Thornburg Intermediate Municipal Fund
All data as of 9.30.99
Fund Facts
Thornburg Intermediate Municipal Fund
A Shares C Shares
SEC Yield ..................................... 4.03% 3.70%
Taxable Equivalent Yields ..................... 6.67% 6.13%
NAV ........................................... $ 13.00 $ 13.01
Max. Offering Price ........................... $ 13.27 $ 13.01
Total returns
(Annual Average - After Subtracting Maximum Sales Charge)
One Year (3.06)% (1.48)%
Five Year ............................... 5.05% 5.02%
Since Inception .......................... 6.09% 4.73%
Inception Date (7.23.1991) (9.1.1994)
Fund Facts
Thornburg Intermediate Municipal Fund I Shares
SEC Yield 4.42%
Taxable Equivalent Yields 7.32%
NAV $12.98
Max. Offering Price $12.98
Total returns
(Annual Average)
One Year (0.79)%
Three Year 4.49%
Since Inception 5.14%
Inception Date (7.5.1996)
Taxable equivalent yields assume a 39.6% maginal federal tax rate
The investment return and principal value of an investment in the funds 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 Funds Class A Shares is 2.00%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
Letter to shareholders
Dear Fellow Shareholder,
The fiscal year ending September 30, 1999 continued a period of change in the
bond market. After falling to their lowest levels in several years in October
1998, interest rates have risen steadily throughout 1999. The net asset value of
the A shares decreased 76 cents per share to $13.00 over the year. If you were
with us for the entire period, you received dividends of 62 cents per share. If
you reinvest your dividends, you received 63.2 cents per share. For the year
ended September 30, investors who owned C shares received dividends of 56.5 and
57.6 cents per share, respectively. Your fund is a managed bond portfolio. Its
performance over the last year is a total of all the stories of the individual
bonds in our portfolio plus a few that we traded during the period. One typical
story pertains to our investment in $1,880,000 of the Noblesville, Indiana High
School Building Corporation bonds due 1/5/2007. This is a AAA-rated, insured
bond from an A-rated school district. The graph on this page compares the price
change of Thornburg Intermediate Municipal Fund with the price change in the
Noblesville School bond. Note: This graph considers market price changes only,
not total return. On September 30, 1998 this bond was worth 111.46% of its $1.88
million maturity amount at a then market yield of 4.10%. On September 30, 1999
an increase in its market yield to 4.92% decreased the price of the bond to 105%
of its maturity value. In general, the price volatility of your fund was less
than that of the single Noblesville bond.
Nothing has happened in the last several years of fluctuating interest rates to
change the ultimate maturity value of this bond, or most of the other bonds you
own through your investment in this fund. What has changed? The interim market
prices of these bonds moved lower through most of 1999, with the shortest and
highest quality bonds performing best. If interest rates drop in the future, the
longest bonds in the portfolio will perform best. Your portfolio includes over
400 bonds from 48 states and 2 U.S. territories, 85% of which are rated A or
better by one of the major rating agencies. Your bond portfolio in Thornburg
Intermediate Municipal Fund is laddered to give a dollar weighted average
maturity of approximately 8.5 years. This is shorter than the 10 year maximum
average maturity for your fund. Percentages of the portfolio maturing in the
coming years are summarized below:
% of portfolio Cumulative %
maturing within maturing by end of
2 years = 6% year 2 = 6%
2 to 4 years = 11% year 4 = 17%
4 to 6 years = 15% year 6 = 32%
6 to 8 years = 17% year 8 = 49%
8 to 10 years = 12% year 10 = 61%
10 to 12 years = 12% year 12 = 73%
12 to 14 years = 13% year 14 = 86%
14 to 16 years = 7% year 16 = 93%
16 to 18 years = 5% year 18 = 98%
Over 18 years = 2%
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 Intermediate Municipal Fund.
Sincerely,
Brian J. McMahon George T. Strickland
Portfolio Manager Portfolio Manager
Percentages can and do vary.
*Morningstar proprietary rating reflects historical risk adjusted performances
as of 9/30/99. Ratings are subject to change every month. Funds with at least
three years of performance history are assigned ratings from one star (lowest)
to five stars (highest). Morningstar overall ratings are calculated from the
funds' three-, five-, and ten year average annual returns and a risk factor that
reflects fund performance relative to three month Treasury bill returns. 10% of
the funds in an investment category receive five stars and 22.5% receive four
stars. THIMX is ranked 4 stars for the 3 year period and 4 stars for the 5 year
period. At 9/30/99, there were 1,611 bond funds with 3-year ratings and 1,241
with 5-year ratings in Morningstar's Municipal National Intermediate category.
Past performance cannot guarantee future results.
Statement of assets and liabilities
ASSETS
Investments at value (cost $432,157,067) ............. $435,924,422
Cash ................................................. 613,874
Receivable for investments sold ...................... 9,873,482
Principal receivable ................................. 1,303,375
Receivable for fund shares sold ...................... 372,406
Interest receivable .................................. 6,526,394
Prepaid expenses and other assets .................... 39,336
Total Assets ................................ 454,653,289
LIABILITIES
Payable for investments purchased .................... 38,114,819
Payable for fund shares redeemed ..................... 388,821
Payable to investment advisor (Note 3) ............... 197,714
Accounts payable and accrued expenses ................ 268,572
Dividends payable .................................... 526,922
Total Liabilities ........................... 39,496,848
NET ASSETS ........................................... $415,156,441
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($363,907,874
applicable to 27,994,217 shares of beneficial interest
outstanding - Note 4) .................................. $ 13.00
Maximum sales charge, 2.00 % of offering price (2.04% of net asset value per
share) 0.27 Maximum Offering Price Per Share $ 13.27
Class C Shares:
Net asset value and offering price per share * ($32,476,770
applicable to 2,494,963 shares of beneficial interest
outstanding - Note 4) ................................ $ 13.02
Class I Shares:
Net asset value, offering and redemption price per share
($18,771,797 applicable to 1,446,106 shares of beneficial
interest outstanding - Note 4) ....................... $ 12.98
*Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge. See notes to financial statements.
Statement of operations INVESTMENT INCOME:
Interest income (net of premium amortized of $1,269,990) ....... $ 23,582,452
EXPENSES:
Investment advisory fees (Note 3) .............................. 2,111,379
Administration fees (Note 3)
Class A Shares ........................................ 467,570
Class C Shares ........................................ 32,866
Class I Shares ........................................ 10,964
Distribution and service fees (Note 3)
Class A Shares ........................................ 888,339
Class C Shares ........................................ 262,852
Transfer agent fees ............................................ 225,135
Custodian fees ................................................. 263,340
Registration and filing fees ................................... 73,659
Professional fees .............................................. 55,750
Accounting fees ................................................ 39,608
Director fees .................................................. 8,990
Other expenses ................................................. 34,240
Total Expenses ............................... 4,474,692
Less:
Expenses reimbursed by investment advisor (Note 3) .... (132,097)
Distribution and service fees waived (Note 3) ......... (105,097)
Net Expenses ................................. 4,237,498
Net Investment Income ........................ 19,344,954
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (Note 5)
Net realized gain (loss) on investments sold ................... (1,706,387)
Increase (decrease) in unrealized appreciation of investments .. (22,393,490)
Net Realized and Unrealized Gain (Loss)
on Investments ........ (24,099,877)
Net Increase (Decrease) in Net Assets
Resulting from Operations $ (4,754,923)
See notes to financial statements.
<TABLE>
<CAPTION>
Statements of changes in net assets INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
<S> <C> <C>
Net investment income ....................................... $ 19,344,954 $ 17,234,497
Net realized gain (loss) on investments sold ................ (1,706,387) (6,912)
Increase (decrease) in unrealized appreciation of investments (22,393,490) 8,357,549
Net Increase (Decrease) in Net Assets
Resulting from Operations ................. (4,754,923) 25,585,134
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares ..................................... (17,170,391) (15,657,563)
Class C Shares ..................................... (1,101,652) (651,834)
Class I Shares ..................................... (1,072,911) (925,101)
FUND SHARE TRANSACTIONS (Note 4):
Class A Shares ..................................... 17,006,019 51,262,140
Class C Shares ..................................... 13,257,999 9,184,520
Class I Shares ..................................... (427,657) 3,422,817
Net Increase in Net Assets ................ 5,736,484 72,220,113
NET ASSETS:
Beginning of year .................................. 409,419,957 337,199,844
End of year ........................................ $ 415,156,441 $ 409,419,957
See notes to financial statements ...........................
</TABLE>
Notes to financial statements
Note 1 - Organization
Thornburg Intermediate Municipal Fund (the "Fund"), is a 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
Fund, Thornburg New Mexico 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 taxes
as is consistent with the preservation of capital. The Fund currently offers
three classes of shares of beneficial interest, Class A, Class C and
Institutional Class (Class I) 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 C shares are
sold at net asset value without a sales charge at the time of purchase, but are
subject to a service fee and a distribution fee, (iii) Class I shares are sold
at net asset value without a sales charge at the time of purchase, and (iv) the
respective classes have different reinvestment privileges. Additionally, each
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,
administrative 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, 1999 represent
exempt interest dividends which are excludable by shareholders from gross income
for Federal income tax purposes. Net realized capital losses are caried forward
to offset realized capital gains in future years. To the extent such
carryforwards are used, no capital 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 its 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 at
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, 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 year ended September 30, 1999, the
Adviser voluntarily reimbursed certain operating expenses amounting to $132,097.
The Fund has an underwriting agreement with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of the Fund shares. For the
year ended September 30, 1999, the Distributor earned commissions aggregating
$55,228 from the sale of Class A shares and collected contingent deferred sales
charges aggregating $11,875 from redemptions of Class C shares of the Fund.
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 C shares under which the Fund compensates the
Distributor for services in promoting the sale of Class C shares of the Fund at
an annual rate of up to .75% of the average daily net assets attributable to
Class C 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, 1999, 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, 1999 there
were an unlimited number of shares of beneficial interest authorized, and
capital paid in aggregated $416,761,877. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Year Ended September 30, 1999 Year Ended September 30, 1998
<S> <C> <C> <C> <C>
Class A Shares .......................... Shares Amount Shares Amount
Shares sold ............................. 5,704,529 $ 77,034,692 7,385,323 $ 100,141,305
Shares issued to shareholders in
reinvestment of dividends ...... 819,140 11,025,834 720,408 9,776,852
Shares repurchased ...................... (5,288,828) (71,054,507) (4,320,609) (58,656,017)
Net Increase ............................ 1,234,841 $ 17,006,019 3,785,122 $ 51,262,140
Class C Shares
Shares sold ............................. 1,556,226 $ 20,958,010 856,554 $ 11,633,499
Shares issued to shareholders
in reinvestment of distributions 68,928 926,111 39,904 542,272
Shares repurchased ...................... (644,090) (8,626,122) (220,287) (2,991,251)
Net Increase ............................ 981,064 $ 13,257,999 676,171 $ 9,814,520
Class I Shares
Shares sold ............................. 578,942 $ 7,856,556 512,235 $ 6,945,507
Shares issued to shareholders in
reinvestment of dividends ...... 29,386 392,038 15,799 194,177
Shares repurchased ...................... (651,720) (8,676,251) (274,398) (3,716,867)
Net Increase ............................ (43,392) $(427,657) 253,636 $ 3,422,817
</TABLE>
Note 5 - Securities Transactions
For the year ended September 30, 1999, the Fund had purchase and sale
transactions (excluding short-term securities) of $130,934,363 and $103,612,208,
respectively. At September 30, 1999, net unrealized appreciation of investments
was $3,767,355 resulting from $11,010,372 gross unrealized appreciation and
$7,243,017 gross unrealized depreciation. Accumulated net realized losses from
securities transactions included in net assets at September 30, 1999 aggregated
$5,372,791. For Federal income tax purposes the Fund had deferred capital losses
occuring subsequent to October 31, 1998 of $1,700,000 and capital loss
carryforwards of $3,673,000. The carryforwards expire in varying amounts through
2007.
<TABLE>
<CAPTION>
Financial highlights
Year Ended September 30,
1999 1998 1997 1996 1995
Class A Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ...................... $ 13.76 $ 13.46 $ 13.23 $ 13.18 $ 12.73
Income from investment operations:
Net investment income .................... 0.62 0.63 0.66 0.68 0.68
Net realized and unrealized
gain (loss) on investments ............... (0.76) 0.30 0.23 0.05 0.45
Total from investment operations ......................... (0.14) 0.93 0.89 0.73 1.13
Less dividends from:
Net investment income .................... (0.62) (0.63) (0.66) (0.68) 0.68)
Change in net asset value ................................ (0.76) 0.30 0.23 0.05 0.45
Net asset value, end of year ........................... $ 13.00 $ 13.76 $ 13.46 $13.23 $ 13.18
Total return (a) ......................................... (1.09%) 7.08% 6.90% 5.64% 9.16%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income .................. 4.59% 4.65% 4.96% 5.12% 5.31%
Expenses, after expense reductions ..... 0.99% 1.00% 1.00% 1.00% 1.00%
Expenses, before expense reductions1.02% 1.04% 1.05% 1.09% 1.08%
Portfolio turnover rate .................................. 23.17% 16.29% 15.36% 12.64% 32.20%
Net assets at end of year (000) ................. $ 363,908 $ 368,108 $ 309,293 $ 246,128 $ 227,881
<FN>
(a) Sales loads are not reflected in computing total return which is not
annualized for periods less than one year. 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>
<TABLE>
<CAPTION>
Class C Shares:
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ................... $ 13.77 $ 13.48 $ 13.24 $ 13.20 $ 12.73
Income from investment operations:
Net investment income ....................... 0.56 0.58 0.61 0.63 0.60
Net realized and unrealized
gain (loss) on investments (0.75) ........... 0.29 0.24 0.04 0.47
Total from investment operations ..................... (0.19) 0.87 0.85 0.67 1.07
Less dividends from:
Net investment income ....................... (0.56) (0.58) (0.61) (0.63) (0.60)
Change in net asset value ............................ (0.75) 0.29 0.24 0.04 0.47
Net asset value, end of year ......................... $ 13.02 $ 13.77 $ 13.48 $ 13.24 $ 13.20
Total return (a) ..................................... (1.48)% 6.57% 6.55% 5.14% 8.60%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ................... 4.19% 4.23% 4.55% 4.73% 4.62%
Expenses, after expense reductions ...... 1.40% 1.40% 1.40% 1.40% 1.66%
Expenses, before expense reductions ..... 1.85% 1.93% 1.99% 1.97% 2.35%
Portfolio turnover rate .............................. 23.17% 16.29% 15.36% 12.64% 32.20%
Net assets at end of year (000) .................... $ 32,477 $ 20,852 $ 11,292 $ 7,586 $ 4,001
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Class I Shares:
<S> <C> <C> <C> <C>
Net asset value, beginning of year ................... $ 13.74 $ 13.44 $ 13.23 $ 13.00
Income from investment operations:
Net investment income ................... 0.66 0.67 0.70 0.17
Net realized and unrealized
gain (loss) on investments .............. (0.76) 0.30 0.21 0.23
Total from investment operations ..................... (0.10) 0.97 0.91 0.40
Less dividends from:
Net investment income ................... (0.66) (0.67) (0.70) (0.17)
Change in net asset value ............................ (0.76) 0.30 0.21 0.23
Net asset value, end of year ......................... $ 12.98 $ 13.74 $ 13.44 $ 13.23
Total return (a) ..................................... (0.79)% 7.41% 7.07% 3.11%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ................... 4.89% 4.95% 5.16% 5.49%(b)
Expenses, after expense reductions ...... 0.69% 0.69% 0.69% 0.70%(b)
Expenses, before expense reductions ..... 0.79% 0.79% 1.24% 6.10%(b)
Portfolio turnover rate .............................. 23.17% 16.29% 15.36% 12.64%
Net assets at end of year (000) ...................... $ 18,772 $ 20,461 $ 16,615 $ 689
</TABLE>
(a) Not annualized for periods less than one year.
(b) Annualized.
* Sales of Class I shares commenced on July 5, 1996.
</FN>
[/TABLE]
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Intermediate Municipal Fund
September 30, 1999 CUSIPS:Class A - 885-215-202, Class C - 885-215-780, Class I - 885-215-673
NASDAQ Symbols: Class A - THIMX, Class C - THMCX, Class I - THMIX
Alabama (2.20%)
<S> <C> <C> <C>
1,530,000 Alabama A & M University Housing & General Fee Revenue Aaa/AAA $1,640,084
Series 1992, 6.20%due 11/1/2005 (Living and Learning
Center Project; Insured: MBIA)
500,000 Alabama Docks Revenue, 6.00% due 10/1/2008 (Insured: Aaa/AAA 537,390
MBIA)
250,000 Alabama Municipal Electric Authority Power Supply System Aaa/AAA 263,080
Series 1991-A,6.50% due 9/1/2005 (Insured: MBIA)
920,000 Birmingham Airport Authority Revenue Refunding, 5.25% Aaa/AAA 939,026
due 7/1/2004 (whenissued)
965,000 Birmingham Airport Authority Revenue Refunding, 5.25% Aaa/AAA 981,202
due 7/1/2005 (whenissued)
1,635,000 Birmingham Airport Authority Revenue Refunding, 5.50% Aaa/AAA 1,581,209
due 7/1/2015 (whenissued)
215,000 Birmingham South Medical Clinic, 6.30% due 11/1/2003 NR/NR 221,194
1,600,000 Lauderdale County & Florence Health Group Series A, Aaa/AAA 1,627,200
5.75% due 7/1/2013
750,000 Montgomery County Revenue, 7.00% due 4/1/2007 (Human NR/NR 794,025
Resources Project)
920,000 Pell County Industrial Development Board Revenue Series NR/NR 922,502
1989-A, 7.75% due9/1/2004 (Shelby Creek Fabricators
Project; LOC: Southtrust Bank)
Alaska (1.30%)
1,000,000 Alaska Industrial Development & Export Authority Series A2/A- 1,022,230
1991-A, 7.30% due4/1/2006
500,000 Anchorage Refunding School, 6.00% due 10/1/2012 Aaa/AAA 531,135
845,000 Anchorage Electric Utility Revenue, 5.75% due 12/1/2005 Aaa/AAA 888,222
(Insured: MBIA)
1,500,000 North Slope Borough General Obligation Capital Aaa/AAA 1,356,315
Appreciation Series 1993-B,0% due 1/1/2002 (Insured:
MBIA)
1,660,000 Seward Revenue, 7.375% due 10/1/2007 (Alaska Sealife NR/NR 1,696,520
Center Project)
Arizona (1.20%)
2,710,000 Arizona Municipal Finance Program, 8.70% due 8/1/2005 Aaa/AAA 3,263,409
(ETM)
500,000 Maricopa County Unified School District 89, Dysart Aaa/AAA 463,830
School District GeneralObligation, 0% due 7/1/2001
(Insured: FGIC)
400,000 Tucson General Obligation Series D, 9.75% due 7/1/2012 NR/AA 561,356
500,000 Tucson General Obligation Series D, 9.75% due 7/1/2013 NR/AA 707,010
California (12.10%)
2,735,000 California Health Facilities Financing, 5.50% due NR/AA- 2,759,533
8/1/2011
500,000 California Health Facilities Financing Authority, 5.625% NR/A- 504,880
due 5/15/2008
675,000 California Housing Finance Authority Revenue Series Aa/AA- 692,314
1985-B, 9.875% due2/1/2017
580,000 California Infrastructure & Economic, 5.50% due NR/A 578,422
12/1/2011 (American CenterFor Wine Food Arts Project)
1,935,000 California Infrastructure & Economic, 5.65% due NR/A 1,898,545
12/1/2014 (American CenterFor Wine Food Arts Project)
1,700,000 California Pollution Control Solid Waste Authority, Aaa/NR 1,836,221
6.75% due 7/1/2011
1,000,000 California Statewide Community Development Authority NR/NR 1,065,920
Series 1996-A, 6.00%due 9/1/2005 (San Gabriel Medical
Center Project; Insured: CaliforniaHealth)
4,500,000 California Statewide Community Development Authority Aaa/AAA 4,765,500
Certificate ofParticipation, 5.50% due 10/1/2007
(Unihealth America Project; Insured:AMBAC)
3,340,000 California Statewide Community Development Authority NR/NR 3,582,050
Certificate ofParticipation, 5.90% due 4/1/2009
1,740,000 Escondido Joint Powers Financing Authority Lease Aaa/AAA 1,188,107
Revenue, 0% due 9/1/2007(Center for the Arts Project;
Insured: AMBAC)
8,095,000 Glendale Hospital Revenue Refunding Revenue, 7.75% due NR/A+ 9,321,554
1/1/2009 (VerdugoHills Project; Insured: Industrial
Indemnity)
500,000 Irwindale Community Redevelopment Agency, 6.60% due Baa3/NR 555,980
8/1/2018 , pre-refunded8/1/05
500,000 Los Angeles Water and Power, 9.00% due 9/1/2004 Aa3/AA 590,575
160,000 Orange County Refunding Recovery A, 5.20% due 6/1/2003 Aaa/AAA 165,875
(ETM)
190,000 Orange County Unrefunded Balance Refunding Recovery A, Aaa/AAA 197,108
5.20% due 6/1/2003(Insured: MBIA)
100,000 Orange County Local Transportation Authority Sales Tax Aa3/AA+ 102,259
Revenue, 5.50% due2/15/2001
1,190,000 Orange County Refunding Recovery, 6.50% due 6/1/2004 Aaa/AAA 1,303,811
(Insured: MBIA)
2,280,000 Orange County Refunding Recovery, 6.50% due 6/1/2005 Aaa/AAA 2,518,967
(Insured: MBIA)
2,850,000 Orange County Special Financing Authority Teeter Plan Aaa/A-1 2,937,125
Revenue Series E,6.35% due 11/1/2014 put 11/1/01 (LOC:
Industrial Bank of Japan)
1,500,000 Sacramento Municipal Utility District Electric Revenue, Aaa/AAA 1,605,000
7.32% (variablerate) due 11/15/2006 (Insured: FSA)
500,000 San Diego County Water Authority Revenue & Refunding Aaa/AAA 554,375
Series 1993-A, 7.325%(variable rate) due 4/25/2007
(Insured: FGIC)
1,925,000 San Diego Water Revenue Certificate of Participation, Aa3/AA- 2,030,663
6.25% due 5/1/2004
405,000 San Francisco Downtown Parking Corporation Series 1993, A3/NR 408,936
5.70% due 4/1/2000
425,000 San Francisco Downtown Parking Corporation Series 1993, A3/NR 434,924
5.85% due 4/1/2001
145,000 San Marcos Certificate of Participation Series C, 0% due NR/AAA 111,257
8/15/2005 (ETM)
740,000 San Marcos Certificate of Participation Series D, 0% due NR/AAA 566,589
9/2/2005 (ETM)
5,935,000 Santa Clara County Financing Authority Multiple Aaa/AAA 5,674,097
Facilities Series B, 5.25%due 5/15/2016 (when issued)
1,000,000 Southern California Public Power Transmission Project Aa/A 442,090
Revenue, 0% due7/1/2014
1,000,000 Stanton Multi Family Housing Revenue Bond Series 1997, NR/AAA 1,022,280
5.62% due 8/1/2029 put 8/1/09 (Continental Gardens
Project; Collateralized: FNMA)
700,000 Sulphur Springs School District General Obligation NR/A 736,820
Series B, 5.60% due3/1/2004
800,000 Sulphur Springs School District General Obligation NR/A 847,256
Series B, 5.70% due3/1/2005
450,000 Sunline Transit Agency Certificate of Participation A/NR 470,236
Series A, 5.625% due7/1/2004
215,000 Sunline Transit Agency Certificate of Participation A/NR 225,916
Series A, 5.75% due7/1/2005
Colorado (3.10%)
100,000 Arvada Company Industrial Development Revenue, 5.25% due NR/NR 97,149
12/1/2007 (WancoIncorporated Project; LOC: U.S. Bank,
N.A.)
450,000 Arvada Company Industrial Development Revenue, 5.60% due NR/NR 432,819
12/1/2012 (WancoIncorporated Project; LOC: U.S. Bank,
N.A.)
2,000,000 Central Platte Valley Metropolitan District Company, NR/A 1,908,100
5.15% due 12/1/2013
420,000 Colorado Student Loan Revenue Series 1992-B, 6.55% due A/NR 429,979
12/1/2002
1,500,000 Colorado Student Obligation Bond Student Loan Senior A2/NR 1,552,770
Subordinated Series B,6.20% due 12/1/2008
960,000 Colorado Student Obligation Bond Authority Student Loan A/NR 988,877
Revenue Series B,5.90% due 9/1/2002
2,000,000 Dawson Ridge Met District 1, 0% due 10/1/2022 Aaa/NR 424,800
1,000,000 Denver Company City County Excise Tax Refunding Series Aaa/AAA 1,007,550
A, 5.50% due9/1/2013
2,830,000 Larimer County General Obligation, 8.45% due 12/15/2005 A2/NR 3,378,765
(Poudre SchoolDistrict R1 Project)
2,500,000 Mesa Valley School District Certificate of Participation Aaa/AAA 2,652,025
Series B, 6.875%due 12/1/2005 (Insured: FSA)
235,000 Thornton County Single Family Mortgage Revenue Series A/NR 245,538
1992-A, 8.05% due8/1/2009
Connecticut (0.90%)
2,470,000 Bristol Resource Recovery Facility Operating Committee - A2/NR 2,519,351
Solid WasteRevenue Refunding Series 1995, 6.125% due
7/1/2003 (Ogden Martin at BristolProject)
90,000 New Britain Senior Citizen Housing Development Mortgage NR/AAA 92,769
Revenue RefundingSeries A, 6.50% due 7/1/2002 (Nathan
Hale Apartments Project; Insured: FHA)
500,000 Stratford General Obligation Series 1992, 7.15% due NR/NR 529,735
3/1/2003
500,000 Stratford General Obligation Series 1992, 7.20% due NR/NR 530,080
3/1/2004
Delaware (0.80%)
3,235,000 Delaware Transportation Authority System Revenue, 6.25% A1/AA 3,409,237
due 7/1/2004
District of (2.10%)
Columbia
3,000,000 District Columbia Refunding Series B, 6.00% due 6/1/2015 Aaa/AAA 3,120,630
1,000,000 District of Columbia Certificate of Participation Series NR/BBB- 1,053,330
1993, 7.30% due1/1/2013
80,000 District of Columbia HFA Mortgage Revenue Refunding, Aaa/AAA 80,722
6.00% due 7/1/2002(Insured: MBIA)
600,000 District of Columbia Hospital Revenue Refunding Aaa/AAA 597,462
Medlantic Healthcare GroupA, 5.375% due 8/15/2015
1,295,000 District of Columbia Hospital Revenue (Medlantic Aaa/AAA 1,372,596
Healthcare Group) Series1997-A, 6.00% due 8/15/2004
(Insured: MBIA)
1,000,000 District of Columbia Hospital Revenue (Medlantic Aaa/AAA 1,064,420
Healthcare Group) Series1997-A, 6.00% due 8/15/2005
(Insured: MBIA)
305,000 District of Columbia Housing Mortgage Revenue, 5.30% due NR/AAA 301,932
12/1/2009
75,000 District of Columbia Pre-refunded Series A, 5.75% due NR/NR 77,954
6/1/2003
325,000 District of Columbia Revenue, 0% due 2/15/2002 (Assoc. NR/AA- 289,971
of American MedicalColleges)
250,000 District of Columbia Revenue, 0% due 2/15/2004 (Assoc. NR/AA- 200,478
of American MedicalColleges)
925,000 District of Colunbia Un-refunded Balance Refunding A, Baa3/BBB 954,489
5.75% due 6/1/2003
Florida (4.20%)
1,190,000 Broward County Multi Family Housing, 5.40% due 10/1/2011 NR/NR 1,181,706
(Pembroke ParkApts Project; LOC: Florida Housing Finance
Corp.)
240,000 Dade County Educational Facilities Revenue, 7.65% due Aaa/AAA 249,454
4/1/2010 pre-refunded4/1/00 @ 102 (University of Miami
Project; Insured: MBIA)
1,000,000 Dade County General Obligation, 7.00% due 10/1/2006 Aaa/AAA 1,131,440
(Insured: AMBAC)
1,100,000 Duval County HFA Multi Family Housing Revenue Series NR/A 1,113,255
1996, 5.35% due9/1/2006 (St. Augustine Apartments
Project)
115,000 Duval County HFA Single Family Housing Revenue Series Aaa/NR 120,397
94, 6.10% due4/1/2006 (GNMA Guaranteed)
115,000 Duval County HFA Single Family Housing Revenue Series Aaa/NR 120,502
94, 6.10% due10/1/2006 (GNMA Guaranteed)
2,320,000 Enterprise Community Development District Assessment Aaa/AAA 2,449,966
Bonds, 6.00% due5/1/2010 (Insured: MBIA)
110,000 Florida Board of Education Cap Outlay, 9.125% due Aaa/AAA 146,583
6/1/2014
690,000 Florida Board of Education Cap Outlay, 9.125% due Aa2/AA+ 923,875
6/1/2014
1,460,000 Florida Board Of Education Capital Outlay Refunding Aa2/AA+ 1,451,225
Public Education SeriesD, 5.75% due 6/1/2018 (when
issued)
250,000 Florida Housing Finance Authority Multi Family Housing NR/AA- 251,183
Revenue, 5.10% due4/1/2013 put 4/1/02 (Park Colony
Project; LOC: Mellon Bank)
320,000 Jacksonville Health Facilities Authority IDR, 7.55% due Baa1/NR 350,182
12/1/2007 (NationalBenevolent Association Project)
100,000 Lee County Hospital Board Director's Revenue Series A, Aaa/AAA 102,250
5.70% due 4/1/2001(Lee Memorial Hospital Project;
Insured: MBIA)
2,515,000 Miami Dade County Special Obligation Subordinated Series Aaa/AAA 1,221,812
C, 0% due10/1/2012 (Insured: MBIA)
5,000,000 Miami Dade County Special Obligation Subordinated Series Aaa/AAA 2,266,750
1997-C, 0% due10/1/2013 (Insured: MBIA)
500,000 Orlando & Orange County Expressway Revenue, 8.25% due Aaa/AAA 643,285
7/1/2014 (Insured:FGIC)
150,000 Osceola County Health Facilities Revenue Series 1994, Aaa/AAA 157,305
5.75% due 5/1/2004(Evangelical Lutheran Good Samaritan
Project; Insured: AMBAC)
2,000,000 Pasco County Housing Finance Authority MFHR, 5.50% due NR/AA- 2,027,360
6/1/2027 put 6/1/08(Cypress Trail Apartments Project;
Guaranty: Axa Reinsurance)
650,000 Pensacola Apartment Revenue Series A, 6.25% due Aaa/AAA 698,347
10/1/2004
1,405,000 South Broward Hospital District Revenue, 7.50% due Aaa/AAA 1,563,414
5/1/2008 (Insured:AMBAC)
Georgia (1.00%)
1,800,000 George L Smith Georgia World Center Refunding, 6.00% due Aaa/AAA 1,869,858
7/1/2010 (whenissued)
2,000,000 George L Smith Georgia World Center Refunding, 5.75% due Aaa/AAA 1,976,960
7/1/2015 (whenissued)
250,000 Georgia Municipal Electric Authority Power Revenue A3/A 338,885
Series Y, 10.00% due1/1/2010
1,495,000 Richmond County Development Authority Revenue, 0% due Aaa/NR 325,237
12/1/2021
Hawaii (0.50%)
1,400,000 Hawaii Department Budget & Finance, 5.35% due 7/1/2018 NR/BBB+ 1,240,652
(Wilcox MemorialHospital Project)
970,000 Hawaii Housing Finance Development Corporation Series B, Aa1/AA 973,647
5.85% due 7/1/2017
Idaho (1.40%)
1,060,000 Boise City Industrial Development Corporation, 5.05% due A1/NR 1,029,387
12/15/2006(Western Trailer Company Project)
985,000 Boise City Industrial Development Corporation, 5.40% due A1/NR 953,992
12/15/2009(Western Trailer Company Project; LOC: First
Security)
750,000 Idaho Health Facilities Authority Hospital Revenue, NR/BBB 656,025
5.30% due 7/15/2018(Idaho Elks Rehabilitation Hospital
Project)
1,000,000 Idaho Housing & Finance Association Single Family Aaa/NR 973,520
Housing Revenue SeriesI-2, 5.65% due 7/1/2016
1,000,000 Idaho Housing & Finance Association Single Family Aaa/NR 978,800
Mortgage Revenue, 5.70%due 7/1/2016
430,000 Idaho Housing Agency Single Family Mortgage Revenue Aa1/AA 439,443
Series C, 7.875% due1/1/2021
955,000 Idaho Student Loan Series 1992-B, 6.00% due 4/1/2000 NR/NR 959,966
Illinois (8.60%)
1,930,000 Bedford Park Tax Increment Revenue Refunding Series NR/BBB- 2,222,163
1993, 8.00% due12/1/2010
300,000 Central Lake County Joint Action Water Agency Series Aaa/AAA 228,669
1991, 0% due 5/1/2005(Insured: MBIA)
800,000 Champaign County Community Unit Series C, 0% due Aaa/AAA 425,968
1/1/2011
2,285,000 Chicago Tax Increment Allocation Lincoln Belmont A, NR/A 2,129,666
5.30% due 1/1/2014
4,000,000 Cook County Community Collection Dist 508, 7.70% due Aaa/AAA 4,624,040
12/1/2005 (Insured:MBIA)
2,440,000 Cook County Community School District 97 Series B, 9.00% Aaa/NR 3,257,180
due 12/1/2012
655,000 Du Page County School District Capital Appreciation, 0% Aaa/NR 377,621
due 2/1/2010
2,300,000 Illinois Development Finance Authority Revenue Provena Aaa/AAA 2,305,336
Health Series A,5.50% due 5/15/2011
500,000 Illinois Development Financing Authority, 7.125% due NR/AA- 537,160
3/15/2007 (Children'sHome & Aid Society Project; LOC:
American National Bank of Chicago)
2,400,000 Illinois Development Financing Authority Debt NR/A 2,633,928
Restructuring Revenue Series1994, 7.25% due 11/15/2009
(East St. Louis Project)
320,000 Illinois Educational Facilities Authority Revenue, A1/NR 341,581
7.125% due 7/1/2011
230,000 Illinois Educational Facilities Authority Revenues Aaa/AAA 246,427
pre-refunded LoyolaUniversity A, 6.00% due 7/1/2011
770,000 Illinois Educational Facilities Authority Revenues Aaa/AAA 815,245
Unrefunded BalanceLoyola A, 6.00% due 7/1/2011
230,000 Illinois Educational Facilities Authority Revenues Aaa/AAA 245,205
pre-refunded LoyolaUniversity A, 6.00% due 7/1/2012
770,000 Illinois Educational Facilities Authority Revenues Aaa/AAA 811,388
Unrefunded BalanceLoyola A, 6.00% due 7/1/2012
1,500,000 Illinois Educational Facilities Authority Revenues NR/A 1,405,275
Midwestern University B,5.50% due 5/15/2018
1,000,000 Illinois Health Facilities Authority Revenue Series Baa2/BBB+ 1,032,060
1992, 7.00% due7/1/2002 (Trinity Medical Center Project)
103,000 Illinois Health Facilities Authority Revenue Series A, Aaa/AAA 117,549
7.60% due 8/15/2010(Insured: FSA)
693,000 Illinois Health Facilities Authority Revenue, 7.60% due Aaa/AAA 726,063
8/15/2010 (Insured:FSA)
1,250,000 Illinois Health Facilities Authority Revenue Healthcare Aa2/A 1,244,225
Systems, 6.25% due11/15/2019
500,000 Illinois Health Facilities Authority Revenue Refunding Baa2/BBB 525,785
Series 1992, 7.00%due 1/1/2007 (Mercy Hospital Project)
1,455,000 Illinois State Partners, 5.20% due 7/1/2012 Aaa/AAA 1,424,110
1,525,000 Illinois University Auxiliary Facilities System Revenue Aaa/AAA 1,398,105
Series 1992, 0% due10/1/2001 (Insured: MBIA)
1,000,000 Lake County Community Consolidated School District 73, Aaa/NR 1,217,800
9.00% due 1/1/2006(Insured: FSA)
710,000 McHenry County School District Woodstock General Aaa/AAA 780,865
Obligation, 6.80% due1/1/2006 (Insured: FSA)
210,000 Rock Island Residential Mortgage Revenue, 7.70% due Aa/NR 219,311
9/1/2008
800,000 Sangamon County Property Tax Lease Receipts, 7.45% due Aa/NR 913,744
11/15/2006
1,000,000 Southwestern Illinois Development Authority Medical Baa2/BBB+ 1,085,320
Facilities Series A,7.00% due 8/15/2012
500,000 Southwestern Illinois Development Authority Revenue Baa2/BBB+ 449,800
Anderson Hospital,5.375% due 8/15/2015
750,000 Springfield Electric Revenue, 6.50% due 3/1/2008 Aa3/A- 824,340
300,000 St. Clair County Series A, 5.30% due 10/1/2012 Aaa/AAA 293,118
1,715,000 Sterling Special Facilities Revenue, 6.00% due 9/1/2014 NA/NA 1,713,216
100,000 Will & Kendall Counties Community School District 202 Aaa/AAA 101,556
General Obligation,5.45% due 1/1/2005 (Insured: AMBAC)
Indiana (7.00%)
895,000 Allen County Economic Development First Mortgage Indiana NR/NR 873,439
Institute OfTechnology, 5.80% due 12/30/2012
540,000 Brownsburg Multi School Building Corp First Mortgage NR/A 676,075
Bonds, 9.90% due7/1/2005 (ETM)
390,000 Carmel Economic Development Revenue Refunding FHA Loan Aa/NR 402,445
Cool Creek, 5.875%due 9/1/2005
665,000 Danville Community Elementary School Building NR/NR 711,071
Corporation, 6.75% due1/15/2004
1,355,000 Delaware County Economic Development Income Tax Lease Aaa/NR 1,344,377
Rental RefundingSeries 1998, 5.25% due 12/1/2009
(Insured: MBIA)
2,500,000 Duneland Independent School Building Corporation Aaa/AAA 2,379,025
Refunding First Mortgage,5.125% due 8/1/2014
350,000 East Chicago Elementary School Building First Mortgage NR/A 372,277
Series A, 6.25% due7/5/2008
1,000,000 Gary Building Corporation - Lake County First Mortgage NR/NR 1,092,040
Series 1994-B, 8.25%due 7/1/2010 (Sears Building
Project)
255,000 Hamilton Heights Refunding Revenue, 6.60% due 1/1/2008 NR/A 273,258
2,600,000 Hamilton Southeastern North Delaware School Building, Aaa/AAA 2,816,086
6.25% due 7/15/2006
700,000 Indiana Bond Bank Special Program Series 1991-F, 7.00% NR/A+ 734,741
due 8/1/2007
3,857,500 Indiana Health Facility Hospital Revenue Hospital Aa/AA- 3,943,329
Revenue, 5.75% due9/1/2015
1,000,000 Indiana Health Facility Hospital Revenue Clarian Health Aa3/AA 959,300
PartnersIncorporated Series, 5.50% due 2/15/2016
885,000 Indiana Public School Building Corp First Mortgage, NR/AA 941,038
6.00% due 1/5/2007
910,000 Indiana Public School Building Corp First Mortgage, NR/AA 970,897
6.00% due 7/5/2007
1,065,000 Indiana State Educational Facilities Authority Revenue, NR/A- 1,035,308
5.65% due 10/1/2015(University Indianapolis Project)
1,025,000 Indiana State Educational Facilities Authority Revenue, NR/A- 995,695
5.70% due 10/1/2016(University Indianapolis Project)
2,000,000 Indianapolis In Economic Development Revenue Park Tudor Aa3/NR 1,972,140
FoundationIncorporated Project, 5.50% due 6/1/2014
740,000 Indianapolis Local Public Improvement Bond Bank, 0% due Aa2/AA- 442,187
7/1/2009
1,195,000 Lake Central Multi District School Building Mortgage NR/AAA 1,276,786
Revenue Series 1992-B,6.25% due 1/15/2004
1,880,000 Noblesville High School Building Corp First Mortgage Aaa/AAA 1,975,354
Bonds, 5.75% due1/5/2007 (Insured: AMBAC)
645,000 North Lawrence Multi School Building Corp Revenue, 6.30% NR/A 678,437
due 7/1/2003
1,000,000 Penn High School Building Corporation Series 1992, 6.00% NR/A 1,044,030
due 6/15/2003
1,375,000 Seymour Community High School Refunding First Mortgage, Aaa/AAA 1,413,569
5.50% due 7/5/2009
730,000 Warrick County Multi Family Housing Revenue, 5.00% due NR/NR 730,708
10/1/2029 put10/1/00 (Village Community Partners
Project)
Iowa (0.80%)
185,000 Council Bluffs General Obligation Capital Loan Notes NR/NR 187,277
Series B, 5.35% due6/1/2004
300,000 Hills Revenue Refunding Mercy Hospital Iowa City, 5.00% Aaa/AAA 279,756
due 8/15/2013
2,750,000 Iowa Department General Services Certificate of Aaa/AAA 2,908,428
Participation Series 1992,6.50% due 7/1/2006 (Insured:
AMBAC)
Kentucky (2.40%)
1,000,000 Erlanger Improvement Assessment, 7.375% due 8/1/2010 NR/NR 1,025,190
(Public Improvement1993 Project; LOC: PNC Bank of Ohio)
2,160,000 Fulton County Industrial Building Revenue Series 1995, NR/NR 1,836,000
7.20% due 2/1/2003(H.I.S. Jeans of Kentucky Project;
Guarantee: CHIC by H.I.S.)
2,520,000 Fulton County Industrial Building Revenue Series 1995, NR/NR 2,142,000
7.60% due 2/1/2007(H.I.S. Jeans of Kentucky Project;
Guarantee: CHIC by H.I.S.)
1,665,000 Hickman Industrial Building Revenue, 6.95% due 8/1/2009 NR/NR 1,415,250
(H.I.S. Jeans ofKentucky Project)
750,000 Kentucky Turnpike Authority Recovery Revenue, 6.00% due Aaa/AAA 751,185
7/1/2009 (Insured:MBIA)
605,000 Mt. Sterling League of Cities Funding Trust Lease Series Aa/NR 621,885
A, 5.625% due3/1/2003 (Investment Agreement w/
Transamerica Life; Guaranteed: HealthManagement Assoc.)
465,000 Muhlenberg County Industrial Development, 7.00% due NR/A 474,444
9/1/2001 (HarscoCorporation Project)
1,120,000 Paintsville First Mortgage Revenue Refunding Series NR/NR 1,193,125
1991, 8.65% due9/1/2005 (Paul B. Hall Medical Center
Project)
935,000 Wilmore Housing Facilities Revenue United Methodist NR/NR 873,870
Retirement Community,5.55% due 7/1/2013
Louisiana (3.10%)
465,000 Calcasieu Parish Industrial Development Board Pollution Baa2/BBB 467,339
Control Revenue,7.80% due 12/1/2005 (Cities Service
Corporation Project)
19,382 East Baton Rouge Mortgage Financing Authority Purchase Aaa/AAA 19,461
Revenue, 8.25% due2/25/2011 (GNMA Collateralized)
1,250,000 Jefferson Parish Drainage Improvement Refunding, 6.15% NR/AAA 1,341,450
due 9/1/2005(Insured: FGIC)
1,205,000 Louisiana Public Facilities Authority Hospital Refunding Aaa/AAA 1,201,614
FranciscanMissionaries A, 5.50% due 7/1/2012
250,000 Louisiana Public Facilities Authority MFHR, 5.95% due NR/AA- 256,312
6/15/2019 (CarlyleApts. Project; LOC: United Bank of
Switzerland)
6,196,625 Louisiana Public Facilities Authority Revenue NR/NR 4,957,300
Refinancing, 8.00% due10/1/2009 (Schwegman Westside
Expressway Project) (a)
6,350,000 Orleans Parish School Board, 0% due 2/1/2008 Aaa/AAA 3,948,430
1,285,000 Terrebonne Parish Hospital Service Refunding, 5.30% due Aaa/AAA 1,212,359
4/1/2015(Terrebonne General Med Center Project)
Maine (0.10%)
415,000 Maine Student Loan Revenue Refunding, 6.90% due A/NR 429,326
11/1/2003
Maryland (0.30%)
935,000 Ann Arundel County Multi Family Housing Revenue, 7.45% NR/BBB 994,503
due 12/1/2024 put12/1/03 (Twin Coves Apartment Project;
Hud Section 8)
500,000 Maryland CDA Department Housing & Community Development Aa2/NR 515,805
Single FamilyProgram First Series, 5.60% due 4/1/2005
Massachusetts (2.60%)
1,000,000 Fall River General Obligation, 5.25% due 6/1/2010 Aaa/AAA 1,004,440
(Insured: MBIA)
275,000 Haverhill General Obligation Municipal Purpose Loan Baa3/BBB 297,699
Series 1991, 7.50% due10/15/2011
330,000 Holyoke General Obligation School Project Loan Act of Baa2/NR 344,579
1948, 7.35% due8/1/2002 pre-refunded 8/1/01
1,000,000 Holyoke General Obligation School Project Loan Act of Baa2/NR 1,079,260
1948, 7.65% due8/1/2009
1,500,000 Massachusetts Development Finance Agency Refunding, NR/NR 1,447,575
6.25% due 1/1/2015
500,000 Massachusetts Health & Education Facilities Authority Baa3/NR 502,240
Revenue, 6.25% due7/1/2004
500,000 Massachusetts Health & Education Facilities Authority Aaa/BBB 542,070
Revenue, 6.625% due11/15/2022
2,730,000 Massachusetts Housing Finance Authority Insured Rental Aaa/AAA 2,790,579
Housing Series1994-A, 6.20% due 1/1/2006 (Insured:
AMBAC)
1,905,000 Massachusetts Industrial Financing Agency Revenue Series Aaa/AAA 1,910,505
A, 6.125% due12/1/2011 (Insured: MBIA)
1,000,000 Massachusetts Industrial Financing Authority Revenue Baa1/BBB+ 1,027,360
Refunding Series1993-A, 6.15% due 7/1/2002
(Massachusetts Refusetech Project)
Michigan (4.90%)
455,000 Auburn Hills Economic Limited Obligation Revenue NR/NR 464,155
Refunding and Improvement,6.15% due 12/1/2005 (Foamade
Industries Project; LOC: Michigan NationalBank)
500,000 Detroit Unlimited Tax General Obligation, 8.00% due Baa1/AAA 537,165
4/1/2011 pre-refunded4/1/01 @ 102
1,000,000 Flint Hospital Building Authority Revenue, 5.375% due NR/A 926,930
7/1/2018 (Hurley MedCenter Project)
2,450,000 Flint Refunding Tax Increment General Obligation Fin Baa3/BBB+ 2,518,037
Auth, 6.125% due6/1/2006
1,785,000 Kalamazoo Hospital Finance Authority Revenue Refunding Aaa/NR 1,797,727
Bronson Methodist,5.50% due 5/15/2012
1,000,000 Kent Hospital Finance Authority Michigan Hospital, 7.25% Aaa/AAA 1,157,230
due 1/15/2013
965,000 Kent Hospital Finance Authority Revenue Refunding Series Aaa/AAA 1,016,106
1992, 6.20% due11/1/2002 (Pinerest Christian Hospital
Project; Insured: FGIC)
2,350,000 Michigan Higher Education Facilities Authority Refunding NR/A+ 2,205,640
Limited ObligationThomas M Cooley, 5.35% due 5/1/2015
1,000,000 Michigan Housing Development Authority Rental Revenue, NR/A+ 1,035,730
5.60% due 4/1/2004(Insured: AMBAC)
500,000 Michigan Housing Redevelopment Authority Ltd. Aaa/AAA 527,430
Obligation, 6.50% due9/15/2007 (Greenwood Villa Project;
Insured: FSA)
700,000 Michigan Public Power Agency Series 1997-A, 5.50% due Aaa/AAA 725,942
1/1/2004 (CampbellProject; Insured: AMBAC)
1,100,000 Michigan Strategic Fund Refunding Series B, 5.125% due Aa3/NR 1,022,736
9/1/2013 (HopeNetwork Project)
1,215,000 Michigan Strategic Fund Limited Obligation Refunding NR/NR 1,281,618
Revenue Series 1992,6.25% due 8/15/2004 (Environmental
Research Institute Project)
2,000,000 Pontiac Federal Building Authority Refunding, 6.00% due Aaa/AAA 2,138,460
4/1/2006 (Insured:FSA)
895,000 Pontiac Stadium Building Authority Revenue, 6.60% due Baa3/NR 902,885
3/1/2000
1,530,000 Southfield Economic Development Corporation Refunding NR/NR 1,572,136
Revenue N.W. 12Limited Partneship, 7.25% due 12/1/2010
1,025,000 Wayne County Building Authority Limited Tax General A3/A- 1,123,902
Obligation Sinking FundSeries 1992-A, 7.80% due 3/1/2005
pre-refunded 3/1/02 @ 102
225,000 Wayne County Downriver System Sewage Disposal Series A, A3/BBB- 243,956
7.00% due 11/1/2013
Minnesota (0.40%)
695,000 Minneapolis Special School Distirict Certificate of A1/A 697,328
Participation, 5.40%due 2/1/2001
845,000 Monticello Pollution Control Revenue Northern States A1/AA 847,341
Power Co., 5.375% due2/1/2003
Mississippi (1.50%)
3,300,000 Adams County Hospital Revenue Series 1991, 7.90% due Aaa/NR 3,589,113
10/1/2008 (JeffersonDavis Memorial Hospital Project)
1,500,000 Mississippi Higher Educational Authority Series C, 7.50% A/NR 1,566,015
due 9/1/2009
200,000 Mississippi Hospital Equipment and Facilities Revenue Aaa/AAA 204,050
Series A, 7.25% due5/1/2000 (Baptist Medical Center
Project; Insured: MBIA) (ETM)
1,000,000 Mississippi Hospital Equipment Revenue, 6.40% due Baa3/AAA 1,058,280
1/1/2007 (Rush FoundationProject; Guaranteed: Connie
Lee)
Missouri (0.90%)
650,000 Missouri Health and Education Facilities Authority, 0% NR/NR 573,202
due 7/1/2002(Missouri Baptist Medical Center Project)
(ETM)
545,000 Missouri State Health and Educational Facility Revenue, NR/A 515,423
5.40% due 10/1/2014(Southwest Baptist University
Project)
2,365,000 St. Louis Board of Education General Obligation, 8.50% Aaa/AAA 2,738,883
due 4/1/2004(Insured: FGIC)
Montana (0.20%)
810,000 Montana Higher Education Student Assistance Corp Series A/NR 863,420
1992-B, 7.05% due6/1/2004
Nebraska (0.30%)
750,000 Clay County Industrial Development Revenue, 5.25% due NR/NR 688,635
3/15/2014 (HybridsCooperative Project)
700,000 Nebraska Investment Finance Authority, 6.65% due Aaa/AAA 708,561
3/1/2000 (Insured: MBIA)
Nevada (0.10%)
370,000 Clark County Certificate of Participation, 5.75% due A/NR 371,817
3/17/2001 (UniversityMedical Center Project)
New Hampshire (0.20%)
1,000,000 New Hampshire Higher Educational Health, 5.25% due NR/A 906,180
10/1/2018 (FranklinPierce College Project; Insured: ACA)
New Jersey (0.50%)
280,000 Cape May County Municipal Utilities Authority, 6.60% due A1/A+ 297,256
8/1/2003
460,000 Jersey County Sewer Authority, 9.00% due 1/1/2006 Aaa/AAA 464,205
(Insured: FGIC)
365,000 New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 A3/A 377,494
(Spectrum for LivingDevelopment Project; LOC: Midlantic
National Bank)
500,000 New Jersey Health Care - Kennedy Health Systems Aaa/AAA 526,640
Obligation Group B , 5.75%due 7/1/2008 (Insured: MBIA)
405,000 New Jersey Higher Education Student Loan Revenue Series A/NR 425,959
1991-A, 7.00% due7/1/2005
New Mexico (0.30%)
590,000 Sandia Pueblo General Obligation, 5.40% due 12/1/2003 NR/AA 600,006
(LOC: Norwest Bank)
600,000 Sandia Pueblo General Obligation, 5.60% due 12/1/2005 NR/AA 609,330
(LOC: Norwest Bank)
New York (3.50%)
175,000 Albany Housing Authority Housing Revenue, 5.40% due Aa3/NR 164,637
12/1/2018 (Lark DriveAssociates Project; LOC: Keybank)
300,000 Allegheny County IDA Civic Facilities, 7.10% due Baa1/NR 315,528
9/1/2001 (AlfredUniversity Project)
1,000,000 Nassau Health Care Corporation, 6.00% due 8/1/2011 Aaa/AAA 1,053,680
450,000 New York City General Obligation Refunding, 8.25% due Aaa/A- 451,706
11/1/1999 (ETM)
1,000,000 New York City General Obligation Refunding Series B, A3/A- 1,040,110
7.50% due 2/1/2001
1,000,000 New York City General Obligation Series A, 6.25% due A3/A- 1,073,220
8/1/2008
1,935,000 New York City General Obligation Series E, 6.00% due Aaa/AAA 2,066,425
8/1/2008 (Insured:FGIC)
500,000 New York Dormitory Authority Revenue Series B, 6.25% due Aaa/AAA 545,660
5/15/2014 pre-refunded 5/15/04 @ 102
2,000,000 New York Dormitory Authority Revenue Refunding, 5.20% Baa1/BBB+ 1,890,700
due 2/15/2013 (NorthGeneral Hospital Project)
1,000,000 New York Dormitory Authority Revenues, 5.50% due Baa2/AA 1,011,240
7/1/2010 (Good SamaritanHospital; Insured: Asset
Guaranty)
1,400,000 New York Dormitory Authority Revenues FHA Hospital New Aaa/AAA 1,432,018
York Presbyterian,5.50% due 8/1/2010
1,130,000 New York Dormitory Authority Revenues, 5.00% due NR/AA 1,034,797
7/1/2014 (St. ThomasAquinas College Project)
250,000 New York Housing Finance Agency SVC Contract Obligation Baa1/BBB+ 261,155
Rev. Series A,6.375% due 9/15/2015
200,000 New York Local Government Assistance Corporation Series NR/BBB+ 210,904
1992, 6.875% due3/15/2006
1,500,000 New York Local Government Assistance Corporation Series Aaa/A+ 1,619,925
1992, 6.875% due4/1/2006
600,000 Oneida County Industrial Development Agency Rev A1/NR 541,536
Refunding Civic FacilityPresbyterian, 5.00% due 3/1/2014
100,000 Onondaga County Industrial Development Civic Facilities NR/A+ 107,343
Revenue, 7.90% due1/1/2017 pre-refunded 1/1/03 @ 103
(LOC: Fleet Trust Company)
15,000 Valley Health Development Corporation Mortgage Revenue NR/AAA 15,330
Series 1990-A, 7.85%due 2/1/2002 (Insured: FHA)
North Carolina (0.40%)
650,000 Craven County Industrial Facilities Pollution Control NR/NR 670,820
Financing AuthoritySolid Waste Revenue, 7.875% due
6/1/2005 (Weyerhaeuser Company Project)
1,200,000 North Carolina Eastern Municipal Power Refunding Series Aaa/AAA 1,209,840
A, 5.70% due1/1/2013
North Dakota (0.50%)
2,000,000 Burleigh County Health Care Refunding Medcenter One Aaa/AAA 1,958,460
Incorporated, 5.25% due5/1/2012
365,000 Grand Forks Health Care System Revenue Bonds Series Aaa/AAA 393,222
1997, 6.25% due8/15/2006 (Altra Health Systems Obligated
Group Project; Insured: MBIA)
Ohio (2.60%)
650,000 Bellefontaine Hospital Facility Revenue and Refunding NR/BBB 670,683
Series 1993, 6.00%due 12/1/2002 (Mary Rutan Health-Logan
County Project)
250,000 Bowling Green State University General Receipts Series A2/A 263,040
1991, 6.70% due6/1/2007
1,000,000 Butler County Transportation Improvement, 6.00% due Aaa/AAA 1,072,490
4/1/2010 (Insured: FSA)
1,330,000 Cleveland Certificate of Participation, 7.10% due A3/A- 1,363,130
7/1/2002 (Motor Vehicle &Community Equipment Project)
1,000,000 Cleveland Parking Facilities Improvement Revenue Series NR/NR 1,116,280
1992, 8.00% due9/15/2012
1,500,000 Cuyahoga County Mortgage Revenue Bonds Series 1997-E, NR/NR 1,502,085
5.40% due 1/1/2018put 1/1/03 (Pelton Retirement
Community Project; LOC: First National Bankof Ohio)
1,100,000 Franklin County Health Care Revenue Series 1995-A, 6.00% Aa2/NR 1,128,237
due 11/1/2010(Heinzerling Foundation Project; LOC:
BancOne - Columbus)
500,000 Franklin County Hospital, 5.80% due 12/1/2005 (Doctors A3/NR 528,220
Project)
1,050,000 Hamiliton County Hospital Facilities Refunding Revenue Aa2/NR 1,104,358
Series 1992, 6.80%due 1/1/2008 (Episcopal Retirement
Homes, Inc. Project; LOC: Fifth/ThirdBank)
300,000 Hamilton County Health Care Refunding and Improvement, NR/A 266,430
5.125% due 10/1/2018(Twin Towers Project)
700,000 Hamilton County Hospital Facilities Refunding Revenue Aa2/NR 732,970
Series 1992, 6.55%due 1/1/2003 (Episcopal Retirement
Homes, Inc. Project; LOC: Fifth/ThirdBank)
510,000 Ohio Economic Development Rev. Series 1995-2, 5.60% due NR/A- 521,353
6/1/2002 (WirtMetal Products Project)
760,000 Reynoldsburg Health Care Facilities Revenue Bonds Series Aaa/NR 765,966
1997, 5.70% due10/20/2012
Oklahoma (1.30%)
1,020,000 Oklahoma City Municipal Impt Authority, 0% due 7/1/2008 Aaa/AAA 636,011
(Insured: AMBAC)
180,000 Oklahoma City Municipal Water Sewer Series C, 0% due Aaa/AAA 119,358
7/1/2007
950,000 Oklahoma City Municipal Water Sewer Series C, 0% due Aaa/AAA 488,509
7/1/2011
1,485,000 Oklahoma City Municipal Water Sewer Series C, 0% due Aaa/AAA 664,805
7/1/2013
75,000 Pryor Creek EDA Mortgage Revenue Refunding Series NR/AAA 76,471
1991-A, 6.625% due7/1/2001 (FNMA Guaranteed)
785,000 Pushmataha County Town of Antlers Hospital Authority NR/NR 837,265
Revenue Series 1991,8.75% due 6/1/2006
1,485,000 Tulsa Industrial Development Authority Hospital Revenue, Aa3/AA 1,557,290
6.10% due2/15/2009 (Medical Center Project)
500,000 Tulsa Public Facilities Authority Solid Waste Revenue, Aaa/AAA 517,660
5.65% due 11/1/2006(Ogden Martin Project; Insured:
AMBAC)
500,000 Woodward Municipal Hospital Authority Revenue Series NR/NR 542,300
1994, 8.25% due11/1/2009
Oregon (1.70%)
1,025,000 Albany Hospital Facility Authority Gross Revenue and NR/NR 1,049,836
Refunding Series 1994,7.00% due 10/1/2005 (Mennonite
Home Project)
2,755,000 Clackamas County Hospital Facility Refunding Odd Fellows NR/NR 2,583,474
Home Series A,5.70% due 9/15/2013
1,200,000 Oregon Economic Development Department Revenue Series Aa2/NR 1,260,468
CLII, 7.00% due12/1/2002 (Smokecraft Project; LOC:
Seafirst Bank)
1,070,000 Oregon Economic Development Department Revenue Series Aa2/NR 1,152,154
CLII, 7.70% due12/1/2014 (Smokecraft Project; LOC:
Seafirst Bank)
1,000,000 Port of Portland Industrial Revenue Series 85, 7.25% due NR/NR 1,049,810
10/1/2009 (AshGrove Cement Project)
Pennsylvania (4.10%)
500,000 Allegheny County Hospital Development, 7.00% due NR/B 490,000
8/1/2015
2,050,000 Allegheny County Hospital Revenue, 6.00% due 4/1/2006 Aaa/AAA 2,178,965
(University ofPittsburgh Hospital; Insured: MBIA)
1,880,000 Beaver County Hospital Revenue, 6.60% due 7/1/2004 Aaa/AAA 2,023,388
(Insured: AMBAC)
1,320,000 Beaver County Industrial Development Authority Health NR/AA- 600,666
Revenue, 0% due2/1/2010 (Guaranteed: FHA)
555,000 Chartiers Valley School District Capital Appreciation Aaa/AAA 382,789
Refunding Series 2,0% due 3/1/2007 (ETM)
2,800,000 Harrisburg Authority Lease Revenue, 6.50% due 6/1/2004 Aaa/AAA 2,931,936
crossover refunded6/1/01 @ 101 (Insured: FSA)
800,000 Harrisburg Authority Lease Revenue Series 1991, 6.625% Aaa/AAA 839,296
due 6/1/2006crossover refunded 6/1/01 @ 101 (Insured:
Capital Guaranty)
2,000,000 Lehigh County General Purpose Authority Revenue, 7.80% NR/NR 2,074,880
due 3/15/2020 put3/15/02 (Muhlenburg Care Project; LOC:
United Jersey Bank)
785,000 Lehigh County General Purpose Shephard Rehab Hosp, 6.00% Aaa/AAA 836,300
due 11/15/2007
290,225 Lehigh County Industrial Development Authority Revenue, Ba3/NR 290,440
7.45% due 8/1/2001(Kresge Company Project)
800,000 McKeesport Area School District Series B, 0% due NR/A 628,848
10/1/2004
400,000 Northeastern Pennsylvania Hospital & Education Authority Aaa/AAA 427,108
Series A, 6.30%due 1/1/2005 (Insured: AMBAC)
1,000,000 Pennsylvania State Higher Educational Series A, 5.25% Aaa/AAA 957,250
due 8/1/2013
970,000 Philadelphia Water & Sewer Revenue 10th Series, 7.35% Aaa/AAA 1,056,873
due 9/1/2004 (ETM)
750,000 Pine Richland School District, 0% due 9/1/2003 (Insured: Aaa/AAA 627,510
AMBAC)
1,000,000 Scranton Lackawanna Health & Welfare Authority, 7.125% NR/NR 1,027,510
due 1/15/2013
Rhode Island (0.60%)
595,000 Pawtucket Public Building Authority Water System Aaa/NR 639,304
Revenue, 7.45% due7/1/2005
680,000 Providence Public Building Authority Revenue, 7.10% due Baa2/NR 732,340
12/1/2003 (VeazieStreet School and Modular Classroom
Project)
355,000 Rhode Island Health & Educational Building Corporation NR/AAA 378,373
Series 1991, 7.10%due 11/1/2002 (South County Hospital
Project)
720,000 West Warwick General Obligation, 5.90% due 1/1/2005 Aaa/AAA 749,570
(Insured: MBIA)
South Carolina (1.10%)
950,000 Florence County Certificate of Participation Series, Aaa/AAA 1,007,551
6.00% due 3/1/2008
860,000 Medical University Hospital Facilities Revenue, 6.00% A3/A 859,905
due 7/1/2014
2,775,000 Medical University Hospital Facilities Revenue, 6.00% A3/A 2,736,816
due 7/1/2019
South Dakota (0.10%)
500,000 South Dakota Student Loan Series 1991-A, 7.60% due NR/A+ 538,085
8/1/2004
Tennessee (0.50%)
900,000 Carroll County Industrial Development Board Refunding NR/NR 910,917
Revenue Series 1995,7.20% due 4/1/2005 (Henry I Siegel
Company Project; Guarantee: CHIC byH.I.S.)
395,000 Carroll County Industrial Development Resource, 7.00% NR/NR 395,035
due 4/1/2001 (Henry ISiegel Company Project; Guarantee:
CHIC by H.I.S.)
170,000 Copperhill Industrial Development Board, 7.80% due Baa2/BBB 170,721
12/1/2000 (City ServicesCompany Project)
1,900,000 Metropolitan Government Nashville & Davidson County H & Aaa/NR 480,092
E Facilities BoardRevenue, 0% due 6/1/2021
Texas (8.80%)
1,130,000 Carroll Independent School District Capital Appreciation Aaa/AAA 606,234
Refunding, 0% due2/15/2011
135,000 Chimney Hill Municipal Utility District Waterworks and NR/NR 139,914
Sewer SystemUnlimited Tax and Rev Refunding Series 1991,
7.75% due 10/1/2011
865,000 Chimney Hill Municipal Utility District Waterworks and NR/NR 898,571
Sewer SystemUnlimited Tax and Rev Refunding Series 1991,
7.75% due 10/1/2011
750,000 Clay Road Municipal Utility District Unlimited Tax and NR/NR 774,375
Revenue Series 1991,7.625% due 9/1/2011
1,000,000 Conroe Independent School District Refunding Series Aaa/AAA 758,640
1992, 0% due 2/1/2005(PSF Guaranteed)
1,000,000 Conroe Independent School District Refunding Series Aaa/AAA 750,370
1992, 0% due 2/1/2005(PSF Guaranteed)
5,000,000 Coppell Independent School District Capital Appreciation NR/AAA 2,258,700
Refunding, 0% due8/15/2013
2,690,000 Denison Hospital Authority Hospital, 6.125% due NR/BBB- 2,540,005
8/15/2012 (Texoma MedicalCenter Incorporated Project)
3,750,000 El Paso Independent School District Capital Appreciation Aaa/AAA 2,076,412
Refunding, 0% due8/15/2010
2,500,000 El Paso Independent School District Capital Appreciation Aaa/AAA 1,296,000
Refunding, 0% due8/15/2011
460,000 El Paso Multi Family Housing Revenue Series A, 6.00% due A1/NR 466,854
12/1/2001
590,000 El Paso Multi Family Housing Revenue Series A, 6.15% due A1/NR 602,178
12/1/2002
215,000 Harris County Flood Control District, 0% due 10/1/2006 Aa2/AA 134,973
2,305,000 Harris County Health Facilities Series B, 5.55% due Aaa/AAA 2,311,154
2/15/2012 (TecoProject) (when issued)
2,435,000 Harris County Health Facilities Series B, 5.60% due Aaa/AAA 2,437,411
2/15/2013 (TecoProject) (when issued)
2,580,000 Harris County Health Facilities Series B, 5.65% due Aaa/AAA 2,580,310
2/15/2014 (whenissued)
2,730,000 Harris County Health Facilities Series B, 5.70% due Aaa/AAA 2,725,768
2/15/2015 (whenissued)
570,000 Harris County Municipal Utility District 118 Unlimited Aaa/AAA 443,403
Tax and RevenueRefunding Series 1992, 0% due 3/1/2004
(Insured: MBIA)
525,000 Harris County Municipal Utility District 118 Unlimited Aaa/AAA 379,984
Tax and RevenueRefunding Series 1992, 0% due 3/1/2005
(Insured: MBIA)
880,000 Houston Water Conveyance System Contract Certificate of Aaa/AAA 979,387
ParticipationSeries F, 7.20% due 12/15/2004 (Insured:
AMBAC)
465,000 Hunt Memorial Hospital District, 0% due 2/15/2001 A/A 436,756
2,000,000 Leander Independent School District Unlimited Tax School Aaa/NR 1,564,600
Building &Refunding Series 1992, 0% due 8/15/2005 (PSF
Guaranteed)
800,000 Mesquite General Obligation, 0% due 2/15/2002 Aa3/A+ 718,096
800,000 Midland County Hospital District Revenue Series 1991, 0% NR/A- 513,088
due 6/1/2007
1,000,000 Midlothian Independent School District Capital Aaa/NR 504,250
Appreciation Refunding, 0%due 2/15/2012
1,000,000 Midlothian Independent School District Capital Aaa/NR 396,980
Appreciation Refunding, 0%due 2/15/2015
1,100,000 Midlothian Independent School District Capital Aaa/NR 407,957
Appreciation Refunding, 0%due 2/15/2016
2,400,000 North Central Texas Health Facility Development Texas Aaa/AAA 2,451,528
Health ResourcesSystems Series B, 5.75% due 2/15/2015
500,000 North Texas Higher Education Authority Series D, 6.30% A/NR 508,110
due 4/1/2010
600,000 North Texas Higher Education Authority Student Loan A/NR 610,296
Revenue, 6.30% due4/1/2009
715,000 Tarrant County Health Facilities, 6.00% due 9/1/2004 Aaa/AAA 759,788
(Harris MethodistHealth Systems Project; Insured: AMBAC)
2,500,000 Texarkana Health Facilities Hospital Refunding Wadley Aaa/AAA 2,603,475
Regional Med CenterSeries A, 5.75% due 10/1/2011
500,000 Trinity Water Revenue, 5.75% due 10/15/2000 (Livingston A/A+ 500,725
Project)
700,000 Waller Consolidated Independent School District, 7.25% Aaa/AAA 798,056
due 2/15/2010
Utah (2.60%)
2,000,000 Intermountain Power Agency Revenue, 0% due 7/1/2000 Aaa/AAA 1,961,820
(ETM)
3,620,000 Intermountain Power Agency Revenue Refunding Series A, Aaa/AAA 3,613,412
5.25% due 7/1/2011
335,000 Ogden Neighborhood Development Agency Tax Increment A3/NR 234,627
Revenue, 0% due12/30/2005
2,500,000 Salt Lake County Housing Authority MFHR Refunding Series Aa2/NR 2,585,200
1993, 5.40% due12/15/2018 put 12/15/03 (Summertree
Project; LOC: First Security Bank)
910,000 Utah Housing Finance Agency Single Family Mortgage D 2 Aa2/AA- 911,192
Class I, 5.85% due7/1/2015
1,990,000 Utah Housing Finance Agency, 6.05% due 7/1/2016 NR/AAA 2,020,746
Virginia (1.60%)
500,000 Arlinton County Industrial Development Housing Mortgage NR/A 513,180
Senior LienArlinton Housing, 6.30% due 7/1/2016
2,000,000 Hampton Redevelopment Housing Authority Multi Family Baa2/NR 2,127,180
Housing RefundingSeries 1994, 7.00% due 7/1/2024 put
7/1/04 (Chase Hampton ApartmentsProject)
2,000,000 Suffolk Redevelopment Housing Authority MFHR, 7.00% due Baa2/NR 2,127,180
7/1/2024 put7/1/04 (Chase Heritage @ Dulles Project)
665,000 Virginia Beach General Obligation, 5.90% due 7/15/2008 Aa2/AA 704,268
1,030,000 Virginia Housing Development Authority Series C-7, 5.40% Aa1/AA+ 1,038,271
due 1/1/2001
250,000 Virginia Housing Development Authority Series A, 7.10% Aa1/AA+ 257,983
due 1/1/2017
Washington (4.70%)
1,000,000 Bremerton Water & Sewer Improvement Revenue Series B, Aaa/AAA 1,054,780
6.00% due 9/1/2003(Insured: FGIC)
1,100,000 Clark County Industrial Revenue Solid Waste Transfer A1/NR 1,166,594
Stations Series 1991,7.50% due 12/15/2006 (Columbia
Resource Company Project; LOC: U.S. Bank ofOregon)
450,000 Grant County Public Utility District 002 Wanapum Hydro Aaa/AAA 470,318
Electric RevenueSeries C, 6.00% due 1/1/2003 (Insured:
AMBAC)
415,000 Grant County Public Utility District 002 Wanapum Hydro Aaa/AAA 440,900
Electric RevenueSeries C, 6.00% due 1/1/2006 (Insured:
AMBAC)
1,040,000 Grant County Public Utility District 2 Second Series Aaa/AAA 988,613
Series A, 5.00% due1/1/2013 (when issued)
1,500,000 Pilchuck Development Public Corporation IDRB Series A1/NR 1,516,110
1993, 6.25% due8/1/2010 (Little Neck Properties Project;
LOC: U.S. Bancorp)
790,000 Port of Grays Harbor Revenue Refunding, 6.05% due A3/BBB+ 823,607
12/1/2002
870,000 Washington General Obligation Series A, 6.60% due Aa1/AA+ 913,230
2/1/2002
1,500,000 Washington Health Care Facilities Refunding Sisters of Aaa/AAA 1,631,835
Providence, 6.375%due 10/1/2010
2,690,000 Washington Health Care Facilities Providence Services, Aaa/AAA 2,743,800
5.50% due 12/1/2010
2,500,000 Washington Health Care Facilities Swedish Health Aaa/NR 2,439,250
Services, 5.125% due11/15/2011
1,040,000 Washington Health Care Facilities Providence Services, Aaa/AAA 1,052,033
5.50% due 12/1/2011
1,300,000 Washington Health Care Facilities Refunding, 5.125% due Aaa/AAA 1,186,861
8/15/2017 (VirginiaMason Med Center A)
400,000 Washington Health Care Facilities Authority Revenue, NR/A+ 422,868
7.875% due 12/1/2009(LOC: Allied Irish Banks)
500,000 Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline NR/AA 496,130
Galland CenterProject)
1,000,000 Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline NR/AA 973,140
Galland CenterProject)
1,000,000 Washington Public Power Supply Capital Appreciation Aa1/AA- 523,110
Refunding Ser B, 0% due7/1/2011
500,000 Washington Public Power Supply 2, 5.70% due 7/1/2008 Aaa/AAA 524,160
(Nuclear Project;Insured: MBIA)
400,000 Washington Public Power Supply System Series 1991-A, Aaa/AA 424,960
6.75% due 7/1/2005(Project: 1)
960,000 Washington Public Power Supply System, 0% due 7/1/2010 Aa1/AA- 536,227
(Project: 3)
West Virginia (1.20%)
3,100,000 West Virginia Parkway Economic Development Tourism Aaa/AAA 3,145,973
Authority Series 1993,6.55% due 5/15/2002 (Insured:
FGIC) (Inverse Floater)
2,000,000 West Virginia Statewide Commission Lottery Revenue Aaa/AAA 2,078,660
Series 1997-A, 5.50% due7/1/2005 (Insured: MBIA)
Wisconsin (0.80%)
280,000 Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. NR/NR 289,974
Project; SBAGuaranty)
1,000,000 Wisconsin Health and Education, 7.75% due 11/1/2015 NR/NR 1,070,260
(Hess Memorial HospitalProject)
835,000 Wisconsin Health and Educational Facilities United Aaa/AAA 836,895
Health GroupIncorporated, 5.25% due 12/15/2009
1,200,000 Wisconsin Health and Educational Facilities Franciscan NR/A- 1,099,932
Sisters Christian A,5.50% due 2/15/2018
185,000 Wisconsin Housing and Economic Development Series F, Aa3/AA 195,047
7.40% due 7/1/2013
U. S. Virgin (0.60%)
Islands
2,630,000 U.S. Virgin Islands Water & Power Authority Series A, NR/NR 2,793,086
7.40% due 7/1/2011pre-refunded 7/01/01
TOTAL INVESTMENTS (102%) (Cost $433,820,058) $ 435,924,422
<FN>
* Indicates rating on other debt issued by the same issuer, rather than on the
security held by the Fund. These securities are deemed by the Advisor to be
comparable with those of issuers having debt ratings in the highest grades by
Moody's or S&P. ** The cost for federal income tax purpose is the same. + Credit
ratings are unaudited.
See notes to financial statements.
</FN>
</TABLE>
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 Intermediate Municipal Fund series
of Thornburg Investment Trust (hereafter referred to as the "Fund") at September
30, 1999, the results of its operations, the changes in its net assets, and the
financial highlights for the year then ended, in conformity with generally
accepted accounting principles. 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 audit. We conducted our audit
of these financial statements in accordance with generally accepted auditing
standards, 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
audit, which included confirmation of securities at September 30, 1999 by
correspondence with the custodian and brokers, provides a reasonable basis for
the opinion expressed above. The financial statements for the year ended
September 30, 1998, including the financial highlights for each of the four
years in the period then ended, 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 29,
1999
change in Independent accountants
Thornburg Investment Trust
On August 13, 1999, McGladrey & Pullen, LLP (McGladrey) resigned as independent
auditors of the Fund pursuant to an agreement by PricewaterhouseCoopers LLP
(PwC) to acquire McGladrey's investment company practice. The McGladrey partners
and professionals serving the Fund at the time of the acquisition joined PwC.
The reports of McGladrey on the financial statements of the Fund during the past
two fiscal years contained no adverse opinion or disclaimer of opinion, and were
not qualified or modified as to uncertainty, audit scope or accounting
principles. In connection with its audits for the two most recent fiscal years
and through August 13, 1999, there were no disagreements with McGladrey on any
matter of accounting principle or practices, financial statement disclosure, or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of McGladrey would have caused it to make reference to the subject
matter of disagreement in connection with its report. On September 22, 1999, the
Fund, with the approval of its Board of Directors and its Audit Committee,
engaged PwC as its independent auditor.
Index comparisons
Thornburg Intermediate Municipal Fund
Index Comparison
Compares performance of Intermediate National Fund, the Merrill Lynch Municipal
Bond (7-12 year) Index and the Consumer Price Index, for periods ending
September 30, 1999. On September 30, 1999, the weighted average securities
ratings of the Index and the Fund were AA and A+, respectively, and the weighted
average portfolio maturities of the Index and the Fund were 9.5 years and 8.4
years, respectively. Class C shares became available on September 1, 1994. Past
performance of the Index and the Fund may not be indicative of future
performance.
Thornburg Intermediate Municipal Fund
Index Comparison
Compares performance of Intermediate National Fund
I shares, the Merrill Lynch Municipal Bond (7-12 year) Index and the Consumer
Price Index, for periods ending September 30, 1999. On September 30, 1999, the
weighted average securities ratings of the Index and the Fund were AA and A+,
respectively, and the weighted average portfolio maturities of the Index and the
Fund were 9.5 years and 8.4 years, respectively. Class I shares became available
on July 5, 1996. Past performance of the Index and the Fund may not be
indicative of future performance.
Class A Shares
Average Annual Total Returns (periods ending 9/30/99)(at max. offering price)
One year: (3.06)%
Five years: 5.05%
Since inception: (7/23/91): 6.09%
Class C Shares
Average Annual Total Returns (periods ending 9/30/99)
One year: (1.48)%
Since inception: (9/1/94): 4.73%
Class I Shares
Average Annual Total Returns (periods ending 9/30/99)(at max. offering price)
One year: (0.79)%
Three years: 4.49%
Since inception: (7/5/96): 5.14%
Y2k Update
We Are Ready for the Year 2000
Dear Shareholder,
I wish to inform you about our success with respect to being Year 2000 compliant
in the computer systems used to manage your Thornburg funds investment. Your
shareholder records are kept on a large computer system belonging to our
transfer agent, DST Systems. Accounting data pertaining to your investment
portfolio reside on large systems belonging to State Street Bank and its
affiliates. We have smaller computer networks at Thornburg Investment Management
to help us organize and manage our investment activities. I will describe
briefly the Year 2000 status of each area.
Shareholder records for Thornburg funds are kept on computers that use a DST
software system called "TA 2000." DST is one of the largest mutual fund record
processors in the world, keeping shareholder records for many large mutual fund
families. The TA 2000 system, as is name implies, was built with 4-digit year
description fields in order to be Year 2000 compliant. To quote from DST's
February 1999 newsletter, "Internal 2000 readiness testing of TA 2000 and TRA
2000 is complete. Several retests of critical TA 2000 (and TRAC 2000) functions
were also completed successfully in 1998. With the completion of these internal
tests, the TA 2000 (and TRAC 2000) systems are considered to be Y2K ready."
There are no hedge words in the preceeding 3 sentences! I am not surprised. I
first heard DST talk about taking concrete measures to deal with Y2K issues
about 8 years ago. If you worry about electric power continuity, I can inform
you that DST maintains its own diesel powered backup generating station adjacent
to its computer facility.
Both are located in geologically stable limestone caves east of Kansas City.
Asset custody and fund accounting records of the Thornburg funds are stored on
State Street Bank computers. We use a variety of software systems to carry out
all activities relating to running the funds. We are informed that this software
infrastructure has been 100% tested and corrected to be Year 2000 compliant. You
can monitor State Street Bank's disclosure yourself on the internet website,
statestreet.com.
Thornburg Investment Management has a computer network to help us carry out our
daily business of managing the assets in our mutual funds. Our information
technology director, Stewart Kane, has made a great effort to be certain that
our software platforms are Year 2000 compliant.
We look forward to the new year.
Brian McMahon, President
Thornburg Investment Management
This report is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to prospective
investors in the Fund unless preceded or accompanied by an effective prospectus,
which includes information regarding the Fund's objectives and policies,
experience of its management, marketability of shares, and other information.
Performance data quoted represent past performance and do not guarantee future
results.
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
