Thornburg New Mexico Intermediate Municipal Fund
Fund facts. . . as of 3/31/99
Thornburg New Mexico Intermediate Municipal Fund A Shares
SEC Yield 3.19%
Taxable Equiv. Yields 5.77%
NAV $13.32
Max. Offering Price $13.80
Total returns. . . as of 3/31/99
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 4.56%
Five Year 5.63%
Since Inception 6.44%
Inception Date (6/18/91)
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
3.50%. 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.
<PAGE>
Dear Shareholder,
What a difference six months makes! Last autumn the world's leading economists
and investment strategist predicted that the Russian financial
crisis, coming on the heels of the Asian financial crisis, would send the world
economy into a tailspin. Yields on 30-year U.S. government bonds dropped below
4.75% for the first time in 4 decades. Bond buyers at that time no doubt
expected an economic slowdown that would be severe and long lasting. The gloomy
experts were wrong. The U.S. economy delivered its strongest economic growth in
a generation during the October 1 to April 1 period. Asian economies are
gathering momentum, as are many other developing economies around the world. As
we write this letter, the experts are trying to decide if better economic growth
worldwide will pave the way for more inflation and higher interest rates. As
they examine their crystal balls, interest rates are rising. As is often the
case, the municipal bond market is reacting slowly to the changing scene.
Whatever happens, we believe your laddered maturity municipal bond portfolio is
well structured to adapt to changing circumstances and benefit from higher
yields, if they should become available. On March 31, 1998 the net asset value
per share of Thornburg New Mexico Intermediate Municipal Fund was $13.35. The
price increased to $13.45 on September 30 (at the time of the economic slowdown
panic), before settling at $13.32 on March 31, 1999, the conclusion of the first
half of your fund's fiscal 1999. If you were with us for the entire last six
months, you received dividends of 30.4 cents per share. If you reinvested your
dividends you received 30.7 cents per share. Your Thornburg New Mexico
Intermediate Municipal Fund portfolio currently holds 182 municipal obligations
from New Mexico borrowers and borrowers in U.S. Territories. Approximately 87%
of the bonds are rated A or better by one of the major rating agencies. As you
know, we "ladder" the maturities of the bonds in your portfolio so that some
bonds are scheduled to mature at par during each of the coming years. Today,
your fund's weighted average maturity is approximately 6.8 years, and we always
keep it below 10 years. Percentages of the portfolio maturing in the coming
years are summarized below:
% of portfolio Cumulative %
maturing within maturing by end of
2 years =13% year 2 = 13%
2 to 4 years = 19% year 4 = 32%
4 to 6 years = 18% year 6 = 50%
6 to 8 years = 19% year 8 = 69%
8 to 10 years = 10% year 10 = 78%
10 to 12 years = 6% year 12 = 85%
12 to 14 years = 5% year 14 = 90%
14 to 16 years = 5% year 16 = 95%
16 to 18 years = 4% year 18 = 99%
Over 18 years = 1%
Over the six months your average portfolio maturity has held steady. The passage
of time shortened the maturities of the bonds we owned on October 1. We directed
portfolio cash flow and new money into the middle of your bond ladder, taking
advantage of the plentiful supply and good selection of new municipal bonds
coming to market late last year. Today, we are managing the portfolio to keep
the average maturity approximately where it is. We will stick with this approach
if interest rates remain stable or decrease. If bond yields increase, we will
extend the average portfolio maturity. This would permit us to increase our
dividend yields if higher yields are available. Any observer must be impressed
by the fundamental strength of the broad U.S. economy, as well as that of New
Mexico. More people than ever before are working. Wages are firm. But tax
receipts are beginning to slow down, and government spending is accelerating. If
the current strength of the U.S. economy persists, we expect long maturity
interest rates to increase in 1999. The supply of municipal bonds will continue
to be plentiful. No politician gets elected as a budget cutter these days. Over
the years, our practice of laddering a diversified portfolio of short and
intermediate maturity bonds has allowed your fund to consistently perform well
in varying interest rate environments. Your fund has earned Morningstar's 4 star
overall rating* for risk adjusted performance. We would like to attribute this
to capable execution of a sensible investment strategy over time. Thank you for
investing in Thornburg New Mexico Intermediate Municipal Fund.
Sincerely,
Brian J. McMahon George T. Strickland
Portfolio Manager Portfolio Manager
<PAGE>
ASSETS
Investments at value (cost $152,746,246) $ 159,962,100
Cash 97,753
Interest receivable 2,546,050
Receivable for fund shares sold 154,134
Prepaid expenses and other assets 1,571
Total Assets 162,761,608
LIABILITIES
Payable for securities purchased 2,853,092
Payable for fund shares redeemed 66,091
Accounts payable and accrued expenses 139,704
Payable to investment advisor (Note 3) 82,862
Dividends payable 234,853
Total Liabilities 3,376,602
NET ASSETS $ 159,385,006
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($159,385,006
applicable to 11,961,989 shares of beneficial interest
outstanding - Note 4) $ 13.32
Maximum sales charge, 3.50 % of offering
price (3.63% of net asset value per share) 0.48
Maximum Offering Price Per Share $ 13.80
See notes to financial statements.
<PAGE>
INVESTMENT INCOME:
Interest income (net of premium amortized
of $211,936) $ 4,343,082
EXPENSES:
Investment advisory fees (Note 3) 391,264
Administration fees (Note 3) 97,816
Service fees (Note 3) 185,179
Transfer agent fees 38,654
Custodian fees 50,955
Registration and filing fees 310
Professional fees 7,824
Accounting fees 7,387
Trustee fees 590
Other expenses 8,235
Total Expenses 788,214
Less:
Expenses reimbursed by investment advisor (Note 3) (10,381)
Net Expenses 777,833
Net Investment Income 3,565,249
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS (Note 5)
Net realized (loss) on investments sold (32,423)
Increase (decrease) in unrealized appreciation of investme (1,426,218)
Net Realized and Unrealized
Gain (Loss) on Investments (1,458,641)
Net Increase in Net Assets Resulting
From Operations 2,106,608
See notes to financial statements.
<PAGE>
Six Months Ended Year Ended
Mar-31, 1999 Sept-30, 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 3,565,249 $ 6,988,422
Net realized (loss) on investments sold (32,423) (39,034)
Increase (decrease) in unrealized appreciation
of investments (1,426,218) 1,951,956
Net Increase in Assets Resulting
from Operations 2,106,608 8,901,344
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (3,565,250) (6,988,422)
FUND SHARE TRANSACTIONS (Note 4):
Class A Shares 7,725,491 5,355,054
Net Increase in Net Assets 6,266,849 7,267,976
NET ASSETS:
Beginning of period 153,118,157 145,850,181
End of period $ 159,385,006 $ 153,118,157
See notes to financial statements.
<PAGE>
Note 1 - Organization
Thornburg New Mexico Intermediate Municipal Fund (the "Fund"), is a 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
classes 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. 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 one
class of shares of beneficial interest, Class A shares. On January 31, 1996, all
existing Class C shares were converted at net asset value, without the
imposition of a deferred sales charge, into Class A shares of an equivalent
value. The Fund no longer offers Class B or Class C shares.
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 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
six months ended March 31, 1999 represent exempt interest dividends which are
excludable by shareholders from gross income for Federal income tax purposes.
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 Management Company, 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 six months ended March
31, 1999, 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 six months ended March 31, 1999,
the Adviser voluntarily reimbursed certain operating expenses amounting to
$10,381. The Fund has an underwriting agreement with Thornburg Securities
Corporation (the "Distributor"), which acts as the Distributor of Fund shares.
For the six months ended March 31, 1999, the Distributor earned commissions
aggregating $22,476 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. 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.
<PAGE>
Note 4 - Shares of Beneficial Interest
At March 31, 1999 there were an unlimited number of shares of beneficial
interest authorized, and capital paid-in aggregated $152,950,985. Transactions
in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended March 31,1999 Year Ended September 30,1998
Class A Shares Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Shares sold 1,166,911 $ 15,634,894 2,157,467 $ 28,797,690
Shares issued to shareholders in
reinvestment of distributions 159,646 2,138,156 316,508 4,224,103
Shares repurchased (750,156) (10,047,559) (2,073,534) (27,666,739)
Net Increase 576,401 $ 7,725,491 400,441 $ 5,355,054
</TABLE>
Note 5 - Securities Transactions
For the six months ended March 31, 1999, the Fund had purchase and sale
transactions (excluding short-term securities) of $15,653,616 and $8,280,382
respectively. The cost of investments for Federal Income tax purposes is
$152,746,246. At March 31, 1999, net unrealized appreciation of investments was
$7,215,834 resulting from $7,294,314 gross unrealized appreciation and $78,480
gross unrealized depreciation. Accumulated net realized losses from securities
transactions included in net assets at March 31, 1999 aggregated $749,410. For
Federal income tax purposes, the Fund has realized capital loss carryforwards of
$688,815 from prior fiscal years available to offset future realized capital
gains. To the extent that such carryforwards are used, no capital gains
distributions will be made. The carryforwards expire as follows: September 30,
2003 - $126,738, September 30, 2004 - $554,899, and September 30, 2006 - $7,178.
<PAGE>
<TABLE>
<CAPTION>
Six Months Ended Year Ended September 30,
March 31, 1999 1998 1997 1996 1995 1994
Class A Shares:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 13.45 $ 13.28 $ 13.09 $ 13.12 $ 12.72 $ 13.36
Income from investment operations:
Net investment income 0.30 0.62 0.64 0.63 0.60 0.60
Net realized and unrealized
gain (loss) on investments (0.13) 0.17 0.19 (0.03) 0.40 (0.63)
Total from investment operations 0.17 0.79 0.83 0.60 1.00 (0.03)
Less dividends from:
Net investment income (0.30) (0.62) (0.64) (0.63) (0.60) (0.60)
Realized capital gains 0.00 0.00 0.00 0.00 0.00 (0.01)
Change in net asset value (0.13) 0.17 0.19 (0.03) 0.40 (0.64)
Net asset value, end of period $ 13.32 $ 13.45 $ 13.28 $ 13.09 $ 13.12 $ 12.72
Total return (a) 1.31% 6.08% 6.51% 4.68% 8.10% (0.26)%
Ratios/Supplemental Data
Ratios to average net asset:
Net investment income 4.56% (b) 4.64% 4.88% 4.81% 4.71% 4.58%
Expenses, after expense reductions 0.99% (b) 1.00% 1.00% 1.00% 1.00% 0.90%
Expenses, before expense reductions 1.01% (b) 1.02% 1.05% 1.07% 1.06% 1.04%
Portfolio turnover rate 5.31% 13.74% 10.06% 10.88% 17.06% 6.87%
Net assets at end of period (000) $ 159,385 $ 153,118 $ 145,850 $ 131,307 $ 136,742 $ 143,910
<FN>
(a) Sales loads are not reflected in computing total return.
(b) Annualized.
Note: From September 1, 1994 to September 28, 1995 the Fund issued class B
shares, which at the time of their conversion to class A shares on September 28,
1995 represented less than 1% of the Fund's net assets.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg New Mexico Intermediate Municipal Fund March 31, 1999
CUSIPS: Class A - 885-215-301;
NASDAQ Symbol: Class A - THNMX
Principal Credit Rating*
Amount Issuer-Description Moody's/S&P Value
<S> <C> <C> <C>
3,000,000 Alamogordo Hospital Revenue, 5.30% due 1/1/2013 (Gerald Champion NR/A- $ 3,051,840
MemorialHospital Project)
876,000 Albuquerque Collateralized Mortgage, Municipal Class B-2, 0% due 5/15/2011 Aaa/AAA 380,972
1,000,000 Albuquerque Gross Receipt Tax Revenue, 5.375% due 7/1/2001 (Bluewater NR/AA+ 1,003,220
ApartmentProject)
50,000 Albuquerque Gross Receipt Tax Revenue, 6.20% due 7/1/2005 A1/AA 54,325
525,000 Albuquerque Gross Receipts, Prerefunded Adjustment Adjusted Series B, 0% Aaa/AAA 462,404
due7/1/2002
755,000 Albuquerque Gross Receipts, Unrefunded Balance Adjustment Adjusted Series Aaa/AAA 665,404
B, 0%due 7/1/2002
625,000 Albuquerque Gross Receipts, Prerefunded Adjustment Adjusted Series B, 0% Aaa/AAA 527,519
due7/1/2003
895,000 Albuquerque Gross Receipts, Unrefunded Balance Adjustment Adjusted Series Aaa/AAA 755,246
B, 0%due 7/1/2003
840,000 Albuquerque Gross Receipts, Prerefunded Adjustment Adjusted Series B, 0% Aaa/AAA 645,842
due7/1/2005
1,195,000 Albuquerque Gross Receipts, Unrefunded Balance Adjustment Adjusted Series Aaa/AAA 918,788
B, 0%due 7/1/2005
820,000 Albuquerque Gross Receipts, Prerefunded Adjustment Adjusted Series B, 0% Aaa/AAA 446,826
due7/1/2012
1,180,000 Albuquerque Gross Receipts, Unrefunded Balance Adjustment Adjusted Series Aaa/AAA 620,515
B, 0%due 7/1/2012
1,585,000 Albuquerque Gross Receipts Tax Revenue, Refunding Series E, 5.00% due A1/AA 1,575,189
7/1/2018
2,000,000 Albuquerque Hospital Revenue Series A, 5.60% due 8/1/1999 (Insured: MBIA) Aaa/AAA 2,015,740
335,000 Albuquerque Hospital Revenue Series A, 5.80% due 8/1/2000 Aaa/AAA 345,264
(PresbyterianHealthcare Project; Insured: MBIA)
2,500,000 Albuquerque Hospital Revenue Series A, 6.10% due 8/1/2002 (Insured: MBIA) Aaa/AAA 2,670,675
1,000,000 Albuquerque Hospital Revenue Series A, 6.375% due 5/15/2004 pre-refunded Aaa/AAA 1,075,560
5/15/01@ 102 (St. Joseph Healthcare Systems Project)
300,000 Albuquerque Hospital Revenue Series A, 6.625% due 5/15/2010 pre-refunded Aaa/AAA 324,186
5/15/01@ 102 (St. Joseph Healthcare Systems Project)
1,040,000 Albuquerque Hospital Revenue Series B, 6.20% due 8/1/2002 (Insured: MBIA) Aaa/AAA 1,047,738
1,775,000 Albuquerque Hospital Revenue Series B, 6.60% due 8/1/2007 (Insured: MBIA) Aaa/AAA 1,794,347
2,235,000 Albuquerque Industrial Development Revenue, 5.80% due 6/1/2007 A1/NR 2,335,933
(UniversalPrinting & Publishing Project; LOC: First Security Bank))
1,195,000 Albuquerque MFHR Series 1991, 8.50% due 7/1/2021 put 7/1/0 (Beach NR/NR 1,221,063
ApartmentProject)
2,875,000 Albuquerque MFHR Series 1994, 6.75% due 1/1/2024 put 1/1/04 (Dorado NR/NR 2,894,406
VillageProject)
290,000 Albuquerque Revenue Refunding Bonds Series 1993, 5.00% due 6/1/2001 Aaa/AAA 298,700
(EvangelicalLutheran Good Samaritan Society Project; Insured: FSA)
305,000 Albuquerque Revenue Refunding Bonds Series 1993, 5.10% due 6/1/2002 Aaa/AAA 317,447
(EvangelicalLutheran Good Samaritan Society Project; Insured: FSA)
170,000 Albuquerque Revenue Refunding Bonds Series 1993, 5.20% due 6/1/2003 Aaa/AAA 178,949
(EvangelicalLutheran Good Samaritan Society Project; Insured: FSA)
380,000 Albuquerque Special Assessment District 219 Series B, 5.75% due 7/1/2002 NR/BBB+ 380,673
(Waterand Sewer Improvement Project; LOC: Sumitomo Bank)
630,000 Albuquerque Special Assessment District Series A, 6.45% due 1/1/2015 NR/BBB+ 634,278
(CottonwoodMall Project; LOC: Sumitomo Bank)
1,500,000 Albuquerque Water & Sewer Revenue, 7.00% due 7/1/2003 Aa3/AA 1,592,085
600,000 Albuquerque Water & Sewer Revenue, 6.25% due 7/1/2008 Aa3/AA 656,088
1,750,000 Albuquerque Water & Sewer Revenue Series 1990-C, 7.00% due 7/1/2005 Aa3/AA 1,859,672
partiallypre-refunded 7/1/00 @ 102
1,000,000 Albuquerque Water & Sewer System Revenue Refunding Series B, 6.95% due Aa3/AA 1,060,790
7/1/2002
585,000 Belen Gasoline Tax Revenue Refunding & Improvement, 5.40% due 1/1/2011 NR/NR 594,571
685,000 Bernalillo County, 6.50% due 8/1/2004 Aa1/AA+ 769,618
2,300,000 Bernalillo County Multi Family Housing Revenue Series 1988, 5.80% due NR/AA- 2,421,394
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, 6.50% NR/AA- 4,748,220
due10/1/2019 put 10/1/05 (Village Apartments Project; Insured: AXA
Reinsurance Co.)
1,000,000 Bernalillo County Multifamily Revenue, 5.15% due 10/1/2018 (Housing Aaa/AAA 995,130
DesertWillow Apartments Project; Insured: FSA)
500,000 Bloomfield Gross Reciepts Tax Revenue Series 1992-B, 6.50% due 8/1/2007 Baa/NR 512,650
415,000 Cibola County Gross Receipts Tax Revenue, 5.70% due 11/1/2007 (Insured: Aaa/AAA 456,629
AMBAC)
495,000 Cibola County Gross Receipts Tax Revenue, 5.875% due 11/1/2008 (Insured: Aaa/AAA 550,544
AMBAC)
555,000 Cibola County Gross Receipts Tax Revenue, 6.00% due 11/1/2010 (Insured: Aaa/AAA 625,207
AMBAC)
1,000,000 Dona Ana County Gross Receipts Tax, 6.00% due 6/1/2014 (Insured: Asset NR/AA 1,097,010
Guaranty)
1,500,000 Dona Ana County Gross Receipts Tax Refunding and Improvement Series 1993, NR/AA 1,638,360
5.875%due 6/1/2009 (Insured: Asset Guaranty)
330,000 Dona Ana County Subordinated Gross Receipts Tax Revenue, 6.125% due NR/NR 336,316
6/1/2003
260,000 Dona Ana County Subordinated Gross Receipts Tax Revenue, 6.25% due NR/NR 265,062
6/1/2004
1,600,000 Farmington Pollution Control Revenue, 3.15% due 9/1/2024 put 4/01/99 P1/A1+ 1,600,000
(LOC:Barclays Bank) (daily demand note)
750,000 Farmington Utility Systems Refunding Revenue, 5.20% due 5/15/2000 Aaa/AAA 765,818
(Insured:FGIC)
775,000 Gallup Pollution Control Revenue Refunding, 6.20% due 8/15/2003 (Plains Aaa/AAA 839,038
ElectricGeneration Project; Insured: MBIA)
800,000 Gallup Pollution Control Revenue Refunding, 6.65% due 8/15/2017 (Plains Aaa/AAA 853,984
ElectricGeneration Project; Insured MBIA)
1,500,000 Gallup Pollution Control Revenue Refunding Series 1992, 6.45% due Aaa/AAA 1,620,720
8/15/2006(Insured: MBIA)
500,000 Gallup Sales Tax Revenue Sinking Fund Bonds Series 1992-A, 6.75% due Aaa/AAA 510,300
6/1/2006(Insured: MBIA)
1,000,000 Guam Limited Obligation Highway Series 1992-A, 5.50% due 5/1/1999 Aaa/AAA 1,002,000
(Insured: FSA)
280,000 Hidalgo County Municipal School District of Lordsburg, 6.875% due 7/1/2000 NR/NR 289,593
300,000 Hidalgo County Municipal School District of Lordsburg, 6.875% due 7/1/2001 NR/NR 316,503
315,000 Hidalgo County Municipal School District of Lordsburg, 6.875% due 7/1/2002 NR/NR 338,341
380,000 Las Cruces Gross Receipt Tax Revenue Series 1995, 6.00% due 6/1/2001 A/NR 397,149
(SouthCentral Solid Waste Authority Project)
1,175,000 Las Cruces Gross Receipts Refunding Revenue, 5.45% due 12/1/1999 A/A 1,192,202
625,000 Las Cruces Gross Receipts Refunding Revenue, 5.85% due 12/1/2001 A/A 658,494
1,500,000 Las Cruces Gross Receipts Refunding Revenue Series 1992, 6.25% due A/A 1,620,510
12/1/2005
420,000 Las Cruces Joint Utility Refunding and Improvement Revenue, 6.50% due A1/NR 461,765
7/1/2007
780,000 Las Cruces Joint Utility Refunding and Improvement Revenue, 6.50% due A1/NR 857,313
7/1/2007
1,160,000 Las Cruces Municipal Sales Tax Revenue Series 1991, 6.50% due 12/1/2006 A/NR 1,218,800
195,000 Lordsburg Gross Receipts and Lodgers Tax Revenue, 8.625% due 12/1/2002 NR/NR 198,247
1,150,000 Lordsburg Pollution Control Revenue, 6.50% due 4/1/2013 (Phelps Dodge A2/A- 1,257,019
Project)
445,000 Los Alamos County Incorporated Revenue, Refunding Series A 4, 5.00% Aaa/AAA 456,512
due1/1/2010 (Lutheran Health Systems Project)
465,000 Los Alamos County Incorporated Revenue, Refunding Series A 4, 5.00% due Aaa/AAA 473,096
1/1/2011(Lutheran Health Systems Project)
350,000 Los Alamos County Incorporated Utility Series A, 5.80% due 7/1/2006 Aaa/AAA 382,610
(Insured:FSA)
1,000,000 Los Alamos County Incorporated Utility Systems Revenue, Series A, 5.70% Aaa/AAA 1,087,930
due7/1/2005 (Insured: FSA)
3,445,000 Los Alamos County Utility System Revenue RefundingSeries A, 6.00% due Aaa/AAA 3,750,365
7/1/2008(Insured: FSA)
350,000 Milan General Obligation Sanitary Sewer Series 1994, 7.00% due 9/1/2013 NR/NR 384,752
430,000 New Mexico Educational Assistance Foundation Revenue, 6.05% due 12/1/2000 Aaa/NR 446,142
140,000 New Mexico Educational Assistance Foundation Revenue, 5.20% due 12/1/2001 Aaa/NR 144,929
1,000,000 New Mexico Educational Assistance Foundation Revenue, 6.20% due 12/1/2001 Aaa/NR 1,054,310
670,000 New Mexico Educational Assistance Foundation Revenue, 5.50% due 11/1/2003 A/NR 705,376
655,000 New Mexico Educational Assistance Foundation Revenue, 6.45% due 12/1/2004 Aaa/NR 708,461
675,000 New Mexico Educational Assistance Foundation Revenue, 6.85% due 12/1/2005 A/NR 710,235
1,995,000 New Mexico Educational Assistance Foundation Revenue, 6.65% due 3/1/2007 Aaa/NR 2,096,147
20,000 New Mexico Educational Assistance Foundation Student Loan Revenue, 5.40% Aa/NR 20,971
due8/1/2004
2,870,000 New Mexico Educational Assistance Student Loan, 6.70% due 4/1/2002 Aaa/AAA 3,060,941
(Insured:AMBAC)
2,435,000 New Mexico Educational Assistance Student Loan, 5.00% due 12/1/2002 Aaa/NR 2,513,797
1,600,000 New Mexico Educational Assistance Student Loan, 6.50% due 3/1/2004 Aaa/NR 1,694,816
140,000 New Mexico Educational Assistance Student Loan Foundation Revenue Series Aaa/AAA 143,984
A,6.55% due 4/1/2000 (Insured: AMBAC)
610,000 New Mexico Educational Assistance Student Loan Series 2-B, 5.75% due A/NR 615,289
12/1/2008
1,195,000 New Mexico Equipment Loan Council Hospital Revenue, 7.50% due A3/NR 1,310,174
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 1,642,829
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 633,978
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 6/1/2009 Baa1/A- 2,251,128
(MemorialMedical Center Project)
225,000 New Mexico Equipment Loan Council Hospital Revenue, 7.90% due A3/NR 248,542
6/1/2011pre-refunded 6/1/01 (San Juan Regional Medical Center Project)
700,000 New Mexico Finance Authority Revenue, 4.85% due 6/1/2004 (Insured: FSA) Aaa/AAA 729,813
170,000 New Mexico Finance Authority Revenue, Public Project Revolving Fund Series Aaa/AAA 177,356
A,5.00% due 6/1/2008
835,000 New Mexico Finance Authority Series A, 5.90% due 6/1/2004 (Insured: Aaa/AAA 911,110
AMBAC)(Unrefunded Balance Public Project)
500,000 New Mexico Highway Commission Tax Revenue, 5.125% due 6/15/2010 Aa2/AA+ 521,390
780,000 New Mexico Hospital Equipment Loan, 5.60% due 6/1/2002 (Memorial Medical Baa1/A- 813,563
CenterProject)
575,000 New Mexico Hospital Equipment Loan, 5.70% due 6/1/2003 (Memorial Medical Baa1/A- 606,269
CenterProject)
235,000 New Mexico Hospital Equipment Loan, 5.00% due 12/1/2008 (Catholic Aa2/AA 243,368
HealthInitiatives Project)
1,140,000 New Mexico Hospital Equipment Loan, 5.20% due 12/1/2010 (Catholic Aa2/AA 1,185,372
HealthInitiatives Project)
2,000,000 New Mexico Hospital Equipment Loan, 5.375% due 6/1/2018 (Memorial Medical Baa1/NR 1,942,780
CenterProject)
1,050,000 New Mexico MFA MFHR Revenue, 5.20% due 1/1/2019 (Insured: FSA) Aaa/AAA 1,038,418
950,000 New Mexico MFA MFMR Series 1991-C, 6.75% due 7/1/2011 (Collateralized: NR/AAA 952,052
FNMA)
1,365,000 New Mexico MFA MFMR Series 1991-C, 6.75% due 7/1/2011 (Collateralized: NR/AAA 1,367,948
FNMA)
1,000,000 New Mexico MFA SFMR, 5.40% due 7/1/2018 NR/AAA 1,014,580
335,000 New Mexico MFA SFMR Series 1992 A-1, 6.30% due 1/1/2002 Aa1/AA 348,052
900,000 New Mexico MFA SFMR Series 1992 A-1, 6.90% due 7/1/2008 NR/AAA 953,442
2,680,000 New Mexico MFA SFMR Series 1992-1, 6.85% due 7/1/2010 Aa1/AA 2,790,121
729,831 New Mexico MFA SFMR Series A, 0% due 7/1/2015 Aa/AA 138,785
330,000 New Mexico MFA SFMR Series A-1, 6.05% due 1/1/2000 Aa1/AA 333,812
305,000 New Mexico MFA SFMR Series A-1, 6.05% due 7/1/2000 Aa1/AA 310,822
200,000 New Mexico MFA SFMR Series A-2, 6.20% due 1/1/2001 Aa1/AA 204,574
1,000,000 New Mexico MFA SFMR Series A-3, 5.25% due 7/1/2017 NR/AAA 1,015,520
125,000 New Mexico MFA SFMR Series B-2, 5.80% due 1/1/2009 NR/AAA 129,700
55,000 New Mexico MFA SFMR Series C, 7.80% due 7/1/1999 (Insured: FGIC) Aaa/AAA 55,254
360,000 New Mexico MFA SFMR Series F-2, 5.60% due 7/1/2017 (Collateralized: FNMA) NR/AAA 371,297
130,000 New Mexico MFA SFMR Series G-2, 4.85% due 1/1/2007 NR/AAA 130,993
210,000 New Mexico MFA SFMR Series G-2, 4.875% due 7/1/2008 NR/AAA 211,697
170,000 New Mexico MFA SFMR Series H, 5.45% due 1/1/2006 (Collateralized: NR/AAA 177,368
FNMA/GNMA)
175,000 New Mexico MFA SFMR Series H, 5.45% due 7/1/2006 (Collateralized: NR/AAA 183,059
FNMA/GNMA)
100,000 New Mexico MFA SFMR Series PG-B-2, 5.80% due 7/1/2009 NR/AAA 105,036
390,000 New Mexico State University Revenues, 5.85% due 4/1/1999 A1/AA 390,000
380,000 New Mexico State University Revenues, 5.85% due 4/1/2000 A1/AA 389,492
335,000 New Mexico State University Revenues, 5.85% due 4/1/2001 A1/AA 349,090
300,000 New Mexico State University Revenues, 5.40% due 4/1/2011 A1/AA 311,454
55,000 New Mexico Student Loan Revenue, 5.55% due 12/1/2001 A/NR 56,599
2,000,000 Puerto Rico Building Authority Revenue, 6.10% due 7/1/2000 Baa1/A 2,067,160
2,000,000 Puerto Rico Electric Power Authority Power Refunding Series F, 5.25% Aaa/AAA 2,143,920
due7/1/2010 (Insured: MBIA) (when issued)
1,500,000 Puerto Rico Electric Power Revenue Refunding Series 1992-Q, 5.70% due Baa1/BBB+ 1,542,870
7/1/2000
750,000 Puerto Rico Public Improvement General Obligation, 6.60% due NR/AAA 827,903
7/1/2004pre-refunded 7/1/02 @ 101.5
150,000 Rio Grande Natural Gas Association Natural Gas System Revenue, 5.00% Baa1/BBB+ 152,408
due7/1/2000
375,000 Rio Rancho Gross Receipts Tax Revenue Series 1995-A, 5.50% due Aaa/AAA 387,791
12/1/2000(Insured: FSA)
440,000 Rio Rancho Gross Receipts Tax Revenue Series 1995-A, 5.50% due Aaa/AAA 469,361
12/1/2003(Insured: FSA)
500,000 Rio Rancho Water and Wastewater System, 8.00% due 5/15/2002 (Insured: FSA) Aaa/AAA 560,305
1,000,000 Rio Rancho Water and Wastewater System, 6.50% due 5/15/2006 (Insured: FSA) Aaa/AAA 1,139,600
1,000,000 San Juan County Central Consolidated School District 22, 5.625% due Aaa/AAA 1,060,130
8/15/2002(Insured: FSA)
1,000,000 San Juan Gross Receipts Gas Tax Refunding Revenue Series B, 7.00% due A/NR 1,158,560
9/15/2009 pre-refunded 9/15/04 @ 101
115,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, 7.00% Baa1/NR 128,977
due11/1/2007
125,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, 7.00% Baa1/NR 140,193
due11/1/2008
135,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, 7.00% Baa1/NR 151,408
due11/1/2009
145,000 Sandoval County Gross Receipts Tax Refunding Revenue Series 1992, 7.00% Baa1/NR 162,623
due11/1/2010
400,000 Sandoval County Landfill Revenue, 5.70% due 7/15/2013 NR/NR 405,020
340,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 379,386
1990,9.00% due 7/1/2001
356,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 404,569
1990,9.00% due 1/1/2002
372,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 431,323
1990,9.00% due 7/1/2002
406,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 487,565
1990,9.00% due 7/1/2003
443,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 548,093
1990,9.00% due 7/1/2004
626,000 Santa Fe County Office and Training Facilities Project Revenue Series Aaa/NR 838,602
1990,9.00% due 1/1/2008
1,000,000 Santa Fe County Project Revenue Series A, 5.50% due 5/15/2015 (El NR/NR 985,230
CastilloRetirement Project)
170,000 Santa Fe Educational Facilities Revenue, 4.75% due 3/1/2004 (St. Johns NR/BBB- 170,882
CollegeProject) (ETM)
100,000 Santa Fe Educational Facilities Revenue, 4.85% due 3/1/2005 (St. Johns NR/BBB- 100,558
CollegeProject) (ETM)
190,000 Santa Fe Educational Facilities Revenue, 5.00% due 3/1/2006 (St. Johns NR/BBB- 191,762
CollegeProject) (ETM)
200,000 Santa Fe Educational Facilities Revenue, 5.00% due 3/1/2007 (St. Johns NR/BBB- 200,770
CollegeProject) (ETM)
210,000 Santa Fe Educational Facilities Revenue, 5.10% due 3/1/2008 (St. Johns NR/BBB- 210,886
CollegeProject) (ETM)
1,215,000 Santa Fe Educational Facilities Revenue, 5.40% due 3/1/2017 (ETM) NR/BBB- 1,206,677
2,105,000 Santa Fe Gross Receipts Tax Refunding & Improvement Series A, 6.00% due Aaa/AAA 2,305,796
6/1/2004(Insured: AMBAC)
1,150,000 Santa Fe Gross Receipts Tax Refunding & Improvement Series A, 5.50% due Aaa/AAA 1,245,323
6/1/2006(Insured: AMBAC)
225,000 Santa Fe Housing Development Corporation Multi Family Revenue Refunding A/NR 233,179
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 (Insured: Aaa/AAA 1,675,059
FGIC)
1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2003 (Insured: Aaa/AAA 1,632,516
FGIC)
1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2004 (Insured: Aaa/AAA 1,519,142
FGIC)
1,895,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2005 (Insured: Aaa/AAA 1,375,941
FGIC)
500,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2006 (Insured: Aaa/AAA 337,505
FGIC)
1,945,000 Santa Fe Improvement Revenue Series 1992-A, 0% due 7/1/2011 (Insured: Aaa/AAA 907,245
FGIC)
1,000,000 Santa Fe Industrial Revenue Housing Refunding, 7.25% due 12/1/2005 (Ponce NR/NR 1,053,180
deLeon Project; Guaranteed: Health Care REIT)
200,000 Santa Fe New Mexico Revenue, Capital Appreciation Improvement, 0% due Aaa/AAA 108,240
7/1/2009(Insured: FGIC)
370,000 Santa Fe Refuse Disposal Systems Improvement Net Revenue Series 1996-B, A3/NR 391,934
5.50%due 6/1/2004
325,000 Santa Fe Refuse Disposal Systems Revenue, 5.50% due 6/1/2003 A3/NR 342,118
460,000 Santa Fe SFMR, 5.25% due 11/1/2005 (Collateralized: FNMA/GNMA) Aaa/NR 469,467
250,000 Santa Fe SFMR, 5.60% due 11/1/2010 (Collateralized: FNMA/GNMA) Aaa/NR 261,300
335,000 Santa Fe SFMR, 6.10% due 11/1/2011 Aaa/NR 356,597
400,000 Santa Fe SFMR, 6.20% due 11/1/2016 (Collateralized: FNMA/GNMA) Aaa/NR 425,828
359,663 Santa Fe SFMR Series 1991, 8.45% due 12/1/2011 (Insured: FGIC) Aaa/NR 383,012
250,000 Santa Fe Solid Waste Management Agency Facility Revenue, 5.90% due NR/NR 270,015
6/1/2005
875,000 Santa Fe Solid Waste Management Facilities Revenue, 6.10% due 6/1/2007 NR/NR 962,824
1,710,000 Santa Fe Utility Revenue, Refunding Series A, 8.00% due 6/1/2006 Aaa/AAA 2,104,839
(Insured:AMBAC)
195,000 Santa Rosa Consolidated School District 8 Guadalupe & San Miguel Counties Baa3/NR 202,874
GOSeries 1991, 7.00% due 8/1/2003
210,000 Santa Rosa Consolidated School District 8 Guadalupe & San Miguel Counties Baa3/NR 218,480
GOSeries 1991, 7.00% due 8/1/2004
285,000 Socorro Health Facility Refunding Revenue, 6.00% due 5/1/2008 Aaa/AAA 313,694
(EvangelicalLutheran Good Samaritan Project; Insured: AMBAC)
1,150,000 Taos County Local Hospital Gross Receipts Tax Revenue Series 1992, 6.125% NR/AA 1,191,653
due12/1/2001 (Insured: Asset Guaranty)
245,000 Torrance County Environmental Revenue Series 1992, 6.875% due 6/1/2003 NR/NR 250,875
500,000 U.S. Virgin Islands Public Finance Authority, 7.70% due 10/1/2004 NR/AAA 521,145
pre-refunded10/01/99 @ 102
1,000,000 U.S. Virgin Islands Public Finance Authority Revenue Refunding Series A, NR/AAA 1,079,720
6.90%due 10/1/2001
330,000 U.S. Virgin Islands Public Finance Authority Series 1992-A, 7.00% due NR/AAA 365,673
10/1/2002
990,000 U.S. Virgin Islands Special Tax General Obligation Series 1991, 7.75% NR/NR 1,082,496
due10/1/2006 pre-refunded 10/01/01 @ 102 (Hugo Insurance Claims Fund
Project)
2,760,000 U.S. Virgin Islands Water & Power Authority Series A, 7.40% due NR/NR 3,002,576
7/1/2011pre-refunded 7/01/01
100,000 University of New Mexico Higher Educational Revenue, 7.50% due 6/1/2000 Aaa/AA 102,712
1,105,000 Villa Hermosa Multi Family Housing Revenue, 5.85% due NR/AAA 1,165,874
11/20/2016(Collateralized: GNMA)
1,385,000 Western New Mexico University System Revenue Series 1995, 7.75% due Baa2/NR 1,631,045
6/15/2019pre-refunded 6/15/04
TOTAL INVESTMENTS (Cost $ 152,746,246) $ 159,962,100
<FN>
See notes to financial statements.
* Credit ratings are unaudited
</FN>
</TABLE>
<PAGE>
Investment Manager
Thornburg Management Company, 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
