Thornburg Intermediate Municipal Fund
All data as of 9.30.2000
Thornburg Intermediate Municipal Fund
A Share C Shares
SEC Yield ........................... 4.56% 4.20%
Taxable Equivalent Yields ........... 7.55% 6.95%
NAV ................................. $ 12.78 $ 12.79
Max. Offering Price ................. $ 13.04 $ 12.79
(Annual Average - After Subtracting Maximum Sales Charge)
One Year............................. 1.13% 2.70%
Five Year ........................... 3.89% 3.87%
Since Inception ..................... 5.77% 4.41%
Inception Date (7.23.1991) (9.1.1994)
Taxable equivalent yields assume a 39.6% marginal 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:
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 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 22 cents to $12.78 during the
fiscal year ended September 30, 2000. If you were with us for the entire period,
you received dividends of 62.5 cents per share, a slight increase over fiscal
1999. If you reinvested your dividends, you received 63.9 cents per share.
Investors who owned C shares received dividends of 56.8 and 58 cents per share,
respectively.
Your Thornburg Intermediate Municipal Fund is a laddered bond portfolio,
consisting of over 350 municipal obligations from 48 states and 3 U.S.
territories. Approximately 88% of the bonds are rated A or better by one of the
major rating agencies. We expect to continue to increase the overall quality of
your portfolio in the coming months. 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 = 17% year 2 = 17% 2 to 4 years = 11% year 4 = 28%
4 to 6 years = 13% year 6 = 41% 6 to 8 years = 11% year 8 = 52%
8 to 10 years = 15% year 10 = 67% 10 to 12 years = 11% year 12 = 78%
12 to 14 years = 12% year 14 = 90% 14 to 16 years = 4% year 16 = 94%
Over 16 years = 4% year 18 = 98%
Over 18 years = 2%
Today, your fund's weighted average maturity is 8.3 years. We always keep it
below 10 years. Over the last 6 months, your average portfolio maturity has
increased slightly, as we took advantage of the investment opportunities in 8
year and longer maturity bonds last spring and summer. 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.
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 4-star overall rating* for risk adjusted performance. Thank you
for investing in Thornburg Intermediate Municipal Fund.
Sincerely,
Brian J. McMahon George T. Strickland
Portfolio Manager Portfolio Manager
Past performance cannot guarantee 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. Past performance is no guarantee of future results.
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 Intermediate National Fund received four 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 ending 9/30/00,
respectively.
Statement of assets and liabilities
ASSETS
Investments at value (cost $366,587,185) $367,457,734
Cash ................................... 1,077,166
Receivable for investments sold ........ 3,571,465
Receivable for fund shares sold ........ 475,850
Interest receivable .................... 5,845,942
Prepaid expenses and other assets ...... 25,377
Total Assets .................. 378,453,534
LIABILITIES
Payable for securities purchased ....... 2,864,492
Payable for fund shares redeemed ....... 956,882
Accounts payable and accrued expenses .. 105,772
Payable to investment advisor (Note 3) . 146,577
Dividends payable ...................... 522,296
Total Liabilities ............. 4,596,019
NET ASSETS ............................. $373,857,515
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($322,941,948
applicable to 25,278,947 shares of beneficial interest
outstanding - Note 4) ...................................... $ 12.78
Maximum sales charge, 2.00% of offering
price (2.04% of net asset value per share) ................. 0.26
Maximum Offering Price Per Share ........................... $ 13.04
Class C Shares:
Net asset value and offering price per share * ($33,352,655
applicable to 2,607,298 shares of beneficial interest
outstanding - Note 4) ...................................... $ 12.79
Class I Shares:
Net asset value, offering and redemption price per share
($17,562,912 applicable to 1,376,706 shares of beneficial
interest outstanding - Note 4) ............................. $ 12.76
*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 $1,052,958) ... $ 22,580,663
EXPENSES:
Investment advisory fees (Note 3) .......................... 1,950,832
Administration fees (Note 3)
Class A Shares .................................... 423,251
Class C Shares .................................... 40,363
Class I Shares .................................... 9,638
Distribution and service fees (Note 3)
Class A Shares .................................... 829,572
Class C Shares .................................... 322,900
Transfer agent fees ........................................ 226,983
Custodian fees ............................................. 211,113
Registration and filing fees ............................... 59,231
Professional fees .......................................... 40,625
Accounting fees ............................................ 41,800
Trustee fees ............................................... 7,208
Other expenses ............................................. 28,367
Total Expenses ........................... 4,191,883
Less:
Expenses reimbursed by investment advisor (Note 3) (467,668)
Distribution fees waived on Class C shares (Note 3) (129,157)
Net Expenses ............................. 3,595,058
Net Investment Income .................... 18,985,605
REALIZED AND UNREALIZED LOSS
ON INVESTMENTS (Note 5)
Net realized loss on investments sold ...................... (4,401,987)
Decrease in unrealized appreciation of investments ......... (2,896,806)
Net Realized and Unrealized
Loss on Investments ...................... (7,298,793)
Net Increase in Net Assets Resulting
From Operations .......................... $ 11,686,812
See notes to financial statements ..........................
Statements of changes in net assets
Year Ended Year Ended
September 30, 2000 September 30, 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income .................. $ 18,985,605 $ 19,344,954
Net realized loss on investments sold .. (4,401,987) (1,706,387)
Decrease in unrealized appreciation
of investments ......................... (2,896,806) (22,393,490)
Net Increase (Decrease) in Assets
Resulting from Operations ..... 11,686,812 (4,754,923)
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares ......................... (16,567,682) (17,170,391)
Class C Shares ................ (1,433,738) (1,101,652)
Class I Shares ................ (984,185) (1,072,911)
FUND SHARE TRANSACTIONS (Note 4):
Class A Shares ................ (34,568,930) 17,006,019
Class C Shares ................ 1,422,808 13,257,999
Class I Shares ................ (854,011) (427,657)
Net Increase (Decrease)
in Net Assets ................ (41,298,926) 5,736,484
NET ASSETS:
Beginning of year.............. 415,156,441 409,419,957
End of year ................... $ 373,857,515 $ 415,156,441
See notes to financial statements
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 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 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, 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 capital 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 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 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
$414,837 for Class A, $30,057 for Class C, and $22,774 for Class I, respectively
. 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, 2000, the Distributor earned net commissions
aggregating $1,037 from the sale of Class A shares and collected contingent
deferred sales charges aggregating $3,571 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 1/4
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, 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 $382,761,744.
Transactions in shares of beneficial interest were as follows:
Year Ended Year Ended
September 30, 2000 September 30, 1999
Class A Shares Shares Amount Shares Amount
Shares sold ................ 3,999,003 $ 51,141,300 5,704,529 $77,034,692
Shares issued to shareholders in
reinvestment of dividends 819,715 10,459,8 819,140 11,025,834
Shares repurchased ......... (7,533,988)(96,170,108) (5,288,828)(71,054,507)
Net Increase (Decrease) .... (2,715,270)$(34,568,930) 1,234,841 $17,006,019
Class C Shares
Shares sold ................ 1,069,370 $13,668,174 1,556,226 $20,958,010
Shares issued to shareholders
in reinvestment of distributions 95,910 1,225,144 68,928 926,111
Shares repurchased ......... (1,052,945)(13,470,510) (644,090) (8,626,122)
Net Increase ............... 112,335 $ 1,422,808 981,064 $13,257,999
Class I Shares
Shares sold ................ 794,627 $10,147,217 578,942 $ 7,856,556
Shares issued to shareholders in
reinvestment of dividends 46,862 596,532 29,386 392,038
Shares repurchased ......... (910,889)(11,597,760) (651,720) (8,676,251)
Net Increase (Decrease) .... (69,400) $(854,011) (43,392) $(427,657)
Note 5 - Securities Transactions
For the year ended September 30, 2000, the Fund had purchase and sale
transactions (excluding short-term securities) of $85,837,107 and $150,692,268,
respectively. The cost of investments is the same for financial reporting and
Federal income tax purposes. At September 30, 2000, net unrealized appreciation
of investments was $870,549 resulting from $9,235,884 gross unrealized
appreciation and $8,365,335 gross unrealized depreciation. Accumulated net
realized losses from securities transactions included in net assets at September
30, 2000 aggregated $9,774,778.
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 $ $1,237,000
2004 2,202,000
2005 200,000
2006 28,000
2007 6,000
2008 2,563,000
$ 6,236,000
At September 30, 2000, the Fund had deferred capital losses occurring subsequent
to October 31, 1999 of $3,539,000. For tax purposes, such losses, will be
reflected in the year ending September 30, 2001.
Financial highlights
Year Ended September 30,
2000 1999 1998 1997 1996
Class A Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year $13.00 $13.76 $ 13.46 $ 13.23 $ 13.18
Income from investment operations:
Net investment income ........... 0.63 0.62 0.63 0.66 0.68
Net realized and unrealized
gain (loss) on investments ...... (0.22) (0.76) 0.30 0.23 0.05
Total from investment operations .. 0.41 (0.14) 0.93 0.89 0.73
Less dividends from:
Net investment income ........... (0.63) (0.62) (0.63) (0.66) (0.68)
Change in net asset value ......... (0.22) (0.76) 0.30 0.23 0.05
Net asset value, end of year ...... $12.78 $ 13.00 $ 13.76 $ 13.46 $ 13.23
Total Return (a) ................ 3.23% (1.09)% 7.08% 6.90% 5.64%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ............ 4.89% 4.59% 4.65% 4.96% 5.12%
Expenses, after expense reductions . 0.89% 0.99% 1.00% 1.00% 1.00%
Expenses, before expense reductions 1.02% 1.02% 1.04% 1.05% 1.09%
Portfolio turnover rate ............ 21.97% 23.17% 16.29% 15.36% 12.64%
Net assets at end of year (000) ...$ 322,942 $363,908 $368,108 $309,293 $246,128
(a) Sales loads are not reflected in computing total return which is not
annualized for periods less than one year.
Class C Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year . $ 13.02 $ 13.77 $ 13.48 $ 13.24 $ 13.20
Income from investment operations:
Net investment income ............ 0.57 0.56 0.58 0.61 0.63
Net realized and unrealized
gain (loss) on investments ....... (0.23) (0.75) 0.29 0.24 0.04
Total from investment operations ... 0.34 (0.19) 0.87 0.85 0.67
Less dividends from:
Net investment income ............ (0.57) (0.56) (0.58) (0.61) (0.63)
Change in net asset value .......... (0.23) (0.75) 0.29 0.24 0.04
Net asset value, end of year ....... $ 12.79 $ 13.02 $ 13.77 $ 13.48 $ 13.24
Total Return (a) ................... 2.70% (1.48)% 6.57% 6.55% 5.14%
Ratios/Supplemental Data
Ratios to average net assets:
Net investment income ............ 4.44% 4.19% 4.23% 4.55% 4.73%
Expenses, after expense reductions 1.34% 1.40% 1.40% 1.40% 1.40%
Expenses, before expense reductions 1.83% 1.85% 1.93% 1.99% 1.97%
Portfolio turnover rate ............ 21.97% 23.17% 16.29% 15.36% 12.64%
Net assets at end of year (000) .... $ 33,353 $32,477 $20,852 $11,292 $ 7,586
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
Class I Shares:
Per Share Operating Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year .. $ 12.98 $ 13.74 $ 13.44 $ 13.23 $ 13.00
Income from investment operations:
Net investment income ............. 0.65 0.66 0.67 0.70 0.17
Net realized and unrealized
gain (loss) on investments ........ (0.22) (0.76) 0.30 0.21 0.23
Total from investment operations .... 0.43 (0.10) 0.97 0.91 0.40
Less dividends from:
Net investment income ............. (0.65) (0.66) (0.67) (0.70) 0.17)
Change in net asset value ........... (0.22) (0.76) 0.30 0.21 0.23
Net asset value, end of year ........ $ 12.76 $ 12.98 $13.74 $ 13.44 $ 13.23
Total Return (a) .................... 3.45% (0.79)% 7.41% 7.07% 3.11%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ............. 5.10% 4.89% 4.95% 5.16% 5.49%(b)
Expenses, after expense reductions 0.68% 0.69% 0.69% 0.69% 0.70%(b)
Expenses, before expense reductions 0.80% 0.79% 0.79% 1.24% 6.10%(b)
Portfolio turnover rate ............. 21.97% 23.17% 16.29% 15.36% 12.64%
Net assets at end of year (000) ....$ 17,563 $ 18,772 $20,461 $16,615 $ 689
(a) Not annualized for periods less than one year.
(b) Annualized.
* Sales of Class I shares commenced on July 5, 1996.
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Intermediate Municipal Fund September 30, 2000
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 (1.40%)
<C> <C> <C> <C>
1,530,000 Alabama A & M University Housing & General Fee Revenue Series Aaa/AAA $1,610,050
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: MBIA) Aaa/AAA 538,460
250,000 Alabama Municipal Electric Authority Power Supply System Series Aaa/AAA 257,175
1991-A,6.50% due 9/1/2005 (Insured: MBIA)
165,000 Birmingham South Medical Clinic, 6.30% due 11/1/2003 (ETM) NR/NR 167,155
1,600,000 Lauderdale County & Florence Health Group Series A, 5.75% due Aaa/AAA 1,653,008
7/1/2013(Insured: MBIA)
750,000 Montgomery County Revenue, 7.00% due 4/1/2007 pre-refunded 4/1/01 NR/NR 774,045
@ 102(Human Resources Project)
Alaska (0.60%)
500,000 Anchorage School Refunding, 6.00% due 10/1/2012 (Insured: FGIC) Aaa/AAA 541,435
1,660,000 Seward Revenue, 7.375% due 10/1/2007 (Alaska Sealife Center NR/NR 1,674,757
Project)
Arizona (0.50%)
500,000 Maricopa County Unified School District 89 General Obligation, 0% Aaa/AAA 482,790
due7/1/2001 (Insured: FGIC)
400,000 Tucson General Obligation Series D, 9.75% due 7/1/2012 Aa2/AA 564,204
500,000 Tucson General Obligation Series D, 9.75% due 7/1/2013 Aa2/AA 712,465
California (9.20%)
500,000 Abag Finance Authority For Nonprofit, 5.70% due 8/15/2014 (Odd NR/AA- 519,900
Fellows HomeProject)
500,000 California Health Facilities Financing Authority, 5.625% due NR/BBB+ 501,475
5/15/2008
675,000 California HFA Revenue Series 1985-B, 9.875% due 2/1/2017 Aa/AA- 707,292
1,935,000 California Infrastructure & Economic, 5.65% due 12/1/2014 NR/A 2,008,588
(American Center For Wine Food Arts Project; Insured: ACA)
1,700,000 California Pollution Control Solid Waste Authority, 6.75% due Aaa/NR 1,797,240
7/1/2011 (ETM)
4,500,000 California Statewide Community Development Authority Certificate Aaa/AAA 4,787,280
ofParticipation, 5.50% due 10/1/2007 (Unihealth America Project;
Insured:AMBAC)
3,340,000 California Statewide Community Development Authority Certificate NR/NR 3,524,067
ofParticipation, 5.90% due 4/1/2009 pre-refunded 4/1/03
1,000,000 California Statewide Community Development Authority Series NR/NR 1,059,190
1996-A, 6.00%due 9/1/2005 (San Gabriel Medical Center Project;
Insured: CaliforniaHealth) (ETM)
1,000,000 Camino Hospital District Revenue Series A, 6.25% due 8/15/2017 Aaa/AAA 1,058,540
(ETM)
1,740,000 Escondido Joint Powers Financing Authority Lease Revenue, 0% due Aaa/AAA 1,250,938
9/1/2007(Center for the Arts Project; Insured: AMBAC)
2,140,000 Golden West Schools Financing Authority Capital Appreciation, 0% Aaa/AAA 757,367
due8/1/2018 (Insured: MBIA)
500,000 Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 Baa3/NR 550,000
pre-refunded8/1/05
100,000 Orange County Local Transportation Authority Sales Tax Revenue, Aa2/AA+ 100,616
5.50% due2/15/2001
1,190,000 Orange County Refunding Recovery, 6.50% due 6/1/2004 (Insured: Aaa/AAA 1,279,642
MBIA)
2,280,000 Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: Aaa/AAA 2,489,099
MBIA)
160,000 Orange County Refunding Recovery A, 5.20% due 6/1/2003 (ETM) Aaa/AAA 164,240
2,850,000 Orange County Special Financing Authority Teeter Plan Revenue Aaa/A-1 2,913,812
Series E,6.35% due 11/1/2014 put 11/1/01 (Insured: AMBAC)
190,000 Orange County Unrefunded Balance Refunding Recovery A, 5.20% due Aaa/AAA 194,792
6/1/2003(Insured: MBIA)
1,500,000 Sacramento Municipal Utility District Electric Revenue, 5.145% Aaa/AAA 1,591,875
(variablerate) due 11/15/2006 (Insured: FSA)
500,000 San Diego County Water Authority Revenue & Refunding Series Aaa/AAA 560,000
1993-A, 7.031%(variable rate) due 4/25/2007 (Insured: FGIC)
1,925,000 San Diego Water Revenue Certificate of Participation, 6.25% due Aa3/AA- 1,989,661
5/1/2004
425,000 San Francisco Downtown Parking Corporation Series 1993, 5.85% due A3/NR 428,366
4/1/2001
145,000 San Marcos Certificate of Participation Series C, 0% due NR/AAA 116,763
8/15/2005 (ETM)
740,000 San Marcos Certificate of Participation Series D, 0% due NR/AAA 594,642
9/2/2005 (ETM)
990,000 Stanton Multi Family Housing Revenue Bond Series 1997, 5.62% due NR/AAA 997,801
8/1/2029 put 8/1/09 (Continental Gardens Project; Collateralized:
FNMA)
700,000 Sulphur Springs School District General Obligation Series B, NR/A 728,196
5.60% due3/1/2004
800,000 Sulphur Springs School District General Obligation Series B, NR/A 842,336
5.70% due3/1/2005
450,000 Sunline Transit Agency Certificate of Participation Series A, A/NR 467,753
5.625% due7/1/2004
215,000 Sunline Transit Agency Certificate of Participation Series A, A/NR 225,449
5.75% due7/1/2005
Colorado (3.10%)
100,000 Arvada Company Industrial Development Revenue, 5.25% due NR/NR 98,063
12/1/2007 (WancoIncorporated Project; LOC: U.S. Bank, N.A.)
450,000 Arvada Company Industrial Development Revenue, 5.60% due NR/NR 440,109
12/1/2012 (WancoIncorporated Project; LOC: U.S. Bank, N.A.)
2,000,000 Central Platte Valley Metropolitan District Company, 5.15% due NR/A 1,924,340
12/1/2013(Insured: ACA)
500,000 Colorado Housing Finance Authority Single Family Program A1/A+ 507,850
SubordinatedSeries C, 5.75% due 10/1/2007
960,000 Colorado Student Obligation Bond Authority Student Loan Revenue A/NR 983,913
Series B,5.90% due 9/1/2002
1,500,000 Colorado Student Obligation Bond Student Loan Senior Subordinated A2/NR 1,560,540
Series B,6.20% due 12/1/2008
2,830,000 Larimer County General Obligation, 8.45% due 12/15/2005 (Poudre A1/NR 3,314,581
SchoolDistrict R1 Project)
2,500,000 Mesa Valley School District Certificate of Participation Series Aaa/AAA 2,588,600
B, 6.875%due 12/1/2005 (Insured: FSA)
195,000 Thornton County Single Family Mortgage Revenue Series 1992-A, A/NR 201,324
8.05% due8/1/2009
Connecticut (0.80%)
1,905,000 Bristol Resource Recovery Facility Operating Committee - Solid A2/NR 1,934,870
WasteRevenue Refunding Series 1995, 6.125% due 7/1/2003 (Ogden
Martin at BristolProject)
65,000 New Britain Senior Citizen Housing Development Mortgage Revenue NR/AAA 66,154
RefundingSeries A, 6.50% due 7/1/2002 (Nathan Hale Apartments
Project; Insured: FHA)
500,000 Stratford General Obligation Series 1992, 7.15% due 3/1/2003 NR/NR 515,425
pre-refunded3/1/01
500,000 Stratford General Obligation Series 1992, 7.20% due 3/1/2004 NR/NR 515,525
pre-refunded3/1/01
District of Columbia (2.00%)
3,000,000 District Columbia Refunding Series B, 6.00% due 6/1/2015 Aaa/AAA 3,177,420
(Insured: MBIA)
1,000,000 District of Columbia Certificate of Participation Series 1993, NR/BBB- 1,046,620
7.30% due1/1/2013
30,000 District of Columbia HFA Mortgage Revenue Refunding, 6.00% due Aaa/AAA 30,041
7/1/2002(Insured: MBIA)
600,000 District of Columbia Hospital Revenue, 5.375% due 8/15/2015 Aaa/AAA 596,322
(ETM)
1,000,000 District of Columbia Hospital Revenue Series 1997-A, 6.00% due Aaa/AAA 1,056,470
8/15/2005(Medlantic Healthcare Group Project: Insured: MBIA)
490,000 District of Columbia Pre-refunded Series A, 5.75% due 6/1/2003 Aaa/NR 504,602
325,000 District of Columbia Revenue, 0% due 2/15/2002 (Assoc. of NR/AA- 303,010
American MedicalColleges)
250,000 District of Columbia Revenue, 0% due 2/15/2004 (Assoc. of NR/AA- 210,063
American MedicalColleges)
510,000 District of Colunbia Un-refunded Balance Refunding A, 5.75% due Baa3/BBB 522,108
6/1/2003
Florida (4.50%)
1,115,000 Broward County Multi Family Housing, 5.40% due 10/1/2011 NR/NR 1,080,848
(Pembroke ParkApts Project; LOC: Florida Housing Finance Corp.)
105,000 Duval County HFA Single Family Housing Revenue Series 94, 6.10% Aaa/NR 109,943
due4/1/2006 (GNMA Guaranteed)
105,000 Duval County HFA Single Family Housing Revenue Series 94, 6.10% Aaa/NR 110,329
due10/1/2006 (GNMA Guaranteed)
1,700,000 Duval County Multi Family Housing Revenue Refunding, 5.90% due NR/A 1,691,228
9/1/2016(Augustine Apartments Project)
2,320,000 Enterprise Community Development District Assessment Bonds, 6.00% Aaa/AAA 2,425,560
due5/1/2010 (Insured: MBIA)
3,000,000 Escambia County Health Facility Revenue, 5.95% due 7/1/2020 Aaa/NR 3,083,610
(FloridaHealth Care Facility Loan Project) (Insured: AMBAC)
155,000 Florida Board of Education Cap Outlay, 9.125% due 6/1/2014 (ETM) Aaa/AAA 206,637
860,000 Florida Board of Education Cap Outlay, 9.125% due 6/1/2014 Aa2/AA+ 1,149,966
1,460,000 Florida Board Of Education Capital Outlay Refunding Public Aa2/AA+ 1,493,784
Education SeriesD, 5.75% due 6/1/2018
320,000 Jacksonville Health Facilities Authority IDR, 7.55% due 12/1/2007 Baa2/NR 339,072
(NationalBenevolent Association Project)
100,000 Lee County Hospital Board Director's Revenue Series A, 5.70% due Aaa/AAA 100,588
4/1/2001(Lee Memorial Hospital Project; Insured: MBIA)
500,000 Orlando & Orange County Expressway Revenue, 8.25% due 7/1/2014 Aaa/AAA 649,505
(Insured:FGIC)
150,000 Osceola County Health Facilities Revenue Series 1994, 5.75% due Aaa/AAA 155,240
5/1/2004(Evangelical Lutheran Good Samaritan Project; Insured:
AMBAC)
2,000,000 Pasco County Housing Finance Authority MFHR, 5.50% due 6/1/2027 NR/AA 2,022,280
put 6/1/08(Cypress Trail Apartments Project; Guaranty: Axa
Reinsurance)
650,000 Pensacola Apartment Revenue Series A, 6.25% due 10/1/2004 Aaa/AAA 684,456
(Insured: MBIA)
1,405,000 South Broward Hospital District Revenue, 7.50% due 5/1/2008 Aaa/AAA 1,524,678
(Insured:AMBAC)
Georgia (0.20%)
250,000 Georgia Municipal Electric Authority Power Revenue Series Y, A3/A 340,563
10.00% due1/1/2010
1,495,000 Richmond County Development Authority Revenue, 0% due 12/1/2021 Aaa/NR 341,981
(ETM)
Hawaii (0.60%)
1,400,000 Hawaii Department Budget & Finance, 5.35% due 7/1/2018 (Wilcox NR/BBB+ 1,140,146
MemorialHospital Project)
970,000 Hawaii Housing Finance Development Corporation Series B, 5.85% Aaa/AA 978,371
due 7/1/2017
Idaho (0.30%)
985,000 Boise City Industrial Development Corporation, 5.40% due A1/NR 957,775
12/15/2009(Western Trailer Company Project; LOC: First Security)
320,000 Idaho Housing Agency Single Family Mortgage Revenue Series C, Aa1/AA 323,798
7.875% due1/1/2021
Illinois (9.70%)
1,930,000 Bedford Park Tax Increment Revenue Refunding Series 1993, 8.00% NR/BBB- 2,168,567
due12/1/2010 pre-refunded 12/1/04
300,000 Central Lake County Joint Action Water Agency Series 1991, 0% due Aaa/AAA 240,024
5/1/2005(Insured: MBIA)
800,000 Champaign County Community Unit Series C, 0% due 1/1/2011 Aaa/AAA 463,352
(Insured: FGIC)
2,285,000 Chicago Tax Increment Allocation Lincoln Belmont A, 5.30% due NR/A 2,110,837
1/1/2014(Insured: ACA)
2,190,000 Davis Junction Solid Waste Series A, 7.25% due 10/1/2015 NR/NR 2,167,925
655,000 Du Page County School District Capital Appreciation, 0% due Aaa/NR 406,650
2/1/2010(Insured: FGIC)
2,860,000 Illinois Development Finance Authority Revenue, 6.00% due Aaa/AAA 3,052,850
11/15/2012(Insured: MBIA)
500,000 Illinois Development Financing Authority, 7.125% due 3/15/2007 NR/A-1 525,400
(Children'sHome & Aid Society Project; LOC: American National
Bank of Chicago)
2,400,000 Illinois Development Financing Authority Debt Restructuring NR/A 2,597,856
Revenue Series1994, 7.25% due 11/15/2009 (East St. Louis Project)
320,000 Illinois Educational Facilities Authority Revenue, 7.125% due NR/AAA 332,599
7/1/2011 pre-refunded 7/01/01
1,500,000 Illinois Educational Facilities Authority Revenues Midwestern NR/A 1,418,970
University B,5.50% due 5/15/2018 (Insured: ACA)
230,000 Illinois Educational Facilities Authority Revenues Pre-refunded Aaa/AAA 249,334
LoyolaUniversity A, 6.00% due 7/1/2011 (Insured: MBIA)
230,000 Illinois Educational Facilities Authority Revenues Pre-refunded Aaa/AAA 248,536
LoyolaUniversity A, 6.00% due 7/1/2012 (Insured: MBIA)
770,000 Illinois Educational Facilities Authority Revenues Unrefunded Aaa/AAA 822,807
BalanceLoyola A, 6.00% due 7/1/2011
770,000 Illinois Educational Facilities Authority Revenues Unrefunded Aaa/AAA 821,505
BalanceLoyola A, 6.00% due 7/1/2012
472,000 Illinois Health Facilities Authority Revenue, 7.60% due 8/15/2010 Aaa/AAA 482,412
(Insured:FSA)
1,900,000 Illinois Health Facilities Authority Revenue, 5.75% due Aaa/AAA 1,963,517
8/15/2013(Childrens Memorial Hospital Series A Project; Insured:
AMBAC)
1,250,000 Illinois Health Facilities Authority Revenue Healthcare Systems, A2/A 1,232,075
6.25% due11/15/2019 (OSF Healthcare)
500,000 Illinois Health Facilities Authority Revenue Refunding Series B2/B+ 400,690
1992, 7.00%due 1/1/2007 (Mercy Hospital Project)
1,000,000 Illinois Health Facilities Authority Revenue Series 1992, 7.00% Baa2/NR 1,037,710
due7/1/2002 (Trinity Medical Center Project) (ETM)
46,000 Illinois Health Facilities Authority Revenue Series A, 7.60% due Aaa/AAA 51,811
8/15/2010(Insured: FSA)
870,000 Illinois Health Facilities Authority Revenue Series A, 6.10% due Aa2/AA+ 891,820
8/15/2014(Northwestern Memorial Hospital Project)
1,525,000 Illinois University Auxiliary Facilities System Revenue Series Aaa/AAA 1,455,857
1992, 0% due10/1/2001 (Insured: MBIA)
1,000,000 Lake County Community Consolidated School District 73, 9.00% due Aaa/NR 1,191,910
1/1/2006(Insured: FSA)
710,000 McHenry County School District Woodstock General Obligation, Aaa/AAA 771,564
6.80% due1/1/2006 (Insured: FSA)
1,015,000 Melrose Park Tax Increment Series B, 6.50% due 12/15/2015 Aaa/AAA 1,096,687
(Insured: FSA)
180,000 Rock Island Residential Mortgage Revenue, 7.70% due 9/1/2008 Aa/NR 185,686
800,000 Sangamon County Property Tax Lease Receipts, 7.45% due 11/15/2006 Aa3/NR 892,952
1,170,000 Sherman Revenue Refunding Mortgage, 6.10% due 10/1/2014 Aaa/AAA 1,165,753
(GNMACollateralized)
1,600,000 Sherman Revenue Refunding Mortgage, 6.20% due 10/1/2019 Aaa/AAA 1,593,104
(GNMACollateralized)
1,000,000 Southwestern Illinois Development Authority Medical Facilities Baa2/BBB+ 1,058,580
Series A,7.00% due 8/15/2012 pre-refunded 8/15/02
500,000 Southwestern Illinois Development Authority Revenue, 5.375% due Baa2/BBB+ 418,670
8/15/2015
1,715,000 Sterling Special Facilities Revenue, 6.00% due 9/1/2014 (LOC: NR/A+ 1,711,690
MercantileBank)
1,590,000 University Illinois University Revenues Capital Appreciation, 0% Aaa/AAA 757,110
due4/1/2014 (Insured: MBIA)
Indiana (5.60%)
895,000 Allen County Economic Development, 5.80% due 12/30/2012 (Indiana NR/NR 894,132
InstituteOf Technology Project)
315,000 Carmel Economic Development Revenue Refunding FHA Loan, 5.875% Aa/NR 322,604
due 9/1/2005(Insured: FHA)
665,000 Danville Community Elementary School Building Corporation, 6.75% NR/A 695,490
due1/15/2004 pre-refunded 1/15/02
1,515,000 Dyer Redevelopment Authority Economic, 6.40% due 7/15/2015 NR/BBB+ 1,554,723
1,910,000 Dyer Redevelopment Authority Economic, 6.50% due 7/15/2016 NR/BBB+ 1,961,952
350,000 East Chicago Elementary School Building First Mortgage Series A, NR/A 375,746
6.25% due7/5/2008
1,000,000 Gary Building Corporation - Lake County First Mortgage Series NR/NR 1,088,770
1994-B, 8.25%due 7/1/2010 (Sears Building Project)
1,020,000 Goshen Chandler School Building Capital Appreciation Refunding, Aaa/AAA 597,088
0% due1/15/2011 (Insured: MBIA)
255,000 Hamilton Heights Refunding Revenue, 6.60% due 1/1/2008 NR/A 268,811
2,600,000 Hamilton Southeastern North Delaware School Building, 6.25% due Aaa/AAA 2,789,878
7/15/2006(Insured: AMBAC)
1,000,000 Huntington Economic Development Revenue, 6.40% due 5/1/2015 NR/NR 1,007,180
(UnitedMethodist Memorial Project)
700,000 Indiana Bond Bank Special Program Series 1991-F, 7.00% due NR/A+ 718,613
8/1/2007
885,000 Indiana Public School Building Corp First Mortgage, 6.00% due NR/AA 942,799
1/5/2007
910,000 Indiana Public School Building Corp First Mortgage, 6.00% due NR/AA 973,464
7/5/2007
1,065,000 Indiana State Educational Facilities Authority Revenue, 5.65% due NR/A- 1,038,727
10/1/2015(University Indianapolis Project)
1,025,000 Indiana State Educational Facilities Authority Revenue, 5.70% due NR/A- 996,720
10/1/2016(University Indianapolis Project)
500,000 Indianapolis Economic Development Revenue, 5.50% due 6/1/2014 Aa3/NR 502,940
740,000 Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/2009 Aa2/AA- 471,691
1,195,000 Lake Central Multi District School Building Mortgage Revenue NR/A 1,251,786
Series 1992-B,6.25% due 1/15/2004 pre-refunded 7/15/02
1,000,000 Penn High School Building Corporation Series 1992, 6.00% due NR/A 1,031,110
6/15/2003
1,200,000 Wawasee Community School Corporation First Mortgage, 5.50% due NR/AA- 1,229,208
7/15/2012
Iowa (2.20%)
185,000 Council Bluffs General Obligation Series B, 5.35% due 6/1/2004 NR/NR 186,278
3,350,000 Iowa Department General Services Certificate of Participation Aaa/AAA 3,502,660
Series 1992,6.50% due 7/1/2006 (Insured: AMBAC)
1,000,000 Iowa Finance Authority Hospital Facility Revenue, 6.00% due Aaa/AAA 1,069,610
7/1/2012(Trinity Regional Hospital Project; Insured: FSA)
1,000,000 Iowa Finance Authority Hospital Facility Revenue, 6.75% due A1/NR 1,047,780
2/15/2016
500,000 Iowa Finance Authority Mortgage Revenue Series A, 5.90% due Aaa/NR 491,515
5/20/2020(Abbey Healthcare; GNMA Collateralized)
2,000,000 Iowa Finance Authority Revenue, 6.00% due 12/1/2018 Aa3/AA- 1,973,700
Kansas (1.20%)
4,200,000 Wichita Hospital Revenue Refunding Improvement Series XI, 6.75% NR/A+ 4,427,892
due11/15/2019
Kentucky (2.40%)
1,000,000 Erlanger Improvement Assessment, 7.375% due 8/1/2010 (Public NR/NR 1,026,540
Improvement1993 Project)
2,160,000 Fulton County Industrial Building Revenue Series 1995, 7.20% due NR/NR 540,000
2/1/2003(H.I.S. Jeans of Kentucky Project; Guarantee: CHIC by
H.I.S.) (a)
2,020,000 Fulton County Industrial Building Revenue Series 1995, 7.60% due NR/NR 505,000
2/1/2007(H.I.S. Jeans of Kentucky Project; Guarantee: CHIC by
H.I.S.) (a)
1,665,000 Hickman Industrial Building Revenue, 6.95% due 8/1/2009 (H.I.S. NR/NR 416,250
Jeans ofKentucky Project) (a)
4,000,000 Kentucky Economic Development Finance Authority Series C, 0% due NR/AAA 3,055,160
10/1/2015(Norton Healthcare Project; Insured: MBIA)
750,000 Kentucky Turnpike Authority Recovery Revenue, 6.00% due 7/1/2009 Aaa/AAA 750,930
(Insured:MBIA)
465,000 Muhlenberg County Industrial Development, 7.00% due 9/1/2001 NR/A- 468,292
(HarscoCorporation Project)
1,120,000 Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% NR/NR 1,166,279
due9/1/2005 (Paul B. Hall Medical Center Project; Health
ManagementAssociates)
935,000 Wilmore Housing Facilities Revenue, 5.55% due 7/1/2013 (LOC: NR/NR 898,572
Allied IrishBank)
Louisiana (2.80%)
455,000 Calcasieu Parish Industrial Development Board Pollution Control Baa3/BBB- 456,733
Revenue,7.80% due 12/1/2005 (Cities Service Corporation Project;
Occidental Corp.)
14,327 East Baton Rouge Mortgage Financing Authority Purchase Revenue, Aaa/AAA 14,242
8.25% due2/25/2011 (GNMA Collateralized)
250,000 Louisiana Public Facilities Authority MFHR, 5.95% due 6/15/2019 NR/AA 253,590
(CarlyleApts. Project; Insured: AXA)
6,666,667 Louisiana Public Facilities Authority Revenue Refinancing, 8.00% NR/NR 5,316,667
due10/1/2009 (Schwegman Westside Expressway Project)(a)
6,500,000 Orleans Parish School Board, 0% due 2/1/2008 (ETM) Aaa/AAA 4,265,755
Maine (0.10%)
410,000 Maine Student Loan Revenue Refunding, 6.90% due 11/1/2003 A/NR 416,658
Maryland (0.30%)
935,000 Ann Arundel County Multi Family Housing Revenue, 7.45% due NR/BBB 976,262
12/1/2024 put12/1/03 (Twin Coves Apartment Project; Hud Section
8)
Massachusetts (2.60%)
275,000 Haverhill General Obligation Municipal Purpose Loan Series 1991, Baa3/BBB 288,857
7.50% due10/15/2011
230,000 Holyoke General Obligation School Project Loan Act of 1948, 7.35% Baa1/NR 236,960
due8/1/2002 pre-refunded 8/1/01
1,000,000 Holyoke General Obligation School Project Loan Act of 1948, 7.65% Baa1/NR 1,045,610
due8/1/2009 pre-refunded 8/1/01
1,475,000 Massachusetts Development Finance Agency Refunding, 6.25% due NR/NR 1,315,022
1/1/2015
500,000 Massachusetts Health & Education Facilities Authority Revenue, Baa3/NR 485,975
6.25% due7/1/2004
500,000 Massachusetts Health & Education Facilities Authority Revenue, Aaa/NR 530,080
6.625% due11/15/2022 pre-refunded 11/15/04
2,510,000 Massachusetts Housing Finance Authority Insured Rental Housing Aaa/AAA 2,550,110
Series1994-A, 6.20% due 1/1/2006 (Insured: AMBAC)
1,905,000 Massachusetts Industrial Financing Agency Revenue Series A, Aaa/AAA 1,968,436
6.125% due12/1/2011 (Insured: MBIA)
1,000,000 Massachusetts Industrial Financing Authority Revenue Refunding Baa1/BBB+ 1,016,820
Series1993-A, 6.15% due 7/1/2002 (Massachusetts Refusetech
Project)
Michigan (3.90%)
455,000 Auburn Hills Economic Limited Obligation Revenue Refunding and NR/NR 457,889
Improvement,6.15% due 12/1/2005 (Foamade Industries Project; LOC:
Michigan NationalBank)
500,000 Detroit Unlimited Tax General Obligation, 8.00% due 4/1/2011 Baa1/AAA 518,810
pre-refunded4/1/01
1,000,000 Flint Hospital Building Authority Revenue, 5.375% due 7/1/2018 NR/A 904,850
(Hurley MedCenter Project; Insured: ACA
1,000,000 Flint Refunding Tax Increment General Obligation Fin Auth, 6.125% Baa3/NR 992,120
due6/1/2006
650,000 Kalamazoo Hospital Finance Authority Revenue Series 1994A, 6.25% Aaa/AAA 708,799
due6/1/2014 (Borgess Medical Center; ETM)
1,000,000 Kent Hospital Finance Authority Michigan Hospital, 7.25% due Aaa/AAA 1,165,990
1/15/2013(Insured: MBIA)
965,000 Kent Hospital Finance Authority Revenue Refunding Series 1992, Aaa/AAA 996,343
6.20% due11/1/2002 (Pinerest Christian Hospital Project; Insured:
FGIC)
2,350,000 Michigan Higher Education Facilities Authority Refunding NR/A+ 2,265,518
LimitedObligation, 5.35% due 5/1/2015 (Thomas M. Cooley; LOC:
First of AmericaBank)
1,000,000 Michigan Housing Development Authority Rental Revenue, 4.85% due NR/A+ 1,023,910
4/1/2004(Insured: AMBAC)
500,000 Michigan Housing Redevelopment Authority Ltd. Obligation, 6.50% Aaa/AAA 520,560
due9/15/2007 (Greenwood Villa Project; Insured: FSA)
1,215,000 Michigan Strategic Fund Limited Obligation Refunding Revenue NR/NR 1,259,967
Series 1992,6.25% due 8/15/2004 (Environmental Research Institute
Project; pre-refunded8/15/02)
575,000 Michigan Strategic Fund Refunding Series B, 5.125% due 9/1/2013 Aa3/NR 552,132
(HopeNetwork Project; LOC: First of America Bank)
1,530,000 Southfield Economic Development Corporation Refunding Revenue NR/NR 1,550,441
N.W. 12Limited Partneship, 7.25% due 12/1/2010
1,025,000 Wayne County Building Authority Limited Tax General Obligation A3/A- 1,089,913
Sinking FundSeries 1992-A, 7.80% due 3/1/2005 pre-refunded
3/1/02
225,000 Wayne County Downriver System Sewage Disposal Series A, 7.00% due A3/A- 237,994
11/1/2013pre-refunded 11/1/02
Minnesota (0.40%)
820,000 Monticello Pollution Control Revenue Northern States Power Co., A1/A 822,091
5.375% due2/1/2003
500,000 Southern Minnesota Municipal Power Agency Supply Series C, 5.00% Aaa/AAA 468,720
due1/1/2017 (Insured: MBIA)
Mississippi (1.60%)
3,300,000 Adams County Hospital Revenue Series 1991, 7.90% due 10/1/2008 Aaa/NR 3,476,220
(JeffersonDavis Memorial Hospital Project; pre-refunded 10/1/01
1,500,000 Mississippi Higher Educational Authority Series C, 7.50% due NR/NR 1,564,755
9/1/2009
1,000,000 Mississippi Hospital Equipment Revenue, 6.40% due 1/1/2007 (Rush Baa3/AAA 1,039,770
FoundationProject; Guaranteed: Connie Lee)
Missouri (0.90%)
650,000 Missouri Health and Education Facilities Authority, 0% due NR/NR 597,552
7/1/2002(Missouri Baptist Medical Center Project) (ETM)
2,365,000 St. Louis Board of Education General Obligation, 8.50% due Aaa/AAA 2,657,621
4/1/2004(Insured: FGIC)
Montana (0.20%)
770,000 Montana Higher Education Student Assistance Corp Series 1992-B, A/NR 807,453
7.05% due6/1/2004
Nebraska (0.20%)
750,000 Clay County Industrial Development Revenue, 5.25% due 3/15/2014 NR/NR 697,875
(HybridsCooperative Project; LOC: US Bank)
Nevada (0.50%)
370,000 Clark County Certificate of Participation, 5.75% due 3/17/2001 A2/NR 371,606
(UniversityMedical Center Project)
2,600,000 Washoe County Capital Appreciation Reno Sparks Series B, 0% due Aaa/AAA 1,476,618
7/1/2011(Insured: FSA)
New Hampshire (0.30%)
1,000,000 New Hampshire Higher Educational Health, 5.25% due 10/1/2018 NR/A 912,980
(FranklinPierce College Project; Insured: ACA)
New Jersey (0.50%)
280,000 Cape May County Municipal Utilities Authority, 6.60% due A1/A+ 290,491
8/1/2003pre-refunded 8/1/01
345,000 New Jersey EDA Refunding Revenue, 7.50% due 12/1/2019 (Spectrum NR/A 355,871
for LivingDevelopment Project; LOC: PNC Bank)
500,000 New Jersey Educational Facility Authority, 6.375% due 7/1/2020 Baa3/NR 487,345
(BethMedrash Govoha America G Project)
500,000 New Jersey Health Care - Kennedy Health Systems Obligation Group Aaa/AAA 529,420
B , 5.75%due 7/1/2008 (Insured: MBIA)
275,000 New Jersey Higher Education Student Loan Revenue Series 1991-A, A/NR 284,111
7.00% due7/1/2005
New Mexico (0.50%)
800,000 Farmington Pollution Control Revenue, 5.50% due 5/1/2024 (put P1/A1+ 800,000
10/1/00) (daily demand notes)
590,000 Sandia Pueblo General Obligation, 5.40% due 12/1/2003 (LOC: NR/AA- 594,879
Norwest Bank)
600,000 Sandia Pueblo General Obligation, 5.60% due 12/1/2005 (LOC: NR/AA- 606,168
Norwest Bank)
New York (2.20%)
300,000 Allegheny County IDA Civic Facilities, 7.10% due 9/1/2001 Baa1/NR 307,008
(AlfredUniversity Project) (ETM)
1,000,000 Nassau Health Care Corporation, 6.00% due 8/1/2011 (Insured: FSA) Aaa/AAA 1,079,340
1,000,000 New York City General Obligation Refunding Series B, 7.50% due A2/A 1,010,330
2/1/2001
1,000,000 New York City General Obligation Series A, 6.25% due 8/1/2008 A2/A 1,080,650
1,935,000 New York City General Obligation Series E, 6.00% due 8/1/2008 Aaa/AAA 2,074,900
(Insured:FGIC)
500,000 New York Dormitory Authority Revenue Series B, 6.25% due Aaa/AAA 537,290
5/15/2014 pre-refunded 5/15/04
250,000 New York Housing Finance Agency SVC Contract Obligation Revenue Baa1/A 254,695
Series A,6.375% due 9/15/2015
1,500,000 New York Local Government Assistance Corporation Series 1992, Aaa/AA- 1,581,495
6.875% due4/1/2006 pre-refunded 4/1/02
100,000 Onondaga County Industrial Development Civic Facilities Revenue, NR/A+ 103,824
7.90% due1/1/2017 pre-refunded 1/1/03 (LOC: Fleet Trust Company)
North Carolina (0.50%)
650,000 Craven County Industrial Facilities Pollution Control Financing NR/NR 667,427
AuthoritySolid Waste Revenue, 7.875% due 6/1/2005 (Weyerhaeuser
Company Project)
1,200,000 North Carolina Eastern Municipal Power Refunding Series A, 5.70% Aaa/AAA 1,229,712
due1/1/2013 (Insured: MBIA)
North Dakota (0.10%)
365,000 Grand Forks Health Care System Revenue Bonds Series 1997, 6.25% Aaa/AAA 392,382
due8/15/2006 (Altra Health Systems Obligated Group Project;
Insured: MBIA)
Ohio (2.60%)
495,000 Bellefontaine Hospital Facility Revenue and Refunding Series NR/BBB 502,870
1993, 6.00%due 12/1/2002 (Mary Rutan Health-Logan County Project)
250,000 Bowling Green State University General Receipts Series 1991, A2/A 257,910
6.70% due6/1/2007
1,000,000 Butler County Transportation Improvement, 6.00% due 4/1/2010 Aaa/AAA 1,080,980
(Insured: FSA)
670,000 Cleveland Certificate of Participation, 7.10% due 7/1/2002 (Motor Baa1/A- 677,625
Vehicle &Community Equipment Project)
1,000,000 Cleveland Parking Facilities Improvement Revenue Series 1992, NR/NR 1,082,120
8.00% due9/15/2012 pre-refunded 9/15/02 @ 102
1,500,000 Cuyahoga County Mortgage Revenue Bonds Series 1997-E, 5.40% due NR/NR 1,470,945
1/1/2018 put 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% due Aa2/NR 1,138,379
11/1/2010(Heinzerling Foundation Project; LOC: BancOne -
Columbus)
500,000 Franklin County Hospital, 5.80% due 12/1/2005 (Doctors Project) A3/NR 524,175
1,050,000 Hamiliton County Hospital Facilities Refunding Revenue Series Aa2/NR 1,083,138
1992, 6.80%due 1/1/2008 (Episcopal Retirement Homes, Inc.
Project; LOC: Fifth/ThirdBank)
700,000 Hamilton County Hospital Facilities Refunding Revenue Series Aa2/NR 720,230
1992, 6.55%due 1/1/2003 (Episcopal Retirement Homes, Inc.
Project; LOC: Fifth/ThirdBank)
350,000 Ohio Economic Development Revenue Series 1995-2, 5.60% due NR/A- 354,028
6/1/2002 (WirtMetal Products Project)
760,000 Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, Aaa/NR 782,542
5.70% due10/20/2012 (GNMA Collateralized)
Oklahoma (1.60%)
1,020,000 Oklahoma City Municipal Impt Authority, 0% due 7/1/2008 (Insured: Aaa/AAA 689,163
AMBAC)
500,000 Oklahoma City Municipal Water Sewer Capital Appreciation Series Aaa/AAA 375,870
C, 0% due7/1/2006 (Insured: AMBAC)
195,000 Oklahoma City Municipal Water Sewer Series C, 0% due 7/1/2007 Aaa/AAA 139,041
(Insured:AMBAC)
1,075,000 Oklahoma City Municipal Water Sewer Series C, 0% due 7/1/2011 Aaa/AAA 610,524
(Insured:AMBAC)
1,485,000 Oklahoma City Municipal Water Sewer Series C, 0% due 7/1/2013 Aaa/AAA 740,525
(Insured:AMBAC)
40,000 Pryor Creek EDA Mortgage Revenue Refunding Series 1991-A, 6.625% NR/AAA 40,304
due7/1/2001 (FNMA Guaranteed)
785,000 Pushmataha County Town of Antlers Hospital Authority Revenue NR/NR 820,505
Series 1991,8.75% due 6/1/2006
1,485,000 Tulsa Industrial Development Authority Hospital Revenue, 6.10% Aa3/AA 1,584,139
due2/15/2009 (Medical Center Project; pre-refunded 2/15/06 @ 106
500,000 Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due Aaa/AAA 519,780
11/1/2006(Ogden Martin Project; Insured: AMBAC)
500,000 Woodward Municipal Hospital Authority Revenue Series 1994, 8.25% NR/NR 526,385
due11/1/2009
Oregon (2.00%)
1,025,000 Albany Hospital Facility Authority Gross Revenue and Refunding NR/NR 1,028,967
Series 1994,7.00% due 10/1/2005 (Mennonite Home Project)
2,755,000 Clackamas County Hospital Facility Refunding Odd Fellows Home NR/NR 2,414,620
Series A,5.70% due 9/15/2013
800,000 Forest Grove Campus Improvement & Refunding Pacific University, NR/AA 831,264
6.00% due5/1/2015 (Insured: Asset Guaranty)
900,000 Oregon Economic Development Department Revenue Series CLII, 7.00% Aa1/NR 928,863
due12/1/2002 (Smokecraft Project; LOC: Seafirst Bank)
1,070,000 Oregon Economic Development Department Revenue Series CLII, 7.70% Aa1/NR 1,138,565
due12/1/2014 (Smokecraft Project; LOC: Seafirst Bank)
1,000,000 Port of Portland Industrial Revenue Series 85, 7.25% due NR/NR 1,039,390
10/1/2009 (AshGrove Cement Project)
Pennsylvania (4.90%)
500,000 Allegheny County Hospital Development, 7.00% due 8/1/2015 (ETM) NR/AAA 569,870
1,400,000 Allegheny County Hospital Development Health Series B, 6.50% due A2/NR 1,457,638
5/1/2012
2,050,000 Allegheny County Hospital Revenue, 6.00% due 4/1/2006 (University Aaa/AAA 2,170,827
ofPittsburgh Hospital; Insured: MBIA)
1,880,000 Beaver County Hospital Revenue, 6.60% due 7/1/2004 pre-refunded Aaa/AAA 1,981,182
7/1/02 @102 (Insured: AMBAC)
2,000,000 Carbon County Industrial Development Authority Refunding, 6.65% NR/BBB- 2,033,840
due5/1/2010 (Panther Creek Partners Project)
575,000 Chartiers Valley School District Capital Appreciation Refunding Aaa/AAA 419,773
Series 2,0% due 3/1/2007 (ETM)
2,800,000 Harrisburg Authority Lease Revenue, 6.50% due 6/1/2004 crossover Aaa/AAA 2,866,248
refunded6/1/01 @ 101 (Insured: FSA)
800,000 Harrisburg Authority Lease Revenue Series 1991, 6.625% due Aaa/AAA 819,584
6/1/2006crossover refunded 6/1/01 @ 101 (Insured: Capital
Guaranty)
785,000 Lehigh County General Purpose Shephard Rehab Hosp, 6.00% due Aaa/AAA 838,804
11/15/2007(Insured: AMBAC)
150,008 Lehigh County Industrial Development Authority Revenue, 7.45% due Ba2/NR 150,234
8/1/2001(Kresge Company Project)
800,000 McKeesport Area School District Series B, 0% due 10/1/2004 NR/A 656,672
1,000,000 Montgomery County Industrial Development Authority Revenue, 7.50% NR/A+ 1,026,730
due1/1/2012 (LOC: Banque Paribas)
2,032,839 Pennsylvania High Education University Compound Interest Series Aaa/AAA 473,895
14, 0% due7/1/2020 (Insured: AMBAC)
915,000 Philadelphia Water & Sewer Revenue 10th Series, 7.35% due Aaa/AAA 975,582
9/1/2004 (ETM)
750,000 Pine Richland School District, 0% due 9/1/2003 pre-refunded Aaa/AAA 653,453
9/1/01 @ 89.8(Insured: AMBAC)
1,000,000 Scranton Lackawanna Health & Welfare Authority, 7.125% due Ba3/NR 939,200
1/15/2013
Rhode Island (0.90%)
595,000 Pawtucket Public Building Authority Water System Revenue, 7.45% Aaa/NR 619,937
due7/1/2005 pre-refunded 7/1/01 @ 102
680,000 Providence Public Building Authority Revenue, 7.10% due 12/1/2003 Baa2/NR 712,980
pre-refunded 12/1/01 @ 102 (Veazie Street School and Modular
ClassroomProject)
1,000,000 Rhode Island Health & Education Building Refunding, 6.00% due NR/AAA 1,018,250
8/1/2014(Insured: FHA)
355,000 Rhode Island Health & Educational Building Corporation Series NR/AAA 367,911
1991, 7.10%due 11/1/2002 pre-refunded 11/1/01 @ 101 (South
County Hospital Project)
720,000 West Warwick General Obligation, 5.90% due 1/1/2005 (Insured: Aaa/AAA 742,586
MBIA)
South Carolina (0.40%)
950,000 Florence County Certificate of Participation Series, 6.00% due Aaa/AAA 994,678
3/1/2008(Insured: AMBAC)
360,000 Medical University Hospital Facilities Revenue, 6.00% due Baa2/A 369,857
7/1/2014
South Dakota (0.10%)
500,000 South Dakota Student Loan Series 1991-A, 7.60% due 8/1/2004 NR/A+ 522,080
pre-refunded8/1/01 @ 102
Texas (11.90%)
1,200,000 Bexar County Housing Finance Corporation Multi Family Housing, Aaa/NR 1,200,324
5.40% due8/1/2012 (Dymaxion & Marrach Park Apts A Project;
Insured: MBIA)
1,270,000 Bexar County Housing Finance Corporation Multi Family Housing, Aaa/NR 1,279,753
5.95% due8/1/2020 (Dymaxion & Marrach Park Apts A Project;
Insured: MBIA)
975,000 Bexar County Housing Finance Corporation Series A, 5.875% due Aaa/NR 984,331
4/1/2014(Honey Creek Apartments Project)
800,000 Bexar County Housing Finance Corporation Series A, 6.125% due Aaa/NR 807,560
4/1/2020(Honey Creek Apartments Project; Insured: MBIA)
2,800,000 Birdville Independent School District Refunding, 0% due 2/15/2012 Aaa/AAA 1,530,480
(PSFGuaranteed)
1,130,000 Carroll Independent School District Capital Appreciation Aaa/AAA 639,603
Refunding, 0% due2/15/2011 (PSF Guaranteed)
1,000,000 Conroe Independent School District Refunding Series 1992, 0% due Aaa/AAA 790,500
2/1/2005(PSF Guaranteed)
1,000,000 Conroe Independent School District Refunding Series 1992, 0% due Aaa/AAA 786,680
2/1/2005(PSF Guaranteed)
5,000,000 Coppell Independent School District Capital Appreciation NR/AAA 2,406,450
Refunding, 0% due8/15/2013 (PSF Guaranteed)
3,750,000 El Paso Independent School District Capital Appreciation Aaa/AAA 2,228,212
Refunding, 0% due8/15/2010 (PSF Guaranteed)
2,500,000 El Paso Independent School District Capital Appreciation Aaa/AAA 1,394,375
Refunding, 0% due8/15/2011 (PSF Guaranteed)
460,000 El Paso Multi Family Housing Revenue Series A , 6.00% due A1/NR 463,418
12/1/2001
590,000 El Paso Multi Family Housing Revenue Series A, 6.15% due A1/NR 597,841
12/1/2002
2,460,000 Ennis Independent School District Refunding, 0% due 8/15/2012 Aaa/NR 1,285,424
(PSFGuaranteed)
2,490,000 Ennis Independent School District Refunding, 0% due 8/15/2013 Aaa/NR 1,216,564
(PSFGuaranteed)
2,525,000 Ennis Independent School District Refunding, 0% due 8/15/2014 Aaa/NR 1,151,274
135,000 Harris County Flood Control District, 0% due 10/1/2006 Aa1/AA 89,945
570,000 Harris County Municipal Utility District 118 Unlimited Tax and Aaa/AAA 463,666
RevenueRefunding Series 1992, 0% due 3/1/2004 (Insured: MBIA)
525,000 Harris County Municipal Utility District 118 Unlimited Tax and Aaa/AAA 398,202
RevenueRefunding Series 1992, 0% due 3/1/2005 (Insured: MBIA)
880,000 Houston Water Conveyance System Contract Certificate of Aaa/AAA 960,626
ParticipationSeries F, 7.20% due 12/15/2004 (Insured: AMBAC)
465,000 Hunt Memorial Hospital District, 0% due 2/15/2001 A/A 456,486
2,000,000 Leander Independent School District Unlimited Tax School Building Aaa/NR 1,632,280
&Refunding Series 1992, 0% due 8/15/2005 (PSF Guaranteed)
800,000 Mesquite General Obligation, 0% due 2/15/2002 A1/A+ 748,480
800,000 Midland County Hospital District Revenue, 0% due 6/1/2007 NR/A- 542,008
1,000,000 Midlothian Independent School District Capital Appreciation Aaa/NR 546,600
Refunding, 0%due 2/15/2012 (PSF Guaranteed)
2,400,000 North Central Texas Health Facility Development Series B, 5.75% Aaa/AAA 2,388,216
due2/15/2015 (Insured: MBIA)
1,775,000 Stafford Economic Development, 6.00% due 9/1/2017 (Insured: FGIC) Aaa/AAA 1,868,170
715,000 Tarrant County Health Facilities, 6.00% due 9/1/2004 (Harris Aaa/AAA 750,521
MethodistHealth Systems Project; Insured: AMBAC) (ETM)
3,500,000 Tarrant County Health Facilities, 6.625% due 11/15/2020 Baa1/A- 3,431,120
(Adventist/Sunbelt)
2,500,000 Texarkana Health Facilities Hospital Refunding Series A, 5.75% Aaa/AAA 2,609,850
due10/1/2011 (Insured: MBIA)
3,000,000 Travis County Health Facilities Development Series A, 6.25% due Aaa/AAA 3,203,940
11/15/2014(Ascension Health Project (Insured: MBIA)
2,000,000 Travis County Health Facilities Development Series A, 5.75% due Aaa/AAA 2,111,420
11/15/2010(Ascension Health Project) (Insured: MBIA)
500,000 Trinity Water Revenue, 5.75% due 10/15/2000 (Livingston Project) A/A+ 500,265
870,000 Waco Health Facilities Development Corporation Series A, 6.00% Aa2/AA 890,480
due11/15/2015 (Ascension Health)
1,050,000 Waco Health Facilities Development Corporation Series A, 6.00% Aa2/AA 1,068,238
due11/15/2016 (Ascension Health)
500,000 West Harris County Municipal Utility Refunding, 6.00% due NR/AA 511,985
3/1/2017 (AssetGuaranty)
Utah (1.80%)
1,000,000 Intermountain Power Agency Revenue 1986 Series B, 5.00% due A1/A+ 920,920
7/1/2016
435,000 Ogden Neighborhood Development Agency Tax Increment Revenue, 0% A3/NR 322,313
due12/30/2005 (LOC: Sumitomo Bank)
2,500,000 Salt Lake County Housing Authority MFHR Refunding Series 1993, Aa3/NR 2,555,900
5.40% due12/15/2018 put 12/15/03 (Summertree Project; LOC:
Commerzbank)
1,990,000 Utah Housing Finance Agency, 6.05% due 7/1/2016 (Insured: FHA) NR/AAA 2,003,910
800,000 Utah Housing Finance Agency Single Family Mortgage D 2 Class I, Aa2/AA 815,640
5.85% due7/1/2015
Virginia (3.30%)
2,000,000 Alexandria Industrial Development Authority, 5.90% due 10/1/2020 Aaa/AAA 2,041,060
(Insured:AMBAC)
1,500,000 Alexandria Industrial Development Authority Institute For Defense Aaa/AAA 1,584,825
AnalysesA, 6.00% due 10/1/2014 (Insured: AMBAC)
1,590,000 Alexandria Industrial Development Authority Institute For Defense Aaa/AAA 1,672,330
AnalysesA, 6.00% due 10/1/2015 (Insured: AMBAC)
500,000 Arlington County Industrial Development, 6.30% due 7/1/2016 NR/A 507,895
2,000,000 Hampton Redevelopment Housing Authority Multi Family Housing Baa1/AA 2,089,980
RefundingSeries 1994, 7.00% due 7/1/2024 put 7/1/04 (Chase
Hampton ApartmentsProject; LOC: Credit Suisse)
2,000,000 Suffolk Redevelopment Housing Authority MFHR, 7.00% due 7/1/2024 Baa1/NR 2,089,980
put7/1/04 (Chase Heritage @ Dulles Project)
250,000 Virginia Housing Development Authority Series A, 7.10% due Aa1/AA+ 258,103
1/1/2017
1,030,000 Virginia Housing Development Authority Series C-7, 5.40% due Aa1/AA+ 1,031,823
1/1/2001
1,000,000 Virginia Housing Development Authority Subordinated Series D-3, Aa1/AA+ 1,032,180
6.05% due7/1/2013
Washington (4.60%)
1,000,000 Bremerton Water & Sewer Improvement Revenue Series B, 6.00% due Aaa/AAA 1,037,550
9/1/2003(Insured: FGIC)
1,100,000 Clark County Industrial Revenue Solid Waste Transfer Stations Aa3/NR 1,139,545
Series 1991,7.50% due 12/15/2006 (Columbia Resource Company
Project; LOC: U.S. Bank ofOregon)
350,000 Grant County Public Utility District 002 Wanapum Hydro Electric Aaa/AAA 360,280
RevenueSeries C, 6.00% due 1/1/2003 (Insured: AMBAC)
415,000 Grant County Public Utility District 002 Wanapum Hydro Electric Aaa/AAA 438,447
RevenueSeries C, 6.00% due 1/1/2006 (Insured: AMBAC)
1,500,000 Pilchuck Development Public Corporation IDRB Series 1993, 6.25% Aa3/NR 1,520,805
due8/1/2010 (Little Neck Properties Project; LOC: U.S. Bancorp)
790,000 Port of Grays Harbor Revenue Refunding, 6.05% due 12/1/2002 A3/BBB+ 810,406
2,690,000 Washington Health Care Facilities, 5.50% due 12/1/2010 (Insured: Aaa/AAA 2,787,324
MBIA)
1,735,000 Washington Health Care Facilities, 6.00% due 12/1/2014 (Insured: Aaa/AAA 1,801,329
MBIA)
1,945,000 Washington Health Care Facilities, 6.00% due 12/1/2015 (Insured: Aaa/AAA 2,005,120
MBIA)
400,000 Washington Health Care Facilities Authority Revenue, 7.875% due NR/NR 410,132
12/1/2009pre-refunded 12/1/00 @ 102 (LOC: Allied Irish Banks)
1,500,000 Washington Health Care Facilities Refunding, 6.375% due 10/1/2010 Aaa/AAA 1,655,850
(Insured:FGIC)
500,000 Washington Nonprofit Housing, 5.60% due 7/1/2011 (Kline Galland NR/AA 490,465
CenterProject; Asset Guaranty)
1,000,000 Washington Nonprofit Housing, 5.875% due 7/1/2019 (Kline Galland NR/AA 981,520
CenterProject; Asset Guaranty)
1,000,000 Washington Public Power Supply Capital Appreciation Refunding Ser Aa1/AA- 563,190
B, 0% due7/1/2011
960,000 Washington Public Power Supply System, 0% due 7/1/2010 (Project: Aa1/AA- 574,656
3)
400,000 Washington Public Power Supply System Series 1991-A, 6.75% due Aaa/AA- 414,676
7/1/2005(Project: 1)
West Virginia (1.40%)
3,100,000 West Virginia Parkway Economic Development Tourism Authority Aaa/AAA 3,104,030
Series 1993,1.85% due 5/15/2002 (Insured: FGIC) (Inverse Floater)
2,000,000 West Virginia Statewide Commission Lottery Revenue Series 1997-A, Aaa/AAA 2,068,180
5.50% due7/1/2005 (Insured: MBIA)
Wisconsin (1.20%)
245,000 Bass Lake PCRB, 6.50% due 4/1/2005 (Johnson Timber Corp. Project; Aaa/NR 249,618
SBAGuaranty)
1,000,000 Wisconsin Health and Education, 7.75% due 11/1/2015 (Hess NR/NR 1,030,860
Memorial HospitalProject)
1,200,000 Wisconsin Health and Educational Facilities, 5.50% due 2/15/2018 NR/A- 1,014,468
2,000,000 Wisconsin Housing and Economic Development Housing Series A, Aaa/AAA 1,975,320
5.875% due11/1/2016 (Insured: AMBAC)
145,000 Wisconsin Housing and Economic Development Series F, 7.40% due Aa2/AA 150,934
7/1/2013
U. S. Virgin Islands (0.70%)
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
TOTAL INVESTMENTS (99%) (Cost $366,587,185) $ 367,457,734
<FN>
+ Credit ratings are unaudited.
See notes to financials.
</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 (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 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, 2000. On September 30, 2000, 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 8.3
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.
Class A Shares
Average Annual Total Returns (periods ending 9/30/00)(at max. offering price)
One year: 1.13%
Five years: 3.89%
Since inception: (7/23/91): 5.77%
Class C Shares
Average Annual Total Returns (periods ending 9/30/00)
One year: 2.70%
Five years: 3.87%
Since inception: (9/1/94): 4.41%
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
