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