could offer advantages in terms of cost, yield, or efficiency, but generally would not hedge currency exposure as effectively as a direct hedge into U.S. dollars. Proxy hedges may result in losses if the currency used to hedge does not perform similarly to the currency in which the hedged securities are denominated. The Fund could use a similar hedging strategy in an “indirect hedge” with respect to securities holdings that are denominated in U.S. dollars or another currency, but which conduct a substantial amount of business in a given foreign currency and are consequently exposed to a risk that the value of that foreign currency will decline relative to the U.S. dollar or other currency in which the holding is denominated. The Fund does not enter into hedging transactions in all instances when it might be desirable to do so, and the Fund may be exposed to currency risk some or most of the time without any hedging position for purposes of reducing that risk.

 

 

The Fund may also enter into forward contracts to shift investment exposure from one currency into another. This may include shifting exposure from U.S. dollars to a foreign currency, or from one foreign currency to another foreign currency. For example, if the Fund held investments denominated in pounds sterling, the Fund could enter into forward contracts to sell pounds sterling and purchase Swiss francs. This type of strategy, sometimes known as a “cross hedge,” will tend to reduce or eliminate exposure to the currency that is sold, and increase exposure to the currency that is purchased, much as if the Fund had sold a security denominated in one currency and purchased an equivalent security denominated in another. Cross-hedges protect against losses resulting from a decline in the hedged currency, but will cause the Fund to assume the risk of fluctuations in the value of the currency it purchases.

 

In another circumstance, the Fund that has agreed to buy or sell a security denominated in a foreign currency may seek to “lock in” the U.S. dollar price of the security by entering into a forward contract to buy or sell the relevant foreign currency for a fixed amount of U.S. dollars. This technique, sometimes referred to as a “settlement hedge” or “transaction hedge,” is intended to protect the Fund against an adverse change in foreign currency values between the date the security is purchased or sold and the date on which payment is made or received. The Fund also may enter into forward contracts to purchase or sell a foreign currency in anticipation of future purchases or sales of securities denominated in foreign currency, even if the specific investments have not yet been selected by Thornburg.

 

Currency transactions can result in losses to the Fund if the currency being hedged fluctuates in value to a degree or in a direction that is not anticipated. Further, there is the risk that the perceived linkage between various currencies may not be present or may not be present during the particular time that the Fund is engaged in a currency hedging transaction.

 

Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be negatively affected by government exchange controls, blockages, and manipulations or exchange restrictions imposed by governments. Those can result in losses to the Fund if it is unable to deliver or receive currency in settlement of obligations and could also cause hedges it has entered into to be rendered ineffective, resulting in full currency exposure as well as incurring transaction costs. Currency futures are also subject to risks pertaining to futures contracts generally. See “Futures Contracts,” below. Options trading on currency futures is subject to market liquidity, and establishing and closing positions may be difficult. Currency exchange rates may fluctuate based on factors extrinsic to the issuing country’s own economy.

 

Successful use of currency management strategies will depend on Thornburg’s skill in analyzing and predicting currency values. Currency management strategies may substantially change the Fund’s investment exposure to changes in currency exchange rates, and could result in losses to the Fund if currencies do not perform as Thornburg anticipates. For example, if a currency’s value rose at a time when Thornburg had hedged the Fund’s exposure by selling that currency in exchange for dollars, the Fund would be unable to participate in the currency’s appreciation. If Thornburg hedges currency exposure through proxy hedges, the Fund could realize currency losses from the hedge and the security position at the same time if the two currencies do not move in tandem. Similarly, if Thornburg increases the Fund’s exposure to a foreign currency, and that currency’s value declines, the Fund will realize a loss. There is no assurance that Thornburg’s use of currency management strategies will be advantageous to the Fund or that it will hedge at an appropriate time.

 

 

Futures Contracts

 

The Fund may purchase or sell futures contracts to hedge against anticipated interest rate, currency or market changes, for duration management or risk management purposes, or to enhance potential income and gains.

 

When the Fund purchases a futures contract, it agrees to purchase a specified underlying instrument at a specified future date at a specified price. When the Fund sells a futures contract, it agrees to sell the underlying instrument at a specified future date at a specified price. Futures contracts are typically bought and sold on exchanges or boards of trade where the contracts are listed. Some currently available futures contracts are based on specific securities, such as U.S. Treasury bonds or notes, and some are based on indices of securities prices, such as the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500”). Futures can be held until their settlement dates, or can be closed out before then if a liquid market is available. The value of a futures contract tends to increase and decrease in tandem with the value of its underlying instrument. Therefore, purchasing futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument, much as if it had purchased the underlying instrument directly. When the Fund sells a futures contract, by contrast, the value of its futures position will tend to move in a direction contrary to the market. Selling futures contracts, therefore will tend to offset both positive and negative market price changes, much as if the underlying instrument had been sold.

 

Distributions to shareholders associated with income or net gains realized by the Fund from transactions in futures contracts (or options on futures contracts) may be subject to federal income tax.

 

Liquidity of Futures Contracts. Some futures contracts may become illiquid under adverse market conditions, and there is no assurance that a liquid market will exist for any particular futures contract at any particular time. Exchanges and boards of trade may establish daily price fluctuation limits for options and futures contracts, and may halt trading if a contract’s upward or downward price movement reaches the limit in a given day. On volatile trading days when the price fluctuation limit is reached or a trading halt is imposed, it may not be possible for the Fund to enter into new positions or to close out existing positions. If the market for a contract is not liquid because of price fluctuation limits or otherwise, it could prevent prompt liquidation of unfavorable positions, and potentially could require the Fund to continue to hold a position until expiration regardless of unfavorable changes in its value. In that instance, the Fund’s access to other assets that it has deposited to cover its futures positions also could be impaired.

 

Margin Payments and Credit Risk. The purchaser or seller of a futures contract is not required to sell or pay for the underlying instrument unless the contract is held until the settlement date. However, in any instance when the Fund enters into a futures contract, either as purchaser or as seller, the Fund will deposit with its futures commission merchant (“FCM”) as initial margin assets consisting of cash, U.S. government securities or other liquid assets. The low margin deposits normally required in futures trading permit an extremely high degree of leverage. A relatively small price movement in a futures contract may result in the Fund experiencing substantial gains or losses. The Fund will also deposit daily “variation margin” payments as required during the term of the contract in order settle the change in the contract’s value on a daily basis (a process known as “marking to market”). Initial and variation margin payments do not constitute purchasing securities on margin for purposes of the Fund’s investment limitations. Futures are centrally cleared, and a party to such transactions is subject to the credit risk of the clearing house and the clearing member through which it holds its position. In the event of the bankruptcy of a FCM that holds margin on behalf of the Fund, the Fund may be entitled to return of margin owed to it only in proportion to the amount received by the FCM’s other futures customers, potentially resulting in losses to the Fund.

 

 

Correlation of Price Changes. Because there are a limited number of types of futures contracts, it is likely that the standardized contracts available will not match the Fund’s current or anticipated investments exactly. The Fund may invest in futures contracts based on securities with different issuers, maturities, or other characteristics from the securities in which it typically invests, which involves a risk that the futures position will not track the performance of the Fund’s other investments. Futures prices can also diverge from the prices of their underlying instruments, even if the underlying instruments match the Fund’s investments well. Futures prices are affected by such factors as current and anticipated short-term interest rates, changes in volatility of the underlying instrument, and the time remaining until maturity of the contract, which may not affect security prices the same way. Imperfect correlation may also result from differing levels of demand in futures markets and the securities markets, from structural differences in how futures and securities are traded, or from imposition of daily price fluctuation limits or trading halts. The Fund may purchase or sell futures contracts with a greater or lesser value than the securities it wishes to hedge or intends to purchase in order to attempt to compensate for differences in volatility between the contract and the securities, although this may not be successful in all cases. If price changes in the Fund’s futures positions are poorly correlated with its other investments, the positions may fail to produce anticipated gains or result in losses that are not offset by gains in other investments.

 

Futures Relating to Foreign Currencies. Currency futures contracts are similar to forward currency exchange contracts (see “Currency Forward Contracts” above), except that they are traded on exchanges (and have different margin requirements) and are standardized as to contract size and settlement date. Most currency futures contracts call for payment or delivery (or, in the case of cash-settled currency futures, settlement) in U.S. dollars.

 

The uses and risks of currency futures are similar to futures relating to securities or indices. The Fund may purchase and sell currency futures to increase or decrease its exposure to different foreign currencies. The Fund also may purchase and sell currency futures in conjunction with each other or with currency options or forward contracts. Currency futures values can be expected to correlate with exchange rates, but may not reflect other factors that affect the value of the Fund’s investments. A currency hedge, for example, is intended to protect a Yen-denominated security from a decline in the Yen, but will not protect the Fund against a price decline resulting from deterioration in the issuer’s creditworthiness. Because the value of the Fund’s foreign-denominated investments changes in response to many factors other than exchange rates, it may not be possible to match the amount of currency futures to the value of the Fund’s investments exactly over time. See “Foreign Currency Transactions” above.

 

 

Position Limits. The U.S. Commodity Futures Trading Commission (“CFTC”), certain foreign regulators, and many futures exchanges have established (and continue to evaluate and revise) limits, referred to as “position limits,” on the maximum net long or net short positions which any person, or group of persons acting in concert, may hold or control in particular futures and options on futures contracts. In addition, U.S. federal position limits apply to swaps that are economically equivalent to futures contracts on certain agricultural, energy and metals commodities. All positions owned or controlled by the same person or entity, even if in different accounts, must be aggregated for purposes of determining whether the applicable position limits have been exceeded, unless an exemption applies. Thus, even if the Fund does not intend to exceed applicable position limits, it is possible that positions of different clients managed by the Advisor and its affiliates may be aggregated for this purpose. Any modification of trading decisions or elimination of open positions that may be required to avoid exceeding such limits may adversely affect the performance of the Fund. A violation of position limits could also lead to regulatory action materially adverse to the Fund’s investment strategy. The Fund may also be affected by other regimes, including those of the European Union and United Kingdom, and trading venues that impose position limits on commodity derivative contracts.

 

Options

 

The Fund may purchase or write put and call options to hedge against anticipated interest rate or market changes, for duration management or risk management purposes, or to enhance potential income and gains.

 

Purchasing Put and Call Options. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed exercise or “strike” price. In return for this right, the Fund pays the current market price for the option (known as the option premium). Options have various types of underlying instruments, including specific equity securities or debt obligations, indices of securities prices, and futures contracts. The Fund may terminate its position in a put option it has purchased by allowing it to expire or by exercising the option. If the option is allowed to expire, the Fund will lose the entire premium it paid. If the Fund exercises the option, it completes the sale of the underlying instrument at the strike price. The Fund may also terminate a put option position by closing it out in the secondary market at its current price, if a liquid secondary market exists. For OTC options, the Fund would only be able to close out the position with the Fund’s counterparty.

 

The buyer of a typical put option can expect to realize a gain if security prices fall substantially. However, if the underlying instrument’s price does not fall enough to offset the cost of purchasing the option, the owner of the put option will experience a loss measured by the premium paid to buy the option, plus related transaction costs.

 

The features of call options are similar to those of put options, except that the purchaser of a call option obtains the right to purchase, rather than sell, the underlying instrument at the option’s strike price. A call buyer typically attempts to participate in potential price increases of the underlying instrument with risk limited to the cost of the option if security prices fall. At the same time, the buyer will experience a loss if the underlying instrument’s price does not rise sufficiently to offset the buyer’s cost of purchasing the option and transaction costs.

 

 

The purchase of options increases the Fund’s costs because it must pay premiums to purchase the options, and the exercise of put and call options by the Fund will increase portfolio turnover and associated transaction costs. Because premiums for the purchase of options are typically much smaller than the prices to purchase the underlying instruments, the use of options creates leverage, which might result in the Fund’s net asset value being more sensitive to changes in the instruments underlying the options.

 

An American-style put or call option may be exercised at any time during the option period while a European-style put or call options may be exercised only upon expiration of the option period or during a fixed period prior thereto.

 

Writing Put and Call Options. When the Fund sells or “writes” a put option, it takes the opposite side of the transaction from the option’s purchaser. In return for receipt of the premium, the Fund, as writer of such an option, would be obligated to pay the strike price for the option’s underlying instrument if the other party to the option chooses to exercise it. When writing an option on a futures contract, the Fund would be required to make margin payments to cover the Fund’s potential obligation to pay the strike price if the other party chooses to exercise the option. The Fund may seek to terminate its position in a put option it writes before it is exercised by closing out the option in the secondary market (for exchange-traded options) or with the Fund’s counterparty (for OTC options) at its then current price. If, however, the secondary market is not sufficiently liquid, the Fund may not be able to close out its position and would, therefore, remain obligated to purchase the underlying instrument at the strike price if the option is exercised. If the price of the underlying instrument rises, the writer of a put ordinarily will profit by the amount of the premium received on writing the option. If the price of the instrument declines, the writer may experience a loss, although the amount of the loss is offset to some degree by the amount of the premium received.

 

Writing a call option obligates the writer to sell or deliver the option’s underlying instrument, in return for the strike price, upon exercise of the option by the holder. The characteristics of writing call options are similar to those of writing put options, except that writing calls generally is a profitable strategy if prices remain the same or decline. Through receipt of the option premium, the Fund as the writer of such an option would seek to mitigate the effects of a decline in the price of the underlying instrument. At the same time, the Fund which writes an option must be prepared to deliver the underlying instrument in return for the strike price, even if the current value of the instrument is higher than the strike price. In that event, the Fund will experience a loss to the extent that the value of the underlying instrument exceeds the total of the strike price and the premium that it received when it wrote the option.

 

Exchange-Traded Options. Options may be traded on exchanges, or may be traded “over-the-counter” (see discussion of “OTC Options” below). Exchange-traded options are issued by a regulated intermediary, which guarantees the performance of the obligations of the parties to such options. With certain exceptions, exchange-traded options generally settle by physical delivery of the underlying security or currency, although in the future cash settlement may become available. Frequently, rather than taking or making delivery of the underlying instrument through the process of exercising the option, exchange-traded options are closed by entering into offsetting purchase or sale transactions that do not result in ownership of the new option.

 

 

The Fund’s ability to close out its position as a purchaser or seller of an exchange-traded option is dependent, in part, upon the liquidity of the option market. Among the possible reasons for the absence of a liquid option market on an exchange are: (i) insufficient trading interest in certain options; (ii) restrictions on transactions imposed by an exchange; (iii) trading halts, suspensions or other restrictions imposed with respect to particular classes or series of options or underlying securities including reaching daily price limits; (iv) interruption of the normal operations of the exchange; (v) inadequacy of the facilities of an exchange to handle current trading volume; or (vi) a decision by one or more exchanges to discontinue the trading of options (or a particular class or series of options), in which event the relevant market for that option on that exchange would cease to exist, although outstanding options on that exchange would generally continue to be exercisable in accordance with their terms.

 

The hours of trading for listed options may not coincide with the hours during which the underlying financial instruments are traded. To the extent that the option markets close before the markets for the underlying financial instruments, significant price and rate movements can take place in the underlying markets that cannot be reflected in the option markets.

 

OTC Options. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of over-the-counter options generally are established through negotiation with the other party to the contract. While such arrangements allow greater flexibility to the Fund to tailor an option to its needs, “OTC” options generally involve greater credit risk than exchange-traded options, which are backed by the clearing organization of the exchange where they are traded. Accordingly, Thornburg must assess the creditworthiness of each counterparty or any guarantor or credit enhancement of the counterparty’s credit to determine the likelihood that the terms of the OTC option will be satisfied. There can be no assurance that a liquid market will exist for any particular option at any given time. Consequently, the Fund may be able to realize the value of an OTC option it has purchased only by exercising it or entering into a closing sale transaction with the dealer that issued it. Similarly, when the Fund writes an OTC option, generally it can close out that option before its expiration only by entering into a closing purchase transaction with the dealer to which the Fund originally wrote it.

 

The staff of the SEC currently takes the position that OTC options are illiquid, and investments by the Fund in those instruments will be subject to the Fund’s limitation on investments in illiquid instruments. See “Illiquid Investments” below.

 

Liquidity of Options. Some options become illiquid under adverse market conditions, and there is no assurance a liquid market will exist for any particular options contract at any particular time. Options may have relatively low trading volume and liquidity if their strike prices are not close to the underlying instrument’s current price. In addition, exchanges may establish daily price fluctuation limits for options, and may halt trading if a contract’s price moves upward or downward more than the limit in a given day. On volatile trading days when the price fluctuation limit is reached or a trading halt is imposed, it may be impossible for the Fund to enter into new positions or close out existing positions. If the secondary market for a contract is not liquid because of price fluctuation limits or otherwise, it could prevent prompt liquidation of unfavorable positions, and potentially could require the Fund to continue to hold a position until delivery or expiration regardless of changes in its value. As a result, the Fund’s access to other assets held to cover its options positions could also be impaired.

 

 

Correlation of Price Changes. Because there are a limited number of types of exchange-traded options, it is likely that the standardized contracts available will not match the Fund’s current or anticipated investments exactly. The Fund may invest in options based on securities with different issuers, maturities, or other characteristics from the securities in which it typically invests, which involves a risk that the options position will not track the performance of the Fund’s other investments. Options prices can also diverge from the prices of their underlying instruments, even if the underlying instruments match the Fund’s investments well. Options prices are affected by such factors as current and anticipated short-term interest rates, changes in volatility of the underlying instrument, and the time remaining until expiration of the contract, which may not affect security prices the same way. Imperfect correlation may also result from differing levels of demand in the options markets and the securities markets, from structural differences in how options and securities are traded, or from imposition of daily price fluctuation limits or trading halts. The Fund may purchase or sell options contracts with a greater or lesser value than the securities it wishes to hedge or intends to purchase in order to attempt to compensate for differences in volatility between the contract and the securities, although this may not be successful in all cases. If price changes in the Fund’s options positions are poorly correlated with its other investments, the positions may fail to produce anticipated gains or result in losses that are not offset by gains in other investments.

 

Credit Options. Credit options are options whereby the purchaser has the right, but not the obligation, to enter into a transaction involving either an asset with inherent credit risk or a credit derivative, at terms specified at the inception of the option.

 

Options Relating to Foreign Currencies. The underlying instrument of a currency option may be a foreign currency, which generally is purchased or delivered in exchange for U.S. dollars, or may be a futures contract. The purchaser of a currency call obtains the right to purchase the underlying currency, and the purchaser of a currency put obtains the right to sell the underlying currency.

 

The uses and risks of currency options are similar to options relating to other securities or indices. The Fund may purchase and write currency options to increase or decrease its exposure to different foreign currencies. The Fund also may purchase and write currency options in conjunction with each other or with currency futures or forward contracts. Currency options values can be expected to correlate with exchange rates, but may not reflect other factors that affect the value of the Fund’s investments. A currency hedge, for example, should protect a Yen-denominated security from a decline in the Yen, but will not protect the Fund against a price decline resulting from deterioration in the issuer’s creditworthiness. Because the value of the Fund’s foreign-denominated investments changes in response to many factors other than exchange rates, it may not be possible to match the amount of currency options to the value of the Fund’s investments exactly over time. See “Foreign Currency Transactions” above.

 

 

Options on Futures Contracts. Options on futures contracts are similar to options on securities, except that an option on a futures contract gives the purchaser the right in return for the premium paid to assume a position in the underlying futures contract. If the Fund exercises an option on a futures contract it will be obligated to satisfy initial margin (and potential subsequent variation margin) requirements for the resulting futures position just as it would for any other futures contract position.

 

Options on Indices. Options on securities indices and other financial indices are similar to options on a security or other instrument except that, rather than settling by physical delivery of the underlying instrument, they settle by cash settlement (i.e., an option on an index gives the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the index upon which the option is based exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option except if, in the case of an OTC option, physical delivery is specified). This amount of cash is equal to the excess of the closing price of the index over the exercise price of the option, which also may be multiplied by a formula value. The seller of the option is obligated, in return for the premium received, to make delivery of this amount. The gain or loss on an option on an index depends on price movements in the instruments making up the market, market segment, industry or other composite on which the underlying index is based rather than price movements in individual securities, as is the case with respect to options on securities.

 

Swap Agreements, Caps, Floors, and Collars

 

The Fund may enter into swap agreements and related caps, floors and collars. The Fund is not limited to any particular form of swap agreement, provided that Thornburg determines that the agreement is consistent with the Fund’s investment objective and policies.

 

Swap agreements involve the exchange by the Fund and another party of their respective commitments to pay or receive cash flows. Although swaps can take a variety of forms, typically one party pays fixed and receives floating rate payments and the other party receives fixed and pays floating rate payments. Swap agreements can be individually negotiated and structured to include exposure to a variety of different types of investments or market factors. Swap agreements will tend to shift the Fund’s investment exposure from one type of investment to another. For example, if the Fund agreed to exchange payments in dollars for payments in foreign currency, the swap agreement would tend to decrease the Fund’s exposure to U.S. interest rates and increase its exposure to foreign currency and interest rates. Caps and floors have an effect similar to buying or writing options. Depending on how they are used, swap agreements may increase or decrease the overall volatility of the Fund’s investments and its share price and yield. The most significant factor in the performance of swap agreements is the change in the specific interest rate, currency, or other factors that determine the amounts of payments due to and from the Fund. If a swap agreement calls for payments by the Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s credit worthiness declined or if the counterparty defaults, the Fund will likely have contractual remedies available to it, but the value of the swap or other agreement would be likely to decline, potentially resulting in losses. The Fund expects to be able to eliminate its exposure under swap agreements either by assignment or other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party.

 

 

Credit Default Swaps. A credit default swap is a credit derivative in which two parties enter into an agreement to transfer the credit exposure of fixed income securities. The buyer of credit protection (or seller of credit risk) agrees to pay the counterparty a fixed, periodic premium for a specified term. In return, the counterparty agrees to pay a contingent payment to the buyer in the event of an agreed upon credit occurrence which is typically a default by the issuer of a debt obligation.

 

Currency Swaps. A currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Typically, the interest rates that determine the currency swap payments are fixed, although occasionally one or both parties may pay a floating rate of interest. Changes in foreign exchange rates and changes in interest rates may negatively affect the value of a currency swap.

 

Equity Swaps. In a typical equity swap, one party agrees to pay another party the return on a stock, stock index or basket of stocks in exchange for a specified interest rate. By entering into an equity index swap, for example, the index receiver can gain exposure to stocks making up the index of securities without actually purchasing those stocks. Equity index swaps involve not only the risks associated the investment in the securities represented in the index, but also the risk that the performance of such securities, including dividends, will not exceed the return on the interest rate that the Fund is committed to pay to the counterparty.

 

Interest Rate Swaps and Forward Rate Contracts. Interest rate swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of fixed rate payments for floating rate payments. The Fund may also enter forward rate contracts. Under these contracts, the buyer locks in an interest rate at a future settlement date. If the interest rate on the settlement date exceeds the lock rate, the buyer pays the seller the difference between the two rates. Any such gain received by the Fund would be taxable. If the other party to an interest rate swap or forward rate contract defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive. The net amount of the excess, if any, of the Fund’s obligations over its entitlements will be maintained in a segregated account by the Fund’s custodian. The Fund will not enter into any interest rate swap or forward rate contract unless the claims-paying ability of the other party thereto is considered satisfactory by Thornburg. If there is a default by the other party to such a transaction, the Fund will have contractual remedies pursuant to the agreements related to the transaction, but there can be no assurance that the Fund will succeed in enforcing any such contractual remedies.

 

Total Return Swaps. A total return swap is a credit derivative in which the buyer receives a periodic return equal to the total economic return of a specified security, securities or index, for a specified period of time. In return, the buyer pays the counterparty a variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread.

 

 

Caps, Floors and Collars. The purchase of a cap entitles the purchaser to receive payments on a notional principal amount from the party selling the cap to the extent that a specified index exceeds a predetermined interest rate or amount. For example, an interest rate cap is an agreement between two parties over a specified period of time where one party makes payments to the other party equal to the difference between the current level of an interest rate index and the level of the cap, if the specified interest rate index increases above the level of the cap. The purchase of a floor entitles the purchaser to receive payments on a notional principal amount from the party selling the floor to the extent that a specified index falls below a predetermined interest rate or amount. For example, an interest rate floor is similar except the payments are the difference between the current level of an interest rate index and the level of the floor if the specified interest rate index decreases below the level of the floor. A collar is a combination of a cap and a floor that preserves a certain return within a predetermined range of interest rates or values. For example, an interest rate collar is the simultaneous execution of a cap and floor agreement on a particular interest rate index.

 

Other Investments, Investment Techniques and Other Risks

 

The following contains additional detail about certain other investments the Fund may make and certain other risks to which the Fund may be subject.

 

Consideration of Environmental, Social and Governance (“ESG”) Characteristics

 

When evaluating a potential investment opportunity, the Fund may consider the issuer’s ESG characteristics. Thornburg defines a significant ESG characteristic as one which may materially affect an issuer’s risk and return profile and, accordingly, the issuer’s long-term investment performance. In this way, Thornburg’s consideration of ESG characteristics is no different than its consideration of more traditional financial metrics or other factors which may affect the risks and returns of the Fund’s investments. The specific ESG characteristics which Thornburg determines to be significant will vary over time and among different financial sectors and industries, but will generally include environmental, social capital, human capital, business model and innovation, and leadership and governance characteristics. Examples of potentially significant environmental characteristics include: greenhouse gas emissions; air quality; energy management; water and wastewater management; waste and hazardous materials management; and ecological impacts. Examples of potentially significant social capital characteristics include: human rights and community relations; customer privacy; data security; access & affordability; product quality and safety; customer welfare; and selling practice and product labeling. Examples of potentially significant human capital characteristics include: labor practices; employee health & safety; and employee engagement, diversity and inclusion. Examples of potentially significant business model and innovation characteristics include: product design and lifecycle management; business model resilience; supply chain management; materials sourcing and efficiency; and the physical impacts of climate change. Examples of potentially significant leadership and governance characteristics include: business ethics; competitive behavior; management of the legal and regulatory environment; critical risk management; and systemic risk management.

 

While Thornburg makes its own judgments about the ESG characteristics of the Fund’s investments, Thornburg’s approach may be informed by third party data and other research tools, including consideration of the list of material ESG factors established by the Sustainability Accounting Standards Board.

 

 

There are no universally agreed upon objective standards for assessing ESG characteristics, and they can vary over different periods and evolve over time. Certain ESG characteristics are subjective and can be difficult to analyze, and the evaluation of ESG characteristics frequently involves assessing various risks relating to the financial stability and sustainability of an investment, and ESG characteristics may not always be reflected in third party data. ESG characteristics may also be difficult to apply consistently across regions, countries, industries, or sectors. Given the absence of generally accepted criteria, investors and others may disagree as what constitutes a significant ESG characteristic, or may otherwise assign a greater or lesser emphasis than Thornburg to a particular ESG characteristic. In addition, there may be situations where Thornburg determines that an issuer has been identified by Thornburg as having both positive and negative ESG characteristics. For example, an issuer may extract or use fossil fuels in a manner which may contribute to negative environmental outcomes, but that same issuer is making investments to prepare for a transition to cleaner sources of energy. In those instances, Thornburg may consider as part of its investment analysis how both the positive and negative ESG characteristics are likely to affect the issuer’s long-term investment performance.

 

Cash Management

 

The Fund may also invest a portion or all of the Fund’s daily cash balance in Thornburg Capital Management Fund, a separate series of the Trust (the “Capital Management Fund”). The Capital Management Fund’s shares are not publicly available. The Capital Management Fund is not a money market fund and does not seek to maintain a stable net asset value of $1.00. The Capital Management Fund seeks current income consistent with liquidity management and safety of capital. To pursue that investment objective, the Capital Management Fund invests principally in short-term obligations which are determined by Thornburg to be of high quality including, but not limited to, obligations issued by U.S. and foreign companies, U.S. and foreign banks, U.S. and foreign governments, U.S. agencies, states, and municipalities, and international organizations such as the World Bank and the International Monetary Fund, and repurchase agreements based on those obligations. The Capital Management Fund does not currently pay a separate investment advisory fee or administrative services fee to Thornburg, but if the Fund invests in the Capital Management Fund then it would indirectly bear the other operating expenses of the Capital Management Fund. Those indirect expenses are similar to the expenses paid by other businesses owned by the Fund, are not direct costs paid by Fund shareholders, are not used to calculate the Fund’s net asset value, and have no impact on the costs associated with Fund operations.

 

Certificates of Deposit

 

The Fund may under certain circumstances purchase bank certificates of deposit. The Fund may invest in certificates of deposit of domestic banks with assets of $1 billion or more as a temporary defensive position (see “Temporary Defensive Positions” below).

 

 

Cyber Security Risks

 

As the use of technology has become more prevalent, the Fund and its service providers have become potentially more susceptible to intentional and unintentional cyber events including, but not limited to: computer processing errors; malfunctions, disruptions, or failures in computer systems or other technologies; computer viruses; the theft or corruption of electronic data; unauthorized access to digital systems; and cyber attacks that shut down, disable or otherwise disrupt business operations. These events may adversely affect the Fund or its shareholders, causing disruptions in business operations and potentially resulting in financial losses. For example, a cyber attack against the computer systems of the Fund or its service providers may interfere with the ability to process Fund shareholder transactions or to calculate the Fund’s net asset value, impede trading activity by the Fund, result in the release or misappropriation of confidential information about the Fund or its shareholders, or subject the Fund to regulatory fines or penalties and to other, additional costs (including increased costs to remediate the effects of the attack or to develop additional systems to prevent other similar attacks). While the Fund and Thornburg have established procedures and systems to seek to prevent and mitigate the risks associated with cyber events, and while Thornburg seeks to determine that other third party service providers for the Fund have established such procedures and systems, there are inherent limitations in the ability of such procedures and systems to identify all potential cyber events or to completely prevent or mitigate the occurrence or effects of those events. Additionally, cyber events affecting the electronic systems of the Fund’s trading counterparties, issuers in which the Fund invests, or securities markets and exchanges may also result in financial losses for the Fund or its shareholders. The rapid development and increasingly widespread use of artificial intelligence, including machine learning technology and generative artificial intelligence such as ChatGPT, could exacerbate these risks.

 

Illiquid Investments

 

Illiquid investments are investments that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Under the supervision of the Trustees, Thornburg determines the liquidity of investments by the Fund. In determining the liquidity of the Fund’s investments, Thornburg may consider various factors, including (1) the frequency of trades and quotations, (2) the number of dealers and prospective purchasers in the marketplace, (3) dealer undertakings to make a market, (4) the nature of the security (including any demand or lender features), and (5) the nature of the market place for trades (including the ability to assign or offset the Fund’s rights and obligations relating to the investment).

 

Investments currently considered by Thornburg to be illiquid include repurchase agreements not entitling the holder to payment of principal and interest within seven days, over-the-counter options, and municipal lease obligations subject to non-appropriation risk where the underlying lease is not rated (at the time the obligation is purchased by the Fund) within the four highest grades of Moody’s or S&P and is not subject to a remarketing agreement (or not currently subject to remarketing, pursuant to the conditions of any such agreement then in effect, with a responsible remarketing party, deemed by Thornburg to be capable of performing its obligations) except that Thornburg also may determine an unrated lease obligation to be readily marketable because it is backed by an irrevocable bank letter of credit or an insurance policy. Based on its ongoing review of the trading markets and other factors affecting the Fund’s investments, Thornburg may determine from time to time that other investments are illiquid, including certain types of restricted securities, mortgage-backed securities and asset-backed securities, developing country securities, or derivative instruments. With respect to any over-the-counter options that the Fund writes, all or a portion of the value of the underlying instrument may be illiquid depending on the assets held to cover the option and the nature and terms of any agreement the Fund may have to close out the option before expiration. In the absence of market quotations, illiquid investments are priced at fair value as determined utilizing procedures approved by the Trustees.

 

 

The Fund is limited from investing more than a certain percentage of its net assets in illiquid investments. Please see “Investment Limitations” below for a discussion of the specific limitations applicable to the Fund’s investment in illiquid investments. If through a change in values, net assets, or other circumstances, the Fund were in a position where the percentage of its portfolio comprised of illiquid investments exceeded that Fund’s percentage investment restriction on investment in illiquid investments, the Fund would seek to take appropriate steps to protect liquidity.

 

Repurchase Agreements

 

The Fund may enter into repurchase agreements; provided that the Fund will not enter into a repurchase agreement if, as a result, more than 5% of that Fund’s assets would be invested in repurchase agreements.

 

In a repurchase agreement, the Fund purchases a security and simultaneously commits to resell that security to the seller at an agreed upon price on an agreed upon date within a number of days from the date of purchase. The resale price reflects the purchase price plus an agreed upon incremental amount which is unrelated to the coupon rate or maturity of the purchased security. A repurchase agreement involves the obligation of the seller to pay the agreed upon price, which obligation is in effect secured by the value (at least equal to the amount of the agreed upon resale price and marked to market daily) of the underlying security. The Fund may engage in repurchase agreements with respect to any security in which it is authorized to invest.

 

The Fund may enter into these arrangements with member banks of the Federal Reserve System or any domestic broker-dealer if the creditworthiness of the bank or broker-dealer has been determined by Thornburg to be satisfactory. These transactions may not provide the Fund with collateral marked-to-market during the term of the commitment.

 

A repurchase agreement may be viewed as a loan from the Fund to the seller of the security subject to the repurchase agreement. It is not clear whether a court would consider the security purchased by the Fund subject to a repurchase agreement as being owned by the Fund or as being collateral for a loan by the Fund to the seller. In the event of the commencement of bankruptcy or insolvency proceedings with respect to the seller of the security before repurchase of the security under a repurchase agreement, the Fund may encounter delay and incur costs before being able to sell the security. Delays may involve loss of interest or decline in the price of the underlying security. If the court characterized the transaction as a loan and the Fund has not perfected a security interest in the underlying security, the Fund may be required to return the security to the seller’s estate and be treated as an unsecured creditor of principal and income involved in the transaction. As with any unsecured debt obligation purchased for the Fund, Thornburg seeks to minimize the risk of loss through repurchase agreements by analyzing the creditworthiness of the obligor, in this case the seller of the security. Apart from the risk of bankruptcy or insolvency proceedings, there is also the risk that the seller may fail to repurchase the security, in which case the Fund may incur a loss if the proceeds to the Fund of the sale to a third party are less than the repurchase price. However, if the market value (including interest) of the security subject to the repurchase agreement becomes less than the repurchase price (including interest), the Fund will direct the seller of the security to deliver additional securities so that the market value (including interest) of all securities subject to the repurchase agreement will equal or exceed the repurchase price. It is possible that the Fund will be unsuccessful in seeking to impose on the seller a contractual obligation to deliver additional securities.

 

 

The SEC has finalized new rules requiring the central clearing of certain repurchase transactions involving U.S. Treasuries. Historically, such transactions have not been required to be cleared. Compliance with the new rules is expected to be required in the middle of 2027. While it is currently difficult to predict the full impact of these new rules, the new clearing requirements may reduce the availability or increase the costs of such transactions and may adversely affect the Fund’s performance.

 

Restricted Securities

 

Restricted securities generally can be sold in privately negotiated transactions, pursuant to an exemption from registration under the 1933 Act, or in a registered public offering. Where registration is required, the Fund could be obligated to pay all or part of the registration expense and a considerable period may elapse between the time it decides to seek registration and the time it is permitted to sell a security under an effective registration statement. If, during such a period, adverse market conditions were to develop, the Fund might obtain a less favorable price than prevailed when it decided to seek registration of the security. A restricted security may be liquid or illiquid, depending on whether it satisfies relevant liquidity requirements, as determined by Thornburg. See “Illiquid Investments” above.

 

Reverse Repurchase Agreements

 

The Fund may enter into reverse repurchase agreements.

 

In a reverse repurchase agreement, the Fund sells a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash and agrees to repurchase the instrument at a particular price and time. Reverse repurchase agreements involve the risk that the market value of securities sold by the Fund may decline below the price at which it is obligated to repurchase the securities. While a reverse repurchase agreement is outstanding, the Fund will maintain appropriate liquid assets in a segregated custodial account to cover its obligation under the agreement. Reverse repurchase agreements also involve the risk that the buyer of the securities sold might be unable to deliver them when the Fund seeks to repurchase the securities. If the buyer files for bankruptcy or becomes insolvent, the Fund may be delayed or prevented from recovering the security that it sold. The Fund will enter into reverse repurchase agreements only with parties whose creditworthiness has been found satisfactory by Thornburg. Such transactions may increase fluctuations in the market value of the Fund’s assets and may be viewed as a form of leverage.

 

 

The SEC has finalized new rules requiring the central clearing of certain repurchase transactions involving U.S. Treasuries. Historically, such transactions have not been required to be cleared. Compliance with the new rules is expected to be required in the middle of 2027. While it is currently difficult to predict the full impact of these new rules, the new clearing requirements may reduce the availability or increase the costs of such transactions and may adversely affect the Fund’s performance.

 

Temporary Defensive Positions

 

For temporary defensive purposes, including when Thornburg determines it is necessary to meet the liquidity needs of the Fund, the Fund may purchase short-term, highly liquid securities including, but not limited to, time certificates of deposit, short-term U.S. government securities, commercial paper, and repurchase agreements. Because such short-term securities tend to generate lower investment returns compared to longer-term investments, investments in these short-term and other securities for temporary periods could reduce the Fund’s ability to attain its investment goals, and could result in current income subject to federal and state income taxes.

 

When-Issued Securities

 

The Fund may purchase securities offered on a “when-issued” or “delayed delivery” basis. When-issued and delayed delivery transactions arise when securities are purchased or sold with payment and delivery beyond the regular settlement date. When-issued transactions normally settle within 30-45 days, though the settlement cycles for some when-issued transactions are longer. On such transactions the payment obligation and the interest rate are fixed at the time the buyer enters into the commitment. The commitment to purchase securities on a when-issued or delayed delivery basis may involve an element of risk because the value of the securities is subject to market fluctuation, no interest accrues to the purchaser prior to settlement of the transaction, and at the time of delivery the market value may be less than the purchase price. Additionally, purchasing securities on a when-issued or delayed delivery basis involves the risks that the security will never be issued or that the other party to the transaction will not meet its obligation, in which events the Fund may lose any gain in that security’s price. At the time the Fund makes the commitment to purchase a security on a when-issued or delayed delivery basis, it will record the transaction and reflect the value of the security in determining its net asset value. Pursuant to current SEC guidance, a transaction involving a when-issued security will not be deemed to involve a senior security as long as the Fund intends to settle the transaction physically and the transaction settles within 35 days. While when-issued or delayed delivery securities may be sold prior to the settlement date, it is intended that the Fund will purchase such securities with the purpose of actually acquiring them unless sale appears desirable for investment reasons. If a when-issued security is sold before delivery any gain or loss would not be tax-exempt.

 

 

Market Indices Information

 

The benchmark indices described in the Prospectus are products of third party index providers. Data respecting those benchmark indices are the property of those third party providers and have been licensed for use by the Fund. The Fund accepts no liability for any errors or omissions relating to the benchmark index data, and the third party providers accept no liability for the use of those data by the Fund. The following additional disclaimers relate to certain of the benchmark indices.

 

ICE BofA

 

Source ICE Data Indices, LLC (“ICE DATA”), is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATAANDANYDATAINCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY PROVIDERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND THORNBURG INVESTMENT TRUST OR ANY OF ITS PRODUCTS OR SERVICES.

 

COMMODITY EXCHANGE ACT REGISTRATION EXEMPTION

 

In connection with its management of the Trust, Thornburg has filed a notice of eligibility for exclusion from the definition of the term “commodity pool operator” in accordance with Rule 4.5 under the CEA and, therefore, Thornburg is not currently subject to registration or regulation as a commodity pool operator under the CEA with respect to the Fund. Rule 4.5 imposes limitations on the use of certain derivative instruments, including futures contracts, options on futures contracts, and certain swaps, by entities seeking to rely on Rule 4.5. Thornburg currently intends to manage the Fund’s assets in a manner which is consistent with the limitations imposed by Rule 4.5. To the extent Thornburg became no longer eligible to claim an exclusion from the definition of the term “commodity pool operator,” then Thornburg may become subject to registration and regulation under the CEA with respect to the Fund. Such registration and regulation may have an adverse effect on Thornburg’s ability to manage the Fund, may impair the ability of the Fund to achieve its investment objective(s), and may result in higher operating expenses for the Fund and reduced investment returns to Fund investors.

 

INVESTMENT LIMITATIONS

 

The following investment policies and limitations supplement those set forth in the Prospectus. Unless otherwise noted below or in the Prospectus, whenever an investment policy or limitation states a maximum percentage of the Fund’s assets that may be invested in any security or other asset, that percentage limitation will be determined immediately after and as a result of the Fund’s acquisition of such security or other asset. Accordingly, any subsequent change in values, net assets, or other circumstances will not be considered when determining whether the investment complies with the Fund’s investment policies and limitations. For those investment policies and limitations which can only be changed by a majority of the Fund’s outstanding voting shares, the term “majority” means the lesser of (i) 67% of the shares of the Fund present in person or by proxy at a meeting of the holders of more than 50% of the Fund’s outstanding shares, or (ii) more than 50% of the outstanding shares of the Fund.

 

 

Thornburg Investment Trust has adopted the following fundamental investment limitations applicable for the Fund which may not be changed unless approved by a majority of the Fund’s outstanding voting securities. The Fund may not:

 

(1) Invest in securities other than municipal obligations (including participations therein) and temporary investments within the percentage limitations stated in the Prospectus;

 

(2) Issue senior securities, except as permitted under the 1940 Act;

 

(3) Borrow money, except as permitted under the 1940 Act;

 

(4) Underwrite any issue of securities (except to the extent that the Fund may be deemed to be an underwriter within the meaning of the 1933 Act in the disposition of restricted securities);

 

(5) Purchase or sell real estate unless acquired as a result or ownership of securities or other instruments (but this shall not prevent the Fund from investing in securities or other instruments backed by real estate or securities of companies engaged in the real estate business, nor shall it prevent the Fund from holding real estate as a result of the Fund’s efforts to restructure a bond or other loan obligation that was secured by real estate);

 

(6) Purchase or sell physical commodities unless acquired as a result of ownership of securities or other instruments (but this shall not prevent the Fund from purchasing or selling options, futures contracts, or from investing in securities or other instruments backed by physical commodities);

 

(7) Lend any security or make any other loan if, as a result, more than 33 1/3% of its total assets would be lent to other parties, but this fundamental investment limitation does not apply to lending of portfolio securities, purchases of debt obligations or other instruments, or to repurchase agreements;

 

(8) With respect to 75% of the Fund’s total assets, purchase the securities of any issuer (other than securities issued or guaranteed by the U.S. government or any of its agencies or instrumentalities) if, as a result, (a) more than 5% of the Fund’s total assets would be invested in the securities of that issuer, or (b) the Fund would hold more than 10% of the outstanding voting securities of that issuer; or

 

(9) Invest more than 25% of its total assets in any one industry.

 

 

For purposes of the fundamental investment limitation stated in paragraph (1), above, “municipal obligations” are also deemed to include investments in investment companies (such as exchange traded funds and closed end funds) which invest substantially all of their assets in municipal obligations, and other direct and indirect investments in municipal obligations which produce income that the Fund is permitted under the Internal Revenue Code to treat as excludable from gross income for purposes of determining its exempt interest dividends under the Code. Also for purposes of the restriction stated in number 1, above, the phrase “temporary investments” refers to the “temporary defensive positions” that the Fund may take from time to time (see the discussions under the headings “Temporary Defensive Positions” in the Prospectus and this SAI). Those temporary defensive positions may include investments of a portion or all of the Fund’s daily cash balances in Thornburg Capital Management Fund or in any other investment company within the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act); provided that any such investments will comply with Section 12(d)(1)(G) of the 1940 Act and rules thereunder.

 

In connection with fundamental investment limitation stated in paragraph (3), above, the 1940 Act currently permits an investment company to borrow money if the borrowings do not exceed one-third of the company’s total assets after subtracting liabilities other than the borrowings, and provided that the borrowings are from a bank (as defined in Section 2(a)(5) of the 1940 Act). The 1940 Act also permits an investment company to borrow money in excess of one-third of the company’s total assets for temporary purposes, provided that any such temporary borrowings may not exceed 5% of the value of the total assets of the issuer at the time the loan is made. If the Fund has engaged in borrowing, it will determine its compliance with the applicable borrowing limits on an ongoing basis while such borrowings are outstanding.

 

The phrase “other instruments” in the fundamental investment limitation set forth in paragraph (7) above is intended to refer to other financial instruments that the Fund is allowed to invest in consistent with its investment policies. Additionally, notwithstanding the reference to “lending of portfolio securities” in paragraph (7), the Fund will not make loans of securities if the total value of those outstanding loans represents more than 33 1/3% of the Fund’s total assets (including the value of all assets received as collateral for such outstanding loans).

 

The Fund’s fundamental investment limitation on investing more than 25% of the Fund’s total assets in the same industry, as described in paragraph (9) above, also applies to investments in the same group of industries. In determining whether an issuer should be classified in a particular industry or industry group for purposes of that fundamental investment limitation, Thornburg may rely on its own analysis of the issuer or on available third party industry classifications. When using third-party industry classifications for this purpose, Thornburg currently looks to classifications provided by Bloomberg. The fundamental investment limitation on investing in industries and industry groups does not apply to an investment by the Fund in a particular economic sector, such as the utilities, hospital and healthcare facilities, or industrial development sectors. Additionally, for purposes of applying the fundamental investment limitation described in paragraph (9) above, issuers of the following securities will not be considered to be members of any industry: securities of the U.S. Government and its agencies and instrumentalities; municipal obligations the income from which is exempt from the regular federal income tax; and repurchase agreements collateralized by such obligations. Notwithstanding the foregoing, to the extent that the income from a municipal obligation is derived from the assets and revenues of non-governmental users, the obligation will be deemed to have been issued from the industry of that non-governmental user. The views and interpretations by the Fund stated in this paragraph may change due to changes in the law or interpretations of the law, including laws pertaining to municipal obligations and the taxability of interest paid on those obligations, and due to other factors.

 

 

The following investment limitations are not fundamental and may be changed without shareholder approval:

 

(i) The Fund does not currently intend to sell securities short, unless it owns or has the right to obtain securities equivalent in kind and amount to the securities sold short, and provided that transactions in futures contracts and options are not deemed to constitute selling securities short.

 

(ii) The Fund does not currently intend to purchase securities on margin, except that the Fund may obtain such short-term credits as are necessary for the clearance of transactions, and provided that any initial and variation margin payments that the Fund may be required to make in connection with its permitted investment strategies do not constitute the purchase of securities “on margin” for purposes of this limitation.

 

(iii) The Fund does not currently intend to purchase any security if, as a result, more than 15% of its net assets would be invested in securities that are considered by Thornburg to be illiquid because they are subject to legal or contractual restrictions on resale or because they cannot be sold or disposed of in the ordinary course of business at approximately the prices at which they are valued.

 

ADDITIONAL MATTERS RESPECTING TAXES

 

The following discussion summarizes certain federal tax considerations generally affecting the Fund and its ETF Class shareholders. This discussion does not provide a detailed explanation of all tax consequences, and ETF Class shareholders are advised to consult their own tax advisors with respect to the particular federal, state, local and foreign tax consequences to them of an investment in the Fund’s ETF Class shares. In particular, this discussion addresses aspects of investment by persons who are not individuals only in a very limited manner.

 

This discussion is based on the Internal Revenue Code of 1986, as amended (the “Code”), Treasury Regulations issued thereunder, the laws of certain specified states and judicial and administrative authorities as in effect on the date of this Statement of Additional Information, all of which are subject to changes. Any of these changes may have a retroactive effect.

 

This is for general information only and not tax advice. All investors should consult with their own tax advisors as to the federal, state, local and foreign tax provisions applicable to them.

 

 

[Elections by the Fund - Subchapter M

 

The Fund has elected and intends to qualify each year to be treated as a regulated investment company under Subchapter M of the Code. The Fund that qualifies as a regulated investment company and distributes to its shareholders at least 90% of its investment company taxable income (including, for this purpose, its net realized short-term capital gains) and 90% of its tax-exempt interest income, if any, earned each year (the “Distribution Requirement”), will not be liable for U.S. federal income taxes on the portion of its investment company taxable income and its net realized long-term capital gains that are distributed to its shareholders. The Fund will be taxed on that portion of taxable net investment income and long-term and short-term capital gains that it retains.

 

Under the Code, a nondeductible excise tax of 4% is imposed on the Fund to the extent the Fund does not distribute by the end of any calendar year an amount at least equal to the sum of 98% of its ordinary income (taking into account certain deferrals and elections) for that calendar year and at least 98.2% of the amount of its net capital gains (both long-term and short-term) for the one-year period ending on October 31 of such calendar year (or December 31 if the Fund so elects), plus any undistributed amounts of taxable income for prior years. For this purpose, however, any income or gain retained by the Fund that is subject to corporate income tax will be considered to have been distributed by year-end. The Fund intends to meet these distribution requirements to avoid the excise tax liability.

 

If the Fund were to fail to qualify for treatment as a RIC for a taxable year, all of its taxable income would be subject to tax at regular corporate rates without any deduction for distributions to shareholders, and its distributions (including capital gains distributions) generally would be taxable to the shareholders of the Fund as ordinary income dividends, subject to the dividends received deduction for corporate shareholders and the lower tax rates on qualified dividend income received by non-corporate shareholders, subject to certain limitations. The Fund could be required to recognize unrealized gains, pay substantial taxes and interests, and make substantial distributions before requalifying as a RIC.

 

Under the Code, to qualify as a regulated investment company, the Fund must: (a) derive at least 90% of its gross income from dividends, interest, certain payments with respect to securities loans, net income from certain publicly traded partnerships, and gains from the sale or other disposition of stock or securities or foreign currencies or other income (including but not limited to gains from options, futures or forward contracts) derived with respect to its business of investing in such stock, securities or currencies (the “Qualifying Income Requirement”), and (b) diversify its holdings so that at the end of each quarter of each taxable year, (i) at least 50% of the Fund’s total assets consists of cash or cash items (including receivables), U.S. government securities, securities of other regulated investment companies and other securities, with investments in such other securities limited in respect of any one issuer to an amount not greater than 5% of the value of the Fund’s total assets and 10% of the outstanding voting securities of such issuer, and (ii) not more than 25% of the Fund’s total assets is invested in the securities (other than U.S. government securities or securities of other regulated investment companies) of any one issuer or two or more issuers that are controlled by the Fund and that are engaged in the same, similar or related trades or businesses, or the securities of one or more qualified publicly-traded partnerships (the “Diversification Requirement”).]

 

 

Distributions by Investment Companies - In General

 

In general, distributions by the Fund of investment company taxable income (including net short-term capital gains), if any, whether received in cash or additional shares, will be taxable to you as ordinary income. A portion of these distributions may be treated as qualified dividend income (eligible for the reduced rates to individuals as described below) to the extent that the Fund receives qualified dividend income. Qualified dividend income is, in general, dividend income from taxable domestic corporations and certain foreign corporations (e.g., foreign corporations incorporated in a possession of the United States or in certain countries with a comprehensive tax treaty with the United States, or the stock of which is readily tradable on an established securities market in the United States). A dividend will not be treated as qualified dividend income to the extent that (i) the shareholder has not held the shares of the Fund on which the dividend was paid for more than 60 days during the 121-day period that begins on the date that is 60 days before the date on which the shares of the Fund become ex-dividend with respect to such dividend (and the Fund also satisfies those holding period requirements with respect to the securities it holds that paid the dividends distributed to the shareholder), (ii) the shareholder is under an obligation (whether pursuant to a short sale or otherwise) to make related payments with respect to substantially similar or related property, or (iii) the shareholder elects to treat such dividend as investment income under section 163(d)(4)(B) of the Internal Revenue Code.

 

For corporate investors in the Fund, dividend distributions the Fund reports as dividends received from qualifying domestic corporations will be eligible for the 50% corporate dividends-received deduction to the extent they would qualify if the Fund were a regular corporation.

 

Distributions from net capital gain (if any) that are reported as capital gains dividends are taxable as long-term capital gains without regard to the length of time the shareholder has held shares of the Fund. However, if you receive a capital gains dividend with respect to Fund shares held for six months or less, any loss on the sale or exchange of those shares shall, to the extent of the capital gains dividend, be treated as a long-term capital loss. The maximum individual rate applicable to “qualified dividend income” and long-term capital gains is generally either 15% or 20% depending on whether the individual’s income exceeds certain threshold amounts.

 

Shareholders of the ETF Class of a Multi-Class ETF Fund could receive a greater amount of taxable capital gain dividends as a result of portfolio trading activity as compared to shareholders of a standalone ETF. An additional 3.8% Medicare tax is imposed on certain net investment income (including ordinary dividends and capital gain distributions received from the Fund and net gains from redemptions or other taxable dispositions of Fund shares) of U.S. individuals, estates and trusts to the extent that such person’s “modified adjusted gross income” (in the case of an individual) or “adjusted gross income” (in the case of an estate or trust) exceeds a threshold amount.

 

If the Fund makes a distribution to a shareholder in excess of the Fund’s current and accumulated earnings and profits in any taxable year, the excess distribution will be treated as a return of capital to the extent of the shareholder’s tax basis in its shares, and thereafter, as capital gain. A return of capital is not taxable, but reduces a shareholder’s tax basis in its shares, thus reducing any loss or increasing any gain on a subsequent taxable disposition by the shareholder of its shares. To the extent that a return of capital distribution exceeds a shareholder’s adjusted basis, the distribution will be treated as gain from the sale of shares.

 

 

Distributions by the Fund result in a reduction in the net asset value of the Fund’s shares. Should distributions reduce the net asset value below a shareholder’s cost basis, the distribution would nevertheless be taxable to the shareholder as ordinary income or capital gain as described above, even though, from an investment standpoint, it may constitute a partial return of capital. In particular, investors should consider the tax implications of buying shares just prior to a distribution. The price of shares purchased at that time includes the amount of the forthcoming distribution. Persons purchasing just prior to a distribution will then receive a partial return of capital upon the distribution, which will nevertheless be taxable to them.

 

Distributions by the Fund also may be subject to state, local and foreign taxes, which may differ from the federal income tax treatment described above.

 

Foreign Currency Transactions

 

Under the Code, gains or losses attributable to fluctuations in foreign currency exchange rates which occur between the time the Fund accrues income or other receivable or accrues expenses or other liabilities denominated in a foreign currency and the time the Fund actually collects such receivable or pays such liabilities generally are treated as ordinary income or ordinary loss. Similarly, on disposition of debt obligations denominated in a foreign currency and on disposition of certain financial contracts and options, gains or losses attributable to fluctuations in the value of foreign currency between the date of acquisition of the security or contract and the date of disposition also are treated as ordinary gain or loss. These gains and losses, referred to under the Code as “Section 988” gains and losses, may increase or decrease the amount of the Fund’s net investment income to be distributed to its shareholders as ordinary income. These rules also (a) could require the Fund to mark-to-market certain types of the positions in its portfolio (i.e., treat them as if they had been closed out in a fully taxable transaction) and (b) may cause the Fund to recognize income without receiving cash with which to pay dividends or make distributions in amounts necessary to satisfy the distribution requirements for avoiding income and excise taxes. Alternatively, fluctuations in exchange rates may decrease or eliminate income available for distribution. If Section 988 losses exceed other investment company taxable income during a taxable year, the Fund would not be able to make ordinary dividend distributions, or distributions made before the losses were realized would be recharacterized as a return of capital to shareholders for U.S. federal income tax purposes, rather than as an ordinary dividend, reducing each shareholder’s basis in its shares of the Fund.

 

Foreign Withholding Taxes

 

Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. If more than 50% of the value of the Fund’s total assets at the close of its taxable year consists of securities of foreign corporations, the Fund will be eligible and may elect to “pass through” to the Fund’s shareholders the amount of foreign income and similar taxes paid by that Fund. Pursuant to this election, a shareholder will be required to include in gross income (in addition to taxable dividends actually received) his pro rata share of the foreign taxes paid by the Fund, and will be entitled either to deduct (as an itemized deduction) his pro rata share of foreign income and similar taxes in computing his taxable income or to use it as a foreign tax credit against his U.S. federal income tax liability, subject to limitations. No deduction for foreign taxes may be claimed by a shareholder who does not itemize deductions, but such a shareholder may be eligible to claim the foreign tax credit (see below). Each shareholder will be notified within 60 days after the close of the Fund’s taxable year whether the foreign taxes paid by the Fund will “pass through” for that year. Furthermore, the amount of the foreign tax credit that is available may be limited to the extent that dividends from a foreign corporation qualify for the lower tax rate on “qualifying dividends.”

 

 

Generally, a credit for foreign taxes is subject to the limitations that it may not exceed the shareholder’s U.S. tax attributable to his foreign source taxable income. For this purpose, if the pass-through election is made, the source of the Fund’s income flows through to its shareholders. With respect to the Fund, gains from the sale of securities will be treated as derived from U.S. sources and certain currency fluctuations gains, including fluctuation gains from foreign currency denominated debt obligations, receivables and payables, will be treated as ordinary income derived from U.S. sources. The limitation on the foreign tax credit is applied separately to foreign source passive income (as defined for purposes of the foreign tax credit), including the foreign source passive income passed through by the Fund. Shareholders may be unable to claim a credit for the full amount of their proportionate share of the foreign taxes paid by the Fund. The foreign tax credit limitation rules do not apply to certain electing individual taxpayers who have limited creditable foreign taxes and no foreign source income other than passive investment-type income. The foreign tax credit is eliminated with respect to foreign taxes withheld on dividends if the dividend-paying shares or the shares of the Fund are not held by the Fund or the shareholders, as the case may be, for periods specified in the Code. If the Fund is not eligible to make the election to “pass through” to its shareholders its foreign taxes, the foreign income taxes it pays generally will reduce investment company taxable income and the distributions by the Fund will be treated as United States source income.

 

Income Dividends

 

The Fund intends to satisfy conditions (including requirements as to the proportion of its assets invested in municipal obligations) which will enable the Fund to designate distributions from the interest income generated by its investments in municipal obligations, which are exempt from federal income tax when received by the Fund, as Exempt Interest Dividends. Shareholders receiving Exempt Interest Dividends will not be subject to federal income tax on the amount of those dividends, except to the extent the alternative minimum tax may apply. Although the interest received from municipal securities generally is exempt from federal income tax, the Fund may invest a portion of its total assets in municipal securities subject to the federal alternative minimum tax. Accordingly, investment in the Fund could cause noncorporate shareholders to be subject to (or result in an increased liability under) the federal alternative minimum tax. If this is the case, the Fund’s net after-tax return to you may be lower. The Fund would be unable to designate Exempt Interest Dividends if, at the close of any quarter of its taxable year, more than 50% of the value of the Fund’s total assets consists of assets other than municipal obligations. Additionally, if in any year the Fund qualified as a regulated investment company but failed to distribute all of its net income, the Fund would be taxable on the undistributed portion of its net income. Although the Fund intends to distribute all of its net income currently, it could have undistributed net income if, for example, expenses of the Fund were reduced or disallowed on audit.

 

 

Distributions by the Fund of any net investment income received from municipal obligations whose income is not exempt from regular federal or state taxes, distributions of any net interest income received from non-municipal obligations that the Fund holds as temporary defensive positions, net short-term capital gains realized by the Fund, if any, and realized amounts attributable to market discount on bonds, will be taxable to shareholders for federal income tax purposes as ordinary income whether received in cash or additional shares. Distributions of any net long-term capital gains by the Fund will be taxable for federal income tax purposes as long-term capital gains, except that gains attributable to market discount on portfolio investments are characterized as ordinary income. Distributions to shareholders will not qualify for the dividends received deduction for corporations.

 

More specifically, the Internal Revenue Code treats interest on certain municipal obligations that are private activity bonds as a preference item for purposes of the alternative minimum tax on shareholders subject to such tax. The Fund may purchase such private activity bonds without limitation, and as a result some portion of the Exempt Interest Dividends paid by the Fund could be treated as a preference item for purposes of the alternative minimum tax. Shareholders are advised to consult their own tax advisors as to the extent and effect of this treatment.

 

The exemption from federal income tax for distributions of interest income from municipal obligations which are designated Exempt Interest Dividends will not necessarily result in exemption under the income or other tax laws of any state or local taxing authority.

 

Distributions may be subject to different treatment under the laws of the different states and local taxing authorities. Shareholders should consult their own tax advisors in this regard.

 

The foregoing is a general and abbreviated summary of selected provisions of the Code and Treasury Regulations presently in effect as they directly govern the taxation of distributions of income dividends by the Fund, and this summary primarily addresses tax consequences to individual shareholders. For complete provisions, reference should be made to the pertinent Code sections and Treasury Regulations. The Code and Treasury Regulations are subject to change by legislative or administrative action, and any such change may be retroactive with respect to Fund transactions. Shareholders are advised to consult their own tax advisors for more detailed information concerning the federal taxation of the Fund and the income tax consequences to their shareholders.

 

In the case of certain municipal obligations, federal tax exemption is dependent upon the issuer (and other users) complying with certain ongoing requirements. There can be no assurance that the issuer (and other users) will comply with these requirements, in which event the interest on such municipal obligations could be determined to be taxable, in most cases retroactively from the date of issuance.

 

Short Sales

 

If the Fund engages in short selling of securities, the gain or loss on the short sale is generally recognized when the Fund closes the short sale by delivering the borrowed securities to the lender, rather than when the borrowed securities are sold. Short sales may increase the net short-term capital gains realized by the Fund, which would be taxable as ordinary income when distributed to the Fund’s shareholders.

 

 

Derivatives and Other Fund Investments

 

The Fund’s investments in certain derivatives, options, futures contracts, hedging transactions, forward contracts, and certain other transactions will be subject to special tax rules, the effect of which may be to accelerate income to the Fund, defer Fund losses, convert capital gain into taxable ordinary income or convert short-term capital losses into long-term capital losses. Engaging in swap transactions also may result in distributions of taxable income or gain to shareholders, and also may cause the Fund to currently recognize income with respect to payments to be received in the future. Certain Fund transactions, including investments in derivative instruments, transactions in foreign currencies or foreign currency-denominated instruments, and hedging activities may produce differences between the Fund’s book and taxable income, and distributions by the Fund may consequently be treated in some instances as returns of capital.

 

Sale, Redemption or Other Disposition of Shares

 

Upon the sale or exchange of his shares, a shareholder realizes a taxable gain or loss depending upon his basis in the shares. The gain or loss will be treated as capital gain or loss if the shares are capital assets in the shareholder’s hands, which generally may be eligible for reduced federal tax rates, depending on the shareholder’s holding period for the shares. Any loss realized on a sale or exchange will be disallowed to the extent that the shares disposed of are replaced (including replacement through the reinvestment of dividends and capital gain distributions in the Fund) within a period of 61 days beginning 30 days before and ending 30 days after the disposition of the shares. In such a case, the basis of the shares acquired will be adjusted to reflect the disallowed loss. Any loss realized by a shareholder on the sale of the Fund’s shares held by the shareholder for six months or less will be treated for federal income tax purposes as a long-term capital loss to the extent of any distributions of capital gains dividends received by the shareholder with respect to such shares. The cost basis of ETF Class shares acquired by purchase will generally be based on the amount paid for ETF Class shares and may be subsequently adjusted for other applicable transactions as required by the Code. The difference between the selling price and the cost basis of ETF Class shares generally determines the amount of the capital gain or loss realized on the sale or exchange of ETF Class shares. Contact the broker through whom you purchased your ETF Class shares to obtain information with respect to the available cost basis reporting methods and elections for your account.

 

An Authorized Participant who exchanges securities for Creation Units generally will recognize a gain or a loss. The gain or loss will be equal to the difference between the market value of the Creation Units at the time and the sum of the exchanger’s aggregate basis in the securities surrendered plus (or minus) the amount of cash paid (or received) for such Creation Units. A person who redeems Creation Units will generally recognize a gain or loss equal to the difference between the exchanger’s basis in the Creation Units and the aggregate market value of any securities received plus (or minus) the amount of any cash received (or paid) for such Creation Units. The IRS, however, may assert that a loss realized upon an exchange of securities for Creation Units cannot be deducted currently under the rules governing “wash sales,” or on the basis that there has been no significant change in economic position.

 

 

Any capital gain or loss realized upon the exchange of securities for Creation Units will generally be treated as long-term capital gain or loss if the securities exchanged for such Creation Units have been held for more than one year. Any capital gain or loss realized upon the redemption of Creation Units will generally be treated as long-term capital gain or loss if the ETF Class shares comprising the Creation Units have been held for more than one year. Any loss upon a redemption of Creation Units held for six months or less will be treated as a long-term capital loss to the extent of any amounts treated as distributions to the applicable Authorized Participant of long-term capital gain with respect to the Creation Units (including any amounts credited to the Authorized Participant as undistributed capital gains). Authorized Participants who are dealers in securities are subject to the tax rules applicable to dealers, which may result in tax consequences to such Authorized Participants different from those described herein.

 

Backup Withholding

 

The Fund or other applicable withholding agent will be required in certain cases to withhold (as “backup withholding”) on amounts payable to any ETF Class shareholder who (1) fails to provide a correct taxpayer identification number certified under penalty of perjury; (2) is subject to backup withholding by the IRS for failure to properly report all payments of interest or dividends; (3) fails to provide a certified statement that he or she is not subject to “backup withholding”; or (4) fails to provide a certified statement that he or she is a U.S. person (including a U.S. resident alien). Backup withholding is not an additional tax and any amounts withheld may be credited against the shareholder’s ultimate U.S. tax liability. Backup withholding will not be applied to payments that have been subject to the 30% withholding tax on shareholders who are neither citizens nor permanent residents of the United States.

 

Non-U.S. Shareholders

 

Dividends of the Fund’s investment company taxable income to non-U.S. shareholders will generally be subject to a 30% U.S. withholding tax unless a reduced rate of withholding or a withholding exemption is provided under applicable treaty law. Non-U.S. shareholders should consult their own tax advisors. If the Fund’s distributions are effectively connected with a U.S. trade or business of the non-U.S. shareholder, and, if an income tax treaty applies, attributable to a permanent establishment in the United States, the Fund generally will not be required to withhold U.S. federal tax if the non-U.S. shareholder complies with applicable certification and disclosure requirements, although the distributions will be subject to U.S. federal income tax at the rates applicable to U.S. persons. Special certification requirements apply to a non-U.S. shareholder that is a foreign partnership or a foreign trust, and such entities are urged to consult their own tax advisers.

 

In addition, with respect to certain distributions made by the Fund to non-U.S. shareholders, no withholding is required and the distributions generally are not subject to U.S. federal income tax if (i) the distributions are properly designated in a notice timely delivered to the shareholders as “interest-related dividends” or “short-term capital gain dividends,” (ii) the distributions are derived from sources specified in the Code for such dividends and (iii) certain other requirements are satisfied. Depending on the circumstances, the Fund may designate all, some or none of its potentially eligible dividends as derived from such qualified net interest income or as qualified short-term capital gain, and a portion of its distributions, may be ineligible for this potential exemption from withholding. Moreover, in the case of shares of the Fund held through an intermediary, the intermediary may withhold U.S. federal income tax even if the Fund designates a payment as derived from such qualified net interest income or qualified short-term capital gain. Hence, no assurance can be provided as to whether any amount of the Fund’s dividends or distributions will be eligible for this exemption from withholding or if eligible, will be reported as such by the Fund. Actual or deemed distributions of the Fund’s net capital gains to a non-U.S. shareholder, and gains realized by a non-U.S. shareholder upon the sale of the Fund’s shares, will generally not be subject to U.S. federal withholding tax and generally will not be subject to U.S. federal income tax unless (i) the distributions or gains, as the case may be, are effectively connected with a U.S. trade or business of the non-U.S. shareholder and, if an income tax treaty applies, are attributable to a permanent establishment maintained by the non-U.S. shareholder in the United States, or (ii) such non-U.S. shareholder is an individual present in the United States for 183 days or more during the year of the distribution or gain.

 

 

If the Fund distributes its net capital gains in the form of deemed rather than actual distributions, a non-U.S. shareholder will be entitled to a U.S. federal income tax credit or tax refund equal to the shareholder’s allocable share of the tax the Fund pays on the capital gains deemed to have been distributed. In order to obtain the refund, the non-U.S. shareholder must obtain a U.S. taxpayer identification number and file a federal income tax return even if the non-U.S. shareholder would not otherwise be required to obtain a U.S. taxpayer identification number or file a federal income tax return. For a corporate non-U.S. shareholder, distributions (both actual and deemed) and gains realized upon the sale of Fund shares that are effectively connected to a U.S. trade or business may, under certain circumstances, be subject to an additional “branch profits tax” at a 30% rate (or at a lower rate if provided for by an applicable treaty). Accordingly, investment in the ETF Class shares may not be appropriate for such a non-U.S. shareholder.

 

The Fund is required to withhold U.S. tax (currently at a 30% rate) on payments of taxable dividends and potentially certain other distributions made to certain non-U.S. entities that fail to comply (or be deemed compliant) with extensive reporting and withholding requirements under the Foreign Account Tax Compliance Act (known as FATCA), which is designed to inform the U.S. Department of Treasury of U.S.-owned foreign investment accounts. Shareholders may be requested to provide additional information to the Fund to enable the Fund to determine whether withholdings are required. For non-U.S. shareholders to qualify for an exemption from backup withholding, described above, the non-U.S. shareholder must comply with special certification and filing requirements. Non-U.S. shareholders in the Fund should consult their tax advisors in this regard. Non-U.S. persons should consult their own tax advisers with respect to the U.S. federal income tax and withholding tax, and state, local and foreign tax consequences of an investment in the ETF Class shares.

 

State and Local Taxes

 

The laws of the several states and local taxing authorities vary with respect to the taxation of distributions, and shareholders of the Fund are advised to consult their own tax advisors in that regard. In particular, investors who are not individuals are advised that the preceding discussion relates primarily to tax consequences affecting individuals, and the tax consequences of an investment by a person which is not an individual may be very different. The Fund will advise shareholders within 60 days of the end of each calendar year as to the percentage of income derived from each state in which the Fund has any municipal obligations in order to assist shareholders in the preparation of their state and local tax returns.

 

 

The foregoing is a general and abbreviated summary of the applicable provisions of the Code and Treasury Regulations presently in effect. For the complete provisions, reference should be made to the pertinent Code sections and the Treasury Regulations promulgated thereunder. The Code and these Regulations are subject to change by legislative or administrative action.

 

INVESTMENT ADVISOR, INVESTMENT ADVISORY AGREEMENTS, & ADMINISTRATIVE SERVICES AGREEMENTS

 

Investment Advisory Agreement

 

Pursuant to an Investment Advisory Agreement in respect of the Fund, Thornburg, 2300 North Ridgetop Road, Santa Fe, New Mexico 87506, acts as investment advisor for, and will manage the investment and reinvestment of the assets of, the Fund in accordance with the Fund’s respective investment objectives and policies, subject to the general supervision and control of the Trustees of the Trust.

 

Thornburg is paid a fee by the Fund, in the percentage amounts set forth in the Prospectus.

 

The fee paid by the Fund is allocated among the different classes of shares offered by the Fund, including the ETF Class shares, based upon the average daily net assets of each class of shares. All fees and expenses are accrued daily and deducted before payment of dividends. In addition to the fees of Thornburg, the Fund will pay all other costs and expenses of its operations. The Fund also will bear the expenses of registering and qualifying the Fund and its shares for distribution under federal and state securities laws, including legal fees.

 

The Trust’s Trustees (including a majority of the Trustees who are not “interested persons” within the meaning of the 1940 Act) have approved the Investment Advisory Agreement applicable to the Fund, and annually consider the renewal of the agreement applicable to the Fund. In connection with their general supervision of Thornburg, and as an important element of their annual consideration of a renewal of the Investment Advisory Agreement applicable to the Fund, the Trustees receive and consider reports from Thornburg throughout the year. These reports address a wide variety of topics, including particularly Thornburg’s services to the Fund and its selection of investments of pursuit of the Fund’s investment objectives.

 

The Trustees have considered the responsibilities of fund trustees generally and the Trustees’ understandings of shareholders’ expectations about the management of the funds in which they have invested. The Trustees have concluded, based upon these discussions and a consideration of applicable law, that the principal obligation of fund trustees is to assess the nature and quality of an investment advisor’s services, and to confirm that the advisor actively and competently pursues the fund’s objectives. The Trustees have further concluded that while fund trustees should determine that the Fund’s fees and costs are reasonable in relation to the services rendered and generally in line with those charged by other investment advisors, putting an investment advisory agreement “out to bid” as a matter of course would be inconsistent with shareholder interests and contrary to shareholder expectations when they invested in the Fund, and that fund trustees should not do so unless an advisor materially failed to pursue the Fund’s objectives in accordance with its policies or for other equally important reasons. The Trustees also observed in their deliberations that Fund shareholders appear to invest with a long-term perspective, and that in reviewing the Fund’s performance, the Trustees should focus on the longer-term perspective rather than current fashions or short-term performance.

 

 

[The Trust’s Trustees most recently determined to renew the Investment Advisory Agreement applicable to the Fund on September 9, 2025.

 

In anticipation of their recent consideration of the Investment Advisory Agreement’s renewal, the independent Trustees met in March 2025 and May 2025 to consider aspects of their annual evaluation of Thornburg’s service to the Fund and to each other series of the Trust, to plan the annual evaluation of Thornburg’s performance, and to discuss preliminarily the information Thornburg would present to the Trustees for their review. The independent Trustees met in another independent session in July 2025 to further define certain portions of the information to be submitted by Thornburg. The independent Trustees met again in independent session in September 2025 to discuss various matters relating to the consideration of the Investment Advisory Agreement’s renewal, including discussions with representatives of the Fund analyst firm engaged by the independent Trustees to provide explanations of comparative cost and expense information. In that session the independent Trustees discussed their evaluations of Thornburg’s services to the Fund and the Fund’s fee and expense levels, investment performance, and other information presented for the Fund, conferred with legal counsel respecting the factors typically considered in evaluating renewal of an advisory agreement, and conferred with representatives of Thornburg to receive explanations of certain aspects of the information they had requested. Representatives of Thornburg subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at another session of independent Trustees in September 2025. Following that session, the Trustees met for the purpose of considering renewal of the Investment Advisory Agreement, and the Trustees, including all of the independent Trustees, voted unanimously to renew the Investment Advisory Agreement for an additional term of one year.

 

A discussion regarding the basis for the approval of the Fund’s Investment Advisory Agreement by the Trustees is contained in the Fund’s Form N-CSR filing for the fiscal year ended September 30, 2025.]

 

The Investment Advisory Agreement applicable to the Fund may be terminated by either party, at any time without penalty, upon 60 days’ written notice, and will terminate automatically in the event of its assignment. Termination will not affect the right of Thornburg to receive payments on any unpaid balance of the compensation earned prior to termination. The Agreement further provides that in the absence of willful misfeasance, bad faith or gross negligence on the part of Thornburg, or of reckless disregard of its obligations and duties under the Agreement, Thornburg will not be liable for any action or failure to act in accordance with its duties thereunder.

 

 

For the three most recent fiscal years with respect to the Fund, Thornburg was entitled to receive the following amounts from the Fund pursuant to the Investment Advisory Agreement applicable to the Fund.

 

Year Ended September 30, 2023				Year Ended September 30, 2024				Year Ended September 30, 2025
$	2,280,964			$	2,306,792			$	2,677,420

 

For the three most recent fiscal years, Thornburg has waived its rights to certain fees which it was otherwise entitled to receive from the Fund pursuant to the Investment Advisory Agreement applicable to that Fund. The specific amounts waived by Thornburg are as follows:

 

Year Ended September 30, 2023				Year Ended September 30, 2024				Year Ended September 30, 2025
$	641,482			$	659,567			$	767,363

 

Thornburg may (but is not obligated to) waive its rights to any portion of its fees in the future and may use any portion of its fees for purposes of shareholder and administrative services and distribution of Fund shares.

 

Garrett Thornburg, Chairman and Trustee of the Trust, is a director and controlling shareholder of Thornburg, and Brian McMahon, Vice Chairman and Trustee of the Trust, is also a director of Thornburg. In addition, various individuals who are officers of the Trust also serve as officers of Thornburg, as described below under the caption “Management.”

 

Proxy Voting Policies

 

Thornburg is authorized by the Trust to vote proxies respecting voting securities held by the Fund. In those cases, Thornburg votes proxies in accordance with written Proxy Voting Policies and Procedures (the “Policy”) adopted by Thornburg. The Policy states that the objective of voting a security is to enhance the value of the security, or to reduce potential for a decline in the security’s value. The Policy prescribes procedures for assembling voting information and applying the informed expertise and judgment of Thornburg on a timely basis in pursuit of this voting objective.

 

The Policy also prescribes a procedure for voting proxies when a vote presents a conflict between the interests of the Fund and Thornburg. If the vote relates to the election of a director in an uncontested election or ratification or selection of independent accountants, the investment advisor will vote the proxy in accordance with the recommendation of any proxy voting service engaged by Thornburg. If no such recommendation is available, or if the vote involves other matters, Thornburg will refer the vote to the Trust’s operations risk oversight committee for direction on the vote or consent to vote on Thornburg’s recommendation.

 

The Policy authorizes Thornburg to utilize various sources of information in considering votes, including the engagement of service providers who provide analysis and information on the subjects of votes and who may recommend voting positions. Thornburg has engaged Institutional Shareholder Services (“ISS”) to provide these services to Thornburg in connection with voting proxies for the Fund. Thornburg may or may not accept recommendations from ISS. Thornburg also may decline to vote in various situations, including cases where an issue is not relevant to the Policy’s voting objective or where it is not possible to ascertain what effect a vote may have on the value of an investment. Thornburg may not be able to vote proxies in cases where proxy voting materials are not delivered to Thornburg in sufficient time for evaluation and voting.

 

 

Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.

 

Administrative Services Agreement

 

Administrative services are provided to the ETF Class shares of the Fund under the Fourth Restated Administrative Services Agreement between the Trust and Thornburg dated September 19, 2023 (the “Administrative Services Agreement”), as amended, which requires Thornburg to perform certain administrative services and engage in activities beyond those specifically required by the Investment Advisory Agreement, and to provide related services. The activities and services provided by Thornburg under the Administrative Services Agreement include the administration, monitoring, supervision, performance or direction of certain administrative functions necessary or desirable for the operation of the Fund, generally including: monitoring, supervision and direction of fund accounting and administration, tax accounting and reporting, custodial and transfer agent services, account administration, information technology services, legal services, and other services provided by third parties to the Fund; coordination and management of financial audits; monitoring of financial intermediaries in connection with their provision of non-distribution services to the Fund; supervision and direction of and assistance in the preparation of registration statements and other governmental filings, income and other tax returns, and reports and other communications to shareholders; coordination and supervision of certain portfolio valuation functions; monitoring, supervision and conduct of legal compliance functions; providing personnel necessary to furnish the services required by the Administrative Services Agreement together with the office space and other support necessary for those services; and such other services and activities as the parties may agree from time to time.

 

The Trust pays Thornburg a fee for the services that Thornburg provides pursuant to the Administrative Services Agreement. That fee is computed as an annual percentage of the aggregate average daily net assets of all share classes of the Fund, including the ETF Class shares described in this SAI, paid monthly, as follows:

 

Net Assets	Percentage Rate
[0 to $20 billion	0.100%
$20 billion to $40 billion	0.075%
$40 billion to $60 billion	0.040%
Over $60 billion	0.030%]

 

For the three most recent fiscal years with respect to the Fund, the amounts paid to Thornburg by the Fund under the Administrative Services Agreement were as follows:

 

Year Ended September 30, 2023				Year Ended September 30, 2024				Year Ended   September 30, 2025
$	268,869			$	267,881			$	298,830

 

The agreements applicable to each class may be terminated by either party, at any time without penalty, upon 60 days’ written notice, and will terminate automatically upon assignment. Termination will not affect the service provider’s right to receive fees earned before termination. The agreements further provide that in the absence of willful misfeasance, bad faith or gross negligence on the part of the service provider, or reckless disregard of its duties thereunder, the provider will not be liable for any action or failure to act in accordance with its duties thereunder.

 

SERVICE AND DISTRIBUTION PLANS

 

[The Fund has adopted a plan of distribution with respect to ETF Class shares pursuant to Rule 12b-1 under the 1940 Act (“Service Plan”). The Service Plan authorizes the Fund to pay to the Distributor (defined below), or to such persons as the Distributor may direct, out of the assets of the Fund’s ETF Class, an amount not to exceed the annual percentage rate of 0.25% of the average daily net assets attributable to ETF Class shares, together with any applicable gross receipts tax, sales tax, value added tax, compensating tax or similar exaction imposed by any federal, state or local government, though the aggregate of those taxes shall not exceed 10%. The Fund has also adopted a plan of distribution with respect to ETF Class shares pursuant to Rule 12b-1 under the 1940 Act (“Distribution Plan”). The Distribution Plan authorizes the Fund to pay to the Distributor, or to such persons as the Distributor may direct, out of the assets of the ETF Class, an amount not to exceed the annual percentage rate of 0.25% of the average daily net assets attributable to ETF Class shares, together with any applicable gross receipts tax, sales tax, value added tax, compensating tax or similar exaction imposed by any federal, state or local government, though the aggregate of those taxes shall not exceed 10%.

 

No distribution or service fees are currently paid by the Fund with respect to ETF Class shares, however, and there are no current plans to impose these fees. Future payments may be made under the Distribution Plan and/or the Service Plan without any further shareholder approval. In the event Rule 12b-1 fees are charged, over time they would increase the cost of an investment in the Fund’s ETF Class shares.] 

 

FINANCIAL INTERMEDIARY COMPENSATION

 

Thornburg or its affiliates may make payments out of their revenues in connection with the sale and distribution of ETF Class shares of the Fund or for services to the Fund and its ETF Class shareholders. These payments are discussed in further detail in the Prospectus under the title “Additional Payments to Financial Professionals and Intermediaries”. As the ETF Class shares of the Fund have not commenced operations at this time, there are no firms to be identified at this time.

 

 

PORTFOLIO TRANSACTIONS

 

All orders for the purchase or sale of portfolio securities are placed on behalf of the Fund by Thornburg pursuant to its authority under the Fund’s investment advisory agreement. Thornburg also is responsible for the placement of transaction orders for other clients for whom it acts as investment advisor.

 

Thornburg, in effecting purchases and sales of fixed income securities for the account of the Fund, places orders in such a manner as, in the opinion of Thornburg, offers the best available price and most favorable execution of each transaction. Portfolio securities may be purchased, among other ways, directly from an underwriter or in the over-the-counter market from the principal dealers in such securities, unless it appears that a better price of execution may be obtained elsewhere. Purchases from underwriters will include a commission or concession paid by the issuer to the underwriter, and purchases from dealers will include the spread between the bid and asked price.

 

Similarly, Thornburg places orders for transactions in equity securities in such a manner as, in the opinion of Thornburg, will offer the best available price and most favorable execution of these transactions. In selecting broker dealers, subject to applicable legal requirements, Thornburg considers various relevant factors, including, but not limited to: the size and type of the transaction; the nature and character of the markets for the security to be purchased or sold; the execution efficiency, settlement capability, and financial condition of the broker-dealer firm; the broker-dealer’s execution services rendered on a continuing basis; and the reasonableness of any commissions; and arrangements for payment of Fund expenses. Generally commissions for foreign investments traded will be higher than for U.S. investments and may not be subject to negotiation.

 

In addition, Thornburg may execute the Fund’s portfolio transactions with broker-dealers who provide research and brokerage services to Thornburg. Such services may include, but are not limited to, provision of market information relating to the security, economy, industries or specific companies; order execution systems; technical and quantitative information about the markets; and effecting securities transactions and performing functions incidental thereto (such as clearance and settlement). Research and brokerage services include information and analysis provided electronically through online facilities. The receipt of research from broker-dealers who execute transactions on behalf of the Fund may be useful to Thornburg in rendering investment management services to the Fund and/or its other clients.

 

The receipt of such research may not reduce Thornburg’s normal independent research activities; however, it may enable Thornburg to avoid the additional expenses that could be incurred if Thornburg tried to develop comparable information through its own efforts.

 

As permitted by Section 28(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), Thornburg may cause the Fund to pay a broker or dealer, including those acting in the capacity of a futures commission merchant, that provides “brokerage and research services” (as defined in the Exchange Act) to the Fund an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission that another broker or dealer would have charged for effecting that transaction, if Thornburg determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that particular transaction or Thornburg’s overall responsibilities to the Fund and to other client accounts over which Thornburg exercises investment discretion.

 

 

Thornburg may use research services provided by and place portfolio transactions with brokerage firms that have provided assistance in the distribution of shares of the Fund to the extent permitted by law. Thornburg may allocate brokerage transactions to broker-dealers who have entered into arrangements with Thornburg under which the broker-dealer allocates a portion of the commissions paid by the Fund toward payment of the Fund’s expenses, such as transfer agent fees or custodian fees. The transaction quality must, however, be comparable to those of other qualified broker-dealers.

 

Thornburg reserves the right to manage other investment companies and investment accounts for other clients which may have investment objectives similar to those of the Fund. Subject to applicable laws and regulations, Thornburg will attempt to allocate investment opportunities equitably among the Fund and the portfolios of its other clients purchasing securities whenever decisions are made to purchase or sell securities by the Fund and one or more of such other clients simultaneously. In making such allocations the main factors to be considered, include, among others, the respective investment objectives of the Fund and the other clients, the amount of uninvested cash held by the Fund and other clients, the size and nature of investment positions then held by the Fund and the other clients, and the strategy, timing and restrictions applicable respectively to the Fund and the other clients. This allocation methodology could have a detrimental effect on the price or amount of the securities available to the Fund from time to time.

 

During the three most recent fiscal years or periods, no brokerage commissions were paid by the Fund. 

 

The Fund did not own during the fiscal year equity or debt securities issued by certain of its regular broker dealers.

 

Thornburg may use research services provided by and place portfolio transactions with brokerage firms that have provided assistance in the distribution of shares of the Fund to the extent permitted by law. Thornburg may allocate brokerage transactions to broker-dealers who have entered into arrangements with Thornburg under which the broker-dealer allocates a portion of the commissions paid by the Fund toward payment of the Fund’s expenses, such as transfer agent fees or custodian fees. The transaction quality must, however, be comparable to those of other qualified broker-dealers. 

 

Thornburg reserves the right to manage other investment companies and investment accounts for other clients which may have investment objectives similar to those of the Fund. Subject to applicable laws and regulations, Thornburg will attempt to allocate equitably portfolio transactions among the Fund and the portfolios of its other clients purchasing securities whenever decisions are made to purchase or sell securities by the Fund and one or more of such other clients simultaneously. In making such allocations the main factors to be considered will be the respective investment objectives of the Fund and the other clients, the size and nature of investment positions then held by the Fund and the other clients, and the strategy, timing and restrictions applicable respectively to the Fund and the other clients. While this procedure could have a detrimental effect on the price or amount of the securities available to the Fund from time to time, it is the opinion of the Fund’s Trustees that the benefits available from Thornburg’s organization will outweigh any disadvantage that may arise from exposure to simultaneous transactions.

 

 

Portfolio Trading by Authorized Participants

 

When creation or redemption transactions with respect to ETF Class shares consist of cash, the transactions may require the Fund to contemporaneously transact with broker-dealers for purchases or sales of portfolio securities, as applicable. Depending on the timing of the transactions and certain other factors, such transactions may be placed with the purchasing or redeeming Authorized Participant in its capacity as a broker-dealer or with its affiliated broker-dealer. In order for the Fund to, among other reasons, potentially approximate a portfolio result that is, in the aggregate, similar to the portfolio result an entirely in-kind creation or redemption transaction would be expected to have, as applicable, such Authorized Participant or its affiliated broker-dealer may be required to guarantee that the Fund will achieve execution of its order at a price at least as favorable to the Fund as the Fund’s valuation of the portfolio securities used for purposes of calculating the NAV applied to the creation or redemption transaction giving rise to the order (the “Execution Performance Guarantee”). Whether the execution of the order is at a price at least as favorable to the Fund as the Fund’s valuation of the portfolio securities will depend on the results achieved by the executing firm and will vary depending on market activity, timing and a variety of other factors. There can be no guarantee that an executing firm will be able to execute an order at such a price.

 

To manage the risks associated with an Execution Performance Guarantee, the Fund may require an Authorized Participant or its affiliate as broker-dealer to deposit an amount of collateral with the applicable Fund (the “Execution Performance Deposit”) in connection with orders arising from creation transactions. If the broker-dealer executing the order achieves executions in market transactions at a price at least as favorable as the Fund’s valuation of the portfolio securities, the Authorized Participant or its affiliate generally may retain the benefit of the favorable executions and the Execution Performance Deposit will be returned to the Authorized Participant or its affiliate. If, however, the broker-dealer executing the order is unable to achieve executions in market transactions at a price at least as favorable as the Fund’s valuation of the securities, the Fund may retain the portion of the Execution Performance Deposit up to the full amount of the execution shortfall (including any taxes, brokerage commissions or other costs) and, if necessary, may request the Authorized Participant or its affiliate to deposit any additional amount required to cover the full amount of the actual Execution Performance Guarantee.

 

The Fund may also require an Authorized Participant or its affiliate as broker-dealer to pay any shortfall amount (the “Execution Performance Offset”) in connection with orders arising from redemption transactions. If the broker-dealer executing the order achieves executions in market transactions at a price at least as favorable as the Fund’s valuation of the portfolio securities, the Authorized Participant or its affiliate generally may retain the benefit of the favorable executions and the Authorized Participant will not be called upon to honor the Execution Performance Offset. If, however, the broker-dealer is unable to achieve executions in market transactions at a price at least equal to the Fund’s valuation of the securities, the Fund will be entitled to the portion of the Execution Performance Offset up to the amount of the execution shortfall (including any taxes, brokerage commissions or other costs).

 

 

The circumstances under which the Execution Performance Guarantee will be used and the expected amount, if any, of any Execution Performance Deposit or Execution Performance Offset for the Fund may change from time to time based on the actual experience of the Fund. There can be no guarantee that the Fund will achieve results consistent with an Execution Performance Guarantee or that sufficient collateral will be available to the Fund to achieve an equivalent result.

 

If an Authorized Participant has entered into an Execution Performance Guarantee, but the Authorized Participant is unable, as determined by Thornburg in its sole discretion, to execute the market transactions that are the subject of the Execution Performance Guarantee due to an extended market holiday that goes over seven calendar days or in certain other situations where all or a portion of the transactions are unable to be executed within seven calendar days, then the Fund may pay the full amount of the redemption order (or the remaining amount of the redemption order based on the unexecuted portion of the transaction) within the original seven calendar day period by using cash on hand or, if applicable, interfund lending or an overdraft facility. The Authorized Participant (or an affiliated broker-dealer), acting on an agency basis, will subsequently enter into one or more separate market transactions when the markets reopen or the trades are otherwise able to be executed through which the Fund sells the portfolio securities (or the remaining unsold portfolio securities) subject to a guaranteed sales price. If the Authorized Participant (or an affiliated broker-dealer) achieves executions in market transactions at a price more favorable than the Fund’s valuation of the portfolio securities as of the NAV calculation applicable on the date of the redemption, then the Authorized Participant generally may retain the excess transaction proceeds. If the Authorized Participant is unable to achieve executions in market transactions at a price at least as favorable as the Fund’s valuation of the portfolio securities as of the NAV calculation applicable on the date of the redemption, then the Fund may require the Authorized Participant to make the applicable shortfall payment to the Fund.

 

In addition, if transacting as broker with the Fund in a non-U.S. jurisdiction, an Authorized Participant may be required to cover foreign exchange costs through an Execution Performance Guarantee. If the foreign exchange transaction associated with the applicable security trades can only occur upon the settlement of a security trade and such trades are unable, as determined by Thornburg in its sole discretion, to be settled by the seventh calendar day after receipt of the Authorized Participant’s redemption order with respect to ETF Class shares, then the Fund may pay within the original seven calendar day period the amount due in respect of the redemption order based on the foreign exchange rate as of the date of the redemption order by using cash on hand or, if applicable, interfund lending or an overdraft facility (in addition to any sales proceeds from the executed portion of the original brokerage order) and subsequently enter into one or more separate foreign exchange transactions with the Authorized Participant (or a broker-dealer affiliate of the Authorized Participant), acting on an agency basis, subject to a guaranteed sales price. If the Authorized Participant achieves execution of the foreign exchange transactions at a price more favorable than the foreign exchange rate as of the NAV calculation applicable on the date of the redemption, then the Authorized Participant generally may retain the excess transaction proceeds. If the Authorized Participant is unable to achieve execution of the foreign exchange transactions at a price at least as favorable as the foreign exchange rate as of the NAV calculation applicable on the date of the redemption, then the Fund may require the Authorized Participant to make the applicable shortfall payment to the Fund.

 

 

Portfolio Turnover Rates

 

The Fund’s respective portfolio turnover rates for the two most recent fiscal years or periods are as follows:

 

		Year Ended Sept. 30, 2024				Year Ended Sept. 30, 2025
Strategic Municipal Income Fund			23.43	%			59.01	%

 

Variations in the Fund’s portfolio turnover rate from year-to-year are generally due to repositioning of the Fund’s portfolio in response to changing market conditions.

 

DISCLOSURE OF PORTFOLIO HOLDINGS

 

On each Business Day, prior to the opening of regular trading on the Exchange, the Fund publicly discloses its entire portfolio holdings via its website (https://www.thornburg.com) and the National Securities Clearing Corporation (“NSCC”) and, typically, the composition of an in-kind creation basket and the in-kind redemption basket via the NSCC that it will accept in respect of a creation or redemption of a Creation Unit with respect to ETF Class shares. The holdings of the Fund will also be disclosed in quarterly filings with the SEC on Form N-PORT as of the end of the first and third quarters of the Fund’s fiscal year and on Form N-CSR as of the second and fourth quarters of the Fund’s fiscal year.

 

Subject to certain limitations on disclosure of material non-public information, portfolio holdings of the Fund may generally be made available more frequently and prior to their public availability (i) to Authorized Participants, market makers and liquidity providers (e.g., in the course of negotiating a custom basket), (ii) to service providers of the Fund or Thornburg, including outside legal counsel, an accounting or auditing firm, an administrator, custodian, principal underwriter, pricing service, proxy voting service, financial printer, third party that delivers analytical, statistical or consulting services, ratings or rankings agency or other third party that may require such information to provide services for the benefit of the Fund; (iii) to current or prospective Fund shareholders (including shareholders of record of indirect investments in the Fund through another Fund) and their consultants or agents; (iv) as required by law; and (v) for any other legitimate business purpose.

 

 

The Trustees have adopted policies and procedures respecting and limiting the circumstances under which nonpublic holdings information respecting the Fund’s current portfolio holdings information may be disclosed to persons not associated with the Fund or Thornburg. Neither the Fund nor Thornburg nor any affiliate thereof receives compensation or other consideration in connection with the disclosure of information about the Fund’s portfolio holdings.

 

In any case where nonpublic portfolio holdings information is disclosed to a third party, Thornburg will typically seek to confirm that the person to whom the disclosure is made is subject to a contractual provision, professional rule or obligation, or undertaking respecting the maintenance of the confidentiality of the nonpublic information.

 

MANAGEMENT

 

The Fund is a separate “series” or investment portfolios of the Trust. The names of Trustees and officers of the Fund and their principal occupations and affiliations during the past five years are set forth in the table below. Additional information about the particular experiences, qualifications, attributes and skills of each Trustee appears after the table.

 

 

Interested Trustees

 

Name, Address(1) and Age	Position(s) Held with Trust(2)	Term of Office and Length of Time Served(3)	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director(2)	Other Directorships Held by Director During Past Five Years
Garrett Thornburg, 80	Chair of Trustees(4)	Trustee Since 1984	Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman and controlling shareholder of Thornburg Securities LLC (securities dealer); Chairman of the Thornburg Foundation (nonprofit).	31	None
Brian J. McMahon, 70	Vice Chair of Trustees, Member of Governance & Nominating Committee and Operations Risk Oversight Committee(5)	Trustee since 2001	Vice Chairman, Chief Investment Strategist, Managing Director, and Portfolio Manager and, until 2016, CEO and President, of Thornburg Investment Management, Inc.; Vice President of Thornburg Securities LLC.	31	None

 

 

Independent Trustees

 

Name, Address(1) and Age	Position(s) Held with Trust(2)	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director(2)	Other Directorships Held by Director During Past Five Years
Lisa Black, 67	Trustee, Member of Audit Committee and Operations Risk Oversight Committee	Trustee since 2023	Until 2019, Senior Managing Director, Chief Investment Officer and Head, Taxable Fixed Income, Nuveen LLC, New York, NY; Managing Director, TIAA-CREF, New York, NY (1996-2012).	31	None
Sally Corning, 65	Trustee, Member of Audit Committee and Governance & Nominating Committee	Trustee since 2012	Partner in Sun Mountain Capital, Santa Fe, NM (private equity firm with investment programs encompassing venture capital, mezzanine debt, and growth equity).	31	None
David L. Gardner, 63	Trustee, Chair of Governance & Nominating Committee, and Member of Operations Risk Oversight Committee	Trustee since 2015	Until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of BlackRock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at BlackRock, Inc.	31	None
Patrick J. Talamantes, 61	Trustee, Chair of Audit Committee	Trustee since 2019	President of Talamantes Strategies, LLC, a management consulting firm, since 2018. Until 2017, President and Chief Executive Officer of The McClatchy Company, Sacramento, CA (news and media company).	31	None
Owen D. Van Essen, 72	Lead Independent Trustee, Member of Operations Risk Oversight Committee and Governance & Nominating Committee	Trustee since 2004	President of Dirks, Van Essen & April, Santa Fe, New Mexico (newspaper mergers and acquisitions).	31	None
James W. Weyhrauch, 67	Trustee, Chair of Operations Risk Oversight Committee, and Member of Audit Committee	Trustee since 1996	Real estate broker, Corcoran Plaza Properties, Santa Fe, NM; General Partner, Investments of Genext LLC (a family investment partnership); until 2019, Vice Chairman of Nambé LLC, Santa Fe, NM (manufacturing and design company).	31	None

 

 

Officers of the Fund (who are not Trustees)⁽⁶⁾

 

Name, Address(1) and Age	Position(s) Held with Trust(2)	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen(2)	Other Directorships Held During Past Five Years
Nimish Bhatt, 62	President; Principal Executive Officer	President and Principal Executive Officer since 2023, Chief Financial Officer 2019-2023, Treasurer 2016-2019, Secretary 2018-2019(6)	Chief Financial Officer and Treasurer of Thornburg Investment Management, Inc. since 2016; Treasurer (since 2016) and Secretary (2018-2022) of Thornburg Securities LLC; Senior Vice President (2004-2016), Chief Financial Officer (2011-2016), and Head of Fund Administration (2011-2016) of Calamos Asset Management, Inc., Calamos Investments LLC, Calamos Advisors LLC, and Calamos Wealth Management; Director of Calamos Global Funds plc (2007-2016).	Not applicable	Not applicable
Geoff Black, 64	Secretary	Secretary since 2024(6)	Director of Fund Operations of Thornburg Investment Management, Inc since 2024; Director, Transfer Agent Services at Russell Investments (2010-2024).	Not applicable	Not applicable
Matt Burdett, 56	Vice President	Vice President since 2024	Head of Equities since 2024, Portfolio Manager and Managing Director since 2018, and Associate Portfolio Manager from 2015-2018, of Thornburg Investment Management, Inc.	Not applicable	Not applicable
Amy Callow, 49	Assistant Secretary	Assistant Secretary since 2025	General Counsel, Chief Administrative Officer and Managing Director of Thornburg Investment Management, Inc. since 2022; Associate General Counsel and Global Corporate Secretary of Barings LLC (2017-2022), Senior Corporate Counsel, Ingersoll Rand (2015-2017), Associate at McGuireWoods LLP (2012-2014), Associate at Cleary Gottlieb Steen & Hamilton LLP (2007-2012)	Not applicable	Not applicable
Christian Hoffmann, 44	Vice President	Vice President 2018-2021 and since 2024	Head of Fixed Income since 2024, Portfolio Manager and Managing Director since 2018, and Associate Portfolio Manager from 2014-2018, of Thornburg Investment Management, Inc.	Not applicable	Not applicable

 

 

Name, Address(1) and Age	Position(s) Held with Trust(2)	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen(2)	Other Directorships Held During Past Five Years
Curtis Holloway, 58	Treasurer; Chief Financial Officer	Chief Financial Officer since 2023, Secretary in 2024, and Treasurer since 2019(6)	Director of Finance since 2021 and Director of Fund Administration since 2019 of Thornburg Investment Management, Inc.; Senior Vice President, Head of Fund Administration (2017-2019) and Vice President, Fund Administration (2010-2017) of Calamos Investments, and Chief Financial Officer (2017-2019) and Treasurer (2010-2019) of Calamos Funds.	Not applicable	Not applicable
Ponn Lithiluxa, 55	Assistant Treasurer	Assistant Treasurer since 2020; Vice President 2017-2020	Managing Director since 2023, Tax Director, Fund Administration (since 2022); Senior Manager, Fund Administration (2019-2021) of Thornburg Investment Management, Inc.; Manager, Tax & Fund Administration (2017-2018), Senior Vice President, Citi Fund Services, Inc. from 2014-2017; Vice President, Citi Fund Services, Inc. from 2007-2014.	Not applicable	Not applicable
Christopher Luckham, 49	Assistant Treasurer	Assistant Treasurer since 2022	Senior Manager, Fund Administration of Thornburg Investment Management, Inc. since 2010.	Not applicable	Not applicable
Gladys Xiques, 52	Global Chief Compliance Officer	Global Chief Compliance Officer since 2025	Global Chief Compliance Officer of Thornburg Investment Management, Inc. (since 2025) and Chief Compliance Officer of Thornburg Investment Trust (since 2025) and Thornburg ETF Trust (since 2025); Global Chief Compliance Officer of TCW Group from 2021-2025.	Not applicable	Not applicable

 

 

(1)

Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506.

 

(2)

The Trust is organized as a Massachusetts business trust, and currently comprises a complex of 26 separate investment “Funds” or “series.” Thornburg is the investment advisor to, and manages, the 26 Funds of the Trust. Each Trustee oversees the 26 Funds of the Trust. The term “Fund Complex” as used includes those 26 Funds and also includes Thornburg ETF Trust, a separate registered investment company comprised of four series of shares.

 

(3)

The Bylaws of the Trust currently require that each Independent Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed.

 

(4)

Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is a director and controlling shareholder of Thornburg and is the sole director and controlling shareholder of Thornburg Securities LLC, the distributor of mutual fund class shares of the Trust.

 

(5)

Mr. McMahon is considered an “interested” Trustee under the 1940 Act because he is a director and the chief investment strategist of Thornburg.

 

(6)

Pursuant to the Bylaws of the Trust, the President, the Treasurer, the Secretary, and such other officers, if any, as the Trustees may, in their discretion, from time to time elect, shall each be elected by the Trustees to serve until his or her successor is elected or qualified, or until he or she sooner dies, resigns, is removed or becomes disqualified. Each officer shall hold office at the pleasure of the Board.

 

Additional Information about the Experiences, Qualifications, Attributes and Skills of Each Trustee

 

The following disclosure is intended to provide additional information about the particular experiences, qualifications, attributes and skills of each Trustee of the Trust. The Trustees believe that each Trustee is qualified to serve on the board of Trustees in view of (i) the particular experiences, qualifications, attributes and skills of that Trustee, as summarized below and in the table above, and (ii) the actual service and commitment of each Trustee during his or her tenure with the Trust, including the demonstrated ability of each Trustee to exercise effective business judgment in the performance of his or her duties.

 

 

Interested Trustees

 

Garrett Thornburg is the Chair of the Board. Mr. Thornburg founded Thornburg in 1982, Thornburg Securities Corporation in 1984, and Thornburg Investment Trust in 1984. Before forming Thornburg, Mr. Thornburg was a limited partner of Bear Stearns & Co. and a founding member of that firm’s public finance department. He also was chief financial officer of New York State’s Urban Development Corporation, and served as financial advisor to the State of New Mexico’s Board of Finance. He is a member of the Board of Governors of the Investment Company Institute and serves on the Board of Directors of the New Mexico School for the Arts - Art Institute. He is also the President of the Thornburg Foundation, and former recipient of the Philanthropist of the Year award from the Journal Santa Fe. He is a former board member of the National Dance Institute of New Mexico, the Santa Fe Institute and the Santa Fe Community Foundation. Mr. Thornburg received his BA from Williams College and his MBA from Harvard University.

 

Brian McMahon is the Vice Chair of the Board and a managing director, and the chief investment strategist of Thornburg. Joining Thornburg in 1984, Mr. McMahon participated in organizing and managing Thornburg Investment Trust, served as Thornburg’s president from 1997 until 2016, as its chief executive officer from 2008 until 2016, as its chief; investment officer from 2016 until 2019. As chief investment strategist, he currently serves as a key voice for the investment team and Thornburg clients. Before joining Thornburg, Mr. McMahon held various corporate finance positions at Norwest Bank. Mr. McMahon received his BA in Economics and Russian Studies from the University of Virginia and his MBA from the Amos Tuck School at Dartmouth College.

 

Independent Trustees

 

Lisa Black is a retired executive and Chartered Financial Analyst with over 30 years in the investment management industry. Ms. Black brings extensive investment strategy and risk management experience having overseen fixed income assets as well as launching and managing mutual funds at TIAA-CREF and Nuveen, a wholly owned subsidiary of TIAA, one of the world's largest asset managers. Ms. Black has served on the boards of private and nonprofit organizations, including TIAA Life Company and University Liggett School, and is a current member of the board and chair of the audit & risk committee of Smith College. Ms. Black holds a bachelor’s degree in Economics from Smith College and an MBA from the University of Michigan Ross School of Business.

 

Sally Corning is a founding partner of Santa Fe, New Mexico based private equity firm, Sun Mountain Capital. Prior to forming Sun Mountain, Ms. Corning spent 15 years working in private equity and investment banking for Credit Suisse, Morgan Stanley and Dean Witter Reynolds. In addition to sitting on the corporate boards of certain of the private portfolio companies that Sun Mountain Capital has invested in, Ms. Corning has served on the boards of several nonprofit organizations, including the Santa Fe Preparatory School, the Santa Fe Community Foundation, the Santa Fe Mountain Center, and the Westside YMCA in New York City, and is a current member of the board and the finance committee of Excellent Schools New Mexico. Ms. Corning holds a bachelor’s degree in Finance from Georgetown University and an MBA from Columbia University’s Graduate School of Business.

 

 

David L. Gardner is a retired executive from the global asset management industry, most notably as an original team member of iShares ETFs. Mr. Gardner has over 25 years of experience in the global asset management industry and has worked extensively in the US, Asia and Europe. Prior to joining iShares Mr. Gardner worked for US based asset management firms in distribution management capacities. Mr. Gardner holds a BA in Economics from Eastern Illinois University and a CIMA Certification from Wharton School and Investment Management Consultants Association.

 

Patrick J. Talamantes is President of Talamantes Strategies, LLC, a management consulting firm. Mr. Talamantes is a former executive from the news and media industry, most recently having served as Chief Executive Officer, and prior to that Chief Financial Officer, of The McClatchy Company, a publicly traded local news organization in various local markets across the U.S. Mr. Talamantes has over 30 years of experience in corporate finance and banking, having served as Chief Financial Officer of Sinclair Broadcast Group, Inc., Treasurer of River City Broadcasting, LP, and Vice President of Chemical Banking Corporation. Mr. Talamantes has board experience through his service on the boards of various McClatchy investees. He has also served as a past chair of the Greater Sacramento Economic Council, a private-public partnership led by area CEOs to develop an advanced economy; and served on the board of Recruitology, an HR technology startup in the recruitment space. In addition, Mr. Talamantes serves on the board of the Breakthrough Collaborative, a non-profit that seeks to improve education equity in 24 cities across the U.S. Mr. Talamantes has also been a director of The Associated Press and the News Media Alliance. Mr. Talamantes received his A.B. in Economics from Stanford University and his MBA from The Wharton School of the University of Pennsylvania.

 

Owen D. Van Essen was, until 2024, the president of Dirks, Van Essen & April LLC, Santa Fe, New Mexico, which acts as a broker, appraiser and consultant to the newspaper publishing industry. Before joining the firm, he was general manager and business manager of the Worthington Daily Globe, Worthington, Minnesota. Mr. Van Essen has served with numerous community, educational, professional and charitable organizations, including most recently the St. Michaels High School Foundation and the Santa Fe Preparatory School. He received his BA in Business Administration from Dordt College, Iowa.

 

James W. Weyhrauch is a real estate broker in Santa Fe, New Mexico. Until 2019, he was the vice chairman of the board of directors, and was from 1997-2000 president and from 2000-2004 chief executive officer, of Nambe LLC, a Santa Fe, New Mexico manufacturer of tabletop and giftware products; and since 2015 has served as General Partner, Investments of Genext LLC, a family investment partnership. Mr. Weyhrauch also has extensive experience with other privately held enterprises, and a background in sales and marketing. He participates in a variety of community and charitable organizations, including the Santa Fe Chamber of Commerce, the Santa Fe Preparatory School and Junior Achievement. Mr. Weyhrauch received his BA in Finance from Southern Methodist University.

 

 

Structure and Responsibilities of the Board of Trustees

 

The board of Trustees is currently comprised of eight Trustees, two of whom are “interested persons” of the Fund (as the term “interested” is defined in the 1940 Act) and six of whom are not interested persons of the Fund. Garrett Thornburg currently serves as the chairman of the board of Trustees, and Owen Van Essen currently serves as the lead independent Trustee. The lead independent Trustee is a spokesman for and leader of the independent Trustees, and in that role the lead independent Trustee performs a variety of functions, including: presiding at all sessions of the independent Trustees and, in consultation with legal counsel, preparing the agenda for each session of independent Trustees and coordinating and directing the preparation and delivery of materials and presentations appropriate for each session; in consultation with the Trust’s chairman, president, fund accounting and legal counsel, preparing the draft agenda for each general meeting of Trustees; acting as a liaison between the independent Trustees and senior management of the advisor respecting communications on certain topics; coordinating with and directing legal counsel in the acquisition, preparation and development of information for review and consideration of continuation of contracts with the advisor and affiliates; and performing such other functions as the independent Trustees may request from time to time. The Trustees have also established three standing committees, the Audit Committee, the Governance and Nominating Committee, and the Operations Risk Oversight Committee, each of which is discussed in more detail below under the section entitled “Structure and Responsibilities of the Committees of the Trustees.” The Trustees may form other committees when deemed appropriate.

 

The Trustees review the leadership structure of the board of Trustees and the performance of the Trustees on an annual basis. The Trustees currently believe that the leadership structure of the board of Trustees is appropriate, in light of the characteristics of the Trust and the Fund, to enable the Trustees to oversee the Trust and its service providers. The Trustees have considered the number of Funds in the Trust, and the similarities and differences among the investment objectives and strategies of those Funds, and have determined that the board of Trustees contains a sufficient number of Trustees, and a sufficient percentage of independent Trustees, to discharge the Trustees’ oversight function. The Trustees believe that Mr. Thornburg’s long tenure as a Trustee of the Trust, his ongoing association with the Trust’s advisor and the fact that that association allows Mr. Thornburg to interact routinely with members of the advisor’s staff, and his familiarity with the Trust’s business and affairs and with events impacting the investment management industry more broadly, enable Mr. Thornburg to serve as an effective chairman of the board of Trustees. The Trustees believe that Mr. Van Essen’s long tenure as a Trustee of the Trust, his business and other professional experience, and his familiarity with the Trust’s business and affairs and with events impacting the investment management industry more broadly, enable Mr. Van Essen to serve as an effective lead independent Trustee. The Trustees also believe that the scope of each committee’s activities and the composition of each committee is currently appropriate, and that the committee structure allows the Trustees to allocate responsibility for various topics among the board and its committees in a manner which facilitates the oversight of the Trust and its service providers.

 

 

The Trustees are responsible for the general supervision of the Fund, including the supervision of Thornburg, which provides day-to-day management of the Fund under the terms of the Investment Advisory Agreement and Administrative Services Agreement. As part of their annual review of the leadership structure of the board of Trustees, described above, the Trustees consider whether the structure of the board and its committees continues to permit the Trustees to effectively exercise their oversight function. In that regard, the Trustees typically consider, among other factors: the number of Trustees and each Trustee’s qualifications, experience and skills; the frequency with which the Trustees and their committees confer with representatives of Thornburg and the Trust’s other service providers; the number of Funds and the ability of the Trustees to devote sufficient time and attention to matters specific to the Fund; the role of the Fund’s chief compliance officer and the opportunity for the Trustees to interact with the chief compliance officer; and the composition of each committee of the Trustees and the scope of the responsibilities delegated to those committees.

 

The Fund is subject to a number of risks, including investment, compliance, operational and valuation risks. On a day-to-day basis, risk management is the responsibility of Thornburg and the Fund’s other service providers. Risk oversight also comprises part of the Trustees’ general oversight function. The Trustees and their committees seek to monitor risks to the Fund by meeting no less frequently than quarterly (and in practice, more often) with senior officers of the Trust, members of the Fund’s portfolio management teams, the Fund’s chief compliance officer and the Fund’s legal counsel, and by receiving periodic reports from the Fund’s independent registered public accounting firm and other service providers to the Fund. The Trust’s Operations Risk Oversight Committee assists the Trustees in reviewing and evaluating the identification, analysis and management of operations risk by Thornburg and other significant service providers to the Trust. The duties of the Operations Risk Oversight Committee are described in more detail below under the section entitled “Structure and Responsibilities of the Committees of the Trustees.” The Trustees have also adopted various written policies and procedures designed to address particular risks to the Fund, including the detection and prevention of violations of federal securities laws. At least annually, the Trustees receive a report from the Fund’s chief compliance officer respecting the effectiveness of those policies and procedures. Notwithstanding the foregoing, the Trustees acknowledge that it is not possible to identify all of the risks that may affect the Fund or to develop processes and controls to eliminate or mitigate the occurrence or effects of certain risks on the Fund. Furthermore, some risks may simply be beyond the control of the Fund or its service providers. The Trustees may, at any time and in their sole discretion, change the manner in which they supervise risk.

 

 

Structure and Responsibilities of the Committees of the Trustees

 

The Trustees have an Audit Committee, which is comprised of four Trustees who are not interested persons, Patrick J. Talamantes (chair), Lisa Black, Sally Corning, and James W. Weyhrauch. The Audit Committee discharges its duties in accordance with an Audit Committee Charter, which provides that the committee will, among other functions: (i) evaluate the independence, performance and qualifications of the Trust’s independent accountants; (ii) receive and review reports from the independent accountants respecting the planning, scope and staffing of audits of the Fund’s financial statements, the accountants’ independence, the accountants’ internal quality control procedures, all accounting policies and procedures identified by the accountants as critical to the preparation of the Fund’s annual financial statements, all non-audit services provided by the auditors for the Fund, and any material issues in any peer review, governmental investigation, or otherwise respecting any audit conducted by the accountants; (iii) receive and review results of audits of the Fund’s financial statements with the independent accountants, including any deficiencies, uncorrected misstatements, or similar matters identified by the accountants during such an audit, any material alternative accounting treatments that the accountants discussed with the Fund’s management during the audit, and any disagreements between the accountants and management respecting financial reporting matters; (iv) perform the applicable duties imposed on a mutual fund’s governing board by the Investment Company Act of 1940, and by regulations and guidance thereunder, with respect to oversight of portfolio pricing and valuation; (v) receive and review the Fund’s annual audited financial statements and semi-annual unaudited financial statements; (vi) receive and review communications from management, and at least annually from the independent accountants, respecting matters arising in connection with periodic certifications under Form N-CSR; (vii) receive and review complaints from any source regarding accounting, internal accounting controls, financial reporting or disclosure, and audit matters relating to the Trust; (viii) require the Trust’s legal counsel to report to the committee any matter which may have a significant effect on the Fund’s financial statements; (ix) receive and review any report made to the committee in accordance with any compliance policy or procedure subject to the oversight of the committee, and receive and review reports from the chief compliance officer on matters relating to the committee’s responsibilities; (x) receive and review reports from management’s mutual fund administration department to evaluate the functioning of that department; (xi) to the extent the Audit Committee determines that it may be necessary or appropriate to the functions of the committee, receive and review reports from representatives of other significant service providers to the Trust to evaluate the services delivered by those providers; and (xii) such other matters assigned by the Trustees to the committee. The Audit Committee is also responsible for the selection of the independent accountants that audit the Fund’s annual financial statements. The Audit Committee held four meetings in the Trust’s fiscal year ended September 30, 2025.

 

The Trustees have a Governance and Nominating Committee, which is comprised of four Trustees, David Gardner (chair), Brian J. McMahon, Sally Corning, and Owen D. Van Essen. Mr. Gardner, Ms. Corning and Mr. Van Essen are not interested persons. Mr. McMahon is an interested person because he is a director and an officer of the Fund’s investment advisor, but is prohibited from participating in the selection or nomination of individuals to serve as independent Trustees of the Trust. The Governance and Nominating Committee discharges its duties in accordance with a Governance and Nominating Committee Charter, which provides that the committee will: (i) conduct evaluations of the performance of the Trustees and their committees in accordance with the Trust’s Corporate Governance Procedures and Guidelines (the “Governance Procedures”); (ii) select and nominate individuals for election as Trustees of the Trust who are not “interested persons” of the Trust as that term is defined in the 1940 Act; and (iii) perform the additional functions specified in the Governance Procedures and such other functions assigned by the Trustees to the committee from time to time. The committee is authorized to consider for nomination as candidates to serve as Trustees individuals recommended by shareholders in accordance with the Trust’s Procedure for Shareholder Communications to Trustees. In accordance with that Procedure for Shareholder Communications to Trustees, shareholders may recommend candidates to serve as Trustees by sending their recommendations to any one or more of the Trustees by United States. Mail or courier delivery at the address of the Trust’s investment advisor. The Governance and Nominating Committee held two meetings in the Trust’s fiscal year ended September 30, 2025.

 

 

The Trustees have an Operations Risk Oversight Committee, which is comprised of five Trustees, James W. Weyhrauch (chair), Lisa Black, David L. Gardner, Brian J. McMahon, and Owen D. Van Essen. Mr. Weyhrauch, Ms. Black, Mr. Gardner, and Mr. Van Essen are not interested persons. As noted above, Mr. McMahon is an interested person because he is a director and an officer of the Fund’s investment advisor. The Operations Risk Oversight Committee discharges its duties in accordance with an Operations Risk Oversight Committee Charter, which provides that the committee will: (i) receive and review, preliminary to its presentation to the Trustees, the annual report of the Trust’s chief compliance officer respecting the Trust’s compliance policies and procedures; (ii) receive and review reports from Thornburg respecting trade execution and the use of client commissions; (iii) receive and review reports from Thornburg respecting its administration of the investment advisor’s policy on voting proxies; (iv) receive and review reports from Thornburg respecting the Fund’s account service arrangements; (v) receive each report submitted by Thornburg or counsel which is required to be submitted to the committee by a policy or procedure of the Trust or Thornburg; (vi) receive and review reports submitted by the chief compliance officer or counsel with respect to any compliance policy or procedure subject to the oversight of the committee that relates to (A) any revision to such a policy or procedure identified by the chief compliance officer or counsel as potentially material, (B) any violation of such a policy or procedure identified as potentially material, and (C) any error or exception in the administration of such a policy or procedure identified as potentially material; (vii) receive and review reports submitted by Thornburg respecting the Trust’s transfer agent, firms providing shareholder services, custodians, records storage providers, business continuity and disaster recovery contractors, and other significant service providers to evaluate the services delivered by those providers; (viii) receive and review reports submitted by Thornburg respecting computer systems and software, electronic communications systems and other technological systems and developments pertaining to the operations of the Trust; (ix) receive and review any changes to contracts with the providers referenced in the preceding two items which are submitted to the committee for review, to the extent such changes would materially affect the scope of the services that those providers deliver to the Trust; (x) confer with Thornburg respecting liability insurance and fidelity bond coverage for the Trust and the Trustees, at the time of proposed renewals of those policies, and make recommendations respecting coverage to the Trustees; (xi) receive and review, to the extent applicable to the Trust, reports submitted by Thornburg relating to Thornburg’s committee and staff assigned to risk identification, analysis and management; (xii) receive and review reports submitted by Thornburg relating liquidity, cybersecurity, derivatives transactions, and anti-money laundering compliance; and (xiii) such other matters assigned by the Trustees to the committee. The Operations Risk Oversight Committee held three meetings in the Trust’s fiscal year ended September 30, 2025.

 

 

Compensation of Trustees

 

The officers and Trustees affiliated with Thornburg serve without any compensation from the Trust. Each Trustee who is not an interested person of the Trust and Thornburg ETF Trust (together, the “Trusts,” or the “Fund Complex”) who is not an interested person of such Trusts, as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (each, an “Independent Trustee”) is compensated for their service with an annual retainer of $290,000, payable quarterly. Twelve percent (12%) of each quarterly payment must be invested by the Independent Trustee in one or more of series of the Trust and is subject to an undertaking by the Independent Trustee to retain the shares during the Independent Trustee’s tenure. In addition, each independent Trustee is compensated $20,000 for each joint meeting of the Boards of Trustees of the Trusts attended by the Independent Trustee in person, or video conference, or by telephone. General meetings of Trustees on two or more successive days will be considered one meeting for this purpose. If an Independent Trustee attends a separate meeting of the Board of Trustees of either the Trust or Thornburg ETF Trust that is not held within one day before or after any session of a general meeting of either Board of Trustees, then the $20,000 fee will be paid only by or on behalf of either the Trust or Thornburg ETF Trust, as applicable.

 

Each Independent Trustee is also compensated $7,000 for each joint session of the Independent Trustees attended by the Independent Trustee in excess of five such sessions in any calendar year. Notwithstanding the preceding sentence, a session of Independent Trustees will not be considered separately compensable if held within one day before or after any session of a general meeting of Trustees. If an Independent Trustee attends a separate session of the Independent Trustees of either the Trust or Thornburg ETF Trust, then the $7,000 fee will be paid only by or on behalf of either the Trust or Thornburg ETF Trust, as applicable.

 

The lead Independent Trustee and the chair of each standing committee of the Trusts receive additional annual compensation, payable in quarterly installments. The individual who serves as lead Independent Trustee receives an additional annual compensation of $50,000, the chair of the Audit Committee receives an additional annual compensation of $20,000, and the chair of the Governance and Nominating Committee and the chair of the Operations Risk Oversight Committee each receive an additional annual compensation of $15,000.

 

Each Independent Trustee is compensated $3,500 for each session with a Trust service provider, except that if the Independent Trustee is required to travel away from home for the session or sessions, the Independent Trustee is compensated $7,000 for each session of one or two days and $3,500 for each additional day on which a session is conducted.

 

Independent Trustees are not separately compensated for days spent attending continuing education programs, or for time spent traveling to meetings, continuing education programs or sessions with service providers, apart from the compensation stated in the preceding paragraphs.

 

Each Independent Trustee receives reimbursement for travel and certain out-of-pocket expenses incurred by the Independent Trustee in connection with attending meetings, including attendance at any seminar or educational program relating to the Independent Trustee’s service for the Trusts. Independent Trustees may also be reimbursed applicable gross receipts tax on the compensation paid to the Independent Trustee for their service to the Trusts. The Trusts do not pay retirement or pension benefits.

 

 

The Trust paid fees to the Trustees during the fiscal year ended September 30, 2025 as follows:  

 

Name of Trustee		Aggregate Compensation from Trust				Pension or Retirement Benefits Accrued  as Part of Expenses				Estimated Annual Benefits Upon Retirement				Total Compensation from Trust and Fund Complex Paid to Trustee
Interested Trustees
Garrett Thornburg		$	0			$	0			$	0			$	0
Brian J. McMahon		$	0			$	0			$	0			$	0
Independent Trustees
Lisa Black		$	367,615			$	0			$	0			$	389,000
Sally Corning		$	367,615			$	0			$	0			$	389,000
Susan H. Dubin*		$	77,500			$	0			$	0			$	77,500
David L. Gardner		$	382,615			$	0			$	0			$	404,000
Patrick J. Talamantes		$	387,615			$	0			$	0			$	409,000
Owen D. Van Essen		$	417,615			$	0			$	0			$	439,000
James W. Weyhrauch		$	382,615			$	0			$	0			$	404,000

*Ms. Dubin concluded her service as an independent Trustee of the Trust effective December 31, 2024.

 

Certain Ownership Interests of Trustees

 

The following table shows the dollar range of the shares owned beneficially by each Trustee as of December 31, 2025 in the Fund described in this Statement of Additional Information. The dollar range shown in the fourth column reflects the aggregate amount of each Trustee’s beneficial ownership in all registered investment companies within the investment company complex that are overseen by the Trustee.

 

 

Name of Trustee	Dollar Range of Equity Securities in the Fund	Aggregate Dollar Range of Beneficial Ownership in All Registered Investment Companies Overseen by the Trustee in the Family of Investment Companies as of December 31, 2025
Garrett Thornburg	Over $100,000	Over $100,000
Brian J. McMahon	Over $100,000	Over $100,000
Lisa Black	None	Over $100,000
Sally Corning	None	Over $100,000
David L. Gardner	None	Over $100,000
Patrick J. Talamantes	None	Over $100,000
Owen Van Essen	None	Over $100,000
James W. Weyhrauch	None	Over $100,000

 

Personal Securities Transactions of Personnel

 

The Trust, the investment advisor to the Trust, and the distributor for the advisor and the Trust, each have adopted a code of ethics under Rule 17j-1 of the 1940 Act. Specified personnel of the Trust, investment advisor and distributor, including individuals engaged in investment management activities and others are permitted under the codes to make personal investments in securities, including securities that may be purchased or held by the Fund. Certain investments are prohibited or restricted as to timing, and personnel subject to the codes must report their investment activities to a compliance officer.

 

INFORMATION ABOUT PORTFOLIO MANAGERS

 

Displayed below is additional information about the portfolio managers identified in the Prospectus.

 

Portfolio Manager Compensation

 

The compensation of each portfolio manager includes an annual salary, annual bonus, and company-wide profit sharing. Each manager currently named in the Prospectus also owns equity shares in the investment advisor, Thornburg. Both the salary and bonus are reviewed approximately annually for comparability with salaries of other portfolio managers in the industry, using survey data obtained from compensation consultants. The annual bonus is subjective. Criteria that are considered in formulating the bonus include, but are not limited to, the following: revenues available to pay compensation of the manager and all other expenses related to supporting the accounts managed by the manager, including the Trust; multiple year historical total return of accounts managed by the manager, including the Trust, relative to market performance and similar investment companies; single year historical total return of accounts managed by the manager, including the Trust, relative to market performance and similar investment companies; the degree of sensitivity of the manager to potential tax liabilities created for account holders in generating returns, relative to overall return. There is no material difference in the method used to calculate the manager’s compensation with respect to the Trust and other accounts managed by the manager, except that certain accounts managed by the manager may have no income or capital gains tax considerations. To the extent that the manager realizes benefits from capital appreciation and dividends paid to shareholders of Thornburg, such benefits accrue from the overall financial performance of Thornburg.

 

 

Conflicts of Interest

 

Most investment advisors and their portfolio managers manage investments for multiple clients, including mutual funds, private accounts, and retirement plans. In any case where a portfolio manager manages the investments of two or more accounts, there is a possibility that conflicts of interest could arise between the manager’s management of the Fund’s investments and the manager’s management of other accounts. These conflicts could include:

 

●

Allocating a favorable investment opportunity to one account but not another.

 

●

Directing one account to buy a security before purchases through other accounts increase the price of the security in the marketplace.

 

●

Giving substantially inconsistent investment directions at the same time to similar accounts, so as to benefit one account over another.

 

●

Obtaining services from brokers conducting trades for one account, which are used to benefit another account.

 

The Trust’s investment advisor, Thornburg, has informed the Trust that it has considered the likelihood that any material conflicts of interest could arise between a manager’s management of the Fund’s investments and the manager’s management of other accounts. Thornburg has also informed the Trust that it has not identified any such conflicts that may arise, and has concluded that it has implemented policies and procedures to identify and resolve any such conflict if it did arise.

 

Accounts Managed By Portfolio Managers

 

Set out below for each portfolio manager named in the Prospectus is information respecting the accounts managed by the manager. Except as otherwise noted below, the information presented is current as of September 30, 2025. The information includes the Fund or Funds as to which each individual is a portfolio manager. Except as noted below, as of September 30, 2025 the advisory fee for each of the accounts was not based on the investment performance of the account.

 

 

 David Ashley

 

Type of Account	Number of  Accounts Managed	Total   Assets Managed
Registered Investment Companies:	8	$4,167,343,375.74
Other Pooled Investment Vehicles:	0	$0
Other Accounts:	398	$1,429,916,476.59

 

Eve Lando

 

Type of Account	Number of Accounts Managed	Total   Assets Managed
Registered Investment Companies:	8	$4,167,343,375.74
Other Pooled Investment Vehicles:	0	$0
Other Accounts:	398	$1,429,916,476.59

 

Craig Mauermann

 

Type of Account	Number of  Accounts Managed	Total   Assets Managed
Registered Investment Companies:	8	$4,167,343,375.74
Other Pooled Investment Vehicles:	0	$0
Other Accounts:	398	$1,429,916,476.59

 

Portfolio Managers’ Ownership of Shares in the Fund

 

Displayed below for each of the portfolio managers named in the Prospectus is the dollar range of the individual’s beneficial ownership of shares in the Fund or Funds as to which the individual is a manager. Except as otherwise noted below, the information presented is current as of September 30, 2025. In each case, the dollar range listed may include shares owned by the portfolio manager through the manager’s self-directed account in Thornburg’s retirement plan. In addition to the holdings noted below, each of the portfolio managers is a participant in Thornburg’s profit sharing plan, which invests in shares of the Fund.

 

Portfolio Manager	Dollar Range of Beneficial Ownership of the Fund
David Ashley
	$100,001 - $500,000
Eve Lando
	$50,001-$100,000
Craig Mauermann
	$50,001-100,000

 

 

PRINCIPAL HOLDERS OF SECURITIES

 

As of December 31, 2025, the officers and Trustees of the Trust, as a group, owned less than 1% of the outstanding ETF Class shares of the Fund. The Trust does not have information concerning the beneficial ownership of ETF Class shares of the Fund held in the names of DTC Participants (as defined below).

 

NET ASSET VALUE

 

The Fund will calculate the net asset value of its ETF Class shares as of 4:00 p.m. Eastern Time on days when the New York Stock Exchange is open for trading, and more frequently if deemed desirable by the Fund. Net asset value will not be calculated on New Year’s Day, Washington’s Birthday (on the third Monday in February), Good Friday, Memorial Day (on the last Monday in May), Independence Day, Labor Day, Thanksgiving Day, Christmas Day, on the preceding Friday if any of the foregoing holidays falls on a Saturday, and on the following Monday if any of the foregoing holidays falls on a Sunday. Under the 1940 Act, net asset value must be computed at least once daily on each day (i) in which there is a sufficient degree of trading in the Fund’s portfolio securities that the current net asset value of its shares might be materially affected by changes in the value of such securities and (ii) on which an order for purchase or redemption of its shares is received.

 

The determination of NAV for the Fund for a particular day is applicable to all orders for the purchase or redemption of Creation Units of ETF Class shares received by the Fund (or an authorized broker or agent, or its authorized designee) before the close of trading on the New York Stock Exchange on that day. A transaction will be priced based on NAV only for purchases or redemptions of Creation Units of ETF Class shares (an option available to Authorized Participants) or in connection with a shareholder’s conversion of the Fund’s mutual fund class shares into the Fund’s ETF Class shares. Such conversions may only be available to the Fund’s mutual fund class shareholders who hold their mutual fund class shares through an intermediary that has entered into an agreement with the Trust or its designated agent specifically providing for such exchanges.

 

DISTRIBUTOR

 

[ALPS Distributors, Inc.] is the principal underwriter of the Fund’s ETF Class shares (the “Distributor”). The Distributor is located at [1290 Broadway, Suite 1000, Denver, Colorado 80203]. No officers or directors of the Distributor are affiliated with the Trust. Under a Distribution Agreement (the “Distribution Agreement”), Distributor sells ETF Class shares of the Fund as agent for the Trust. ETF Class shares are continuously offered for sale by the Fund through the Distributor only in Creation Units, as described in the Fund’s Prospectus. ETF Class Shares in less than Creation Units are not distributed by the Distributor.

 

The Distributor began serving as the principal underwriter and distributor of the Fund’s ETF Class shares at the inception of such ETF Class. The Distributor does not currently receive underwriting commissions.

 

 

BOOK ENTRY

 

ETF Class shares are held in book entry form, which means that no stock certificates are issued. The DTC, or its nominee, is the registered owner of all outstanding ETF Class shares of the Fund and is recognized as the owner of all ETF Class shares. Participants in DTC include securities brokers and dealers, banks, trust companies, clearing corporations and other institutions that directly or indirectly maintain a custodial relationship with DTC. As a beneficial owner of ETF Class shares, you are not entitled to receive physical delivery of ETF Class share certificates or to have ETF Class shares registered in your name, and you are not considered a registered owner of ETF Class shares. Therefore, to exercise any right as an owner of ETF Class shares, you must rely on the procedures of DTC and its participants. These procedures are the same as those that apply to any stocks that you hold in book entry or “street name” through your brokerage account. Your account information will be maintained by your financial intermediary, which will provide you with account statements, confirmations of your purchases and sales of shares, and tax information. Your financial intermediary also will be responsible for distributing income dividends and capital gain distributions and for ensuring that you receive shareholder reports and other communications from the Fund.

 

CREATION AND REDEMPTION OF CREATION UNITS

 

General

 

Except in connection with a shareholder’s conversion of the Fund’s Mutual Fund Class shares to ETF Class shares, the Fund will issue and sell ETF Class shares only in Creation Units on a continuous basis through the Distributor or its agent, without a sales load, at a price based on the Fund’s NAV next determined after receipt, on any business day, which is any day the Exchange is open for business (each, a “Business Day”), of an order received by the Distributor or its agent in proper form. On days when the Exchange closes earlier than normal, the Fund may require orders to be placed earlier in the day. Notwithstanding the foregoing, the Fund may, but is not required to, permit orders, including custom, until 4:00 p.m., Eastern time, or until the market close (in the event the Exchange closes early). The following table sets forth the number of ETF Class shares of the Fund that constitute a Creation Unit for the Fund as of the date of this SAI:

 

Fund	ETF Class Shares per Creation Unit
Thornburg Strategic Municipal Income Fund	[  ]

 

In its discretion, the Trust reserves the right to increase or decrease the number of the Fund’s ETF Class shares that constitute a Creation Unit, including on a per transaction basis if doing so is deemed to be in the best interests of the applicable Fund and its ETF Class shareholders. The Board reserves the right to declare a split or a consolidation in the number of ETF Class shares outstanding of the Fund, and to make a corresponding change in the number of ETF Class shares constituting a Creation Unit, in the event that the per share price in the secondary market rises (or declines) to an amount that falls outside the range deemed desirable by the Board.

 

 

The Trust reserves the right to permit or require that creations and redemptions of ETF Class shares are effected fully or partially in cash and reserves the right to permit or require the substitution of Deposit Securities in lieu of cash. ETF Class shares may be issued in advance of receipt of Deposit Securities, subject to various conditions, including a requirement that the Authorized Participant maintain with the Trust collateral in respect of the Authorized Participant’s obligations. The Trust may use such collateral at any time to purchase Deposit Securities if the Authorized Participant fails to honor its obligations to the Fund. Transaction fees and other costs associated with creations or redemptions that include a cash portion may be higher than the transaction fees and other costs associated with in-kind creations or redemptions. In all cases, conditions with respect to creations and redemptions of ETF Class shares and fees will be limited in accordance with the requirements of SEC rules and regulations applicable to management investment companies offering redeemable securities.

 

Fund Deposit

 

The consideration for purchases of Creation Units of the Fund’s ETF Class shares generally consists of Deposit Securities and the Cash Component computed as described below. Together, the Deposit Securities and the Cash Component constitute a “Fund Deposit” or “basket” as that term is used in Rule 6c-11 under the 1940 Act. The Fund Deposit represents the minimum initial and subsequent investment amount for a Creation Unit of the Fund. The Fund Deposit is applicable, subject to any adjustments as described below, to purchases of Creation Units of ETF Class shares of a given Fund until such time as the next-announced Fund Deposit is made available.

 

The “Cash Component” is an amount equal to the difference between the NAV of the ETF Class shares (per Creation Unit) and the “Deposit Amount,” which is an amount equal to the market value of the Deposit Securities, and serves to compensate for any differences between the NAV per Creation Unit and the Deposit Amount. Payment of any stamp duty or other similar fees and expenses payable upon transfer of beneficial ownership of the Deposit Securities are the sole responsibility of the Authorized Participant.

 

The identity and number or par value of the Deposit Securities may change in respect of each purchase of a Creation Unit.

 

The Fund Deposit may also be modified to minimize the Cash Component by redistributing the cash to the Deposit Securities portion of the Fund Deposit through “systematic rounding.” The rounding methodology “rounds up” position sizes of securities in the Deposit Securities (which in turn reduces the cash portion). However, the methodology limits the maximum allowed percentage change in weight and share quantity of any given security in the Fund Deposit.

 

The Trust may, in its sole discretion, substitute an amount of cash (i.e., a “cash in lieu” amount) to be added to the Cash Component to replace any Deposit Security.

 

Cash Purchase Method

 

In certain circumstances when partial or full cash purchases of Creation Units are available or specified, they will be effected in essentially the same manner as in-kind purchases thereof. In the case of a partial or full cash purchase, the Authorized Participant typically pays the cash equivalent of the Deposit Securities it would otherwise be required to provide through an in-kind purchase, plus the same Cash Component required to be paid by an in-kind purchaser. The Authorized Participant may also be required to pay certain transaction fees and charges for cash purchases, as described below, and may be required to cover certain brokerage, tax, foreign exchange, execution and price movement costs as described in this SAI.

 

 

Procedures for Creation of Creation Units

 

To be eligible to place orders with the Distributor and to create a Creation Unit of the Fund’s ETF Class shares, an entity must be: (i) a “Participating Party,” i.e., a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the NSCC or (ii) a Depository Trust Company participant broker (“DTC Participant”), and must have executed an agreement with the Distributor, with respect to creations and redemptions of Creation Units (“Authorized Participant Agreement”) (discussed below). A member or participant of a clearing agency registered with the SEC that has a written agreement with the Fund or one of its service providers that allows such member or participant to place orders for the purchase and redemption of Creation Units is referred to as an “Authorized Participant.” All ETF Class shares of the Fund, however created, will be entered on the records of the Depository Trust Company (“DTC”) in the name of its nominee for the account of a DTC Participant.

 

Role of the Authorized Participant

 

Creation Units may be purchased only by or through an Authorized Participant. Such Authorized Participant will agree, pursuant to the terms of such Authorized Participant Agreement and on behalf of itself or any investor on whose behalf it will act, to certain conditions, including that such Authorized Participant will make available in advance of each purchase of ETF Class shares an amount of cash sufficient to pay the Cash Component, once the NAV of a Creation Unit is next determined after receipt of the purchase order in proper form, together with any transaction fees described below. An Authorized Participant, acting on behalf of an investor, may require the investor to enter into an agreement with such Authorized Participant with respect to certain matters, including payment of the Cash Component. Investors who are not Authorized Participants must make appropriate arrangements with an Authorized Participant. Investors should be aware that their particular broker may not be a DTC Participant or may not have executed an Authorized Participant Agreement and that orders to purchase Creation Units may have to be placed by the investor’s broker through an Authorized Participant. As a result, purchase orders placed through an Authorized Participant may result in additional charges to such investor. At any given time, there may be only a limited number of Authorized Participants that have entered into an Authorized Participant Agreement. A list of current Authorized Participants may be obtained from the Distributor. In addition, the Distributor may be appointed as a limited irrevocable proxy of the Authorized Participant in accordance with the terms specified in the Authorized Participant Agreement.

 

 

Placement of Creation Orders

 

Fund Deposits must be delivered through the Federal Reserve System (for cash and U.S. government securities), through DTC (for corporate and municipal securities) or through a central depository account, such as with Euroclear or DTC, maintained by the Custodian (as defined below) or a sub-custodian (a “Central Depository Account”). Any portion of the Fund Deposit that may not be delivered through the Federal Reserve System or DTC must be delivered through a Central Depository Account. The Fund Deposit transfers made through DTC must be ordered by the DTC Participant in a timely fashion so as to ensure the delivery of the requisite number of Deposit Securities through DTC to the account of the Fund generally before 3:00 p.m. Eastern time on the Settlement Date. Fund Deposit transfers made through the Federal Reserve System must be deposited by the Authorized Participant in a timely fashion so as to ensure the delivery of the requisite number or amount of Deposit Securities or cash through the Federal Reserve System to the account of the Fund generally before 3:00 p.m. Eastern time on the Settlement Date. Fund Deposit transfers made through a Central Depository Account must be completed pursuant to the requirements established by the custodian or sub-custodian for such Central Depository Account generally before 2:00 p.m. Eastern time on the Settlement Date. The “Settlement Date” for all funds is generally the first, second or third Business Day, as applicable, after the date on which an order to create Creation Units (or an order to redeem Creation Units) is placed. All questions as to the number of Deposit Securities to be delivered, and the validity, form and eligibility (including time of receipt) for the deposit of any tendered securities, will be determined by the Trust, whose determination shall be final and binding. The amount of cash equal to the Cash Component must be transferred directly to the Custodian through the Federal Reserve Bank wire transfer system in a timely manner so as to be received by the Custodian generally before 3:00 p.m. Eastern time on the Settlement Date. If the Cash Component and the Deposit Securities are not received by 3:00 p.m. Eastern time on the Settlement Date, the creation order may be canceled. Upon written notice to the Distributor, such canceled order may be resubmitted the following Business Day using the Fund Deposit as newly constituted to reflect the then current NAV of the Fund. The delivery of Creation Units so created generally will occur no later than the first, second or third Business Day, as applicable, following the day on which the purchase order is deemed received by the Distributor, provided that the Fund Deposit has been received by the Fund prior to such time. The typical Settlement Date for the Fund will be T+1, unless the Fund and Authorized Participant agree to a different Settlement Date.

 

Purchase Orders

 

To initiate an order for a Creation Unit, an Authorized Participant must submit to the Distributor or its agent an irrevocable order to purchase ETF Class shares of the Fund, in proper form, generally before 4:00 p.m. Eastern time on any Business Day to receive that day’s NAV. The Distributor or its agent will notify Thornburg and the Custodian of such order. The Custodian will then provide such information to any appropriate sub-custodian. Procedures and requirements governing the delivery of the Fund Deposit are set forth in the applicable Authorized Participant Agreement and may change from time to time. Investors, other than Authorized Participants, are responsible for making arrangements for a creation request to be made through an Authorized Participant. A list of current Authorized Participants may be obtained from the Distributor. Those placing orders to purchase Creation Units through an Authorized Participant should allow sufficient time to permit proper submission of the purchase order to the Distributor or its agent by the Cut-Off Time (as defined below) on such Business Day.

 

 

The Authorized Participant must make available no later than 3:00 p.m., Eastern Time, on the Settlement Date, by means satisfactory to the Fund, immediately-available or same-day funds estimated by the Fund to be sufficient to pay the Cash Component next determined after acceptance of the purchase order, together with the applicable purchase transaction fees.

 

The Authorized Participant is responsible for any and all expenses and costs incurred by the Fund, including any applicable cash amounts, in connection with any purchase order.

 

Timing of Submission of Purchase Orders

 

An Authorized Participant must submit an irrevocable order to purchase ETF Class shares of the Fund generally before 4:00 p.m. Eastern time on any Business Day in order to receive that day’s NAV. Creation Orders must be transmitted by an Authorized Participant in the form required by the Fund to the Distributor or its agent pursuant to procedures set forth in the Authorized Participant Agreement. Economic or market disruptions or changes, or telephone or other communication failure, may impede the ability to reach the Distributor or its agent or an Authorized Participant. Orders to create ETF Class shares of the Fund that are submitted on the Business Day immediately preceding a holiday may not be accepted. The Fund’s deadline specified above for the submission of purchase orders is referred to as that Fund’s “Cut-Off Time.” The Distributor or its agent, in their discretion, may permit the submission of such orders and requests by or through an Authorized Participant at any time (including on days on which the Exchange is not open for business) via communication through the facilities of the Distributor’s or its agent’s proprietary website and/or portal maintained for this purpose. Purchase orders and redemption requests, if received in good order as determined by the Trust in its sole discretion, will be processed based on the NAV next determined after receipt of an order in proper form as described in the Authorized Participant Agreement and disclosed in this SAI.

 

Acceptance of Orders for Creation Units

 

Subject to the conditions that (i) an irrevocable purchase order has been submitted by the Authorized Participant (either on its own or another investor’s behalf) and (ii) arrangements satisfactory to the Fund are in place for payment of the Cash Component and any other cash amounts which may be due, the Fund will accept the order, subject to the Fund’s right (and the right of the Distributor and Thornburg) to reject any order until acceptance, as set forth below.

 

Once the Fund’s ETF Class has received in good order an order, upon the next determination of the NAV of the ETF Class shares, the Fund will confirm the issuance of a Creation Unit, against receipt of payment, at such NAV. The Distributor or its agent will then transmit a confirmation of acceptance to the Authorized Participant that placed the order.

 

The Fund reserves the right to reject or revoke a creation order transmitted to it by the Distributor or its agent for any legally permissible reason, including, but not limited to, if (i) the order is not in proper form; (ii) the investor(s), upon obtaining the ETF Class shares ordered, would own 80% or more of the currently outstanding shares of the ETF Class or the Fund; (iii) the Deposit Securities delivered do not conform to the identity and number of ETF Class shares specified, as described above; (iv) acceptance of the Fund Deposit would, in the opinion of counsel, be unlawful; or (v) circumstances outside the control of the Fund, the Distributor or its agent and Thornburg make it impracticable to process purchase orders. The Distributor or its agent shall notify a prospective purchaser of a Creation Unit and/or the Authorized Participant acting on behalf of such purchaser of its rejection of such order. The Fund, the Custodian, any sub-custodian and the Distributor or its agent are under no duty, however, to give notification of any defects or irregularities in the delivery of Fund Deposits nor shall any of them incur any liability for failure to give such notification. The Fund has the right to require information necessary to determine beneficial share ownership for purposes of the 80% determination noted above.

 

 

Issuance of a Creation Unit

 

Except as provided herein, a Creation Unit will not be issued until the transfer of good title to the applicable Fund of the Deposit Securities and the payment of the Cash Component have been completed. When the custodian has confirmed (or, as applicable, sub-custodian has confirmed to the custodian) that the securities included in the Fund Deposit (or the cash value thereof) have been delivered to the account of the relevant custodian or sub-custodian(s), the Distributor or its agent and Thornburg shall be notified of such delivery and the applicable Fund’s ETF Class will issue and cause the delivery of the Creation Unit. Creation Units are generally issued on a “T+1 basis” (i.e., one Business Day after trade date). The Fund reserves the right to settle Creation Unit transactions on a basis other than T+1, including a shorter settlement period.

 

To the extent contemplated by an Authorized Participant Agreement with the Distributor, the Fund will issue Creation Units to such Authorized Participant, notwithstanding the fact that the corresponding Fund Deposits have not been received in part or in whole, in reliance on the undertaking of the Authorized Participant to deliver the missing Deposit Securities as soon as possible, which undertaking shall be secured by such Authorized Participant’s delivery and maintenance of collateral. The Fund may use such collateral at any time to buy Deposit Securities for the Fund. Such collateral must be delivered no later than the time specified by the Fund or its custodian on the contractual settlement date. Information concerning the Fund’s current procedures for collateralization of missing Deposit Securities is available from the Distributor or its agent. The Authorized Participant Agreement will permit the Fund to buy the missing Deposit Securities at any time and will subject the Authorized Participant to liability for any shortfall between the cost to the Fund of purchasing such securities and the collateral including, without limitation, liability for related brokerage, borrowings and other charges.

 

In certain cases, Authorized Participants may create and redeem Creation Units on the same trade date and in these instances, the Fund reserves the right to settle these transactions on a net basis or require a representation from the Authorized Participants that the creation and redemption transactions are for separate beneficial owners. All questions as to the number of ETF Class shares of each security in the Deposit Securities and the validity, form, eligibility and acceptance for deposit of any securities to be delivered shall be determined by the Fund and the Fund’s determination shall be final and binding.

 

 

Costs Associated with Creation Transactions

 

A standard creation transaction fee may be imposed to offset the transfer and other transaction costs associated with the issuance of Creation Units. Any standard creation transaction fee is charged to the Authorized Participant on the day such Authorized Participant creates a Creation Unit, and is generally the same, regardless of the number of Creation Units purchased by the Authorized Participant on the applicable Business Day. The standard creation transaction fee may be reduced by the Fund if transfer and processing expenses associated with the creation are anticipated to be lower than the stated fee. If the Fund incurs transfer and other transaction costs associated with the acceptance of the Fund Deposit that a standard creation transaction fee would otherwise serve to offset, and the standard creation transaction fee is less than the costs incurred (or the fee is otherwise not applied), such costs, or the costs in excess of the fee, would be borne by all shareholders of the Fund and will reduce Fund performance.

 

If a purchase consists solely or partially of cash, the Authorized Participant may also be required to cover (up to the maximum amount noted below) certain brokerage, tax, foreign exchange, execution, price movement and other costs and expenses related to the execution of trades resulting from such transaction (which may, in certain instances, be based on a good faith estimate of transaction costs). To the extent these transaction charges exceed the maximum additional charge applicable to the creating Authorized Participant, the Fund would bear such costs and the Fund’s shareholders may experience dilution. Authorized Participants will also bear the costs of transferring the Deposit Securities to the Fund. Certain fees/costs associated with creation transactions may be waived or reimbursed in certain circumstances. Investors who use the services of a broker or other financial intermediary to acquire Fund ETF Class shares may be charged a fee for such services.

 

The Fund’s standard creation transaction fee with respect to ETF Class shares is as set forth below and its maximum additional charge, as a percentage of the NAV per Creation Unit, is 3%.

 

Fund	In-Kind Creation Fee	Cash Creation Fee
Thornburg Strategic Municipal Income Fund	$[  ]	$[  ]

Redemption of Creation Units

 

ETF Class shares of the Fund may be redeemed by Authorized Participants only in Creation Units at their NAV next determined after receipt of a redemption request in proper form by the Distributor or its agent and only on a Business Day. The Fund generally will not redeem ETF Class shares in amounts less than Creation Units. There can be no assurance, however, that there will be sufficient liquidity in the secondary market at any time to permit assembly of a Creation Unit. Investors should expect to incur brokerage and other costs in connection with assembling a sufficient number of ETF Class shares to constitute a Creation Unit that could be redeemed by or through an Authorized Participant. Beneficial owners also may sell ETF Class shares in the secondary market.

 

The Fund may publish a designated portfolio of securities (including any portion of such securities for which cash may be substituted) that will be applicable (subject to possible amendment or correction) to redemption requests received in proper form (as defined below) on that day (the “Fund Securities” or “Redemption Basket”), and an amount of cash (the “Cash Amount,” as described below) (each subject to possible amendment or correction) as applicable, in order to effect redemptions of Creation Units of the Fund’s ETF Class until such time as the next announced composition of the Fund Securities and Cash Amount is made available. Fund Securities received on redemption may not be identical to Deposit Securities that are applicable to creations of Creation Units. Redemption Baskets may differ and the Fund may accept “custom baskets.”

 

 

Unless cash redemptions are available or specified for the Fund, the redemption proceeds for a Creation Unit generally consist of Fund Securities, plus the Cash Amount, which is an amount equal to the difference between the NAV of the ETF Class shares being redeemed, as next determined after the receipt of a redemption request in proper form, and the value of Fund Securities, less any redemption transaction fee (as described below).

 

The Trust may, in its sole discretion, substitute a “cash in lieu” amount to replace one or more Fund Securities in certain circumstances, including: (i) when the delivery of the Fund Security to the Authorized Participant (or to an investor on whose behalf the Authorized Participant is acting) would be restricted under applicable securities or other local laws or due to a trading restriction; (ii) when the delivery of the Fund Security to the Authorized Participant would result in the disposition of the Fund Security by the Authorized Participant due to restrictions under applicable securities or other local laws; (iii) when the delivery of the Fund Security to the Authorized Participant would result in unfavorable tax treatment; (iv) when the Fund Security cannot be settled or otherwise delivered in time to facilitate an in-kind redemption; or (v) in certain other situations, including when it is determined to be in the best interest of the ETF Class. The amount of cash paid out in such cases will be equivalent to the value of the substituted security listed as the Fund Security. In the event that the Fund Securities have a value greater than the NAV of the ETF Class shares, a compensating cash payment equal to the difference is required to be made by or through an Authorized Participant by the redeeming shareholder. The Fund generally redeems Creation Units for Fund Securities, but the Fund reserves the right to utilize a cash option for redemption of Creation Units. The Fund may, in its sole discretion, provide such redeeming Authorized Participant a portfolio of securities that differs from the exact composition of the Fund Securities, but does not differ in NAV. The Redemption Basket may also be modified to minimize the Cash Component by redistributing the cash to the Fund Securities portion of the Redemption Basket through systematically rounding. The rounding methodology allows position sizes of securities in the Fund Securities to be “rounded up,” while limiting the maximum allowed percentage change in weight and share quantity of any given security in the Redemption Basket.

 

Cash Redemption Method

 

In limited circumstances when partial or full cash redemptions of Creation Units are available or specified for the Fund, they will be effected in essentially the same manner as in-kind redemptions thereof. In the case of partial or full cash redemption, the Authorized Participant receives the cash equivalent of the Fund Securities it would otherwise receive through an in-kind redemption, plus the same Cash Amount to be paid to an in-kind redeemer. The Authorized Participant may also be required to pay certain transaction fees and charges for cash redemptions, as described below, and may be required to cover certain brokerage, tax, foreign exchange, execution and price movement costs as described in this SAI.

 

 

Costs Associated with Redemption Transactions

 

A standard redemption transaction fee may be imposed to offset transfer and other transaction costs that may be incurred by the Fund. Any standard redemption transaction fee is charged to the Authorized Participant on the day such Authorized Participant redeems a Creation Unit, and is generally the same regardless of the number of Creation Units redeemed by an Authorized Participant on the applicable Business Day. The standard redemption transaction fee may be reduced by the Fund if transfer and processing expenses associated with the redemption are anticipated to be lower than the stated fee. If the Fund incurs transfer and other transaction costs associated with the redemption of Creation Units or the processing of a Redemption Basket that a standard redemption transaction fee would otherwise serve to offset, and the standard redemption transaction fee is less than the costs incurred (or the fee is otherwise not applied), such costs, or the costs in excess of the fee, would be borne by all shareholders of the Fund and will reduce Fund performance. If a redemption consists solely or partially of cash, the Authorized Participant may also be required to cover (up to the maximum amount noted below) certain brokerage, tax, foreign exchange, execution, price movement and other costs and expenses related to the execution of trades resulting from such transaction (which may, in certain instances, be based on a good faith estimate of transaction costs). Authorized Participants will also bear the costs of transferring the Fund Securities from the Fund to their account on their order. Certain fees/costs associated with redemption transactions may be waived in certain circumstances. Investors who use the services of a broker or other financial intermediary to dispose of Fund shares may be charged a fee for such services.

 

The Fund’s standard redemption transaction fee with respect to ETF Class shares is as set forth below and its maximum additional charge, as a percentage of the NAV per Creation Unit, inclusive of the standard redemption transaction fee, is 2% (for the avoidance of doubt, the sum of the standard redemption transaction fee and the maximum additional charge will not exceed 2% of the value of the ETF Class shares redeemed for the Fund).

 

Fund	In-Kind Redemption Fee	Cash Redemption Fee
Thornburg Strategic Municipal Income Fund	$[  ]	$[  ]

Placement of Redemption Orders

 

Redemption requests for Creation Units of the Fund’s ETF Class shares must be submitted to the Distributor or its agent by or through an Authorized Participant. An Authorized Participant must submit an irrevocable request to redeem ETF Class shares of the Fund generally before 4:00 p.m. Eastern time on any Business Day in order to receive that day’s NAV. On days when the Exchange closes earlier than normal, the Fund may require orders to redeem Creation Units to be placed earlier that day. Investors, other than Authorized Participants, are responsible for making arrangements for a redemption request to be made through an Authorized Participant. A list of current Authorized Participants may be obtained from the Distributor.

 

 

The Authorized Participant must transmit the request for redemption in the form required by the Fund to the Distributor or its agent in accordance with procedures set forth in the Authorized Participant Agreement. Investors should be aware that their particular broker may not have executed an Authorized Participant Agreement and that, therefore, requests to redeem Creation Units may have to be placed by the investor’s broker through an Authorized Participant who has executed an Authorized Participant Agreement. At any time, only a limited number of broker-dealers will have an Authorized Participant Agreement in effect. Investors making a redemption request should be aware that such request must be in the form specified by such Authorized Participant. Investors making a request to redeem Creation Units should allow sufficient time to permit proper submission of the request by an Authorized Participant and transfer of the ETF Class shares to the Fund’s transfer agent; such investors should allow for the additional time that may be required to effect redemptions through their banks, brokers or other financial intermediaries if such intermediaries are not Authorized Participants.

 

A redemption request is considered to be in “proper form” if: (i) an Authorized Participant has transferred or caused to be transferred to the Fund’s transfer agent the Creation Unit redeemed through the book-entry system of DTC so as to be effective by the Exchange closing time on any Business Day on which the redemption request is submitted; (ii) a request in form satisfactory to the applicable Fund is received by the Distributor or its agent from the Authorized Participant on behalf of itself or another redeeming investor within the time periods specified above; and (iii) all other procedures set forth in the Authorized Participant Agreement are properly followed.

 

Upon receiving a redemption request, the Distributor or its agent shall notify the applicable Fund and the Fund’s transfer agent of such redemption request. The tender of an investor’s ETF Class shares for redemption and the distribution of the securities and/or cash included in the redemption payment made in respect of Creation Units redeemed will be made through DTC and the relevant Authorized Participant to the Beneficial Owner (as defined below) thereof as recorded on the book-entry system of DTC or the DTC Participant through which such investor holds, as the case may be, or by such other means specified by the Authorized Participant submitting the redemption request.

 

Deliveries of redemption proceeds by the Fund’s ETF Class are generally made within one Business Day (i.e., “T+1”). The Fund reserves the right to settle redemption transactions with respect to ETF Class shares on a basis other than T+1, if necessary or appropriate under the circumstances. Delayed settlement may occur due to a number of different reasons, including, without limitation, settlement cycles for the underlying securities, unscheduled market closings, an effort to link distribution to dividend record dates and ex-dates and newly announced holidays. For example, the redemption settlement process may be extended beyond T+1 because of the occurrence of a holiday in the U.S. bond market that is not a holiday observed in the U.S. equity market.

 

To the extent contemplated by an Authorized Participant’s agreement with the Distributor or its agent, in the event an Authorized Participant has submitted a redemption request in proper form but is unable to transfer all or part of the Creation Unit to be redeemed to the Fund’s ETF Class, at or prior to the time specified by the Fund or its custodian on the Business Day after the date of submission of such redemption request, the Distributor or its agent will accept the redemption request in reliance on the undertaking by the Authorized Participant to deliver the missing ETF Class shares as soon as possible. Such undertaking shall be secured by the Authorized Participant’s delivery and maintenance of collateral. Such collateral must be delivered no later than the time specified by the Fund or its Custodian on the Business Day after the date of submission of such redemption request and shall be held by the Custodian and marked-to-market daily. The fees of the Custodian and any sub-custodians in respect of the delivery, maintenance and redelivery of the collateral shall be payable by the Authorized Participant. The Authorized Participant Agreement permits the Fund to acquire ETF Class shares of the Fund at any time and subjects the Authorized Participant to liability for any shortfall between the aggregate of the cost to the Fund of purchasing such ETF Class shares, plus the value of the Cash Amount, and the value of the collateral together with liability for related brokerage and other charges.

 

 

Because the portfolio securities of the Fund may trade on exchange(s) on days that the Exchange is closed, are Securities Industry and Financial Markets Association holidays or are otherwise not Business Days for the Fund, shareholders may not be able to redeem their ETF Class shares of the Fund, or purchase or sell ETF Class shares of the Fund on the Exchange on days when the NAV of the Fund could be significantly affected by events in the relevant non-U.S. markets.

 

The right of redemption may be suspended or the date of payment postponed with respect to the Fund: (i) for any period during which the applicable Exchange is closed (other than customary weekend and holiday closings); (ii) for any period during which trading on the applicable Exchange is suspended or restricted; (iii) for any period during which an emergency exists as a result of which disposal of the ETF Class shares of the Fund’s portfolio securities or determination of its NAV is not reasonably practicable; or (iv) in such other circumstance as is permitted by the SEC.

 

Custom Baskets

 

Creation and Redemption baskets may differ and the Fund will accept “custom baskets.” A custom basket may include any of the following: (i) a basket that is composed of a non-representative selection of the Fund’s portfolio holdings; (ii) a representative basket that is different from the initial basket used in transactions on the same business day; or (iii) a basket that contains bespoke cash substitutions for a single Authorized Participant. The Fund has adopted policies and procedures that govern the construction and acceptance of baskets with respect to ETF Class shares. Such policies and procedures provide the parameters for the construction and acceptance of custom baskets that are in the best interests of the Fund and its ETF Class shareholders, establish processes for revisions to, or deviations from, such parameters, and specify the titles and roles of the employees of Thornburg who are required to review each custom basket for compliance with those parameters. In addition, when constructing custom baskets for redemptions, the tax efficiency of the Fund may be taken into account. Thornburg has established a governance process to oversee basket compliance for the ETF Class shares of the Fund, as set forth in the Fund’s policies and procedures.

 

 

Taxation on Creations and Redemptions of Creation Units

 

An Authorized Participant generally will recognize either gain or loss upon the exchange of Deposit Securities for Creation Units. This gain or loss is calculated by taking the market value of the Creation Units purchased over the Authorized Participant’s aggregate basis in the Deposit Securities exchanged therefor. However, the IRS may apply the wash sales rules to determine that any loss realized upon the exchange of Deposit Securities for Creation Units is not currently deductible. Authorized Participants should consult their own tax advisors.

 

Current U.S. federal income tax laws dictate that capital gain or loss realized from the redemption of Creation Units will generally create long-term capital gain or loss if the Authorized Participant holds the Creation Units for more than one year, or short-term capital gain or loss if the Creation Units were held for one year or less, if the Creation Units are held as capital assets.

 

Authorized Participants who are dealers in securities are subject to different tax treatment on the exchange for or redemption of Creation Units.

 

Conversions

 

If currently supported by the Fund, a shareholder holding Mutual Fund Class shares of the Fund may convert those shares to ETF Class shares issued by the same Fund only if such shareholder holds their mutual fund class shares through an intermediary that has entered into an agreement with the Trust or its designated agent specifically providing for such conversions. Shareholders should contact their financial intermediary to determine the eligibility of their account for such a conversion. ETF Class shares, whether acquired through a conversion or purchased on the secondary market, cannot be converted to Mutual Fund Class shares of the Fund or exchanged for ETF Class shares of another Fund.

 

[As of the date hereof, conversions from mutual fund class shares to ETF Class shares of the Fund are not available. The Fund will notify its shareholders when the conversion feature becomes available.]

 

In contrast to Mutual Fund Class shares of the Fund, however, ETF Class shares must be held in a brokerage account. Accordingly, shareholders that hold mutual fund class of the Fund in an account directly with the Fund through its transfer agent, or in a brokerage account that only allows the shareholder to hold mutual fund class shares, will need to independently move their shares into an eligible brokerage account for holding the ETF Class shares prior to a conversion. Shareholders that hold mutual fund class shares of the Fund in a 401(k) plan or other employer-sponsored retirement or benefit plan generally may not convert those mutual fund class to ETF Class shares and should check with their plan sponsor or recordkeeper regarding eligibility.

 

A conversion from Mutual Fund Class shares to ETF Class shares of the Fund will be processed at the relative NAVs of the respective share classes at the time of conversion. Since DTC (or its nominee) serves as the record owner of, and holds legal title to, the ETF Class shares of the Fund and does not support the distribution and transfer of fractional shares, a shareholder may be unable to convert all of their mutual fund class shares into ETF Class shares. If there are remaining shares in the mutual fund class after a conversion, either the Fund or the intermediary may liquidate those remaining full or fractional shares and deliver the proceeds to the investor's designated brokerage account. This would be a taxable event for shareholders who hold their shares in a taxable account.

 

 

Shareholders should contact their financial intermediary to determine whether a conversion or the redemption of fractional shares may be subject to fees and expenses. The Fund does not impose a transaction fee on conversions but reserve the right to change such policy or to limit, temporarily suspend, or terminate the conversion privilege in the future.

 

Shareholders that invest in the Fund through a financial intermediary should contact their financial intermediary for information regarding conversions. The length of the conversion process will depend on a shareholder’s financial intermediary, but may take several days from the date of the request. Shareholders will remain fully invested in the Fund through the conversion process.

 

A blackout period for conversions into ETF Class shares may be imposed by the Fund around the dates the Fund declares dividends. This may be necessary to accommodate the operational requirements of certain financial intermediaries.

 

BUSINESS CONTINUITY PLAN

 

Thornburg has adopted a business continuity plan that seeks to anticipate significant business disruptions to its operations, including disruptions to the securities markets due to terrorist attack. In accordance with this plan, Thornburg has identified and made provision to recover all the critical systems required to protect its customers in the event of a significant business disruption.

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

[], whose principal business address is [ ], is the independent registered public accounting firm for the Fund.

 

FINANCIAL STATEMENTS

 

Additional information about the Fund’s investments is available in the Fund’s annual and semi-annual reports to shareholders and in Form N-CSR. In the Fund’s annual report, you will find a discussion of the market conditions and strategies that significantly affected the Fund’s performance during its last fiscal year. In Form N-CSR, you will find the Fund’s audited financial statements for its last fiscal year. The audited financial statements and accompanying independent registered public accounting firm’s report for the mutual fund class shares of Thornburg Strategic Municipal Income Fund for the fiscal year ended September 30, 2025, as filed on Form N-CSR, are incorporated by reference and made a part of this SAI.

 

 

PART C 

OTHER INFORMATION

 

Item 28. Exhibits

 

(a)(1)

Limited Term Trust, Agreement and Declaration of Trust, June 3, 1987, incorporated by reference from Registrant’s Registration Statement on Form N-1A, filed June 12, 1987.

 

(2)

First Amendment and Supplement to Agreement and Declaration of Trust, August 11, 1987, incorporated by reference from Registrant’s pre-effective amendment no. 1 to its Registration Statement on Form N-1A, filed October 28, 1987.

 

(3)

Second Amendment and Supplement to Agreement and Declaration of Trust, October 28, 1987, incorporated by reference from Registrant’s post-effective amendment no. 1 to its Registration Statement on Form N-1A, filed March 3, 1988.

 

(4)

Third, Fourth, Fifth, Sixth and Seventh Amendments to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 13 to its Registration Statement on Form N-1A, filed December 3, 1993.

 

(5)

Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 17 to its Registration Statement on Form N-1A, filed July 27, 1994.

 

(6)

Ninth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant's post-effective amendment no. 20 to its Registration Statement on Form N-1A, filed on July 5, 1995.

 

(7)

Corrected Tenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 22 to its Registration Statement on Form N-1A, filed October 2, 1995.

 

(8)

First Supplement to Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 26 to its Registration Statement on Form N-1A, filed May 6, 1996.

 

(9)

Eleventh and Twelfth Amendments and Supplements to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 29 to its Registration Statement on Form N-1A, filed March 14, 1997.

 

(10)

Thirteenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 33 to its Registration Statement on Form N-1A, filed March 10, 1998.

 

(11)

Fourteenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 43 to its Registration Statement on Form N-1A, filed October 13, 2000.

 

(12)

Fifteenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 44 to its Registration Statement on Form N-1A, filed January 29, 2001.

 

(13)

Sixteenth and Seventeenth Amendments and Supplements to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 51 to its Registration Statement on Form N-1A, filed October 17, 2002.

 

(14)

Second Supplement to Amended and Restated Designation of Series (as corrected), incorporated by reference from Registrant’s post-effective amendment no. 54 to its Registration Statement on Form N-1A, filed on June 27, 2003.

 

(15)

Eighteenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment No. 5 to its Registration Statement on Form N-1A, filed on December 31, 2003.

 

(16)

Nineteenth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment No. 64 to its Registration Statement on Form N-1A, filed on May 12, 2006.

 

(17)

Third Supplement to Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 64 to its Registration Statement on Form N-1A, filed on May 12, 2006.

 

(18)

Twentieth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 119 to its Registration Statement on Form N-1A, filed on January 30, 2018.

 

(19)

Fourth Supplement to Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 66 to its Registration Statement on Form N-1A, filed on January 24, 2007.

 

(20)

Twenty-First Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 119 to its Registration Statement on Form N-1A, filed on January 30, 2018.

 

(21)

Twenty-Second Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 70 to its Registration Statement on Form N-1A, filed on November 26, 2008.

 

(22)

Twenty-Third Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 119 to its Registration Statement on Form N-1A, filed on January 30, 2018.

 

(23)

Twenty-Fourth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 73 to its Registration Statement on Form N-1A, filed on October 2, 2009.

 

(24)

Twenty-Fifth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 88 to its Registration Statement on Form N-1A, filed on October 15, 2013.

 

(25)

Twenty-Sixth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 90 to its Registration Statement on Form N-1A, filed on December 26, 2013.

 

(26)

Twenty-Seventh Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 95 to its Registration Statement on Form N-1A, filed January 29, 2015.

 

(27)

Twenty-Eighth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 99 to its Registration Statement on Form N-1A, filed July 15, 2015.

 

(28)

Twenty-Ninth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 119 to its Registration Statement on Form N-1A, filed on January 30, 2018.

 

(29)

Thirtieth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 119 to its Registration Statement on Form N-1A, filed on January 30, 2018.

 

(30)

Thirty-First Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 105 to its Registration Statement on Form N-1A, filed October 14, 2016.

 

(31)

Thirty-Second Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 124 to its Registration Statement on Form N-1A, filed on December 14, 2018.

 

(32)

Thirty-Third Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 124 to its Registration Statement on Form N-1A, filed on December 14, 2018.

 

(33)

Thirty-Fourth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 130 to its Registration Statement on Form N-1A, filed on November 29, 2019.

 

(34)

Thirty-Fifth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 133 to its Registration Statement on Form N-1A, filed on July 31, 2020.

 

(35)

Seventh Supplement to Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 135 to its Registration Statement on Form N-1A, filed on September 29, 2020.

 

(36)

Thirty-Sixth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 136 to its Registration Statement on Form N-1A, filed on October 19, 2020.

 

(37)

Thirty-Seventh Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 135 to its Registration Statement on Form N-1A, filed on September 29, 2020.

 

(38)

Thirty-Eighth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 140 to its Registration Statement on Form N-1A, filed December 17, 2020.

 

(39)

Thirty-Ninth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 149 to its Registration Statement on Form N-1A, filed March 31, 2023.

 

(40)

Fortieth Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 151 to its Registration Statement on Form N-1A, filed September 29, 2023.

 

(41)

Forty-First Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 156 to its Registration Statement on Form N-1A, filed January 10, 2025.

 

	(42)	Eighth Supplement to Amended and Restated Designation of Series, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(43)	Forty-Second Amendment and Supplement to Agreement and Declaration of Trust, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(44)	Ninth Supplement to Amended and Restated Designation of Series, to be filed by amendment.
	(b)	By-laws of Thornburg Investment Trust (December 12, 2023), incorporated by reference from Registrant’s post-effective amendment no. 153 to its Registration Statement on Form N-1A, filed on January 29, 2024.

 

(c)

None.

 

(d)(1)

Third Amended and Restated Investment Advisory Agreement, incorporated by reference from Registrant’s post-effective amendment no. 155 to its Registration Statement on Form N-1A, filed November 29, 2024.

 

(2)

First Amendment and Supplement to Third Amended and Restated Investment Advisory Agreement, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

(3)

Second Amendment and Supplement to Third Amended and Restated Investment Advisory Agreement, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.

 

(e)(1)

Second Restated Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 107 to its Registration Statement on Form N-1A, filed December 28, 2016.

 

(2)

Second Supplement and Amendment to Second Restated Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 128 to its Registration Statement on Form N-1A, filed February 28, 2019.

 

(3)

Third Supplement and Amendment to Second Restated Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 149 to its Registration Statement on Form N-1A, filed March 31, 2023.

 

(4)

Fourth Supplement and Amendment to Second Restated Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 151 to its Registration Statement on Form N-1A, filed September 29, 2023.

 

(5)

Fifth Supplement and Amendment to Second Restated Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

(6)

Distribution Agreement with ALPS Distributors, Inc., dated December 13, 2024 (the “ETF Class Distribution Agreement”), incorporated be reference to pre-effective amendment no. 1 to the registration statement on Form N-1A of Thornburg ETF Trust filed on December 30, 2024.

 

	(7)	Amendment 1 to the ETF Class Distribution Agreement, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(8)	Amendment 2 to the ETF Class Distribution Agreement, to be filed by amendment.
	(f)	None.

 

(g)(1)

Master Custodian Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 122 to its Registration Statement on Form N-1A, filed June 13, 2018.

 

(2)

First Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 153 to its Registration Statement on Form N-1A, filed on January 29, 2024.

 

(3)

Second Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 143 to its Registration Statement on Form N-1A, filed on January 28, 2021.

 

(4)

Third Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 153 to its Registration Statement on Form N-1A, filed on January 29, 2024.

 

(5)

Amendment to Master Custodian Agreement Fee Schedule between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 143 to its Registration Statement on Form N-1A, filed on January 28, 2021.

 

(6)

Fourth Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

	(7)	Fifth Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, dated March 3, 2026, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(8)	Sixth Amendment to Master Custodian Agreement between Registrant and State Street Bank and Trust Company, to be filed by amendment.
	(h)(1)	Form of Transfer Agency Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 1 to its Registration Statement on Form N-1A as filed on October 28, 1987.

 

	(2)	Transfer Agency and Service Agreement between State Street Bank and Trust Company and Registrant with respect to ETF Class shares, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(3)	First Amendment to Transfer Agency and Service Agreement between State Street Bank and Trust Company and Registrant with respect to ETF Class shares, to be filed by amendment.
	(4)	Form of Authorized Participant Agreement, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(5)	Amendment to Transfer Agency Agreement between Registrant and SS&C GIDS, Inc., dated December 12, 2025, incorporated by reference from Registrant’s post-effective amendment no. 157 to its Registration Statement on Form N-1A, filed January 28, 2025.

 

(6)

Amendment to Transfer Agency Agreement between Registrant and SS&C GIDS, Inc., dated December 30, 2025, incorporated by reference from Registrant’s post-effective amendment no. 160 to its Registration Statement on Form N-1A, filed January 14, 2026.

 

(7)

Amendment to Transfer Agency Agreement between Registrant and SS&C GIDS, Inc., to be filed by amendment.

 

(8)

Form of Subscription to Shares by Thornburg Management Company, Inc., incorporated by reference from Registrant’s post-effective amendment No. 10 to its Registration Statement on Form N-1A as filed on July 23, 1992.

 

(9)

Fourth Restated Administrative Services Agreement between Registrant and Thornburg Investment Management, Inc., incorporated by reference from Registrant’s post-effective amendment no. 151 to its Registration Statement on Form N-1A, filed September 29, 2023.

 

	(10)	First Amendment and Supplement to Fourth Restated Administrative Services Agreement between Registrant and Thornburg Investment Management, Inc., incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.
	(11)	Second Amendment and Supplement to Fourth Restated Administrative Services Agreement between Registrant and Thornburg Investment Management, Inc., incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

	(12)	Third Amendment and Supplement to Fourth Restated Administrative Services Agreement between Registrant and Thornburg Investment Management, Inc., incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(13)	Fourth Amendment and Supplement to Fourth Restated Administrative Services Agreement between Registrant and Thornburg Investment Management, Inc., to be filed by amendment.

 

(14)

Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 122 to its Registration Statement on Form N-1A, filed June 13, 2018.

 

(15)

Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 143 to its Registration Statement on Form N-1A, filed on January 28, 2021.

 

(16)

Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(17)

Third Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 153 to its Registration Statement on Form N-1A, filed on January 29, 2024.

 

(18)

Amendment to Fee Schedule for Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(19)

Fourth Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

(20)

Agreement to Waive Fees and Reimburse Expenses among Thornburg Investment Management, Inc. and Thornburg Investment Trust, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.

 

	(21)	Fifth Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.
	(22)	Sixth Amendment to Fund Accounting and Support Services Agreement between Registrant and State Street Bank and Trust Company, to be filed by amendment.

 

(i)(1)

Opinion of counsel as to legality of new shares, incorporated by reference from Registrant’s post-effective amendment no. 65 to its Registration Statement on Form N-1A, filed on November 16, 2006.

 

(2)

Opinion of counsel as to legality of new shares of Thornburg Capital Management Fund, incorporated by reference from Registrant’s post-effective amendment no. 102 to its Registration Statement on Form N-1A, filed on July 31, 2015.

 

	(3)	Opinion of counsel as to legality of new shares of Thornburg Long/Short Equity Fund, incorporated by reference from Registrant’s post-effective amendment no. 105 to its Registration Statement on Form N-1A, filed on October 14, 2016, in which the opinion of counsel was identified as Exhibit (j)(2).
	(4)	Opinion of counsel as to legality of new shares of Thornburg Summit Fund, incorporated by reference from Registrant’s post-effective amendment no. 124 to its Registration Statement on Form N-1A, filed on December 14, 2018.

 

(5)

Opinion of counsel as to legality of new ETF Class shares of Thornburg Strategic Municipal Income Fund, to be filed by amendment.

 

	(j)	Consent of independent registered public accounting firm relating to ETF Class shares of Thornburg Strategic Municipal Income Fund, to be filed by amendment.
	(k)	None.
	(l)	None.

 

	(m)(1)	Fourth Restated Plan of Distribution Pursuant to Rule 12b-1 (Third Restated Service Plan), to be filed by amendment.
	(2)	Fourth Restated Plan of Distribution Pursuant to Rule 12b-1 (Third Restated Distribution Plan), to be filed by amendment.

 

(n)

Amended and Restated Plan for Multiple Class Distribution, incorporated by reference from Registrant’s post-effective amendment no. 164 to its Registration Statement on Form N-1A, filed March 27, 2026.

 

(o)

Reserved

 

	(p)(1)	Personal Securities Transactions Policy of Thornburg Investment Management, Inc., Thornburg Investment Trust, Thornburg ETF Trust, and Thornburg Securities LLC, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.
	(2)	Thornburg Investment Trust and Thornburg ETF Trust Code of Business Conduct and Ethics, incorporated by reference from Registrant’s post-effective amendment no. 158 to its Registration Statement on Form N-1A, filed March 25, 2025.

 

(q)(1)

Power of Attorney of Brian J. McMahon, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(2)

Power of Attorney of Garrett Thornburg, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(3)

Power of Attorney of Owen D. Van Essen, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(4)

Power of Attorney of James W. Weyhrauch, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(5)

Power of Attorney of Sally Corning, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(6)

Power of Attorney of David L. Gardner, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(7)

Power of Attorney of Nimish Bhatt, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(8)

Power of Attorney of Patrick J. Talamantes, incorporated by reference from Registrant’s post-effective amendment no. 146 to its Registration Statement on Form N-1A, filed on November 29, 2022.

 

(9)

Power of Attorney of Curtis Holloway, incorporated by reference from Registrant’s post-effective amendment no. 151 to its Registration Statement on Form N-1A, filed September 29, 2023.

 

(10)

Power of Attorney of Lisa Black, incorporated by reference from Registrant’s post-effective amendment no. 152 to its Registration Statement on Form N-1A, filed November 29, 2023.

 

Item 29. Persons Controlled By or Under Common Control With Registrant.

 

Not applicable.

 

Item 30. Indemnification.

 

(1) Section 10.2 of Thornburg Investment Trust’s Agreement and Declaration of Trust generally provides that each of the Trust’s officers and Trustees will be indemnified by the Trust against liability and expenses in connection with his having been a Trustee or officer unless it is determined that the individual is liable by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his office, or if the individual did not act in good faith in the reasonable belief that the action was in the Trust’s best interest.

 

(2) The Trustees and officers of the Trust are insured under the terms of a directors and officers liability insurance policy (the “Trust’s policy”). In addition, the directors and officers of Thornburg Investment Management, Inc. (“Thornburg”) are insured under the terms of a directors and officers liability insurance policy (“Thornburg’s policy”). Under each of the Trust’s policy and Thornburg’s policy, the persons to whom insurance is provided are referred to as “insureds.” These policies cover amounts, up to the relevant limits of liability, which an insured becomes legally obligated to pay by reason of any error, misstatement, misleading statement, act, omission, neglect, or breach of duty committed, attempted or allegedly committed or attempted in the performance of the insured’s duties as a director, Trustee or officer (such acts collectively referred to as “Wrongful Acts”). The Trust’s policy and Thornburg’s policy also cover the Trust and Thornburg, respectively, to the extent that such entity indemnifies its directors, Trustees or officers for amounts which those individuals have become legally obligated to pay by reason of a Wrongful Act. The coverage under both the Trust’s policy and Thornburg’s policy excludes, among other things, amounts that an insured becomes legally obligated to pay by reason of conduct which constitutes a deliberately fraudulent act or omission or a willful violation of any statute or regulation.

 

The Trust has also entered into a separate indemnification agreement with each Trustee of the Trust. Pursuant to that agreement, the Trust, in respect of the appropriate Fund, has agreed to indemnify each Trustee and to the fullest extent permitted by law against all judgments, fines, penalties, amounts paid or payable in settlement and other liabilities arising from, and against all expenses incurred or paid in connection with, any proceeding in which the Trustee becomes involved as a party or otherwise by virtue of his having been a Trustee, or in any other capacity in which he serves or has served the Trust.

  

The application of the foregoing provisions and agreements is limited by the following undertaking set forth in the rules promulgated by the Securities and Exchange Commission:

 

Insofar as indemnification for liabilities arising under the Securities Act of 1933 may be permitted to Trustees, officers and controlling persons of the Registrant pursuant to the foregoing provisions, or otherwise, the Registrant has been advised that in the opinion of the Securities and Exchange Commission such indemnification is against public policies expressed in such Act and that if a claim for indemnification against such liabilities (other than the payment by the Registrant of expenses incurred or paid by a Trustee, officer or controlling person of the Registrant in the successful defense of any action, suit or proceeding) is asserted by such Trustee, officer or controlling person in connection with the securities being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in such Act and will be governed by the final adjudication of such issue.

 

Item 31. Business and Other Connections of the Investment Adviser.

 

See “MANAGEMENT” in the Statement of Additional Information.

 

Item 32. Principal Underwriters.

 

[to be updated by amendment]

 

Item 33. Location of Accounts and Records.

 

All accounts, books and other documents required to be maintained by Section 31(a) of the Investment Company Act of 1940 and the rules thereunder are maintained at the offices of the Trust’s Custodian (State Street Bank and Trust Company at 1176 Heritage Drive, Quincy, MA 02171), Distributor of ETF Class shares (ALPS Distributors, Inc. at 1290 Broadway, Suite 1000, Denver, CO 80203), Adviser (Thornburg Investment Management, Inc. at 2300 N. Ridgetop Rd, Santa Fe, NM 87506), and Counsel to the Trust (Ropes & Gray LLP, 1211 Avenue of the Americas, New York, NY 10036) and Counsel to the Independent Trustees of the Trust (April & Dolan, P.C. at 460 St. Michael’s Drive, Suite 603, Santa Fe, NM 87505).

  

Item 34. Management Services.

 

None.

 

Item 35. Undertakings.

 

None

SIGNATURES

 

Pursuant to the requirements of the Securities Act of 1933, as amended (the “Securities Act”) and the Investment Company Act of 1940, as amended, the Registrant has duly caused this Post-Effective Amendment No. 165 (the “Amendment”) to its Registration Statement on Form N-1A (the “Registration Statement”) to be signed on its behalf by the undersigned, thereto duly authorized, in the City of Santa Fe and State of New Mexico on July 6th, 2026.

 

THORNBURG INVESTMENT TRUST

 

By	/s/ Nimish S. Bhatt
	Nimish S. Bhatt, President

 

Pursuant to the requirements of the Securities Act, this Amendment to the Registration Statement has been signed below by the following persons as of the 6th day of July, 2026 in the capacities indicated below.

 

/s/ Nimish S. Bhatt

Nimish S. Bhatt, President and Principal Executive Officer

 

* 

Curtis Holloway, Chief Financial Officer and Treasurer

 

*  

Garrett Thornburg, Trustee and Chair

 

*

Lisa Black, Trustee

 

* 

Sally Corning, Trustee

 

* 

David L. Gardner, Trustee

 

* 

Brian J. McMahon, Trustee and Vice Chair

 

* 

Patrick J. Talamantes, Trustee

 

* 

Owen D. Van Essen, Trustee

 

* 

James W. Weyhrauch, Trustee

 

	* By:	/s/ Nimish S. Bhatt
		Nimish S. Bhatt
		Attorney-in-Fact
	Date:	July 6, 2026