Strategic Municipal Income Fund

The Thornburg Strategic Municipal Income 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 federal income tax 2016 return. For the 2016 calendar year, 1.78% of the dividends paid by the Fund are taxable ordinary income (box 1a of Form 1099-DIV) and 98.22% of the dividends paid by the Fund are exempt from regular federal income tax (box 10 of Form 1099-DIV). A portion of the exempt income reported in box 10 of Form 1099-DIV, as shown below, and which is reported in box 11 of Form 1099-DIV, may be treated as a preference item for the purpose of alternative minimum tax applicable to certain individuals and to corporations. 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

Average 2016

Municipal Income

96.29% 96.33% 96.30% 96.38% 95.82% 95.72% 95.80% 96.15% 96.27% 96.30% 96.49% 96.76% 96.22%

Municipal AMT
Preference Income

3.71% 3.67% 3.70% 3.62% 4.18% 4.28% 4.20% 3.85% 3.73% 3.70% 3.51% 3.24% 3.78%

Total Municipal Income

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%

Special Requirements for Corporations

Interest on all tax-exempt investments owned by a corporation, including income dividends on shares of the Fund, should be included in the corporation’s adjusted net book income for purposes of calculating the alternative minimum taxable income of the corporation.

State-by-State Breakdown

Below is a table showing the percentage breakdown by state or U.S. possession of the income earned by the Fund for those states or possessions in which the Fund had investments at any time during 2016.

Reporting Requirements for your 2016 State of Indiana Return: Individuals

For Indiana residents who owned shares in the Fund, a portion of the dividends may be exempt from Indiana state income tax.

Interest from certain bonds, notes, and municipal bonds issued by non-federal governmental entities outside of Indiana are now subject to Indiana state income tax if acquired on or after January 1, 2012. Previously, Indiana provided an exemption for interest earned from non-Indiana sources.

For calendar year 2016, the Fund generated 49.08% of earned income from non-Indiana bonds purchased on or after January 1, 2012. The Fund generated 50.92% of earned income from all Indiana bonds plus non-Indiana bonds purchased prior to January 1, 2012.

To determine the amount of the 2016 dividends that are subject to Indiana state income tax, multiply the taxable percentage of 49.08% by the federal tax exempt dividends in box 10 of Form 1099-DIV. To determine the amount of 2016 dividends that may be exempt from Indiana state income tax, multiply the Indiana exempt percentage of 50.92% by the tax exempt dividends in box 10 of Form 1099-DIV.

Remember: State and local taxes vary. Please contact your tax advisor for information on those taxes.

The following listing represents the percentage breakdown by state or U.S. possession of the income paid by the Fund for those states or possessions in which the Fund had investments at any time during 2016. State and local taxes vary, and we suggest that you contact your tax advisor with respect to these taxes. Please retain this notice for your records.

State

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Average 2016

Alabama 0.18% 0.18% 0.18% 0.18% 0.18% 0.18% 0.17% 0.17% 0.17% 0.17% 0.17% 0.17% 0.18%
Alaska 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Arizona 1.46% 1.47% 1.46% 1.44% 1.42% 1.41% 1.38% 1.37% 1.33% 1.32% 1.34% 1.34% 1.40%
Arkansas 0.37% 0.38% 0.37% 0.36% 0.36% 0.36% 0.35% 0.34% 0.34% 0.33% 0.33% 0.33% 0.35%
California 16.72% 16.49% 16.90% 16.33% 15.71% 15.48% 15.70% 15.54% 15.12% 15.11% 15.02% 16.27% 15.86%
Colorado 3.31% 3.30% 3.31% 3.24% 3.22% 3.20% 3.15% 3.12% 3.02% 3.07% 2.32% 1.64% 2.99%
Connecticut 0.73% 0.72% 0.83% 0.90% 0.75% 1.33% 1.69% 1.67% 2.00% 2.01% 1.92% 1.97% 1.38%
Delaware 0.44% 0.44% 0.44% 0.43% 0.43% 0.43% 0.42% 0.41% 0.40% 0.40% 0.40% 0.41% 0.42%
District of Columbia 0.51% 0.48% 0.51% 0.50% 0.52% 0.50% 0.51% 0.50% 0.47% 0.50% 0.49% 0.51% 0.50%
Florida 3.74% 4.40% 4.22% 4.28% 4.46% 4.74% 4.97% 4.14% 4.33% 4.09% 4.12% 3.73% 4.27%
Georgia 1.17% 1.19% 1.17% 1.11% 1.10% 1.10% 1.08% 1.07% 1.04% 1.03% 1.04% 1.05% 1.10%
Guam 4.77% 4.76% 4.76% 4.67% 4.64% 4.61% 4.53% 4.49% 4.35% 4.33% 4.35% 4.39% 4.55%
Hawaii 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Idaho 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.08% 0.08% 0.08% 0.07% 0.08% 0.07% 0.04%
Illinois 9.47% 9.64% 9.60% 9.19% 9.11% 9.23% 8.97% 8.82% 8.98% 9.77% 9.93% 9.49% 9.35%
Indiana 1.43% 1.41% 1.43% 1.42% 1.97% 2.08% 2.03% 2.01% 1.95% 1.93% 1.95% 1.96% 1.80%
Iowa 0.98% 0.97% 0.97% 0.63% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.30%
Kansas 1.69% 1.68% 1.69% 1.64% 1.63% 1.62% 1.60% 1.58% 1.52% 1.52% 1.53% 1.49% 1.60%
Kentucky 2.44% 2.37% 2.89% 4.20% 4.19% 4.16% 4.10% 4.06% 3.93% 3.97% 3.94% 2.96% 3.60%
Louisiana 2.67% 2.65% 2.67% 2.61% 2.60% 2.58% 2.54% 2.52% 2.44% 2.43% 2.44% 2.47% 2.55%
Maine 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Maryland 0.25% 0.50% 0.43% 0.47% 0.40% 0.45% 0.52% 0.45% 0.42% 0.38% 0.42% 0.40% 0.42%
Massachusetts 0.41% 0.41% 0.41% 0.40% 0.40% 0.39% 0.37% 0.37% 0.36% 0.36% 0.36% 0.36% 0.38%
Michigan 10.01% 9.99% 9.98% 9.80% 9.73% 9.68% 9.51% 9.54% 9.35% 9.28% 9.11% 9.27% 9.60%
Minnesota 0.37% 0.36% 0.37% 0.36% 0.36% 0.36% 0.35% 0.70% 1.60% 1.64% 1.56% 1.59% 0.80%
Mississippi 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Missouri 2.00% 1.99% 1.90% 1.86% 1.84% 2.08% 2.68% 2.58% 2.52% 2.48% 2.51% 2.52% 2.25%
Montana 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Nebraska 0.81% 0.81% 0.81% 0.80% 0.79% 0.79% 0.77% 0.76% 0.74% 0.74% 0.74% 0.75% 0.78%
Nevada 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
New Hampshire 0.00% 0.00% 0.00% 0.03% 0.05% 0.00% 0.00% 0.07% 0.20% 0.06% 0.00% 0.00% 0.03%
New Jersey 3.91% 3.94% 3.52% 2.97% 2.94% 2.93% 3.06% 3.04% 2.97% 2.95% 3.76% 3.83% 3.32%
New Mexico 1.96% 1.94% 1.96% 1.91% 1.90% 1.89% 2.03% 2.27% 1.78% 1.78% 1.78% 1.81% 1.92%
New York 2.07% 2.10% 2.18% 2.52% 3.04% 3.04% 2.86% 3.02% 3.15% 3.26% 2.93% 3.85% 2.84%
North Carolina 0.62% 0.63% 0.62% 0.91% 0.96% 0.86% 0.64% 0.58% 0.57% 0.56% 0.57% 0.57% 0.67%
North Dakota 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Ohio 2.07% 2.08% 2.07% 2.04% 2.28% 1.87% 1.78% 2.18% 2.29% 2.22% 2.24% 2.47% 2.13%
Oklahoma 0.00% 0.00% 0.01% 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Oregon 0.14% 0.21% 0.16% 0.21% 0.15% 0.18% 0.23% 0.45% 0.47% 0.36% 0.32% 0.30% 0.27%
Pennsylvania 4.99% 4.97% 5.38% 5.42% 5.39% 5.07% 4.85% 5.24% 5.74% 5.67% 5.72% 5.45% 5.32%
Puerto Rico 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Rhode Island 0.38% 0.38% 0.38% 0.37% 0.37% 0.37% 0.36% 0.36% 0.35% 0.35% 0.36% 0.37% 0.37%
South Carolina 0.04% 0.09% 0.07% 0.08% 0.07% 0.08% 0.07% 0.06% 0.07% 0.06% 0.07% 0.06% 0.07%
South Dakota 0.62% 0.62% 0.62% 0.61% 0.60% 0.60% 0.59% 0.58% 0.57% 0.56% 0.57% 0.57% 0.59%
Tennessee 0.32% 0.32% 0.32% 0.31% 0.32% 0.31% 0.31% 0.31% 0.30% 0.30% 0.29% 0.30% 0.31%
Texas 11.59% 10.78% 10.05% 10.55% 10.90% 10.86% 10.66% 10.51% 10.16% 10.08% 10.16% 10.32% 10.55%
US Virgin Islands 0.38% 0.37% 0.38% 0.37% 0.37% 0.36% 0.36% 0.35% 0.34% 0.34% 0.34% 0.35% 0.36%
Utah 0.92% 0.92% 0.92% 0.90% 0.90% 0.89% 0.87% 0.86% 0.87% 0.83% 1.11% 0.85% 0.90%
Vermont 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Virginia 1.19% 1.20% 1.19% 1.17% 1.16% 1.16% 1.13% 1.12% 1.09% 1.08% 1.09% 1.10% 1.14%
Washington 2.73% 2.72% 2.73% 2.67% 2.66% 2.64% 2.60% 2.58% 2.49% 2.48% 2.49% 2.53% 2.61%
West Virginia 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Wisconsin 0.14% 0.14% 0.14% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13% 0.13%
Wyoming 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Non State Tax Exempt 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
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. This effect is more pronounced for longer-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Investments in lower rated and unrated bonds may be more sensitive to default, downgrades, and market volatility; these investments may also be less liquid than higher rated bonds. Investments in derivatives are subject to the risks associated with the securities or other assets underlying the pool of securities, including illiquidity and difficulty in valuation. 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.