-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, OwDp02BR/Ue1Pzpq7YE/jg0u8bjhMiJBljoC57cjV6207J42LFmusH2+kl8aq232 2r3TIgxmFcjBsPyTSGYiyg== /in/edgar/work/0000816153-00-000113/0000816153-00-000113.txt : 20001130 0000816153-00-000113.hdr.sgml : 20001130 ACCESSION NUMBER: 0000816153-00-000113 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000930 FILED AS OF DATE: 20001129 FILER: COMPANY DATA: COMPANY CONFORMED NAME: THORNBURG INVESTMENT TRUST CENTRAL INDEX KEY: 0000816153 STANDARD INDUSTRIAL CLASSIFICATION: [0000 ] IRS NUMBER: 061158764 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05201 FILM NUMBER: 779959 BUSINESS ADDRESS: STREET 1: 119 E MARCY ST STREET 2: SUITE 202 CITY: SANTA FE STATE: NM ZIP: 87501 BUSINESS PHONE: 5059840200 MAIL ADDRESS: STREET 1: 119 EAST MARCY ST STREET 2: SUITE 202 CITY: SANTA FE STATE: NM ZIP: 87501 FORMER COMPANY: FORMER CONFORMED NAME: THORNBURG INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: LIMITED TERM TRUST DATE OF NAME CHANGE: 19870816 N-30D 1 0001.txt Thornburg New Mexico Intermediate Municipal Fund All data as of 9.30.00 Thornburg New Mexico Intermediate Municipal Fund A Shares D Shares SEC Yield ........................ 4.13% 3.96% Taxable Equivalent Yields ........ 7.47% 7.17% NAV .............................. $ 12.85 $ 12.85 Max. Offering Price .............. $ 13.11 $ 12.85 (Annual Average - After Subtracting Maximum Sales Charge) One Year.......................... 2.30% 4.00% Five Year ........................ 3.99% N/A Since Inception .................. 5.52% 2.52% Inception Date ................... (6.18.1991) (6.1.1999) The taxable equivalent yield assumes a 39.6% marginal federal tax rate and an 8.50% marginal New Mexico rate. The investment return and principal value of an investment in the fund will fluctuate so that, when redeemed, an investor's shares may be worth more or less than their original cost. Maximum sales charge of the Fund's Class A Shares is 2.00%. The Fund's Class C Shares were converted to Class A Shares on January 31, 1996. The date quoted represent past performance and may not be construed as a guarantee of future results. Letter to shareholders Dear Fellow Shareholder: After falling to very low levels in October 1998, interest rates rose steadily throughout 1999 and into the early spring of this year. Interest rates on the shortest maturity bonds increased the most, a normal occurrence when the Fed is applying the brakes to a roaring economy. Thornburg New Mexico Intermediate Municipal Fund's net asset value fell as rising interest rates lowered bond prices. In recent months, interest rates have begun to relax on evidence of a slowing economy. Your fund's net asset value has recovered much of the loss from earlier in the year. The net asset value of the A shares decreased by 7 cents to $12.85 during the fiscal year ended September 30, 2000. If you were with us for the entire period, you received dividends of 61.6 cents per share, a slight increase over fiscal 1999. If you reinvested your dividends, you received 62.9 cents per share. Investors who owned D shares received dividends of 58.2 and 59.5 cents per share, respectively. Your Thornburg New Mexico Intermediate Municipal Fund is a laddered bond portfolio, consisting of over 205 municipal obligations from New Mexico and 3 U.S. territories. Approximately 92% of the bonds are rated A or better by one of the major rating agencies. As you know, we "ladder" the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature at par during each of the coming years. The following chart describes the percentages of your fund's bond portfolio maturing in each of the coming years: 2 years =22% ............. year 2 = 22% 2 to 4 years = 12% year 4 = 34% 4 to 6 years = 16% ....... year 6 = 50% 6 to 8 years = 14% year 8 = 64% 8 to 10 years = 7% ....... year 10 = 71% 10 to 12 years = 7% year 12 = 78% 12 to 14 years = 8% ...... year 14 = 86% Over 14 years= 14% Today, your fund's weighted average maturity is 7.0 years. We always keep it below 10 years. Over the last 6 months, your average portfolio maturity has increased slightly. We expect to maintain, or slightly extend, the average portfolio maturity in the coming months. This will be dependent on year-end investment opportunities and prospects for the world economy. Municipal bond issuance is down about 20% from last year due to swelling tax receipts to most state and local government entities. We believe the surpluses have crested, due to pressure for tax cuts, demands for more governmental services, and the first signs of slowing tax collections. California may be leading the way, with both a 17% increase in general fund expenditures and large tax rebates scheduled for the current fiscal year! Meanwhile, the Finance Secretary of the Commonwealth of Virginia noted in late October that "exceptionally sluggish" payroll and sales tax collections in September had contributed to soft overall tax collections (up 1.7%, year over year) for the most recent quarter. Stay tuned, the same forces are at work here. If evidence of slowing economic activity continues to mount in the months to come, we expect market interest rates for short maturity bonds and money market instruments to drop significantly. Equity investors, by and large, are having a rough year. In a slowing economy, we expect long-ignored investment grade bonds to increase in popularity with investors. You're already invested, so stay put. Over the years, our practice of laddering a diversified portfolio of short and intermediate maturity municipal bonds has allowed your fund to perform consistently well in varying interest rate environments. Your fund has earned Morningstar's 5-star overall rating* for risk adjusted performance. Thank you for investing in Thornburg New Mexico Intermediate Municipal Fund. Sincerely, Brian J. McMahon George T. Strickland Portfolio Manager Portfolio Manager Past performance is no guarantee of future results. *Morningstar proprietary ratings on US-domiciled funds reflect historical risk-adjusted performance as of Sept. 30, 2000. The ratings are subject to change every month. Morningstar ratings are calculated from the fund's three, five, and ten year (if applicable) annual returns in excess of 90-day US Treasury bill returns with appropriate fee adjustments and a risk factor that reflects fund performance below 90-day US T-bill returns. The Overall Morningstar Rating(TM) is a weighted average of the fund's three, five and, ten year (if applicable) risk-adjusted performance. The New Mexico Fund received five stars for the three and five year periods ended 9/30/00. The top 10% of the funds in a broad asset class receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the last 10% receive 1 star. The fund was rated exclusively against US-domiciled funds. The fund was rated among 1,720 and 1,472 municipal funds for the three and five year periods respectively. Statement of assets and liabilities ASSETS Investments at value (cost $147,383,026) ....................... $149,886,247 Cash ........................................................... 71,071 Receivable for investments sold ................................ 100,000 Receivable for fund shares sold ................................ 451,817 Interest receivable ............................................ 2,293,182 Prepaid expenses and other assets .............................. 772 Total Assets ................................................... 152,803,089 LIABILITIES Payable for securities purchased ............................... 2,765,174 Payable for fund shares redeemed ............................... 132,540 Accounts payable and accrued expenses .......................... 142,989 Payable to investment advisor (Note 3) ......................... 70,128 Dividends payable .............................................. 262,224 Total Liabilities ..................................... 3,373,055 NET ASSETS ..................................................... $149,430,034 NET ASSET VALUE: Class A Shares: Net asset value and redemption price per share ($147,279,313 applicable to 11,463,759 shares of beneficial interest outstanding - Note 4) .......................................... $ 12.85 Maximum sales charge, 2.00% of offering price (2.04% of net asset value per share) ..................... 0.26 Maximum Offering Price Per Share ............................... $ 13.11 Class D Shares: Net asset value and offering price per share ($2,150,721 applicable to 167,348 shares of beneficial interest outstanding - Note 4) .......................................... $ 12.85 See notes to financial statements. Statement of operations INVESTMENT INCOME: Interest income (net of premium amortized of $436,872) ......... $ 8,655,177 EXPENSES: Investment advisory fees (Note 3) .............................. 745,504 Administration fees (Note 3) Class A Shares ........................................ 184,536 Class D Shares ........................................ 1,841 Distribution and service fees (Note 3) Class A Shares ........................................ 369,071 Class D Shares ........................................ 14,731 Transfer agent fees ............................................ 90,549 Custodian fees ................................................. 94,230 Registration and filing fees ................................... 3,348 Professional fees .............................................. 21,157 Accounting fees ................................................ 17,395 Trustee fees ................................................... 2,796 Other expenses ................................................. 13,919 Total Expenses ............................... 1,559,077 Less: Expenses reimbursed by investment advisor (Note 3) ......... (65,876) Distribution fees waived on Class D shares (Note 3) ........ (7,369) Net Expenses ................................. 1,485,832 Net Investment Income ........................ 7,169,345 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (Note 5) Net realized gain (loss) on investments sold ................... (947,150) Increase (decrease) in unrealized appreciation of investments .. 7,879 Net Realized and Unrealized Gain (Loss) on Investments ................... (939,271) Net Increase in Net Assets Resulting From Operations .............................. $ 6,230,074 See notes to financial statements. Statements of changes in net assets
Year Ended Year Ended September 30, 2000 September 30, 1999 INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS: ................................................. Net investment income........................................ 7,169,345 $ 7,223,369 Net realized gain (loss) on investments sold ................ (947,150) (192,060) Increase (decrease) in unrealized appreciation of investments 7,879 (6,146,730) Net Increase in Net Assets Resulting from Operations .................................... 6,230,074 884,579 DIVIDENDS TO SHAREHOLDERS: .................................. From net investment income Class A Shares ..................................... (7,102,532) (7,214,796) Class D Shares ..................................... (66,813) (8,573) FUND SHARE TRANSACTIONS (Note 4): Class A Shares ..................................... (7,314,297) 8,748,455 Class D Shares ..................................... 1,021,871 1,133,909 Net Increase (Decrease) in Net Assets .............. (7,231,697) 3,543,574 NET ASSETS: Beginning of year .................................. 156,661,731 153,118,157 End of year ........................................ $ 149,430,034 $ 156,661,731 See notes to financial statements.
Notes to financial statements Note 1 - Organization Thornburg New Mexico Intermediate Municipal Fund (the "Fund"), is a non-diversified series of Thornburg Investment Trust (the "Trust"). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended. The Trust is currently issuing seven series of shares of beneficial interest in addition to those of the Fund: Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund and Thornburg Global Value Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. Expenses which are applicable to all series of the Trust are allocated to each series based on their relative net assets. The Fund's investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent with the preservation of capital. The Fund currently offers two classes of shares of beneficial interest, Class A and Class D shares. Each class of shares of a Fund represents an interest in the same portfolio of investments of the Fund, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class D shares are sold at net asset value without a sales charge at the time of purchase, and bear both a service fee and a distribution fee, and (iii) the respective classes have different reinvestment privileges. Additionally, the Fund may allocate among its classes certain expenses, to the extent allowable to specific classes, including transfer agent fees, government registration fees, certain printing and postage costs and administrative and legal expenses. Currently, class specific expenses of the Fund are limited to distribution fees, administration fees and certain transfer agent expenses. Note 2 - Significant Accounting Policies Significant accounting policies of the Fund are as follows: Valuation of Investments: In determining net asset value, the Fund utilizes an independent pricing service approved by the Trustees. Debt investment securities have a primary market over the counter and are valued on the basis of valuations furnished by the pricing service. The pricing service values portfolio securities at quoted bid prices at 4:00 pm EST or the yield equivalents when quotations are not readily available. Securities for which quotations are not readily available are valued at fair value as determined by the pricing service using methods which include consideration of yields or prices of municipal obligations of comparable quality, type of issue, coupon, maturity, and rating; indications as to value from dealers and general market conditions. The valuation procedures used by the pricing service and the portfolio valuations received by the Fund are reviewed by the officers of the Trust under the general supervision of the Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value. Federal Income Taxes: It is the policy of the Fund to comply with the provisions of the Internal Revenue Code applicable to "regulated investment companies" and to distribute all of its taxable (if any) and tax exempt income to its shareholders. Therefore no provision for Federal income tax is required. Dividends paid by the Fund for the year ended September 30, 2000 represent exempt interest dividends which are excludable by shareholders from gross income for Federal income tax purposes. Net realized capital losses are carried forward to offset realized gains in future years. To the extent such carryforwards are used, no capital gain distributions will be made. When-Issued and Delayed Delivery Transactions: The Fund may engage in when-issued or delayed delivery transactions. To the extent the Fund engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with its investment objectives and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Fund makes a commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the value in determining the Fund's net asset value. When effecting such transactions, assets of the Fund of an amount sufficient to make payment for the portfolio securities to be purchased will be segregated on the Fund's records on the trade date. Securities purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date. Dividends: Net investment income of the Fund is declared daily as a dividend on shares for which the Fund has received payment. Dividends are paid monthly and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the dividend payment date, or at the shareholder's option, paid in cash. Net capital gains, to the extent available, will be distributed annually. General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and original issue discounts on securities purchased are amortized over the life of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Use of Estimates: The preparation of financial statements, in conformity with generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Note 3 - Investment Advisory Fee and Other Transactions With Affiliates Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the "Adviser") serves as the investment adviser and performs services for which the fees are payable at the end of each month. For the year ended September 30, 2000, these fees were payable at annual rates ranging from 1/2 of 1% to 11/40 of 1% of the average daily net assets of the Fund, depending on the Fund's asset size. The Fund also has an Administrative Services Agreement with the Adviser, whereby the Adviser will perform certain administrative services for the shareholders of each class of the Fund's shares, and for which fees will be payable at an annual rate of up to 1/8 of 1% of the average daily net assets attributable to each class of shares. For the year ended September 30, 2000, the Adviser voluntarily reimbursed certain class specific transfer agent fees of $51,602 for Class A and $14,274 for Class D, respectively. The Fund has an underwriting agreement with Thornburg Securities Corporation (the "Distributor"), which acts as the Distributor of Fund shares. For the year ended September 30, 2000, the Distributor earned net commissions aggregating $1,678 from the sale of Class A shares. Pursuant to a Service Plan, under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Adviser an amount not to exceed .25 of 1% per annum of the average net assets attributable to each class of shares of the Fund for payments made by the Adviser to securities dealers and other financial institutions to obtain various shareholder related services. The Adviser may pay out of its own funds additional expenses for distribution of the Fund's shares. The Fund has also adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund's Class D shares under which the Fund compensates the Distributor for services in promoting the sale of Class D shares of the Fund at an annual rate of up to .75% of the average daily net assets attributable to Class D shares. Total fees incurred by each class of shares of the Fund under their respective Service and Distribution Plans and the total amount waived for the year ended September 30, 2000, are set forth in the statement of operations. Certain officers and trustees of the Trust are also officers and/or directors of the Adviser and Distributor. The compensation of unaffiliated trustees is borne by the Trust. Note 4 - Shares of Beneficial Interest At September 30, 2000 there were an unlimited number of shares of beneficial interest authorized, and capital paid-in aggregated $148,814,772. Transactions in shares of beneficial interest were as follows:
Year Ended Year Ended September 30, 2000 September 30, 1999 Class A Shares Shares Amount Shares Amount Shares sold ...................... 2,223,577 $ 28,408,428 2,476,782 $ 32,892,441 Shares issued to shareholders in reinvestment of dividends 308,110 3,939,429 324,102 4,289,129 Shares repurchased ............ (3,102,729) (39,662,154) (2,151,671) (28,433,115) Net Increase (Decrease) ....... (571,042) $ (7,314,297) 649,213 $ 8,748,455 Class D Shares (a) ............ Shares Amount Shares Amount Shares sold ................... 124,444 $ 1,585,825 86,525 $ 1,130,480 Shares issued to shareholders in reinvestment of dividends 2,445 31,315 264 3,429 Shares repurchased ............... (46,330) (595,269) 0 0 Net Increase (Decrease) .......... 80,559 $ 1,021,871 86,789 $ 1,133,909 (a) Sales of Class D shares commenced June 1, 1999.
Note 5 - Securities Transactions For the year ended September 30, 2000, the Fund had purchase and sale transactions (excluding short-term securities) of $43,608,035 and $54,671,739, respectively. The cost of investments for Federal Income tax purposes is $147,410,241. At September 30, 2000, net unrealized appreciation of investments was $2,476,006, based on cost for Federal income tax purposes resulting from $3,274,121 gross unrealized appreciation and $798,115 gross unrealized depreciation. Accumulated net realized losses from securities transactions included in net assets at September 30, 2000 aggregated $1,887,959. At September 30, 2000, the Fund had tax basis capital losses which may be carried over to offset future capital gains. Such losses expire as follows: Capital loss carryovers expiring in: 2003 $ 127,000 2004 555,000 2006 7,000 2007 34,000 2008 595,000 $ 1,318,000 At September 30, 2000, the Fund had deferred capital losses occurring subsequent to October 31, 1999 of $543,000. For tax purposes, such losses will be reflected in the year ending September 30, 2001.
Financial highlights Year Ended September 30, 2000 1999 1998 1997 1996 Class A Shares: Per Share Operating Performance (for a share outstanding throughout the year) Net asset value, beginning of year $ 12.92 $ 13.45 $ 13.28 $ 13.09 $ 13.12 Income from investment operations: Net investment income .... 0.62 0.61 0.62 0.64 0.63 Net realized and unrealized gain (loss) on investments (0.07) (0.53) 0.17 0.19 (0.03) Total from investment operations ... 0.55 0.08 0.79 0.83 0.60 Less dividends from: Net investment income ..... (0.62) (0.61) (0.62) (0.64) (0.63) Change in net asset value .......... (0.07) (0.53) 0.17 0.19 (0.03) Net asset value, end of year .......$ 12.85 $ 12.92 $ 13.45 $ 13.28 $ 13.09 Total return (a) .......... 4.36% 0.55% 6.08% 6.51% 4.68% Ratios/Supplemental Data Ratios to average net assets: Net investment income ..... 4.81% 4.57% 4.64% 4.88% 4.81% Expenses, after expense reductions 0.99% 0.99% 1.00% 1.00% 1.00% Expenses, before expense reductions 1.03% 1.01% 1.02% 1.05% 1.07% Portfolio turnover rate .................... 30.23% 15.93% 13.74% 10.06% 10.88% Net assets at end of year (000) ...$ 147,279 $ 155,540 $153,118 $ 145,850 $ 131,307 (a) Sales loads are not reflected in computing total return. Note: Prior to September 28, 1995 and January 31, 1996, the Fund issued class B shares and class C shares. At the time of each of their conversion to class A shares each class represented less than 1% of the Fund's net assets.
Class D Shares: Per Share Operating Performance (for a share outstanding throughout the year) Net asset value, beginning of year ....... $ 12.93 $ 13.20 Income from investment operations: Net investment income ........... 0.58 0.19 Net realized and unrealized gain (loss) on investments ...... (0.08) (0.27) Total from investment operations ......... (0.50) (0.08) Less dividends from: Net investment income ........... (0.58) (0.19) Change in net asset value ................ (0.08) (0.27) Net asset value, end of year .............. $ 12.85 $ 12.93 Total return (b) ................. 4.00% (0.61)% Ratios/Supplemental Data Ratios to average net assets: Net investment income ............. 4.55% 4.20%(c) Expenses, after expense reductions . 1.25% 1.27%(c) Expenses, before expense reductions 2.73% 3.70%(c) Portfolio turnover rate ..................... 30.23% 15.93% Net assets at end of year (000) ............$ 2,151 $ 1,122 (a) Sales of Class D shares commenced on June 1, 1999. (b) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year. (c) Annualized.
Thornburg New Mexico Intermediate Municipal Fund September 30, 2000 CUSIPS: Class A - 885-215-301; NASDAQ Symbol: Class A - THNMX 3,000,000 Alamogordo Hospital Revenue, 5.30% due 1/1/2013 (Asset Guaranty) NR/AA $2,935,230 628,000 Albuquerque Collateralized Mortgage Municipal Class B-2, 0% due Aaa/AAA 295,392 5/15/2011 50,000 Albuquerque Gross Receipt Tax Revenue, 6.20% due 7/1/2005 A1/AA 52,193 525,000 Albuquerque Gross Receipts Prerefunded Adjustment Adjusted Series Aaa/AAA 483,635 B, 0% due7/1/2002 625,000 Albuquerque Gross Receipts Prerefunded Adjustment Adjusted Series Aaa/AAA 548,719 B, 0% due7/1/2003 840,000 Albuquerque Gross Receipts Prerefunded Adjustment Adjusted Series Aaa/AAA 667,884 B, 0% due7/1/2005 820,000 Albuquerque Gross Receipts Prerefunded Adjustment Adjusted Series Aaa/AAA 453,444 B, 0% due7/1/2012 755,000 Albuquerque Gross Receipts Unrefunded Balance Adjustment Adjusted Aaa/AAA 695,272 Series B, 0%due 7/1/2002 895,000 Albuquerque Gross Receipts Unrefunded Balance Adjustment Adjusted Aaa/AAA 785,130 Series B, 0%due 7/1/2003 1,195,000 Albuquerque Gross Receipts Unrefunded Balance Adjustment Adjusted Aaa/AAA 948,388 Series B, 0%due 7/1/2005 1,180,000 Albuquerque Gross Receipts Unrefunded Balance Adjustment Adjusted Aaa/AAA 624,987 Series B, 0%due 7/1/2012 2,500,000 Albuquerque Hospital Revenue Series A, 6.10% due 8/1/2002 Aaa/AAA 2,566,550 (Insured: MBIA) 820,000 Albuquerque Hospital Revenue Series A, 6.375% due 5/15/2004 Aaa/AAA 846,035 pre-refunded 5/15/01@ 102 (St. Joseph Healthcare Systems Project) 3,760,000 Albuquerque Hospital Revenue Series A, 6.375% due 8/1/2007 Aaa/AAA 3,940,518 (Insured: MBIA) 300,000 Albuquerque Hospital Revenue Series A, 6.625% due 5/15/2010 Aaa/AAA 309,984 pre-refunded 5/15/01@ 102 (St. Joseph Healthcare Systems Project) 1,040,000 Albuquerque Hospital Revenue Series B, 6.20% due 8/1/2002 Aaa/AAA 1,045,502 (Insured: MBIA) 1,380,000 Albuquerque Hospital Revenue Unrefunded Balance Series B, 6.60% Aaa/AAA 1,388,942 due 8/1/2007(Insured: MBIA) 1,860,000 Albuquerque Industrial Development Revenue, 5.80% due 6/1/2007 A1/NR 1,870,397 (UniversalPrinting & Publishing Project; LOC: First Security Bank) 1,600,000 Albuquerque Joint Water & Sewage Revenue Series A, 0% due 7/1/2008 Aaa/AAA 1,085,952 760,000 Albuquerque Municipal School District Number 012, 5.10% due Aa2/AA 747,141 8/1/2014 305,000 Albuquerque Revenue Refunding Bonds Series 1993, 5.10% due Aaa/AAA 307,946 6/1/2002 (EvangelicalLutheran Good Samaritan Society Project; Insured: FSA) 170,000 Albuquerque Revenue Refunding Bonds Series 1993, 5.20% due Aaa/AAA 172,783 6/1/2003 (EvangelicalLutheran Good Samaritan Society Project; Insured: FSA) 505,000 Albuquerque Special Assessment District Series A, 6.45% due NR/BBB+ 505,182 1/1/2015 (CottonwoodMall Project; LOC: Sumitomo Bank) 600,000 Albuquerque Water & Sewer Revenue, 6.25% due 7/1/2008 Aa3/AA 628,686 290,000 Albuquerque Water & Sewer Revenue Series 1990-C, 7.00% due Aa3/AA 296,360 7/1/2005 partiallypre-refunded 7/1/00 @ 102 585,000 Belen Gasoline Tax Revenue Refunding & Improvement, 5.40% due NR/NR 571,902 1/1/2011 400,000 Bernalillo County General Obligation, 7.00% due 2/1/2006 Aa1/AA+ 443,360 410,000 Bernalillo County General Obligation, 7.00% due 2/1/2007 Aa1/AA+ 460,426 495,000 Bernalillo County Gross Receipts Tax Revenue, 5.50% due 10/1/2011 Aa3/AA 511,320 2,000,000 Bernalillo County Gross Receipts Tax Revenue, 5.75% due 10/1/2015 Aa3/AA 2,052,260 2,300,000 Bernalillo County Multi Family Housing Revenue Series 1988, 5.80% NR/AA 2,334,914 due 11/1/2025put 11/1/06 (Sunchase Apartments Project; Insured: AXA Reinsurance Co.) 4,500,000 Bernalillo County Multi Family Housing Revenue Series 1994-A, NR/AA 4,598,865 6.50% due10/1/2019 put 10/1/05 (Village Apartments Project; Insured: AXA Reinsurance Co.) 495,000 Cibola County Gross Receipts Tax Revenue, 5.875% due 11/1/2008 Aaa/AAA 528,591 (Insured: AMBAC) 555,000 Cibola County Gross Receipts Tax Revenue, 6.00% due 11/1/2010 Aaa/AAA 599,899 (Insured: AMBAC) 1,000,000 Dona Ana County Gross Receipts Tax, 6.00% due 6/1/2014 (Insured: NR/AA 1,052,200 Asset Guaranty) 1,500,000 Dona Ana County Gross Receipts Tax Refunding and Improvement NR/AA 1,573,650 Series 1993, 5.875%due 6/1/2009 (Insured: Asset Guaranty) 1,300,000 Farmington Pollution Control Revenue, 5.50% due 5/1/2024 (put P1/A1+ 1,300,000 10/1/00) (dailydemand notes) 4,650,000 Farmington Pollution Control Revenue, 5.50% due 9/1/2024 put P1/A1+ 4,650,000 10/1/00 (LOC:Barclays Bank) (daily demand notes) 775,000 Gallup Pollution Control Revenue Refunding, 6.20% due 8/15/2003 Aaa/AAA 805,054 (Plains ElectricGeneration Project; Insured: MBIA) 2,770,000 Gallup Pollution Control Revenue Refunding, 6.65% due 8/15/2017 Aaa/AAA 2,868,917 (Plains ElectricGeneration Project; Insured MBIA) (when issued) 1,500,000 Gallup Pollution Control Revenue Refunding Series 1992, 6.45% due Aaa/AAA 1,569,060 8/15/2006(Insured: MBIA) (when issued) 1,385,000 Grant County Hospital Facility Revenue, 5.50% due 8/1/2010 (Gila NR/AA 1,416,329 RegionalMedical Center Project) 1,310,000 Grant County Hospital Facility Revenue, 5.50% due 8/1/2009 (Gila NR/AA 1,341,846 RegionalMedical Center Project) 300,000 Hidalgo County Municipal School District of Lordsburg, 6.875% due NR/NR 303,966 7/1/2001 315,000 Hidalgo County Municipal School District of Lordsburg, 6.875% due NR/NR 323,310 7/1/2002 380,000 Las Cruces Gross Receipt Tax Revenue Series 1995, 6.00% due A3/NR 383,435 6/1/2001 (SouthCentral Solid Waste Authority Project) 625,000 Las Cruces Gross Receipts Refunding Revenue, 5.85% due 12/1/2001 A/A 634,519 1,500,000 Las Cruces Gross Receipts Refunding Revenue Series 1992, 6.25% due A/A 1,555,560 12/1/2005 420,000 Las Cruces Joint Utility Refunding and Improvement Revenue, 6.50% A1/NR 441,542 due 7/1/2007 780,000 Las Cruces Joint Utility Refunding and Improvement Revenue, 6.50% A1/NR 819,866 due 7/1/2007 1,160,000 Las Cruces Municipal Sales Tax Revenue Series 1991, 6.50% due A/NR 1,175,718 12/1/2006 1,000,000 Las Cruces School District 002, 5.50% due 8/1/2010 Aa3/NR 1,043,280 155,000 Lordsburg Gross Receipts and Lodgers Tax Revenue, 8.625% due NR/NR 157,365 12/1/2002 2,150,000 Lordsburg Pollution Control Revenue, 6.50% due 4/1/2013 (Phelps A2/BBB 2,203,793 Dodge Project) 1,300,000 Los Alamos County Incorporated Utility Series A, 5.80% due Aaa/AAA 1,368,601 7/1/2006 (Insured:FSA) 715,000 Los Alamos County Incorporated Utility Systems Revenue Series A, Aaa/AAA 752,137 6.00% due7/1/2015 (Insured: FSA) 3,445,000 Los Alamos County Utility System Revenue Refunding Series A, 6.00% Aaa/AAA 3,634,337 due 7/1/2008(Insured: FSA) 350,000 Milan General Obligation Sanitary Sewer Series 1994, 7.00% due NR/NR 368,403 9/1/2013 420,000 New Mexico Educational Assistance Foundation Revenue, 6.05% due Aaa/NR 420,953 12/1/2000 975,000 New Mexico Educational Assistance Foundation Revenue, 6.20% due Aaa/NR 991,692 12/1/2001 600,000 New Mexico Educational Assistance Foundation Revenue, 5.50% due A/NR 606,576 11/1/2003 640,000 New Mexico Educational Assistance Foundation Revenue, 6.45% due Aaa/NR 666,317 12/1/2004 525,000 New Mexico Educational Assistance Foundation Revenue, 6.85% due A/NR 536,393 12/1/2005 1,705,000 New Mexico Educational Assistance Foundation Revenue, 6.65% due Aaa/NR 1,775,195 3/1/2007 15,000 New Mexico Educational Assistance Foundation Student Loan Revenue, Aa/NR 15,217 5.40% due8/1/2004 2,870,000 New Mexico Educational Assistance Student Loan, 6.70% due 4/1/2002 Aaa/AAA 2,942,927 (Insured:AMBAC) 1,400,000 New Mexico Educational Assistance Student Loan, 6.50% due 3/1/2004 Aaa/NR 1,444,730 745,000 New Mexico Educational Assistance Student Loan Series 2-B, 5.75% A/NR 756,801 due 12/1/2008 825,000 New Mexico Equipment Loan Council Hospital Revenue, 7.50% due A3/NR 856,977 6/1/2002pre-refunded 6/1/01 (San Juan Regional Medical Center Project) 1,490,000 New Mexico Equipment Loan Council Hospital Revenue, 7.80% due A3/NR 1,550,673 6/1/2005pre-refunded 6/1/01 (San Juan Regional Medical Center Project) 575,000 New Mexico Equipment Loan Council Hospital Revenue, 7.80% due A3/NR 598,414 6/1/2006pre-refunded 6/1/01 (San Juan Regional Medical Center Project) 2,030,000 New Mexico Equipment Loan Council Hospital Revenue, 6.40% due Baa2/A- 2,084,140 6/1/2009 (MemorialMedical Center Project) 225,000 New Mexico Equipment Loan Council Hospital Revenue, 7.90% due A3/NR 234,308 6/1/2011pre-refunded 6/1/01 (San Juan Regional Medical Center Project) 1,010,000 New Mexico Finance Authority Revenue Series C, 5.15% due 6/1/2012 Aaa/AAA 1,010,061 (Insured:MBIA) 320,000 New Mexico Finance Authority Revenue Series C, 5.25% due 6/1/2013 Aaa/AAA 319,974 (Insured:MBIA) 320,000 New Mexico Finance Authority Revenue Series C, 5.35% due 6/1/2014 Aaa/AAA 320,592 (Insured:MBIA) 355,000 New Mexico Finance Authority Revenue Series C, 5.45% due 6/1/2015 Aaa/AAA 356,335 (Insured:MBIA) 5,000,000 New Mexico Highway Commission Tax Senior Subordinated Lien, 6.00% Aa2/AA+ 5,356,450 due 6/15/2011 780,000 New Mexico Hospital Equipment Loan, 5.60% due 6/1/2002 (Memorial Baa2/A- 781,903 Medical CenterProject) 575,000 New Mexico Hospital Equipment Loan, 5.70% due 6/1/2003 (Memorial Baa2/A- 577,628 Medical CenterProject) 1,140,000 New Mexico Hospital Equipment Loan, 5.20% due 12/1/2010 (Catholic Aa3/AA- 1,135,463 HealthInitiatives Project) 2,000,000 New Mexico Hospital Equipment Loan, 5.375% due 6/1/2018 (Memorial Baa2/NR 1,634,620 Medical CenterProject) 1,000,000 New Mexico MFA Forward Mortgage Series C, 6.50% due 7/1/2025 NR/AAA 1,040,180 775,000 New Mexico MFA General, 5.80% due 9/1/2019 NR/A+ 773,016 935,000 New Mexico MFA MFMR Series 1991-C, 6.75% due 7/1/2011 NR/AAA 936,739 (Collateralized: FNMA) 2,030,000 New Mexico MFA MFMR Series 1991-C, 6.75% due 7/1/2011 NR/AAA 2,033,776 (Collateralized: FNMA) 540,000 New Mexico MFA Series B, 6.65% due 7/1/2015 NR/AAA 541,793 350,000 New Mexico MFA SFMR, 5.70% due 9/1/2014 NR/AAA 350,031 990,000 New Mexico MFA SFMR, 5.75% due 3/1/2017 NR/AAA 987,862 1,490,000 New Mexico MFA SFMR, 0% due 9/1/2019 NR/AAA 856,452 1,620,000 New Mexico MFA SFMR Series C 2, 6.05% due 9/1/2021 NR/AAA 1,641,805 50,000 New Mexico MFA SFMR Series 1992 A-1, 6.30% due 1/1/2002 Aaa/AAA 50,571 715,000 New Mexico MFA SFMR Series 1992 A-1, 6.90% due 7/1/2008 NR/AAA 727,770 510,000 New Mexico MFA SFMR Series 1992-1, 6.85% due 7/1/2010 Aaa/AA 514,865 116,773 New Mexico MFA SFMR Series A, 0% due 7/1/2015 Aaa/AA 25,867 160,000 New Mexico MFA SFMR Series A-2, 6.20% due 1/1/2001 Aaa/AAA 160,301 545,000 New Mexico MFA SFMR Series A-3, 6.15% due 9/1/2017 NR/AAA 559,263 125,000 New Mexico MFA SFMR Series B-2, 5.80% due 1/1/2009 NR/AAA 123,377 1,000,000 New Mexico MFA SFMR Series B3, 5.80% due 9/1/2016 NR/AAA 1,005,550 1,975,000 New Mexico MFA SFMR Series D 2, 5.875% due 9/1/2021 NR/AAA 1,965,480 170,000 New Mexico MFA SFMR Series H, 5.45% due 1/1/2006 (Collateralized: NR/AAA 173,908 FNMA/GNMA) 175,000 New Mexico MFA SFMR Series H, 5.45% due 7/1/2006 (Collateralized: NR/AAA 179,358 FNMA/GNMA) 100,000 New Mexico MFA SFMR Series PG-B-2, 5.80% due 7/1/2009 NR/AAA 99,516 335,000 New Mexico State University Revenues, 5.85% due 4/1/2001 A1/AA 337,352 40,000 New Mexico Student Loan Revenue, 5.55% due 12/1/2001 A/NR 40,146 750,000 Puerto Rico Public Improvement General Obligation, 6.60% due NR/AAA 790,687 7/1/2004pre-refunded 7/1/02 @ 101.5 500,000 Rio Rancho Water and Wastewater System, 8.00% due 5/15/2002 Aaa/AAA 526,810 (Insured: FSA) 1,000,000 Rio Rancho Water and Wastewater System, 6.50% due 5/15/2006 Aaa/AAA 1,087,010 (Insured: FSA) 175,000 Ruidoso Gross Receipts Tax Revenue Refunding, 5.00% due 8/15/2003 NR/NR 175,735 1,000,000 San Juan Gross Receipts Gas Tax Refunding Revenue Series B, 7.00% A1/NR 1,095,470 due 9/15/2009pre-refunded 9/15/04 @ 101 115,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, Baa1/NR 122,546 7.00% due11/1/2007 pre-refunded 11/1/02 125,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, Baa1/NR 133,202 7.00% due11/1/2008 pre-refunded 11/1/02 135,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, Baa1/NR 143,859 7.00% due11/1/2009 pre-refunded 11/1/02 145,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, Baa1/NR 154,515 7.00% due11/1/2010 pre-refunded 11/1/02 400,000 Sandoval County Landfill Revenue, 5.70% due 7/15/2013 NR/NR 391,512 1,950,000 Santa Fe County, 7.25% due 7/1/2029 (Rancho Viejo Improvement NR/NR 1,984,632 District Project) 340,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 351,509 Series 1990,9.00% due 7/1/2001 356,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 375,391 Series 1990,9.00% due 1/1/2002 372,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 399,974 Series 1990,9.00% due 7/1/2002 406,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 452,357 Series 1990,9.00% due 7/1/2003 443,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 509,805 Series 1990,9.00% due 7/1/2004 626,000 Santa Fe County Office and Training Facilities Project Revenue Aaa/NR 786,726 Series 1990,9.00% due 1/1/2008 326,000 Santa Fe County Office and Training Facilities Revenue Series Aaa/NR 329,720 1990, 9.00% due1/1/2001 (ETM) 1,000,000 Santa Fe County Project Revenue Series A, 5.50% due 5/15/2015 (El NR/NR 849,220 CastilloRetirement Project) 200,000 Santa Fe Educational Facilities Revenue, 5.00% due 3/1/2007 (St. NR/BBB- 193,278 Johns CollegeProject) (ETM) 210,000 Santa Fe Educational Facilities Revenue, 5.10% due 3/1/2008 (St. NR/BBB- 202,696 Johns CollegeProject) (ETM) 1,215,000 Santa Fe Educational Facilities Revenue, 5.40% due 3/1/2017 (St. NR/BBB- 1,106,817 Johns CollegeProject) (ETM) 160,000 Santa Fe Housing Development Corporation Multi Family Revenue A/NR 161,149 Refunding Series1993-A, 5.50% due 2/1/2004 (Villa Camino Consuelo Project) 1,900,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2002 Aaa/AAA 1,748,798 (Insured: FGIC) 1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2003 Aaa/AAA 1,701,194 (Insured: FGIC) 1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2004 Aaa/AAA 1,591,963 (Insured: FGIC) 1,895,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2005 Aaa/AAA 1,445,260 (Insured: FGIC) 500,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2006 Aaa/AAA 355,395 (Insured: FGIC) 1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2011 Aaa/AAA 964,584 (Insured: FGIC) 2,500,000 Santa Fe Industrial Revenue Housing Refunding, 7.25% due 12/1/2005 NR/NR 2,629,500 (Ponce deLeon Project; Guaranteed: Health Care REIT) 370,000 Santa Fe Refuse Disposal Systems Improvement Net Revenue Series A3/NR 377,352 1996-B, 5.50%due 6/1/2004 325,000 Santa Fe Refuse Disposal Systems Revenue, 5.50% due 6/1/2003 A3/NR 330,375 200,000 Santa Fe Revenue Capital Appreciation Improvement, 0% due 7/1/2009 Aaa/AAA 114,738 (Insured:FGIC) 445,000 Santa Fe SFMR, 5.25% due 11/1/2005 (Collateralized: FNMA/GNMA) Aaa/NR 450,523 240,000 Santa Fe SFMR, 5.60% due 11/1/2010 (Collateralized: FNMA/GNMA) Aaa/NR 244,610 325,000 Santa Fe SFMR, 6.10% due 11/1/2011 Aaa/NR 337,574 385,000 Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) Aaa/NR 388,380 186,516 Santa Fe SFMR Series 1991, 8.45% due 12/1/2011 (Insured: FGIC) Aaa/NR 193,255 745,000 Santa Fe Solid Waste Management Agency Facility Revenue, 5.75% due NR/NR 764,228 6/1/2004 760,000 Santa Fe Solid Waste Management Agency Facility Revenue, 5.90% due NR/NR 786,205 6/1/2005 775,000 Santa Fe Solid Waste Management Agency Facility Revenue, 6.00% due NR/NR 807,759 6/1/2006 875,000 Santa Fe Solid Waste Management Facilities Revenue, 6.10% due NR/NR 917,840 6/1/2007 150,000 Santa Fe Utility Revenue Refunding Series A, 8.00% due 6/1/2004 Aaa/AAA 166,716 (Insured: AMBAC) 1,500,000 Santa Fe Utility Revenue Refunding Series A, 8.00% due 6/1/2007 Aaa/AAA 1,772,070 (Insured: AMBAC) 195,000 Santa Rosa Consolidated School District 8 Guadalupe & San Miguel Baa3/NR 195,316 Counties GOSeries 1991, 7.00% due 8/1/2003 210,000 Santa Rosa Consolidated School District 8 Guadalupe & San Miguel Baa3/NR 210,340 Counties GOSeries 1991, 7.00% due 8/1/2004 285,000 Socorro Health Facility Refunding Revenue, 6.00% due 5/1/2008 Aaa/AAA 300,655 (EvangelicalLutheran Good Samaritan Project; Insured: AMBAC) 585,000 Taos County Local Hospital Gross Receipts Tax Revenue Series 1992, NR/AA 589,803 6.125% due12/1/2001 (Insured: Asset Guaranty) 1,000,000 U.S. Virgin Islands Public Finance Authority Revenue Refunding NR/AAA 1,028,400 Series A, 6.90%due 10/1/2001 330,000 U.S. Virgin Islands Public Finance Authority Series 1992-A, 7.00% NR/AAA 347,269 due 10/1/2002 795,000 U.S. Virgin Islands Special Tax General Obligation Series 1991, NR/NR 829,113 7.75% due10/1/2006 pre-refunded 10/01/01 @ 102 (Hugo Insurance Claims Fund Project) 2,485,000 U.S. Virgin Islands Water & Power Authority Series A, 7.40% due NR/NR 2,565,141 7/1/2011pre-refunded 7/01/01 600,000 University of New Mexico University Revenues Series A, 6.00% due A1/AA 630,564 6/1/2021 1,105,000 Villa Hermosa Multi Family Housing Revenue, 5.85% due NR/AAA 1,098,072 11/20/2016(Collateralized: GNMA) 1,385,000 Western New Mexico University System Revenue Series 1995, 7.75% Baa2/NR 1,532,641 due 6/15/2019pre-refunded 6/15/04 TOTAL INVESTMENTS (Cost $147,383,026) $ 149,886,247 + Credit ratings are unaudited. See notes to financial statements.
REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Trustees and Shareholders of Thornburg Investment Trust In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New Mexico Intermediate Municipal Fund series of Thornburg Investment Trust (the "Fund") at September 30, 2000, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. The financial highlights for each of the three years in the period ended September 30, 1998 were audited by other independent accountants whose report dated October 23, 1998 expressed an unqualified opinion on those financial statements. PricewaterhouseCoopers LLP New York, New York October 27, 2000 Index Comparisons Thornburg New Mexico Intermediate Municipal Fund Index Comparison Compares performance of the Intermediate New Mexico Fund, the Merrill Lynch Municipal Bond (7-12 year) Index and the Consumer Price Index, June 18, 1991 to September 30, 2000. On September 30, 2000, the weighted average securities ratings of the Index and the Fund were AA and AA, respectively, and the weighted average portfolio maturities of the Index and the Fund were 9.5 years and 7.0 years, respectively. Past performance of the Index and the Fund may not be indicative of future performance. Class A Average Annual Total Returns (at max. offering price) (periods ended 9.30.00) One Year: .............................. 2.30% Five Years: ........................... 3.99% From Inception (6/18/91): .............. 5.52% Class D Average Annual Total Returns (at max. offering price) (periods ended 9.30.00) One Year: .............................. 4.00% From Inception (6/1/99): ............... 2.52% Investment Manager Thornburg Investment Management, Inc. 119 East Marcy Street Santa Fe, New Mexico 87501 800.847.0200 Principal Underwriter Thornburg Securities Corporation 119 East Marcy Street Santa Fe, New Mexico 87501 800.847.0200 -----END PRIVACY-ENHANCED MESSAGE-----