Limited Term U.S. Government Fund

The Thornburg Limited Term U.S. Government Fund, (the "Fund") did not declare capital gain dividends during 2016.

Reporting Requirements for your 2016 Federal Return: Individuals

Your dividends from the Fund must be reported on your 2016 federal income tax return. During the Fund’s fiscal year ended September 30, 2016, the Fund paid nondividend return of capital distributions (box 3 of Form 1099-DIV), of which rate was determined in accordance with Internal Revenue Code (“IRC”) Section 301 and IRC Section 316. A shareholder’s basis is lowered by the return of capital per share amount reported, (but not below zero). No capital loss may be recognized by the applicable shareholder of record on the nondividend return of capital portion of the distributions reflected on the applicable dates shown. Potential capital gain may result if the shareholder has a zero basis. The distribution dates, the percent of the nondividend return of capital distributions (box 3 of Form 1099-DIV) and the percent of taxable ordinary income distributions (box 1 of Form 1099-DIV) paid, are disclosed in the below table. Shareholders are advised to consult their own tax advisors as to the extent and effect of such treatment.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

RATE OF DISTRIBUTIONS

                     

Return of Capital

0.328% 0.328% 0.328% 0.328% 0.328% 0.328% 0.328% 0.328% 0.328% 0.000% 0.000% 0.000%

Ordinary Income

99.672% 99.672% 99.672% 99.672% 99.672% 99.672% 99.672% 99.672% 99.672% 100.000% 100.000% 100.000%

Your dividends from the Fund must be reported on your 2016 federal income tax return. Listed below is a month-by-month percentage breakdown of sources of interest income earned by the Fund in 2016. Some states and/or localities do not require you to pay state or local income tax on income derived from certain federal agency bonds. Please consult your tax advisor as to the extent and effect of such tax treatment in your state of residence.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Average 2016

DIRECT U.S. OBLIGATIONS

U.S. Treasury

13.73% 12.87% 12.78% 13.21% 15.67% 18.06% 17.75% 16.80% 15.36% 15.91% 15.76% 15.87% 15.31%

Federal Home 
Loan Banks

2.28% 2.32% 2.29% 2.56% 2.30% 2.34% 2.54% 2.40% 2.43% 2.42% 2.29% 2.20% 2.36%

Tennessee Valley
Authority

1.22% 1.27% 1.05% 0.91% 0.88% 0.89% 0.87% 0.89% 0.92% 0.90% 0.90% 0.89% 0.97%

REPOs Collateralized by
Direct US Obligations

0.94% 0.97% 1.00% 1.01% 1.04% 1.02% 1.05% 1.12% 1.11% 1.16% 1.08% 1.11% 1.05%

Sub-total

18.17% 17.43% 17.12% 17.69% 19.89% 22.31% 22.21% 21.21% 19.82% 20.39% 20.03% 20.07% 19.69%

INDIRECT U.S. OBLIGATIONS

Federal Agricultural Mortgage Corporation 0.03% 0.00% 0.04% 0.09% 0.18% 0.09% 0.11% 0.11% 0.03% 0.14% 0.02% 0.00% 0.07%

Federal Home Loan
Mortgage Corporation

26.20% 26.35% 25.41% 24.90% 24.21% 23.54% 23.47% 24.86% 25.22% 24.88% 24.47% 24.78% 24.86%

Federal National
Mortgage Association

22.60% 23.95% 25.36% 25.44% 24.56% 23.78% 23.61% 24.38% 24.50% 24.11% 24.85% 25.18% 24.36%

Government National
Mortgage Association

12.50% 12.14% 11.74% 11.24% 10.88% 10.75% 10.46% 10.22% 10.69% 10.94% 10.47% 10.53% 11.05%

Other Government Agencies

20.50% 20.13% 20.33% 20.64% 20.28% 19.53% 20.14% 19.22% 19.74% 19.54% 20.16% 19.44% 19.97%

Sub-total

81.83% 82.57% 82.88% 82.31% 80.11% 77.69% 77.79% 78.79% 80.18% 79.61% 79.97% 79.93% 80.31%

Total

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

100.00%

Tax rules are complex. Please consult your tax advisor.

Important Information
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary prospectus containing this and other information, contact your financial advisor or visit our literature center. Read them carefully before investing.

Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The value of bonds will fluctuate relative to changes in interest rates, decreasing when interest rates rise. Unlike bonds, bond funds have ongoing fees and expenses. Investments in mortgage-backed securities (MBS) may bear additional risk. Investments in the Fund are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.

Thornburg mutual funds are distributed by Thornburg Securities Corporation.

Thornburg Investment Management, Inc. mutual funds are sold through investment professionals including investment advisors, brokerage firms, bank trust departments, trust companies and certain other financial intermediaries. Thornburg Securities Corporation (TSC) does not act as broker of record for investors.