UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05201
Thornburg Investment Trust
(Exact name of registrant as specified in charter)
119 East Marcy Street, Santa Fe, New Mexico 87501
(Address of principal executive offices) (Zip code)
Garrett Thornburg, 119 East Marcy Street, Santa Fe, New Mexico 87501
(Name and address of agent for service)
Registrant’s telephone number, including area code: 505-984-0200
Date of fiscal year end: | June 30, 2004 | ||
Date of reporting period: | June 30, 2004 |
Item 1. Reports to Stockholders
The following annual reports are attached hereto, in order:
Thornburg Limited Term Municipal Fund | |||
Thornburg Limited Term Municipal Fund Class I | |||
Thornburg California Limited Term Municipal Fund | |||
Thornburg California Limited Term Municipal Fund Class I | |||
Thornburg New York Intermediate Municipal Fund |
Thornburg Limited Term Municipal Fund
Annual Report
June 30, 2004
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
www.thornburg.com
This report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Performance data quoted represent past performance and do not guarantee future results.
Thornburg Limited Term Municipal Fund
ALL DATA AS OF 06/30/2004.
FUND FACTS: Thornburg Limited Term Municipal Fund
A Shares | C Shares | ||
---|---|---|---|
Annualized Distribution Rate (at NAV) | 2.83% | 2.57% | |
SEC Yield | 2.08% | 1.84% | |
NAV | $ 13.68 | $ 13.70 | |
Maximum Offering Price | $ 13.89 | $ 13.70 |
TOTAL RETURNS: (Annual Average - After Subtracting Maximum Sales Charge)
One Year | (1.02)% | (0.38)% | |
Three Years | 3.46% | 3.64% | |
Five Years | 4.15% | 4.10% | |
Ten Years | 4.42% | N/A | |
Fifteen Years | 5.20% | N/A | |
Since Inception | 6.06% | 4.13% | |
Inception Date | 9/28/84 | 9/1/94 |
Total return figures for the Public Offering Price (POP) include subtraction of maximum sales charge of 1.50% for the A shares. Total return figures at the public offering price for the C shares include a 0.50% CDSC for the first year only. |
Performance data quoted represent past performance and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. |
Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this information is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period. |
The distribution rate is calculated by taking the sum of the month’s total daily dividend distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending NAV to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions. |
Letter to shareholders
Thornburg Limited Term Municipal Fund July 14, 2004
Dear Fellow Shareholder:
I am pleased to present the annual report for the Thornburg Limited Term Municipal Fund. The net asset value of the A shares decreased by 33¢ to $13.68 during the year ended June 30, 2004. If you were with us for the entire period, you received dividends of 39.6per share. If you reinvested dividends, you received 40.1¢ per share. Investors who owned C shares received dividends of 35.7¢ and 36.1¢ per share, respectively.
Over the last year, interest rates on high-quality municipal bonds have risen dramatically. Most of the change happened in April and May of this year. Usually, bond market participants take their cue, at least in part, from the Federal Reserve. In April and May of 2004, the bond market jumped the gun. In anticipation of a rising Fed Funds rate, investors sold bonds, which pushed up the yield on a 5-year Treasury note from a low of 2.64% on March 16th to 3.93% on June 30th. The municipal market followed suit. The yield on a 5-year AAA-rated municipal bond rose from a low of 2.09% to 3.16% at the quarter’s end.
The rise in rates caused bond prices to move down sharply, leading to the worst quarterly total return for bonds since 1994. Our strategy of laddering short and intermediate bonds helped diffuse some, but not all, of the downward price pressures. Thornburg Limited Term Municipal Fund A shares produced a total return of 0.47% for the year ended June 30, 2004. This compares favorably to the Lehman Brothers 5-year Municipal Bond Index, which posted a 0.24% return over the same time period. Your Fund’s out-performance was mostly due to its dispersion of maturities and its shorter duration relative to the index.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 660 municipal obligations from 49 states. Approximately 93% of the bonds are rated A or better by one of the major rating agencies. Today, your Fund’s weighted average maturity is 3.9 years, and we normally keep it below 5 years. As you know, we “ladder” the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years.
When interest rates rise, virtually all bonds fall in value. However, as the bonds in a laddered portfolio approach maturity, they tend to recapture lost value. Meanwhile, cash from maturing bonds can be reinvested in a higher interest rate environment, raising the portfolio’s yield. In this way, a laddered portfolio should benefit from rising interest rates over time.
We have been targeting a somewhat shorter duration than normal so far this year because we have been concerned about a rise in interest rates. Now that rates have moved up by over 1.00%, is it time to start extending duration? We have decided not to extend your Fund’s duration yet because we believe that interest rates are more likely to increase than decrease in the months ahead.
Most indicators of economic activity are strong. Personal consumption expenditures are up 4.1% and corporate cash flows have surged 24% in the last year. Almost one million new jobs have been created in the last three months. Clearly a 1.25% Fed Funds rate is inconsistent with such robust economic growth. Since bond yields rose earlier this year, our bond market has already built-in expectations of a somewhat higher Fed Funds rate. The next major question concerns what happens to economic growth and inflation after the Fed Funds rate hits 2.5%.
We believe that the economy has enough momentum to continue growing rapidly in such a scenario. Furthermore, we believe that we are only beginning to see the long-term effects on inflation of government policies over the last three years. Low interest rates, tax cuts, deficit spending, and a weak dollar have all combined to create an environment where businesses and their workers have more pricing power. We expect that this will translate to a sustained, though moderate, rise in the official inflation statistics over the next several years.
2
Letter to shareholders, Continued
Thornburg Limited Term Municipal Fund
If these events unfold as we expect, bond yields should eventually resume their upward path. We have positioned your Fund with this outlook in mind. The duration is near the short end of its typical range, and the ladder is somewhat more concentrated in shorter maturities. We are looking forward to a buyer-friendly environment in the future when we will hopefully be able to add a significant amount of additional yield while positioning your Fund to perform well for years to come.
Thanks to a strong economy and some recently implemented tax increases, state tax revenue is up a healthy 8.1% over last year. Surpluses are showing up in states that worked hard to balance this year’s budget. Where budgets were not properly balanced, deficits are becoming easier to solve. A few pockets of weakness still exist, but by and large, municipal bond credit quality is starting to improve. We have kept your Fund’s credit quality high, with average ratings of AA and broad diversification across issuers and market sectors.
As your Fund approaches its 20th birthday, we hope that you are pleased with your investment in the Thornburg Limited Term Municipal Fund. 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. Thank you for investing in Thornburg Limited Term Municipal Fund.
% of portfolio maturing within | Cumulative % maturing by end of | |
---|---|---|
1 years = 13% | year 1 = 13% | |
1 to 2 years = 13% | year 2 = 26% | |
2 to 3 years = 12% | year 3 = 38% | |
3 to 4 years = 13% | year 4 = 51% | |
4 to 5 years = 13% | year 5 = 64% | |
5 to 6 years = 11% | year 6 = 75% | |
6 to 7 years = 10% | year 7 = 85% | |
7 to 8 years = 6% | year 8 = 91% | |
8 to 9 years = 5% | year 9 = 96% | |
over 9 years = 4% | over 9 years =100% |
Percentages can and do vary. Data as of 06/30/04.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/george.jpg)
George Strickland
Portfolio Manager
Past performance cannot guarantee future results. The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks. |
3
Statement of assets and liabilities
Thornburg Limited Term Municipal Fund June 30, 2004
ASSETS | |||||
Investments at value (cost $1,346,607,618) | $ | 1,377,591,952 | |||
Cash | 3,214,107 | ||||
Receivable for investments sold | 27,422,316 | ||||
Receivable for fund shares sold | 4,039,272 | ||||
Interest receivable | 18,570,449 | ||||
Prepaid expenses and other assets | 47,935 | ||||
Total Assets | 1,430,886,031 | ||||
LIABILITIES | |||||
Payable for fund shares redeemed | 3,047,586 | ||||
Accounts payable and accrued expenses | 459,297 | ||||
Payable to investment advisor (Note 3) | 601,132 | ||||
Dividends payable | 1,078,202 | ||||
Total Liabilities | 5,186,217 | ||||
NET ASSETS | $ | 1,425,699,814 | |||
NET ASSETS CONSIST OF: | |||||
Net unrealized appreciation (depreciation) on investments | $ | 30,984,334 | |||
Over-distributed net investment income (loss) | (1,293 | ) | |||
Accumulated net realized gain (loss) | (4,658,982 | ) | |||
Net capital paid in on shares of beneficial interest | 1,399,375,755 | ||||
$ | 1,425,699,814 | ||||
NET ASSET VALUE: | |||||
Class A Shares: | |||||
Net asset value and redemption price per share | |||||
($1,047,481,813 applicable to 76,584,691 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.68 | |||
Maximum sales charge, 1.50% of offering price | 0.21 | ||||
Maximum Offering Price Per Share | $ | 13.89 | |||
Class C Shares: | |||||
Net asset value and offering price per share* | |||||
($155,457,571 applicable to 11,345,224 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.70 | |||
Class I Shares: | |||||
Net asset value, offering and redemption price per share | |||||
($222,760,430 applicable to 16,284,542 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.68 | |||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements. |
4
Statement of operations
Thornburg Limited Term Municipal Fund Year Ended June 30, 2004
INVESTMENT INCOME: | |||||
Interest income (net of premium amortized of $15,358,148) | $ | 53,238,459 | |||
EXPENSES: | |||||
Investment advisory fees (Note 3) | 5,754,193 | ||||
Administration fees (Note 3) | |||||
Class A Shares | 1,311,880 | ||||
Class C Shares | 191,093 | ||||
Class I Shares | 107,843 | ||||
Distribution and service fees (Note 3) | |||||
Class A Shares | 2,622,964 | ||||
Class C Shares | 1,538,688 | ||||
Transfer agent fees | |||||
Class A Shares | 377,245 | ||||
Class C Shares | 98,715 | ||||
Class I Shares | 60,375 | ||||
Registration and filing fees | |||||
Class A Shares | 75,030 | ||||
Class C Shares | 14,731 | ||||
Class I Shares | 15,281 | ||||
Custodian fees (Note 3) | 534,108 | ||||
Professional fees | 150,630 | ||||
Accounting fees | 121,890 | ||||
Trustee fees | 51,315 | ||||
Other expenses | 332,331 | ||||
Total Expenses | 13,358,312 | ||||
Less: | |||||
Expenses reimbursed by investment advisor (Note 3) | (4,388 | ) | |||
Distribution and service fees waived (Note 3) | (769,344 | ) | |||
Fees paid indirectly (Note 3) | (5,718 | ) | |||
Net Expenses | 12,578,862 | ||||
Net Investment Income | 40,659,597 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||
Net realized gain (loss) on investments sold | 1,795,864 | ||||
Increase (Decrease) in unrealized appreciation of investments | (36,334,816 | ) | |||
Net Realized and Unrealized | |||||
Gain (Loss) on Investments | (34,538,952 | ) | |||
Net Increase (Decrease) in Net Assets Resulting | |||||
From Operations | $ | 6,120,645 | |||
See notes to financial statements.
5
Statements of changes in net assets
Thornburg Limited Term Municipal Fund
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||
---|---|---|---|---|---|---|---|---|
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 40,659,597 | $ | 36,971,587 | ||||
Net realized gain (loss) on investments sold | 1,795,864 | 877,102 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (36,334,816 | ) | 28,100,206 | |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 6,120,645 | 65,948,895 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (29,889,249 | ) | (28,771,058 | ) | ||||
Class C Shares | (3,916,198 | ) | (2,645,994 | ) | ||||
Class I Shares | (6,854,150 | ) | (5,554,535 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 74,238,458 | 190,903,532 | ||||||
Class C Shares | 21,587,725 | 78,064,848 | ||||||
Class I Shares | 30,607,967 | 69,803,156 | ||||||
Net Increase (Decrease) in Net Assets | 91,895,198 | 367,748,844 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,333,804,616 | 966,055,772 | ||||||
End of year | $ | 1,425,699,814 | $ | 1,333,804,616 | ||||
See notes to financial statements.
6
Notes to financial statements
Thornburg Limited Term Municipal Fund June 30, 2004
NOTE 1 — ORGANIZATION
Thornburg Limited Term Municipal Fund (the “Fund”)(formerly Thornburg Limited Term Municipal Fund – National Portfolio) 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the National Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the National Portfolio and the subsequent dissolution of the National Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the National Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the National Portfolio’s assets were transferred to the Fund, and the shareholders of the National Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The National Portfolio is the accounting survivor, and the financial results of the Fund include the results of the National Portfolio prior to the reorganization.
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 the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. 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 Board of 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.
7
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
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 the investment objectives of the Fund 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, the Fund 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 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended June 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has an Administrative Services Agreement with the Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,388 for Class C shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor”), which acts as the Distributor of Fund shares. For the year ended June 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $16,530 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $71,750 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 Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
8
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
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 1% per annum 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 Class C distribution fees waived by the Distributor for the year ended June 30, 2004, are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended June 30, 2004 fees paid indirectly were $5,718.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 22,343,137 | $ | 310,234,300 | 24,734,784 | $ | 343,160,230 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 1,399,170 | 19,393,497 | 1,359,442 | 18,874,006 | ||||||||||
Shares repurchased | (18,441,220 | ) | (255,389,339 | ) | (12,329,726 | ) | (171,130,704 | ) | ||||||
Net Increase (Decrease) | 5,301,087 | $ | 74,238,458 | 13,764,500 | $ | 190,903,532 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 4,814,111 | $ | 66,984,540 | 7,145,702 | $ | 99,350,605 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 194,692 | 2,704,058 | 135,892 | 1,892,308 | ||||||||||
Shares repurchased | (3,462,370 | ) | (48,100,873 | ) | (1,670,144 | ) | (23,178,065 | ) | ||||||
Net Increase (Decrease) | 1,546,433 | $ | 21,587,725 | 5,611,450 | $ | 78,064,848 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 8,616,079 | $ | 119,652,434 | 7,667,976 | $ | 106,488,989 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 394,435 | 5,468,468 | 309,747 | 4,303,264 | ||||||||||
Shares repurchased | (6,808,603 | ) | (94,512,935 | ) | (2,952,400 | ) | (40,989,097 | ) | ||||||
Net Increase (Decrease) | 2,201,911 | $ | 30,607,967 | 5,025,323 | $ | 69,803,156 | ||||||||
9
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended June 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $465,353,933 and $289,684,557, respectively.
NOTE 6 – INCOME TAXES
At June 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,346,613,399 | |||
Gross unrealized appreciation on a tax basis | $ | 35,385,004 | |||
Gross unrealized depreciation on a tax basis | (4,406,451 | ) | |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 30,978,553 | |||
At June 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At June 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such capital loss carryovers expire as follows:
2008 | $ | 1,088,098 | |||
2009 | 3,565,103 | ||||
$ | 4,653,201 | ||||
The Fund utilized $1,796,480 of its capital loss carry forward during the year ended June 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
During the year ended June 30, 2004, $873,288 of capital loss carry forwards from prior years expired.
In order to account for permanent book/tax differences, the Fund decreased over-distributed net investment income by $1,293, increased accumulated net realized gain (loss) by $734,388, and decreased net capital paid in on shares of beneficial interest by $733,095. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from an expired capital loss carry forward and the difference in the tax treatment of market discounts.
All dividends paid by the Fund for the years ended June 30, 2004 and June 30, 2003, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
10
Financial highlights
Thornburg Limited Term Municipal Fund
Yr End June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class A Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 | $ 13.26 |
Income from investment operations: | |||||
Net investment income | 0.40 | 0.45 | 0.52 | 0.58 | 0.59 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Total from investment operations | 0.07 | 0.81 | 0.73 | 0.96 | 0.39 |
Less dividends from: | |||||
Net investment income | (0.40) | (0.45) | (0.52) | (0.58) | (0.59) |
Change in net asset value | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Net asset value, end of year | $ 13.68 | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 |
Total return (a) | 0.47% | 5.99% | 5.54% | 7.49% | 3.00% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.85% | 3.20% | 3.83% | 4.36% | 4.48% |
Expenses, after expense reductions | 0.91% | 0.93% | 0.95% | 0.99% | 0.96% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.91% | 0.93% | 0.95% | -- | -- |
Expenses, before expense reductions | 0.91% | 0.93% | 0.96% | 0.99% | 0.96% |
Portfolio turnover rate | 21.37% | 15.81% | 19.59% | 25.37% | 33.65% |
Net assets at end of year (000) | $ 1,047,482 | $ 998,878 | $ 785,145 | $ 654,157 | $ 672,775 |
(a) Sales loads are not reflected in computing total return.
11
Financial highlights, Continued
Thornburg Limited Term Municipal Fund
Yr End June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class C Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 14.04 | $ 13.67 | $ 13.46 | $ 13.08 | $ 13.28 |
Income from investment operations: | |||||
Net investment income | 0.36 | 0.41 | 0.47 | 0.53 | 0.53 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.34) | 0.37 | 0.21 | 0.38 | (0.20) |
Total from investment operations | 0.02 | 0.78 | 0.68 | 0.91 | 0.33 |
Less dividends from: | |||||
Net investment income | (0.36) | (0.41) | (0.47) | (0.53) | (0.53) |
Change in net asset value | (0.34) | 0.37 | 0.21 | 0.38 | (0.20) |
Net asset value, end of year | $ 13.70 | $ 14.04 | $ 13.67 | $ 13.46 | $ 13.08 |
Total return | 0.12% | 5.78% | 5.13% | 7.07% | 2.57% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.56% | 2.89% | 3.42% | 3.96% | 4.06% |
Expenses, after expense reductions | 1.19% | 1.18% | 1.33% | 1.38% | 1.38% |
Expenses, after expense reductions | |||||
and net of custody credits | 1.19% | 1.18% | 1.33% | -- | -- |
Expenses, before expense reductions | 1.69% | 1.68% | 1.80% | 1.85% | 1.82% |
Portfolio turnover rate | 21.37% | 15.81% | 19.59% | 25.37% | 33.65% |
Net assets at end of year (000) | $ 155,458 | $ 137,559 | $ 57,258 | $ 24,773 | $ 21,322 |
12
Financial highlights, Continued
Thornburg Limited Term Municipal Fund
Yr End June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class I Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 | $ 13.26 |
Income from investment operations: | |||||
Net investment income | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Total from investment operations | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 |
Less dividends from: | |||||
Net investment income | (0.44) | (0.49) | (0.57) | (0.63) | (0.63) |
Change in net asset value | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Net asset value, end of year | $ 13.68 | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 |
Total return | 0.80% | 6.36% | 5.91% | 7.91% | 3.37% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 3.18% | 3.54% | 4.18% | 4.75% | 4.84% |
Expenses, after expense reductions | 0.57% | 0.58% | 0.60% | 0.60% | 0.60% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.57% | 0.58% | 0.60% | -- | -- |
Expenses, before expense reductions | 0.57% | 0.58% | 0.62% | 0.65% | 0.62% |
Portfolio turnover rate | 21.37% | 15.81% | 19.59% | 25.37% | 33.65% |
Net assets at end of year (000) | $ 222,760 | $ 197,367 | $ 123,652 | $ 86,160 | $ 76,470 |
13
Schedule of Investments
Thornburg Limited Term Municipal Fund June 30, 2004
Issuer-Desription | Credit Rating† Moody's/S&P | Principal Amount | Value | ||||
---|---|---|---|---|---|---|---|
Alabama | (2.00%) | ||||||
Alabama State Public School & College Authority, 4.375% due 8/1/2004 | Aa3/AA | $ 2,000,000 | $ 2,005,200 | ||||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 10,000,000 | 10,882,600 | ||||
Birmingham General Obligation, 7.25% due 7/1/2004 (ETM)* | NR/NR | 980,000 | 980,157 | ||||
Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,245,000 | 1,275,154 | ||||
Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,330,000 | 5,459,092 | ||||
Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC | |||||||
Bank) | NR/NR | 1,920,000 | 1,959,245 | ||||
Shelby County Series A, 7.20% due 8/1/2005 (Insured: MBIA) (ETM)* | Aaa/AAA | 500,000 | 502,210 | ||||
Wilsonville Industrial Development Board Pollution Control Revenue Refunding, 4.20% | |||||||
due 6/1/2019 put 6/1/2006 (Southern Electric Gaston Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,168,250 | ||||
Alaska | (0.10%) | ||||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 2,070,000 | 1,973,579 | ||||
Arizona | (0.90%) | ||||||
Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due | |||||||
7/1/2009 | Aa3/AA- | 2,500,000 | 2,706,500 | ||||
Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 650,000 | 712,660 | ||||
Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,167,100 | ||||
Maricopa County Unified School District Number 41 Gilbert Refunding, 0% due | |||||||
1/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 968,370 | ||||
Mohave County Industrial Development Authority Correctional Facilities Contract | |||||||
Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 4,595,000 | 4,923,267 | ||||
Pima County Industrial Development Authority Education Revenue Series C, 6.40% due | |||||||
7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,000,000 | 1,035,870 | ||||
Pima County Industrial Development Authority Industrial Revenue Refunding Lease | |||||||
Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 680,000 | 715,972 | ||||
Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 624,475 | ||||
Arkansas | (0.90%) | ||||||
Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,000,000 | 2,123,260 | ||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 | |||||||
(Regional Medical Center Project) | NR/A | 1,000,000 | 1,088,830 | ||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 | |||||||
(Regional Medical Center Project) | NR/A | 1,075,000 | 1,169,966 | ||||
Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,018,170 | ||||
Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 2,645,000 | 3,000,726 | ||||
Rogers Sales & Use Tax Revenue, 6.00% due 11/1/2007 | A1/AA- | 1,735,000 | 1,761,736 | ||||
Rogers Sales & Use Tax Revenue Refunding & Improvement Series A, 4.25% due 9/1/2006 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,545,000 | 1,611,466 | ||||
�� California | (2.40%) | ||||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: | |||||||
AMBAC) | Aaa/AAA | 2,385,000 | 2,391,129 | ||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% | |||||||
due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/A | 2,620,000 | 2,836,884 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due | |||||||
5/1/2008 | A3/BBB+ | 2,050,000 | 2,219,084 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due | |||||||
5/1/2012 | A3/BBB+ | 2,600,000 | 2,856,308 | ||||
California State Department of Water Resources Power Supply Series A, 6.00% due | |||||||
5/1/2013 | A3/BBB+ | 2,550,000 | 2,874,411 | ||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 3,660,000 | 3,783,708 | ||||
Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 3,700,000 | 3,865,353 | ||||
Irvine Improvement Bond Act 1915 Limited Obligation Assessment District, 1.06% due | |||||||
9/2/2025 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 100,000 | 100,000 | ||||
Metropolitan Water District South California Variable Series B-3, 1.06% due | |||||||
7/1/2035 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 1,400,000 | 1,400,000 | ||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,200,000 | 5,434,312 | ||||
San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory | |||||||
put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,152,640 | ||||
Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 | |||||||
(Little Co. of Mary Hospital Project) | NR/AAA | 1,380,000 | 1,467,423 | ||||
Colorado | (3.50%) | ||||||
Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,500,000 | 1,545,060 | ||||
Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,000,000 | 1,051,970 | ||||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 | |||||||
put 12/1/2009 (LOC: US Bank) | NR/A1+ | 7,210,000 | 7,542,237 | ||||
Colorado Department Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,669,365 | ||||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public | |||||||
Radio Project) | NR/BBB+ | 1,000,000 | 1,043,410 | ||||
Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health | |||||||
Initiatives Project) | Aa2/A1+ | 5,705,000 | 6,050,666 | ||||
Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic | |||||||
Health Initiatives Project) | Aa2/A1+ | 515,000 | 552,327 | ||||
Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 220,000 | 221,553 | ||||
Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & | |||||||
Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,230,000 | 2,326,314 | ||||
Cucharas Sanitation & Water District Refunding & Improvement, 7.25% due 1/1/2015 | |||||||
pre-refunded 1/1/2005 | NR/NR | 500,000 | 518,945 | ||||
Denver City & County Certificates of Participation Series A, 5.50% due 5/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 500,000 | 529,330 | ||||
Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,335,000 | 3,591,095 | ||||
Dove Valley Metropolitan District Arapahoe County, Series B, 3.30% due 11/1/2025 | |||||||
put 11/1/2005 @100 (LOC: BNP Paribas) | NR/A1+ | 1,820,000 | 1,851,486 | ||||
El Paso County School District General Obligation 20 Series B, 8.25% due 12/15/2004 | |||||||
(State Aid Withholding) | Aa3/NR | 500,000 | 515,450 | ||||
Highlands Ranch Metropolitan District 2 General Obligation, 6.50% due 6/15/2012 | |||||||
(Insured: FSA) | Aaa/AAA | 1,000,000 | 1,180,520 | ||||
Highlands Ranch Metropolitan District Number 3 Refunding Series B, 5.25% due | |||||||
12/1/2008 (Insured: ACA) | NR/A | 1,760,000 | 1,855,251 | ||||
Highlands Ranch Metropolitan District Number 3 Series A, 5.25% due 12/1/2008 | |||||||
(Insured: ACA) | NR/A | 1,520,000 | 1,602,262 | ||||
Lakewood Certificates of Participation, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,050,460 | ||||
Pinery West Metropolitan District Number 3 Co., 4.70% due 12/1/2021 put 12/1/2007 | |||||||
(LOC: Compass Bank) | NR/A- | 1,000,000 | 1,035,160 | ||||
Plaza Metropolitan District 1 Revenue, 7.60% due 12/1/2016 (Public Improvement | |||||||
Fee/Tax Increment Project) | NR/NR | 6,000,000 | 6,110,760 | ||||
Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 (Transit | |||||||
Vehicles Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,078,000 | ||||
Section 14 Metropolitan District Jefferson Refunding Series A, 6.20% due 12/1/2013 | |||||||
(LOC: US Bank Trust) | NR/AA- | 1,000,000 | 1,018,710 | ||||
Superior Metropolitan District 1 Variable Refunding & Improvement Series A, 5.45% | |||||||
due 12/1/2020 put 12/1/2004 (LOC: BNP) | NR/AA- | 1,150,000 | 1,165,732 | ||||
Westminister Multi Family Housing Revenue Series 1995, 5.95% due 9/1/2015 put | |||||||
9/1/2006 (Semper Village Apartments Project; Insured: AXA) | NR/AA | 2,725,000 | 2,738,407 | ||||
Connecticut | (0.80%) | ||||||
Bridgeport General Obligation, 6.00% due 3/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,325,000 | 1,406,461 | ||||
Bridgeport Series A Pre-refunded, 6.00% due 3/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 800,000 | 823,896 | ||||
Bridgeport Series A Unrefunded Balance, 6.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 885,000 | 911,311 | ||||
Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 690,000 | 720,767 | ||||
Connecticut State Health & Educational Facilities Authority Revenue, 5.85% due | |||||||
7/1/2007 (Newington Children’s Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,020,120 | ||||
Connecticut State Health & Educational Facilities Authority Revenue, 7.50% due | |||||||
11/1/2016 (Nursing Home/Highland Project; Insured: AMBAC) | Aaa/AAA | 4,200,000 | 4,365,396 | ||||
New Haven Connecticut, 3.00% due 11/1/2004 (Insured: FGIC) | Aaa/AAA | 2,010,000 | 2,020,975 | ||||
Delaware | (0.40%) | ||||||
Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (Insured: | |||||||
MBIA) (ETM)* | Aaa/AAA | 2,000,000 | 2,062,960 | ||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 | |||||||
(Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,370,000 | 1,466,078 | ||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 | |||||||
(Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,445,000 | 1,529,793 | ||||
District of Columbia | (2.60%) | ||||||
District of Columbia, 5.50% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,915,000 | 2,087,560 | ||||
District of Columbia Certificates of Participation, 5.00% due 1/1/2008 (Public | |||||||
Safety & Emergency Project) | Aaa/AAA | 1,000,000 | 1,066,030 | ||||
District of Columbia Certificates of Participation, 5.25% due 1/1/2013 (Insured: | |||||||
AMBAC) | Aaa/AAA | 5,950,000 | 6,370,903 | ||||
District of Columbia Hospital Revenue, 5.70% due 8/15/2008 (Medlantic Healthcare | |||||||
Project; Insured: MBIA) (ETM)* | Aaa/AAA | 4,430,000 | 4,819,087 | ||||
District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic | |||||||
Healthcare Group A Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,500,000 | 1,605,660 | ||||
District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project; | |||||||
Insured: MBIA) (ETM)* | Aaa/AAA | 1,330,000 | 1,392,071 | ||||
District of Columbia Revenue, 5.50% due 10/1/2005 | Aaa/AAA | 500,000 | 522,735 | ||||
District of Columbia Revenue, 6.00% due 1/1/2007 (American Assoc. for Advancement | |||||||
of Science Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 539,675 | ||||
District of Columbia Revenue, 6.00% due 1/1/2009 (American Assoc. for Advancement | |||||||
of Science Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,111,670 | ||||
District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 4,700,000 | 5,165,864 | ||||
District of Columbia Tax Capital Appreciation, 0% due 7/1/2009 (Mandarin Oriental | |||||||
Project; Insured: FSA) | Aaa/AAA | 2,000,000 | 1,664,860 | ||||
District of Columbia Tax Capital Appreciation, 0% due 7/1/2012 (Mandarin Oriental | |||||||
Project; Insured: FSA) | Aaa/AAA | 1,480,000 | 1,050,045 | ||||
District of Columbia Tax Revenue Capital Appreciation, 0% due 7/1/2011 (Mandarin | |||||||
Oriental Project; Insured: FSA) | Aaa/AAA | 1,990,000 | 1,492,361 | ||||
Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due | |||||||
10/1/2006 (Insured: AMBAC) | Aaa/AAA | 750,000 | 793,335 | ||||
Washington DC Convention Center Senior Lien, 5.00% due 10/1/2007 | Aaa/AAA | 6,110,000 | 6,522,914 | ||||
Florida | (4.70%) | ||||||
Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 | A3/AA- | 5,000,000 | 5,390,700 | ||||
Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital | |||||||
Projects Student Housing; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,750 | ||||
Crossings at Fleming Island Community Development Refunding Series B, 5.45% due | |||||||
5/1/2010 (Insured: MBIA) | Aaa/AAA | 2,996,000 | 3,312,498 | ||||
Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due | |||||||
10/1/2007 (Insured: AMBAC) | Aaa/AAA | 7,000,000 | 7,698,320 | ||||
Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of | |||||||
Way Project) | Aa2/AA+ | 1,465,000 | 1,574,992 | ||||
Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, | |||||||
5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,075,670 | ||||
Hillsborough County Industrial Development Authority Pollution Control Revenue | |||||||
Refunding, 4.00% due 9/1/2025 put 8/1/2007 (Tampa Electric Co. Project) | Baa2/BBB- | 2,400,000 | 2,405,952 | ||||
Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th | |||||||
Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,414,350 | ||||
Miami Dade County School Board Certificates of Participation Series A, 5.00% due | |||||||
5/1/2006 (Insured: MBIA) | Aaa/AAA | 1,910,000 | 2,005,557 | ||||
Miami Dade County School Board Certificates of Participation Series B, 5.50% due | |||||||
5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,096,840 | ||||
Miami Dade County School Board Certificates of Participation Series C, 5.00% due | |||||||
8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,390,000 | 3,626,893 | ||||
Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD | |||||||
Section 8) | Baa3/NR | 3,700,000 | 3,612,088 | ||||
Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health | |||||||
System Project) | A3/A | 1,395,000 | 1,526,800 | ||||
Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 | |||||||
(Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,120,000 | 3,351,566 | ||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, | |||||||
6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 925,000 | 1,021,690 | ||||
Orange County School Board Certificates Series A, 5.00% due 8/1/2006 | Aaa/NR | 5,000,000 | 5,282,350 | ||||
Orange County School District Series B, 1.06% due 8/1/2025 put 7/1/2004 (Insured: | |||||||
AMBAC) (daily demand notes) | Aaa/NR | 1,500,000 | 1,500,000 | ||||
Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 | |||||||
(Lourdes-Noreen McKeen Residence Project; LOC: Allied Irish Bank) (ETM)* | NR/A | 940,000 | 1,016,591 | ||||
Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due | |||||||
10/1/2005 | Aa3/AA- | 2,420,000 | 2,509,008 | ||||
Pasco County Housing Finance Authority Multi Family Revenue Refunding Series A, | |||||||
5.35% due 6/1/2027 put 6/1/2008 (Oak Trail Apts Project; Insured: AXA) | NR/AA- | 1,000,000 | 1,046,310 | ||||
Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 | |||||||
(Insured: Radian) | NR/NR | 3,445,000 | 3,582,628 | ||||
Tampa Florida Guaranteed Entitlement Revenue Refunding, 6.00% due 10/1/2007 | |||||||
(Insured: AMBAC) | Aaa/AAA | 2,040,000 | 2,247,529 | ||||
University Athletic Association Inc. Florida Athletic Program Revenue Refunding, | |||||||
2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | VMIG1/NR | 3,000,000 | 3,015,030 | ||||
Georgia | (1.10%) | ||||||
Cobb County School District, 4.75% due 2/1/2005 | Aa1/AA+ | 1,000,000 | 1,012,730 | ||||
Georgia Municipal Association Inc. Certificates of Participation City Court Atlanta | |||||||
Project, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,061,230 | ||||
Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,550,000 | 1,754,150 | ||||
Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A2/A+ | 730,000 | 772,333 | ||||
Georgia Municipal Gas Authority, 6.30% due 7/1/2009 (Southern Storage Gas Project) | NR/A | 1,000,000 | 1,031,390 | ||||
Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 | |||||||
(Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,324,960 | ||||
Monroe County Development Authority Pollution Control Revenue Oglethorpe Power | |||||||
Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,194,110 | ||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put | |||||||
1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,352,950 | ||||
Municipal Electric Authority Georgia Unrefunded Balance Subordinated A, 6.00% due | |||||||
1/1/2006 (Project One; Insured: AMBAC) | Aaa/AAA | 910,000 | 961,533 | ||||
Hawaii | (0.40%) | ||||||
Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., | |||||||
4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,132,320 | ||||
Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,000,000 | 1,076,350 | ||||
Hawaii State Series CN, 6.25% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,565,000 | 1,669,182 | ||||
Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,000,000 | 1,097,880 | ||||
Illinois | (10.50%) | ||||||
Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 3,345,000 | 2,847,297 | ||||
Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,254,900 | ||||
Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 750,000 | 875,310 | ||||
Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,300,000 | 2,480,067 | ||||
Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,300,000 | 2,536,026 | ||||
Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,427,408 | ||||
Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,297,587 | ||||
Chicago O’Hare International Airport Refunding General Airport Series A, 6.375% due | |||||||
1/1/2012 (Insured: MBIA) | Aaa/AAA | 3,420,000 | 3,562,990 | ||||
Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,059,720 | ||||
Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,105,000 | 1,185,632 | ||||
Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due | |||||||
1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,076,040 | ||||
Chicago O’Hare International Airport Revenue Passenger Facility Change Series A, | |||||||
6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,168,990 | ||||
Chicago O’Hare International Airport Revenue Refunding, 4.80% due 1/1/2005 | |||||||
(Insured: AMBAC) | Aaa/AAA | 690,000 | 701,571 | ||||
Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 675,000 | 690,100 | ||||
Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,398,220 | ||||
Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 1,700,000 | 1,803,343 | ||||
Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM)* | Baa1/A | 1,000,000 | 1,117,040 | ||||
Chicago Public Commerce Building Revenue, 5.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 750,000 | 767,378 | ||||
Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 2,000,000 | 2,103,760 | ||||
Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,177,060 | ||||
Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,151,250 | ||||
Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 5,000,000 | 4,866,800 | ||||
Cicero Refunding Tax Increment Series A, 4.25% due 1/1/2007 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,038,740 | ||||
Collinsville Leased Facilities Revenue Refunding, 5.15% due 11/1/2004 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,000,000 | 1,012,220 | ||||
Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 | |||||||
(Insured: FSA) | Aaa/AAA | 2,545,000 | 2,477,201 | ||||
Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 995,000 | 1,078,083 | ||||
Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: | |||||||
FGIC) | Aaa/NR | 2,250,000 | 3,109,950 | ||||
Cook County Series C Refunding, 5.80% due 11/15/2004 (Insured: FGIC) | Aaa/AAA | 2,650,000 | 2,693,539 | ||||
Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 5,000,000 | 4,111,550 | ||||
Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 | |||||||
(Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,560,165 | ||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates | |||||||
Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 1,015,000 | 986,357 | ||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates | |||||||
Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 3,075,000 | 2,874,756 | ||||
Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 | |||||||
(Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,065,450 | ||||
Illinois Department Central Management Services Certificates of Participation, | |||||||
5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,120 | ||||
Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% | |||||||
due 1/15/2009 (Commonwealth Edison Company Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,290,970 | ||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: | |||||||
XLCA) | Aaa/AAA | 860,000 | 884,218 | ||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2006 (Insured: | |||||||
XLCA) | Aaa/AAA | 915,000 | 947,528 | ||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 (Adventist | |||||||
Health Project; Insured: MBIA) | Aaa/AAA | 3,635,000 | 4,030,561 | ||||
Illinois Development Finance Authority Revenue, 6.35% due 7/1/2010 pre-refunded | |||||||
7/1/2005 (Elderly Housing 8 Mattoon Tower A Project) | A3/NR | 1,005,000 | 1,048,798 | ||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 (Adventist | |||||||
Health Project; Insured: MBIA) | Aaa/AAA | 3,860,000 | 4,312,276 | ||||
Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: | |||||||
AMBAC) | NR/AAA | 785,000 | 816,431 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2004 | NR/BBB | 400,000 | 400,032 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2005 | NR/BBB | 1,000,000 | 1,022,110 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2006 | NR/BBB | 1,000,000 | 1,033,420 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
Series A, 6.00% due 7/1/2015 | NR/BBB | 4,500,000 | 4,615,425 | ||||
Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 (OSF Healthcare | |||||||
System Project) | A2/A | 915,000 | 975,893 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health | |||||||
System Project) | A1/NR | 1,290,000 | 1,418,536 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health | |||||||
System Project) | A1/NR | 1,375,000 | 1,531,337 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health | |||||||
System Project) | A1/NR | 1,465,000 | 1,643,701 | ||||
Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 (Iowa Health | |||||||
System Project; Insured: AMBAC) | Aaa/AAA | 1,560,000 | 1,742,785 | ||||
Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,000,000 | 1,024,620 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2006 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,000,000 | 1,054,290 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,500,000 | 1,598,085 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,500,000 | 1,606,260 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 | |||||||
(Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,252,540 | ||||
Illinois Health Facilities Authority Revenue Series 1993-A, 7.875% due 8/15/2005 | |||||||
(Community Provider Pooled Loan Program Project) | NR/NR | 104,000 | 104,626 | ||||
Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due | |||||||
8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,770 | ||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,040,000 | 1,138,935 | ||||
Illinois State COPS Central Management Department, 5.00% due 7/1/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 500,000 | 532,955 | ||||
Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,630 | ||||
Illinois State Refunding, 5.125% due 12/1/2006 (Insured: FGIC) | Aaa/AAA | 2,250,000 | 2,379,173 | ||||
Kankakee Series A, 5.25% due 1/1/2012 pre-refunded 1/1/2006 @100 | Aaa/AAA | 920,000 | 963,912 | ||||
Kankakee Unrefunded Balance Series A, 5.25% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 80,000 | 83,358 | ||||
Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: | |||||||
FSA) | Aaa/NR | 1,000,000 | 1,098,720 | ||||
Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: | |||||||
FGIC) | Aaa/NR | 2,000,000 | 1,877,300 | ||||
Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: | |||||||
FGIC) | Aaa/NR | 3,235,000 | 2,387,430 | ||||
Lake County Consolidated High School Refunding, 3.00% due 12/1/2004 | NR/AA- | 2,370,000 | 2,384,457 | ||||
Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 2,990,000 | 3,045,225 | ||||
McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,000,000 | 808,090 | ||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding | |||||||
Series A-2002, 6.00% due 6/15/2007 (McCormick Place Exposition Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 1,250,000 | 1,365,175 | ||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding | |||||||
Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @102 (McCormick Place | |||||||
Exposition Project; Insured: AMBAC) | Aaa/AAA | 3,750,000 | 4,057,050 | ||||
Naperville City, Du Page & Will Counties Economic Development Revenue, 6.10% due | |||||||
5/1/2008 (Hospital & Health System Association Project; LOC: American National | |||||||
Bank) | NR/A-1 | 2,445,000 | 2,541,675 | ||||
Peoria Public Building Commission School District Facilities Revenue, 0% due | |||||||
12/1/2007 (Insured: FGIC) | Aaa/NR | 1,100,000 | 989,175 | ||||
University of Illinois Revenue, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | 6,300,000 | 5,954,445 | ||||
Indiana | (4.30%) | ||||||
Allen County Economic Development Revenue, 5.00% due 12/30/2012 (Indiana Institute | |||||||
of Technology Project) | NR/NR | 1,370,000 | 1,409,168 | ||||
Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 965,000 | 1,003,426 | ||||
Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 690,000 | 727,626 | ||||
Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 1,110,000 | 1,188,688 | ||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,115,000 | 1,249,079 | ||||
Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: | |||||||
FGIC) | Aaa/AAA | 1,000,000 | 1,121,410 | ||||
Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (Insured: | |||||||
FGIC) (ETM)* | Aaa/AAA | 1,085,000 | 1,149,015 | ||||
Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid) | NR/A | 850,000 | 652,264 | ||||
Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid) | NR/A | 850,000 | 630,377 | ||||
Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 | |||||||
(State Aid) | NR/A | 950,000 | 687,591 | ||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,175,000 | 1,266,438 | ||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,135,000 | 1,225,369 | ||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (Insured: AMBAC) | |||||||
(ETM)* | Aaa/AAA | 910,000 | 1,007,261 | ||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage (State Aid), 0% | |||||||
due 1/15/2006 | NR/A | 1,860,000 | 1,779,443 | ||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% | |||||||
due 7/5/2008 (Insured: MBIA) | Aaa/AAA | 1,860,000 | 1,624,580 | ||||
Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 | |||||||
(Insured: FSA) | Aaa/AAA | 965,000 | 1,028,777 | ||||
Goshen Multi School Building Corp. First Mortgage, 5.20% due 7/15/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 965,000 | 1,034,634 | ||||
Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, | |||||||
6.00% due 7/15/2008 (Lake County Project) | NR/A | 2,305,000 | 2,491,843 | ||||
Huntington Economic Development Revenue, 6.00% due 11/1/2006 (United Methodist | |||||||
Membership Project) | NR/NR | 390,000 | 412,503 | ||||
Huntington Economic Development Revenue, 6.15% due 11/1/2008 (United Methodist | |||||||
Membership Project) | NR/NR | 700,000 | 755,048 | ||||
Huntington Economic Development Revenue, 6.20% due 11/1/2010 (United Methodist | |||||||
Membership Project) | NR/NR | 790,000 | 837,037 | ||||
Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 | |||||||
(Daughters of Charity Project) (ETM)* | Aaa/NR | 180,000 | 185,200 | ||||
Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due | |||||||
11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,265,000 | 1,331,084 | ||||
Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 | |||||||
(University of Indianapolis Project) | NR/A- | 670,000 | 731,975 | ||||
Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,500,000 | 2,280,700 | ||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.75% due 7/1/2005 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,040,100 | ||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,100,000 | 1,176,417 | ||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due | |||||||
7/1/2005 (ETM)* | Aa2/NR | 1,220,000 | 1,199,589 | ||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due | |||||||
7/1/2006 (ETM)* | Aa2/NR | 1,240,000 | 1,184,250 | ||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2004 (Ogden Martin | |||||||
Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,200,000 | 2,245,518 | ||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 (Ogden Martin | |||||||
Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,183,020 | ||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: | |||||||
FGIC) | Aaa/AAA | 855,000 | 948,802 | ||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: | |||||||
FGIC) | Aaa/AAA | 455,000 | 510,478 | ||||
Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due | |||||||
7/1/2005 (Insured: MBIA) | Aaa/AAA | 890,000 | 932,462 | ||||
Monroe County Community School Building Corp. Revenue Refunding, 5.00% due | |||||||
1/15/2007 (Insured: AMBAC) | Aaa/AAA | 625,000 | 661,244 | ||||
North Adams Community Schools, 3.50% due 7/15/2004 (Insured: FSA) | Aaa/AAA | 405,000 | 405,336 | ||||
North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 940,000 | 962,175 | ||||
North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,070,000 | 1,100,506 | ||||
Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 684,000 | 706,846 | ||||
Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 | NR/A | 835,000 | 640,754 | ||||
Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 (Plymouth | |||||||
Community School Project; Insured: MBIA) | Aaa/AAA | 1,655,000 | 1,688,481 | ||||
Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 | |||||||
(Indiana Michigan Power Co. Project) | Baa2/BBB | 4,000,000 | 3,955,760 | ||||
Vigo County Elementary School Building Corp. Refunding & Improvement First | |||||||
Mortgage, 4.00% due 1/10/2006 (Insured: FSA) | Aaa/AAA | 1,540,000 | 1,582,180 | ||||
Vigo County Elementary School Building Corp. Refunding & Improvement First | |||||||
Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,635,000 | 1,690,165 | ||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid) | NR/AA- | 995,000 | 1,095,395 | ||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid) | NR/AA- | 1,095,000 | 1,207,336 | ||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: | |||||||
FGIC) | Aaa/AAA | 2,080,000 | 2,340,249 | ||||
Westfield Elem. School Building Corp. First Mortgage Series 1997, 6.80% due | |||||||
7/15/2007 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,820,000 | 2,032,285 | ||||
Iowa | (2.10%) | ||||||
Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 2,900,000 | 3,083,628 | ||||
Des Moines Limited Obligation Revenue, 6.25% due 12/1/2015 put 12/1/2005 (Des | |||||||
Moines Parking Associates Project; LOC: Wells Fargo Bank) | NR/NR | 3,515,000 | 3,520,519 | ||||
Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 | |||||||
put 4/1/2010 (Governor Square Project; Insured: AXA) | NR/AA | 6,650,000 | 6,992,142 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 (Iowa Health | |||||||
Services Project) | A1/NR | 435,000 | 470,618 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 (Iowa Health | |||||||
Services Project) | A1/NR | 1,765,000 | 1,965,680 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 (Iowa Health | |||||||
Services Project) | A1/NR | 1,955,000 | 2,194,507 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 (Iowa Health | |||||||
Services Project; Insured: AMBAC) | Aaa/AAA | 3,145,000 | 3,518,595 | ||||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,430,000 | 1,550,077 | ||||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,295,000 | 3,649,344 | ||||
Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due | |||||||
7/1/2005 (Academic Building Project) | Aa3/A+ | 1,170,000 | 1,211,617 | ||||
University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | Aa2/AA- | 390,000 | 401,318 | ||||
Kansas | (0.60%) | ||||||
Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 500,000 | 562,170 | ||||
La Cygne Environmental Improvement Refunding, 3.90% due 3/1/2015 put 8/31/2004 | |||||||
(Kansas City Power & Light Co. Project) | VMIG2/A-2 | 6,000,000 | 6,021,720 | ||||
Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,160,000 | 1,246,420 | ||||
Kentucky | (1.40%) | ||||||
Campbell & Kenton Counties Sanitation District 1 Revenue, 6.50% due 8/1/2005 (ETM)* | Aaa/AAA | 275,000 | 278,839 | ||||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, | |||||||
5.00% due 2/1/2009 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,580,000 | 1,695,008 | ||||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, | |||||||
5.00% due 2/1/2010 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,074,430 | ||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2009 converts | |||||||
to 5.35% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,400,000 | 7,588,848 | ||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2010 converts | |||||||
to 5.40% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,830,000 | 8,074,453 | ||||
Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 | |||||||
(Insured: FGIC) | Aaa/AAA | 505,000 | 462,120 | ||||
Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM)* | Aaa/AAA | 150,000 | 162,068 | ||||
Louisiana | (2.80%) | ||||||
Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded | |||||||
12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,125,000 | 4,292,722 | ||||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due | |||||||
12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,537,978 | ||||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due | |||||||
12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,515,000 | 1,637,412 | ||||
Louisiana Local Govt. Environmental Facilities & Community Dev. Auth. Multi Family | |||||||
Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 1,000,000 | 975,710 | ||||
Louisiana Offshore Authority Deepwater Port Revenue Series B, 6.25% due 9/1/2004 | |||||||
(Loop LLC Project) | A3/A | 1,000,000 | 1,007,920 | ||||
Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; | |||||||
Guaranty: Archdiocese of New Orleans) | NR/NR | 2,255,000 | 2,326,732 | ||||
Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola | |||||||
University Project) | A1/A+ | 1,000,000 | 1,100,580 | ||||
Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 | |||||||
(Loyola University Project) | A1/A+ | 1,280,000 | 1,365,594 | ||||
Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,135,000 | 7,594,993 | ||||
Louisiana State Offshore Term Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 | |||||||
(Loop LLC Project) | A3/A-1 | 5,000,000 | 5,059,750 | ||||
Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due | |||||||
10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A-1 | 2,350,000 | 2,431,169 | ||||
Louisiana State Refunding Series A, 7.75% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 1,250,000 | 1,388,575 | ||||
New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 947,970 | ||||
Orleans Parish School Board, 0% due 2/1/2008 (ETM)* | Aaa/AAA | 5,050,000 | 4,229,880 | ||||
St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due | |||||||
6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa3/BBB- | 3,000,000 | 3,047,640 | ||||
Maine | (0.10%) | ||||||
Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% | |||||||
due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,063,150 | ||||
Maryland | (0.50%) | ||||||
Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 580,000 | 684,058 | ||||
Baltimore Public Improvement Series A, 7.00% due 10/15/2006 (Insured: MBIA) | Aaa/AAA | 2,050,000 | 2,263,876 | ||||
Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 | |||||||
pre-refunded 5/15/2010 | NR/AAA | 1,000,000 | 1,203,590 | ||||
Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 | |||||||
pre-refunded 5/15/2010 | NR/AAA | 2,500,000 | 3,086,775 | ||||
Massachusetts | (1.70%) | ||||||
Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 | |||||||
(LOC: Fleet National Bank) | Aa3/NR | 2,000,000 | 2,053,240 | ||||
Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% | |||||||
due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,815,438 | ||||
Massachusetts Industrial Finance Agency Pollution Control Revenue Refunding, 5.875% | |||||||
due 8/1/2008 (Eastern Edison Co. Project) | A2/A | 1,000,000 | 1,023,260 | ||||
Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded | |||||||
2/15/2006 @ 102 (Glenmeadow Retirement Project) | NR/NR | 1,000,000 | 1,110,980 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% | |||||||
due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 900,000 | 929,592 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Number | |||||||
1-Series A, 5.00% due 7/1/2007 (Nuclear Mix Project; Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,260,080 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Series | |||||||
A, 5.00% due 7/1/2005 (Stony Brook Peaking Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,032,880 | ||||
Massachusetts State Health & Education Facility, Daughters of Charity, Series D, | |||||||
5.50% due 7/1/2004 (ETM)* | Aaa/AA+ | 515,000 | 515,062 | ||||
Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New | |||||||
England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,415,000 | 3,737,820 | ||||
Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA- | 1,000,000 | 1,086,490 | ||||
Massachusetts State Refunding Series A, 6.00% due 11/1/2008 | Aa2/AA- | 1,000,000 | 1,112,300 | ||||
Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA- | 1,500,000 | 1,649,760 | ||||
Taunton General Obligation, 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,635,975 | ||||
Michigan | (2.80%) | ||||||
Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due | |||||||
11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,450,000 | 2,595,971 | ||||
Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,000,000 | 1,065,330 | ||||
Detroit Michigan Series A, 6.00% due 4/1/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,405,000 | 1,533,782 | ||||
Jackson County Hospital Finance Authority Hospital Revenue Series A, 5.00% due | |||||||
6/1/2006 (W.A. Foote Memorial Hospital Project; Insured: AMBAC) | Aaa/NR | 1,670,000 | 1,754,803 | ||||
Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson | |||||||
Methodist Hospital Project; Insured: MBIA) | Aaa/NR | 1,000,000 | 1,033,760 | ||||
Lansing Building Authority, 6.00% due 6/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,000,000 | 1,006,730 | ||||
Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,104,440 | ||||
Michigan Hospital Finance Authority Revenue, 4.80% due 11/1/2017 pre-refunded | |||||||
7/1/2004 @100 | Aaa/NR | 2,260,000 | 2,285,538 | ||||
Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put | |||||||
11/15/2007 (Ascension Health Project) | Aa2/AA | 10,000,000 | 10,730,600 | ||||
Michigan Housing Development Authority Single Family Insured Mortgage Revenue | |||||||
Series A, 5.00% due 4/1/2010 (Insured: FHA/VA Mtgs) | Aa1/AA+ | 655,000 | 655,478 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 4/15/2005 | Aa2/AA | 1,500,000 | 1,540,500 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 10/15/2007 | Aaa/AAA | 4,000,000 | 4,285,000 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 10/15/2008 | Aaa/AAA | 4,000,000 | 4,312,880 | ||||
Michigan State Job Development Authority Pollution Control Revenue, 5.55% due | |||||||
4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa1/BBB | 1,000,000 | 1,001,160 | ||||
Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 6/1/2011 | NR/AA- | 1,000,000 | 1,062,810 | ||||
Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 (LOC: First | |||||||
of America Bank-Central) | A1/NR | 1,000,000 | 1,100,440 | ||||
Oxford Area Community School District, 5.00% due 5/1/2012 (Guaranty: School Bond | |||||||
Loan Fund) | Aa1/AA+ | 800,000 | 861,448 | ||||
Minnesota | (1.20%) | ||||||
Breckenridge Health Facilities Revenue Catholic Health Corp., 5.25% due 11/15/2013 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,750 | ||||
Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,000,000 | 5,187,700 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2011 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 3,130,000 | 3,260,740 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 1,000,000 | 1,031,730 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 1,500,000 | 1,530,885 | ||||
Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due | |||||||
2/1/2006 | Aa2/NR | 1,915,000 | 2,001,635 | ||||
Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due | |||||||
1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,042,980 | ||||
University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,450,000 | 1,543,539 | ||||
Mississippi | (0.30%) | ||||||
Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: | |||||||
FGIC) | Aaa/NR | 1,020,000 | 1,134,373 | ||||
Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: | |||||||
AMBAC) | Aaa/AAA | 700,000 | 735,574 | ||||
Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 | |||||||
(Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,053,730 | ||||
Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (FNMA: Collateralized) | NR/A1+ | 930,000 | 952,729 | ||||
Missouri | (0.60%) | ||||||
Jackson County Public Building Corp. Leasehold Revenue Series 1996, 6.00% due | |||||||
12/1/2004 (Capital Improvement Project; Insured: MBIA) | Aaa/AAA | 425,000 | 433,139 | ||||
Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% | |||||||
due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 1,275,000 | 1,292,710 | ||||
Platte County Certificates of Participation, 5.00% due 9/1/2008 | NR/AA- | 1,530,000 | 1,638,049 | ||||
Springfield Certificates of Participation, 5.20% due 6/1/2006 (Law Enforcement | |||||||
Communication Project) | Aa3/NR | 840,000 | 884,167 | ||||
Springfield Certificates of Participation, 5.25% due 6/1/2007 (Law Enforcement | |||||||
Communication Project) | Aa3/NR | 840,000 | 897,187 | ||||
St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility | |||||||
Project B 1) | Aaa/AAA | 2,495,000 | 2,663,537 | ||||
Montana | (1.10%) | ||||||
Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 11,440,000 | 12,173,304 | ||||
Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 | |||||||
(Portland General Project) | Baa2/BBB+ | 2,500,000 | 2,597,275 | ||||
Nebraska | (1.40%) | ||||||
Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School | |||||||
Project) | Aa2/AAA | 1,995,000 | 2,074,840 | ||||
Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 (Faith Regional | |||||||
Health Services Project; Insured: Radian) | NR/AA | 1,455,000 | 1,567,282 | ||||
Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 (Faith Regional | |||||||
Health Services Project; Insured: Radian) | NR/AA | 1,625,000 | 1,761,923 | ||||
Nebraska IFA Tax Exempt Multi Family Housing Revenue Refunding 1995-A, 5.50% due | |||||||
12/1/2025 put 12/1/2005 (Willow Park Apartments Project; Collateralized: FNMA) | NR/AAA | 2,655,000 | 2,715,056 | ||||
Nebraska Public Power District Revenue General Series A, 5.25% due 1/1/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,491,434 | ||||
Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% | |||||||
due 2/1/2013 | Aa2/AA | 5,000,000 | 5,374,350 | ||||
Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 | |||||||
(ETM)* | NR/AA | 2,095,000 | 2,207,962 | ||||
University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,500,000 | 1,612,125 | ||||
Nevada | (1.60%) | ||||||
Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 840,000 | 946,361 | ||||
Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 (Sierra | |||||||
Pacific Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,213,500 | ||||
Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due | |||||||
6/1/2011 (Insured: FSA) | Aaa/AAA | 1,770,000 | 1,899,670 | ||||
Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 | |||||||
(Collateralized: FNMA) | NR/AAA | 1,470,000 | 1,498,445 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2009 (Insured: Radian) | NR/AA | 1,000,000 | 1,088,540 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,092,300 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2011(Insured: Radian) | NR/AA | 1,285,000 | 1,398,671 | ||||
Washoe County Hospital Facility Revenue Series 1993 A, 6.00% due 6/1/2015 (Washoe | |||||||
Medical Center Project) | A3/A- | 5,000,000 | 5,049,950 | ||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,500,000 | 3,820,775 | ||||
New Hampshire | (0.30%) | ||||||
New Hampshire General Obligation, 0% due 7/1/2004 | Aa2/AA | 500,000 | 499,980 | ||||
New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 put | |||||||
12/1/2004 (Central Vermont Public Services Project; LOC: Citizens Bank) | NR/AA- | 2,485,000 | 2,512,161 | ||||
New Hampshire Municipal Bond Bank Refunding Series A-2, 4.60% due 7/15/2004 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,650,000 | 1,652,129 | ||||
New Jersey | (1.60%) | ||||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 | |||||||
(Transportation Systems Project) | Aa3/AA- | 3,000,000 | 3,192,150 | ||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 | |||||||
(Transportation Systems Project) | Aa3/AA- | 5,000,000 | 5,361,650 | ||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 | |||||||
(Transportation Systems Project) | Aa3/AA- | 5,000,000 | 5,382,250 | ||||
New Jersey State Turnpike Authority Revenue Refunding Series A, 5.50% due 1/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 3,015,000 | 3,166,323 | ||||
Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,780,000 | 1,815,884 | ||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,058,290 | ||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,730 | ||||
Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due | |||||||
12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | 1,515,000 | 1,576,191 | ||||
New Mexico | (2.10%) | ||||||
Albuquerque Airport Revenue Adjustment Refunding Subordinated, 1.05% due 7/1/2014 | |||||||
put 7/7/2004 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-2 | 1,700,000 | 1,700,000 | ||||
Albuquerque Joint Water & Sewage Systems Refunding Series A, 4.50% due 7/1/2004 | Aa3/AA | 1,685,000 | 1,685,152 | ||||
Farmington Pollution Control Revenue, 1.06% due 9/1/2024 put 7/1/2004 (LOC: | |||||||
Barclays Bank) (daily demand notes) | P1/A1+ | 5,000,000 | 5,000,000 | ||||
New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due | |||||||
6/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,865,000 | 5,245,783 | ||||
New Mexico State, 4.00% due 3/1/2005 | Aa1/AA+ | 1,350,000 | 1,372,626 | ||||
New Mexico State, 4.00% due 9/1/2005 | Aa1/AA+ | 8,000,000 | 8,210,400 | ||||
New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,000,000 | 1,037,830 | ||||
New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,650,000 | 2,737,397 | ||||
New Mexico State University Revenues Refunding & Improvement, 4.00% due 4/1/2006 | |||||||
(Insured: FSA) | Aaa/AAA | 1,260,000 | 1,299,627 | ||||
New York | (7.00%) | ||||||
Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due | |||||||
11/1/2031 put 11/1/2006(Methodist Retirement Community Project; LOC: Northfork | |||||||
Bank) | A2/A- | 1,625,000 | 1,664,406 | ||||
Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 | |||||||
(American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,590 | ||||
Hempstead Town Industrial Development Agency Resources Recovery Revenue Refunding, | |||||||
5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,068,210 | ||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due | |||||||
12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,651,575 | ||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 7,000,000 | 7,379,540 | ||||
Metropolitan Transportation Authority New York Revenue Series B, 5.00% due | |||||||
11/15/2007 | A2/A | 8,000,000 | 8,491,920 | ||||
Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A3/AA- | 4,535,000 | 4,856,894 | ||||
Monroe County Industrial Development Agency, 5.375% due 6/1/2007 (St. John Fisher | |||||||
College Project; Insured: Radian) | NR/AA | 1,050,000 | 1,123,616 | ||||
New York City Housing Development Corp. Multi Family Housing Revenue Refunding | |||||||
Series A, 5.50% due 11/1/2009 | Aa2/AA | 710,000 | 724,236 | ||||
New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2011 | |||||||
(Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,215,000 | 2,311,153 | ||||
New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2012 | |||||||
(Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,330,000 | 2,424,295 | ||||
New York City Refunding Series H, 1.03% due 8/1/2021 put 7/1/2004 (Insured: FSA) | |||||||
(daily demand notes) | VMIG1/A1+ | 1,400,000 | 1,400,000 | ||||
New York City Transitional Refunding Future Tax Secured Series A, 4.50% due | |||||||
11/1/2004 | Aa2/AA+ | 1,500,000 | 1,515,585 | ||||
New York Dormitory Authority, 6.00% due 7/1/2007 (Champlain Valley Physicians | |||||||
Project; Insured: Connie Lee) | NR/AAA | 1,040,000 | 1,136,782 | ||||
New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 | |||||||
(Norton Healthcare Project) | NR/AA | 1,645,000 | 1,672,471 | ||||
New York Dormitory Authority Revenues Mental Health Services Facilities Improvement | |||||||
B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,733,328 | ||||
New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 | |||||||
(Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,291,440 | ||||
New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 | |||||||
(Insured: FSA) | Aaa/AAA | 560,000 | 562,106 | ||||
New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,112,060 | ||||
New York Series B, 1.06% due 8/15/2018 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 1,300,000 | 1,300,000 | ||||
New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 (Teresian House | |||||||
Project; LOC: Fleet Bank) | Aa3/NR | 1,000,000 | 1,039,400 | ||||
New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | NR/AA | 15,100,000 | 15,549,074 | ||||
New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 (City University | |||||||
Systems Project) | A3/AA- | 3,500,000 | 3,713,010 | ||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 (South Nassau | |||||||
Community Hospital B Project) | Baa1/NR | 1,820,000 | 1,958,902 | ||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 (South Nassau | |||||||
Community Hospital B Project) | Baa1/NR | 1,500,000 | 1,604,880 | ||||
New York State Dormitory Authority Revenues Refunding, 5.00% due 2/15/2010 | |||||||
(Hospital Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 4,870,000 | 5,197,069 | ||||
New York State Medical Care Facilities Finance Agency Revenue Bonds Series F, 6.20% | |||||||
due 8/15/2015 pre-refunded 8/15/05 @102 (Insured: FHA) | Aa2/AA | 1,175,000 | 1,256,992 | ||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due | |||||||
1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,912,275 | ||||
New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,320,000 | 1,268,045 | ||||
New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due | |||||||
1/1/2006 | A3/AA- | 255,000 | 269,053 | ||||
New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A3/AA- | 3,425,000 | 3,613,752 | ||||
Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 (Civic | |||||||
Facility Faxton Hospital Project; Insured: Radian) | NR/AA | 710,000 | 785,537 | ||||
Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | NR/AA- | 2,000,000 | 2,080,220 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.00% | |||||||
due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 2,000,000 | 2,067,200 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% | |||||||
due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 1,000,000 | 1,038,220 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% | |||||||
due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,000,000 | 2,095,700 | ||||
Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,055,000 | 2,115,376 | ||||
North Carolina | (2.50%) | ||||||
Cabarrus County Certificates of Participation Installment Financing Contract, 4.50% | |||||||
due 2/1/2007 | Aaa/AAA | 1,100,000 | 1,152,096 | ||||
Charlotte Certificates of Participation Series B, 5.00% due 6/1/2006 (FY Project) | Aa1/AA+ | 1,000,000 | 1,051,170 | ||||
Gastonia Housing Corp. First Lien Rev Series A, 5.75% due 7/1/2004 (Golfview | |||||||
Village Square Apartment Project) | NR/A- | 70,000 | 70,000 | ||||
Macon County Certificates of Participation, 4.00% due 6/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,035,840 | ||||
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue | |||||||
Series A, 5.00% due 4/1/2007 (Johnson & Wales University Project; Insured: XLCA) | Aaa/AAA | 925,000 | 981,037 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due | |||||||
1/1/2009 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,201,856 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding | |||||||
Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,000,000 | 3,189,990 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% | |||||||
due 1/1/2012 | Baa2/BBB | 650,000 | 684,983 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due | |||||||
1/1/2012 | Baa2/BBB | 1,000,000 | 1,069,650 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due | |||||||
1/1/2013 | Baa2/BBB | 1,055,000 | 1,108,109 | ||||
North Carolina Medical Care Commission, 5.00% due 6/1/2006 (Rex Healthcare Project; | |||||||
Insured: AMBAC) | Aaa/AAA | 1,350,000 | 1,421,428 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due | |||||||
1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,704,344 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% | |||||||
due 1/1/2013 | Baa1/BBB+ | 2,505,000 | 2,702,394 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% | |||||||
due 1/1/2013 | Baa1/BBB+ | 1,000,000 | 1,112,270 | ||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,400,000 | 3,678,358 | ||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,900,000 | 4,290,390 | ||||
North Carolina State Certificates of Participation Series B, 5.00% due 6/1/2009 | |||||||
(Repair & Renovation Project) | Aa2/AA+ | 2,000,000 | 2,155,060 | ||||
Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 | |||||||
(Insured: FGIC) | Aaa/NR | 2,000,000 | 2,140,860 | ||||
University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due | |||||||
4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,120,197 | ||||
North Dakota | (0.10%) | ||||||
Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 | |||||||
(Altru Health System Project; Insured: MBIA) | Aaa/AAA | 910,000 | 954,581 | ||||
Ohio | (2.50%) | ||||||
Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 (Mary Rutan Health | |||||||
Associates Project) | NR/BBB+ | 2,205,000 | 2,254,635 | ||||
Cleveland Cuyahoga County Port Authority Revenue, 6.00% due 11/15/2010 | NR/NR | 3,995,000 | 4,236,857 | ||||
Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 | |||||||
(Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,240 | ||||
Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 | |||||||
(University Hospital Health Systems Project) | Baa1/A | 2,255,000 | 2,375,259 | ||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,620,822 | ||||
Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 520,000 | 553,654 | ||||
Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due | |||||||
9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,318,428 | ||||
Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,447,810 | ||||
Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 867,467 | ||||
Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 2,250,000 | 2,477,723 | ||||
Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 2,385,000 | 2,640,457 | ||||
Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 1,530,000 | 1,706,195 | ||||
Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,055,120 | ||||
Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due | |||||||
10/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,119,180 | ||||
Ohio State Highway Capital Improvement Series C, 5.00% due 5/1/2006 | Aa1/AAA | 1,000,000 | 1,051,750 | ||||
Ohio State Unlimited Tax General Obligation Series A, 5.75% due 6/15/2010 | Aa1/AA+ | 5,000,000 | 5,587,250 | ||||
Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 680,000 | 638,996 | ||||
Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 845,000 | 762,680 | ||||
Reading Revenue Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute | |||||||
Project; Insured: Radian) | NR/AA | 975,000 | 1,076,244 | ||||
Oklahoma | (2.30%) | ||||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: | |||||||
FSA) | Aaa/NR | 1,235,000 | 1,323,500 | ||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: | |||||||
FSA) | Aaa/NR | 1,340,000 | 1,468,439 | ||||
Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 660,000 | 708,965 | ||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, | |||||||
5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,589,416 | ||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, | |||||||
6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,340,000 | 2,613,663 | ||||
Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due | |||||||
6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 827,054 | ||||
Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due | |||||||
10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,070,000 | 1,089,474 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,215,000 | 1,294,048 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,330,000 | 1,404,267 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,250,000 | 1,306,338 | ||||
Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, | |||||||
5.10% due 11/1/2005 | Aa3/NR | 5,000,000 | 5,200,450 | ||||
Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% | |||||||
due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,041,480 | ||||
Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,750,000 | 2,850,622 | ||||
Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/A+ | 2,650,000 | 2,770,575 | ||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA | 1,500,000 | 1,531,155 | ||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2006 | NR/AA | 2,000,000 | 2,065,180 | ||||
Tulsa Metropolitan Utility Authority Water Series A, 5.60% due 11/1/2004 | NR/AA | 1,000,000 | 1,013,870 | ||||
Tulsa Public Facilities Authority Solid Waste Steam & Electric Revenue Refunding | |||||||
Series 1994, 5.45% due 11/1/2004 (Ogden Martin Systems of Tulsa Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 750,000 | 759,660 | ||||
Oregon | (0.50%) | ||||||
Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 | |||||||
(Legacy Health Systems Project) | Aa3/AA | 4,000,000 | 4,259,760 | ||||
Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante | |||||||
Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,730 | ||||
Salem Hospital Facility Authority Revenue, 5.25% due 8/15/2014 (Salem Hospital | |||||||
Project) | NR/AA- | 1,000,000 | 1,022,510 | ||||
Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 750,000 | 779,887 | ||||
Pennsylvania | (2.60%) | ||||||
Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South | |||||||
Hills Health System Project) | Baa1/NR | 1,505,000 | 1,560,805 | ||||
Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center | |||||||
UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,033,200 | ||||
Allegheny County Ind. Development Authority Health & Housing Facilities Revenue | |||||||
Refunding Series B, 1.14% due 7/1/2029 put 7/1/2004 (Longwood Project; Insured: | |||||||
Radian) (daily demand notes) | NR/A1+ | 4,700,000 | 4,700,000 | ||||
Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid | |||||||
Withholding) | A1/NR | 1,325,000 | 1,385,341 | ||||
Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,000,000 | 1,081,480 | ||||
Delaware County Pollution Control Refunding Series A, 5.20% due 4/1/2021 put | |||||||
10/1/2004 (Peco Energy Co. Project) | A3/BBB+ | 4,250,000 | 4,280,557 | ||||
Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,000,000 | 1,081,860 | ||||
Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 | |||||||
pre-refunded 12/1/2005 | NR/AAA | 1,605,000 | 1,703,451 | ||||
Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa3/NR | 730,000 | 754,842 | ||||
Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 550,000 | 574,816 | ||||
Montgomery County Industrial Development Authority Pollution Control Revenue Series | |||||||
A, 5.20% due 10/1/2030 put 10/1/2004 (Peco Energy Co. Project) | A2/BBB+ | 2,000,000 | 2,014,380 | ||||
Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% | |||||||
due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,500,000 | 1,556,445 | ||||
Pennsylvania Higher Educational Facility Series A, 6.00% due 1/1/2005 (University | |||||||
of Pennsylvania Health Systems Project) | A3/A | 750,000 | 766,155 | ||||
Pennsylvania State Higher Educational Facilities Authority, 7.00% due 1/1/2009 | |||||||
(University of Pennsylvania Project) | A3/A | 4,500,000 | 4,606,290 | ||||
Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due | |||||||
11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,500,000 | 1,541,670 | ||||
Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 900,000 | 980,622 | ||||
Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due | |||||||
5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | 1,000,000 | 1,050,920 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,255,000 | 1,344,607 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,320,000 | 1,417,033 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,400,000 | 1,522,892 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,087,020 | ||||
Rhode Island | (2.00%) | ||||||
Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 | |||||||
(Insured: FSA) | Aaa/AAA | 1,075,000 | 1,177,415 | ||||
Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,044,310 | ||||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,037,500 | ||||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,038,010 | ||||
Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 1,880,000 | 2,096,313 | ||||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State | |||||||
Public Projects; Insured: AMBAC) | Aaa/AAA | 4,455,000 | 4,632,398 | ||||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2006 (State | |||||||
Public Projects; Insured: AMBAC) | Aaa/AAA | 10,085,000 | 10,679,107 | ||||
Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence | |||||||
Place Mall Project; Insured: Radian) | NR/AA | 2,075,000 | 2,289,182 | ||||
Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital | |||||||
Project; LOC: Fleet National Bank) | NR/AA- | 1,960,000 | 2,042,065 | ||||
Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, | |||||||
5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/A+ | 1,565,000 | 1,632,843 | ||||
South Carolina | (1.60%) | ||||||
Charleston County Certificates of Participation, 6.00% due 12/1/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,050,000 | 2,261,949 | ||||
Charleston County Certificates of Participation Refunding, 5.00% due 6/1/2007 | |||||||
(Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,433,687 | ||||
Kershaw County School District Series B, 4.60% due 3/1/2007 | Aa1/AA+ | 1,445,000 | 1,498,971 | ||||
Medical University of South Carolina Hospital Facilities Revenue, 5.50% due | |||||||
7/1/2005 (ETM)* | Baa2/NR | 1,000,000 | 1,037,320 | ||||
Piedmont Municipal Power Agency Electric Revenue, 6.375% due 1/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 945,000 | 1,001,880 | ||||
South Carolina Jobs Economic Development Authority Hospital Facilities Revenue | |||||||
Improvement, 7.125% due 12/15/2015 pre-refunded 12/15/2010 (Palmetto Health | |||||||
Alliance Project) | Baa2/BBB | 1,250,000 | 1,508,350 | ||||
South Carolina Jobs Economic Development Authority Hospital Facilities Revenue | |||||||
Improvement Series A, 7.375% due 12/15/2021 pre-refunded 12/15/2010 (Palmetto | |||||||
Health Alliance Project) | Baa2/BBB | 2,600,000 | 3,174,314 | ||||
South Carolina State Public Service Authority Refunding Series A, 6.50% due | |||||||
1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,530,000 | 3,814,341 | ||||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due | |||||||
1/1/2006 | Aa2/AA- | 2,000,000 | 2,084,140 | ||||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due | |||||||
1/1/2007 | Aa2/AA- | 2,315,000 | 2,448,205 | ||||
York County Refunding, 5.00% due 6/1/2006 (Insured: FSA) | Aaa/AAA | 1,720,000 | 1,811,659 | ||||
South Dakota | (0.40%) | ||||||
South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 | |||||||
(Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,212,200 | ||||
South Dakota State Building Authority Lease Revenue, 6.625% due 9/1/2012 | |||||||
pre-refunded 9/1/2004 @100 (Insured: AMBAC) | Aaa/AAA | 2,235,000 | 2,254,824 | ||||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, | |||||||
6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,126,180 | ||||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, | |||||||
6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,084,310 | ||||
Tennessee | (0.50%) | ||||||
Clarksville Natural Gas Refunding, 5.00% due 11/1/2004 | NR/BBB+ | 2,420,000 | 2,440,812 | ||||
Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due | |||||||
4/1/2010 (Insured: FSA) | Aaa/AAA | 770,000 | 805,335 | ||||
Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,046,230 | ||||
Knox County Health Educational & Housing Facilities Board Hospital Facilities | |||||||
Revenue Refunding, 5.00% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,082,340 | ||||
Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 @ 69.561 | Aa2/AA+ | 1,050,000 | 720,458 | ||||
Texas | (11.20%) | ||||||
Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St | |||||||
Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,350,000 | 1,479,505 | ||||
Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,000,000 | 1,078,610 | ||||
Austin Utility Systems Revenue Refunding Comb. Series A, 5.60% due 5/15/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,013,170 | ||||
Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due | |||||||
8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,137,880 | ||||
Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 | |||||||
(Insured: MBIA) | Aaa/NR | 1,800,000 | 1,884,330 | ||||
Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,250,000 | 959,137 | ||||
Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,884,042 | ||||
Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,425,000 | 1,566,075 | ||||
Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,300,000 | 3,005,937 | ||||
Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due | |||||||
9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,105,637 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: | |||||||
FSA) | Aaa/AAA | 2,000,000 | 2,078,440 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: | |||||||
FSA) | Aaa/AAA | 4,070,000 | 4,334,061 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: | |||||||
FSA) | Aaa/AAA | 2,000,000 | 2,188,080 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: | |||||||
FSA) | Aaa/AAA | 4,780,000 | 5,271,432 | ||||
Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: | |||||||
Radian) | NR/AA | 450,000 | 479,452 | ||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 | |||||||
(Guaranty: PSF) | Aaa/AAA | 4,945,000 | 3,775,458 | ||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 | |||||||
(Guaranty: PSF) | Aaa/AAA | 1,245,000 | 899,824 | ||||
Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 3,800,000 | 4,066,494 | ||||
Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton | |||||||
County Project) | Aa2/AA | 1,390,000 | 1,520,201 | ||||
Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,005,000 | 2,093,842 | ||||
Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, | |||||||
4.20% due 11/1/2006 (Occidental Project) | Baa2/BBB+ | 4,000,000 | 4,126,400 | ||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 | |||||||
(Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,075,680 | ||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 | |||||||
(Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,073,100 | ||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 750,000 | 895,065 | ||||
Harris County Health Facilities Development Corp. Hospital Revenue Refunding | |||||||
Series A, 6.00% due 6/1/2012 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 500,000 | 571,665 | ||||
Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% | |||||||
due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,410,000 | 4,812,501 | ||||
Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial | |||||||
Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 600,000 | 674,772 | ||||
Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (Insured: | |||||||
AMBAC) (ETM)* | Aaa/AAA | 620,000 | 681,070 | ||||
Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, | |||||||
7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 930,000 | 1,052,025 | ||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 (Insured: | |||||||
MBIA) | Aaa/AAA | 10,000,000 | 11,070,600 | ||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,000,000 | 2,202,980 | ||||
Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put | |||||||
8/15/2009 @100 (Insured: FGIC) | Aaa/AAA | 5,000,000 | 5,370,000 | ||||
Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 | |||||||
(Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,539,736 | ||||
Irving Independent School District, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 990,270 | ||||
Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 (Irving | |||||||
Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 500,000 | 519,895 | ||||
Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 put 11/1/2006 (Special | |||||||
Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,000,000 | 1,040,230 | ||||
Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 | |||||||
(Insured: FSA) | Aaa/AAA | 750,000 | 926,250 | ||||
Matagorda County Navigation District 1 Adjusted Refunding Central Power A, 2.15% | |||||||
due 5/1/2030 put 11/1/2004 | Baa2/BBB | 3,000,000 | 2,998,770 | ||||
Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 3,065,000 | 2,257,894 | ||||
Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,415,000 | 1,254,228 | ||||
Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,200,000 | 1,016,292 | ||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | Baa2/AA | 700,000 | 774,725 | ||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | Baa2/AA | 740,000 | 822,665 | ||||
New Caney Independent School District Refunding, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 2,275,000 | 2,253,296 | ||||
North Texas Thruway Authority Dallas North Thruway Systems Revenue Refunding Series | |||||||
B, 5.00% due 1/1/2038 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,330,800 | ||||
Red River Education Finance Corp., 2.10% due 12/1/2034 put 12/1/2007 (Parish | |||||||
Episcopal School Project; LOC: Allied Irish Banks PLC) | VMIG1/NR | 2,500,000 | 2,407,875 | ||||
Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,460,800 | ||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put | |||||||
8/1/2008 | Aaa/AAA | 3,000,000 | 3,189,360 | ||||
Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 1,970,000 | 2,138,809 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 | |||||||
(Insured: AMBAC) | Aaa/AAA | 965,000 | 870,690 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,120,000 | 963,290 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,275,000 | 1,032,151 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,092,960 | ||||
Southwest Texas State University Revenues Refunding, 4.90% due 8/1/2004 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,145,000 | 1,148,366 | ||||
Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 609,155 | ||||
Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 580,000 | 629,335 | ||||
Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 650,000 | 719,732 | ||||
Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 730,000 | 813,775 | ||||
Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 (Texas | |||||||
Health Resources Project; Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,536,794 | ||||
Tarrant County Health Facilities Development Corp. Health Systems Revenue Series A, | |||||||
5.75% due 2/15/2008 (Texas Health Resources Systems Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,273,180 | ||||
Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,100,170 | ||||
Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,098,740 | ||||
Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,041,025 | ||||
Texas Public Finance Authority Building Revenue State Preservation Project Series | |||||||
B, 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,114,390 | ||||
Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond | |||||||
Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | 7,000,000 | 7,505,050 | ||||
Town Center Improvement District Texas Sales & Hotel Occupancy Tax, 5.00% due | |||||||
3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,046,190 | ||||
Travis County, 5.00% due 3/1/2007 | Aaa/AAA | 1,000,000 | 1,061,050 | ||||
Travis County, 5.00% due 3/1/2010 | Aaa/AAA | 500,000 | 529,960 | ||||
Travis County Health Development Corp. Series A, 5.75% due 11/15/2008 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,300,000 | 2,535,106 | ||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit | |||||||
Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,092,140 | ||||
Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due | |||||||
11/15/2009 (Insured: MBIA) | Aaa/AAA | 3,750,000 | 4,155,150 | ||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 | |||||||
(Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,218,120 | ||||
Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 | |||||||
(Insured: ACA) | NR/A | 2,020,000 | 2,134,797 | ||||
Utah | (1.10%) | ||||||
Intermountain Power Agency Power Supply Revenue Series A, 5.20% due 7/1/2006 (ETM)* | A1/A+ | 385,000 | 390,001 | ||||
Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 | |||||||
(Insured: MBIA) (ETM)* | Aaa/AAA | 4,355,000 | 4,367,369 | ||||
Intermountain Power Agency Power Supply Revenue Series A, 5.50% due 7/1/2013 (ETM)* | A1/A+ | 4,000,000 | 4,053,080 | ||||
Intermountain Power Agency Power Supply Revenue Series B, 0% due 7/1/2004 (ETM)* | A1/A+ | 630,000 | 629,975 | ||||
Intermountain Power Agency Power Supply Revenue Series B, 0% due 7/1/2004 | A1/A+ | 370,000 | 369,981 | ||||
Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: | |||||||
FSA) | Aaa/AAA | 500,000 | 567,510 | ||||
Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,500,000 | 1,658,640 | ||||
Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 675,000 | 717,248 | ||||
Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, | |||||||
5.00% due 5/1/2010 | NR/AA | 510,000 | 549,765 | ||||
Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 | |||||||
(Insured: AMBAC) | Aaa/AAA | 500,000 | 520,220 | ||||
Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,077,750 | ||||
Vermont | (0.10%) | ||||||
Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 | |||||||
(Northwestern Medical Center Project) | NR/BBB | 680,000 | 709,254 | ||||
Virginia | (1.00%) | ||||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,010,000 | 1,105,263 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,070,000 | 1,185,710 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,130,000 | 1,263,611 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,195,000 | 1,347,972 | ||||
Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,500,000 | 1,579,275 | ||||
Hampton General Obligation Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 530,000 | 533,843 | ||||
Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 500,000 | 519,860 | ||||
Loudoun County Industrial Development Authority Series E, 1.06% due 2/15/2038 put | |||||||
7/1/2004 (Howard Hughes Medical Center Project) (daily demand notes) | VMIG1/A1+ | 1,500,000 | 1,500,000 | ||||
Norton Industrial Development Authority Hospital Revenue Refunding Improvement, | |||||||
5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,460,000 | 1,571,544 | ||||
Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 | |||||||
(Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,170,340 | ||||
Washington | (6.00%) | ||||||
Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 | |||||||
(Washington Conservation Project) | Aaa/AA- | 1,000,000 | 1,067,580 | ||||
Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due | |||||||
7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,181,700 | ||||
Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | 1,675,000 | 1,725,987 | ||||
Energy Northwest Washington Wind Project Revenue Series A, 4.95% due 7/1/2008 | A3/A- | 1,760,000 | 1,820,615 | ||||
Energy Northwest Washington Wind Project Revenue Series B, 4.95% due 7/1/2008 | A3/A- | 705,000 | 729,280 | ||||
Energy Northwest Washington Wind Project Revenue Series B, 5.20% due 7/1/2010 | A3/A- | 785,000 | 812,295 | ||||
Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 650,000 | 686,511 | ||||
King County School District 414 Lake Washington Refunding, 3.00% due 12/1/2004 | Aa1/AA | 1,885,000 | 1,897,667 | ||||
Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 1,880,000 | 2,007,652 | ||||
Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: | |||||||
FSA) | Aaa/AAA | 1,000,000 | 1,058,750 | ||||
Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due | |||||||
11/1/2006 (Insured: FSA) | Aaa/AAA | 5,000,000 | 5,298,050 | ||||
Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due | |||||||
11/1/2007 (Insured: FSA) | Aaa/AAA | 10,000,000 | 10,697,700 | ||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2007 | |||||||
(Insured: MBIA) | Aaa/NR | 2,285,000 | 2,373,247 | ||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 | |||||||
(Insured: MBIA) | Aaa/NR | 1,375,000 | 1,424,156 | ||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,040,600 | ||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,056,150 | ||||
Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,350 | ||||
Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/BBB | 2,150,000 | 2,248,384 | ||||
Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/BBB | 2,430,000 | 2,529,630 | ||||
Tacoma Conservation Systems Project Revenue, 6.20% due 1/1/2006 (Tacoma Public | |||||||
Utilities Project) | Aaa/AA- | 550,000 | 563,096 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due | |||||||
8/15/2004 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 800,000 | 803,096 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due | |||||||
8/15/2005 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 900,000 | 927,252 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due | |||||||
8/15/2006 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,054,500 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due | |||||||
8/15/2007 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,172,270 | ||||
Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services | |||||||
Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,643,475 | ||||
Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 900,000 | 988,794 | ||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: | |||||||
FSA) | Aaa/AAA | 2,500,000 | 2,664,725 | ||||
Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 (Nuclear | |||||||
Project Number 3) | Aaa/AA- | 1,140,000 | 992,951 | ||||
Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,655,000 | 1,774,524 | ||||
Washington Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Project Number | |||||||
1; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,109,170 | ||||
Washington Public Power Supply Systems Refunding Series B, 0% due 7/1/2004 (Nuclear | |||||||
Project Number 3) | Aaa/AA- | 3,445,000 | 3,444,862 | ||||
Washington Public Power Supply Systems Revenue Refunding Series A, 6.00% due | |||||||
7/1/2006 (Nuclear Project Number 2; Insured: AMBAC) | Aaa/AAA | 1,810,000 | 1,940,718 | ||||
Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due | |||||||
7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,072,850 | ||||
Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 | |||||||
(Nuclear Project Number 3) | Aaa/AA- | 830,000 | 722,938 | ||||
Washington State Health Care Facilities Authority Revenue, 4.00% due 7/1/2005 | |||||||
(Overlake Hospital Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,870 | ||||
Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: | |||||||
FGIC) | Aaa/AAA | 5,075,000 | 5,412,538 | ||||
Washington State Public Power Supply Systems Nuclear Project Number 2 Revenue | |||||||
Refunding Series A, 4.90% due 7/1/2005 | Aaa/AA- | 1,000,000 | 1,031,680 | ||||
Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due | |||||||
7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,406,150 | ||||
Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 6,810,000 | 7,317,481 | ||||
West Virginia | (0.30%) | ||||||
Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 (Salem | |||||||
Health Care Corp. Project; LOC: Fleet Bank) | NR/NR | 520,000 | 528,731 | ||||
Marion County SFMR Series 1992, 7.75% due 7/10/2011 | NR/NR | 123,726 | 123,966 | ||||
Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 (Monongahela Power | |||||||
Co. Project; Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,593,360 | ||||
West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due | |||||||
7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,075,860 | ||||
Wisconsin | (1.20%) | ||||||
Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste | |||||||
Project) (ETM)* | B1/BB+ | 1,500,000 | 1,736,115 | ||||
Milwaukee Wisconsin, 5.00% due 3/15/2005 | Aa2/AA | 3,325,000 | 3,406,629 | ||||
Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 (Aurora Health | |||||||
Care Inc. Project) | Aaa/AAA | 2,835,000 | 3,006,262 | ||||
Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 | |||||||
(Wheaton Franciscan Services Inc. Project; Insured: MBIA) | Aaa/AAA | 800,000 | 836,624 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due | |||||||
8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,204,320 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 4.00% | |||||||
due 2/15/2006 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,025,730 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 2/15/2007 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,055,010 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,860,000 | 1,985,066 | ||||
Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 (Gundersen | |||||||
Lutheran Hospital Project) | Aaa/AAA | 1,250,000 | 1,327,925 | ||||
Wyoming | (0.30%) | ||||||
West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,615,000 | 1,689,387 | ||||
Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA- | 2,500,000 | 2,088,500 | ||||
TOTAL INVESTMENTS (100%) (Cost 1,346,607,618) | $ 1,377,591,952 | ||||||
† Credit ratings are unaudited | |||||||
*Escrowed to maturity | |||||||
See notes to financial statements |
Report of independent Registered Public Accounting Firm
Thornburg Limited Term Municipal Fund
To the Board of Trustees and Shareholders of
Thornburg Limited Term Municipal Fund
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 Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund – National Portfolio) a series of Thornburg Investment Trust (the “Fund”) at June 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 the standards of the Public Company Accounting Oversight Board (United States), 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 June 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 2, 2004
34
Index Comparisons
Thornburg Limited Term Municipal Fund June 30, 2004
Index Comparison
Compares performance of Limited Term Municipal Fund, the Lehman Brothers Five-Year Municipal Bond Index (the “Index”) and the Consumer Price Index (CPI) for the periods ended June 30, 2004. On June 30, 2004, the weighted average securities ratings of both the Index and the Fund were AA and the weighted average portfolio maturities of the Index and the Fund were 5.0 years and 3.9 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. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of fund shares.
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltmfx604.jpg)
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltmcx604.jpg)
Maximum sales charge of the Fund’s Class A Shares is 1.50%. C shares include a 0.50% CDSC for the first year only. Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com.
The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
35
Trustees and officers
Thornburg Limited Term Municipal Fund June 30, 2004
Name, Address and Age (1) | Position(s) Held with Fund (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee or Nominee for Trustee |
---|---|---|---|---|---|
Interested Trustees Garrett Thornburg, 58 Brian J. McMahon, 48 Independent Trustees David A. Ater, 59 David D. Chase, 63 Forrest S. Smith, 74 James W. Weyhrauch, 45 Officers of the Fund (who are not Trustees)(7) Dawn B. Fischer, 57 Steven J. Bohlin, 45 George T. Strickland, 41 William V. Fries, 65 Leigh Moiola, 37 Kenneth Ziesenheim, 50 Alexander Motola, 34 Wendy Trevisani, 33 Joshua Gonze, 41 Brad Kinkelaar, 36 Kerry D. Lee, 37 Christopher Ihlefeld, 33 Leon Sandersfeld, 37 Sasha Wilcoxon, 29 | Chairman of Trustees (3) Trustee, President (5) Trustee Trustee Trustee Trustee Secretary Vice President, Treasurer Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President | Trustee Since 1987 (4) Trustee Since 2001; President Since 1997 (4)(6) Trustee since 1994 (4) Trustee since 2001 (4) Trustee since 1987 (4) Trustee since 1996 (4) Secretary Since 1987 (6) Vice President Since 1987; Treasurer Since 1989 (6) Vice President Since 1996 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 2003 (4) Vice President Since 2003 (6) Vice President Since 2003 (6) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, NambMills, Inc., Santa Fe, NM (manufacturer). Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. Associate of Thornburg Investment Management, Inc. 1999 - -2003, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. Associate of Thornburg Investment Management Inc. to 2004, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999 and Vice President and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President of Thornburg Investment Management, Inc.; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Twelve Twelve Twelve Twelve Twelve Twelve N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A | Director of Thornburg Mortgage, Inc. (real estate investment trust) None Director of Thornburg Mortgage, Inc. (real estate investment trust) Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 None None N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A |
(1) | Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501. |
(2) | The Fund is one of twelve separate investment "Funds" or |
"series" of Thornburg Investment Trust (the "Trust"), | |
organized as a Massachusetts business trust. The Trust currently has twelve | |
active Funds. Thornburg Investment Management, Inc. is the investment advisor | |
to, and manages, the twelve funds of the Trust. | |
(3) | Mr. Thornburg is considered an "interested" Trustee under the |
Investment Company Act of 1940 because he is a director and controlling | |
shareholder of Thornburg Investment Management, Inc., the investment advisor to | |
the twelve active funds of the Trust, and is the sole director and controlling | |
shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. |
(5) | Mr. McMahon is considered an "interested" Trustee because he is the |
president of Thornburg Investment Management, Inc. | |
(6) | The Trust's president, secretary and treasurer each serves a one-year term or until the |
election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
PORTFOLIO PROXY VOTING
Policies and Procedures (Unaudited):
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1.800.847.0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted will be available on or before August 31 of each year for the twelve months ending the preceding June 30. This information will be available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended June 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio,” which was, until June 21, 2004, a series of Thornburg Limited Term Municipal Fund, Inc. (the “Company”), and since June 21, 2004, a series of Thornburg Investment Trust) was held on April 28, 2004, as adjourned to May 21, 2004, at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501.
The shareholders of the National Portfolio approved at the Meeting an Agreement and Plan of Reorganization providing for the reorganization of the National Portfolio into a series or “Fund” of Thornburg Investment Trust called “Thornburg Limited Term Municipal Fund,” by the transfer of all of the assets of the National Portfolio to Thornburg Limited Term Municipal Fund, in exchange solely for voting shares of Thornburg Limited Term Municipal Fund, and for the distribution of those shares to the shareholders of the National Portfolio. See Note 1 in the notes to financial statements.
At the same meeting, the shareholders of Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio”), another series of the Company, approved an Agreement and Plan of Reorganization providing for the reorganization of the California Portfolio into Thornburg California Limited Term Municipal Fund, a series of Thornburg Investment Trust.
The voting results for the matters voted on are as follows:
Thornburg Limited Term Municipal Fund – National Portfolio
Shares Voted for | Shares Voted Against or Withheld | Shares Abstained | Broker Non-Vote | Shares Voted |
---|---|---|---|---|
56,080,363 | 1,214,687 | 2,316,178 | - | 59,611,228 |
Thornburg Limited Term Municipal Fund - I Shares
Annual Report
June 30, 2004
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
www.thornburg.com
This report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Performance data quoted represent past performance and do not guarantee future results.
Thornburg Limited Term Municipal Fund
ALL DATA AS OF 06/30/2004.
FUND FACTS: Thornburg Limited Term Municipal Fund
I Shares | |||
---|---|---|---|
Annualized Distribution Rate (at NAV) | 3 | .14% | |
SEC Yield | 2 | .42% | |
NAV | $ 13 | .68 | |
Maximum Offering Price | $ 13 | .68 |
TOTAL RETURNS: (Annual Average)
One Year | 0 | .80% | |
Three Years | 4 | .32% | |
Five Years | 4 | .84% | |
Since Inception | 4 | .87% | |
Inception Date | 7/5/ | 96 |
Minimum investments for the I-share class are higher than those for other classes. There is no up front sales charge for this class of shares. |
Performance data quoted represent past performance and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. |
Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this information is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period. |
The distribution rate is calculated by taking the sum of the month’s total daily dividend distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending NAV to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions. |
Letter to shareholders
Thornburg Limited Term Municipal Fund July 14, 2004
Dear Fellow Shareholder:
I am pleased to present the annual report for the Thornburg Limited Term Municipal Fund. The net asset value of the I shares decreased by 33¢ to $13.68 during the year ended June 30, 2004. If you were with us for the entire period, you received dividends of 44.2¢ per share. If you reinvested dividends, you received 44.8¢ per share.
Over the last year, interest rates on high-quality municipal bonds have risen dramatically. Most of the change happened in April and May of this year. Usually, bond market participants take their cue, at least in part, from the Federal Reserve. In April and May of 2004, the bond market jumped the gun. In anticipation of a rising Fed Funds rate, investors sold bonds, which pushed up the yield on a 5-year Treasury note from a low of 2.64% on March 16th to 3.93% on June 30th. The municipal market followed suit. The yield on a 5-year AAA-rated municipal bond rose from a low of 2.09% to 3.16% at the quarter’s end.
The rise in rates caused bond prices to move down sharply, leading to the worst quarterly total return for bonds since 1994. Our strategy of laddering short and intermediate bonds helped diffuse some, but not all, of the downward price pressures. Thornburg Limited Term Municipal Fund A shares produced a total return of 0.47% for the year ended June 30, 2004. This compares favorably to the Lehman Brothers 5-year Municipal Bond Index, which posted a 0.24% return over the same time period. Your Fund’s out-performance was mostly due to its dispersion of maturities and its shorter duration relative to the index.
Your Thornburg Limited Term Municipal Fund is a laddered portfolio of over 660 municipal obligations from 49 states. Approximately 93% of the bonds are rated A or better by one of the major rating agencies. Today, your Fund’s weighted average maturity is 3.9 years, and we normally keep it below 5 years. As you know, we “ladder” the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years.
When interest rates rise, virtually all bonds fall in value. However, as the bonds in a laddered portfolio approach maturity, they tend to recapture lost value. Meanwhile, cash from maturing bonds can be reinvested in a higher interest rate environment, raising the portfolio’s yield. In this way, a laddered portfolio should benefit from rising interest rates over time.
We have been targeting a somewhat shorter duration than normal so far this year because we have been concerned about a rise in interest rates. Now that rates have moved up by over 1.00%, is it time to start extending duration? We have decided not to extend your Fund’s duration yet because we believe that interest rates are more likely to increase than decrease in the months ahead.
Most indicators of economic activity are strong. Personal consumption expenditures are up 4.1% and corporate cash flows have surged 24% in the last year. Almost one million new jobs have been created in the last three months. Clearly a 1.25% Fed Funds rate is inconsistent with such robust economic growth. Since bond yields rose earlier this year, our bond market has already built-in expectations of a somewhat higher Fed Funds rate. The next major question concerns what happens to economic growth and inflation after the Fed Funds rate hits 2.5%.
We believe that the economy has enough momentum to continue growing rapidly in such a scenario. Furthermore, we believe that we are only beginning to see the long-term effects on inflation of government policies over the last three years. Low interest rates, tax cuts, deficit spending, and a weak dollar have all combined to create an environment where businesses and their workers have more pricing power. We expect that this will translate to a sustained, though moderate, rise in the official inflation statistics over the next several years.
2
Letter to shareholders, Continued
Thornburg Limited Term Municipal Fund
If these events unfold as we expect, bond yields should eventually resume their upward path. We have positioned your Fund with this outlook in mind. The duration is near the short end of its typical range, and the ladder is somewhat more concentrated in shorter maturities. We are looking forward to a buyer-friendly environment in the future when we will hopefully be able to add a significant amount of additional yield while positioning your Fund to perform well for years to come.
Thanks to a strong economy and some recently implemented tax increases, state tax revenue is up a healthy 8.1% over last year. Surpluses are showing up in states that worked hard to balance this year’s budget. Where budgets were not properly balanced, deficits are becoming easier to solve. A few pockets of weakness still exist, but by and large, municipal bond credit quality is starting to improve. We have kept your Fund’s credit quality high, with average ratings of AA and broad diversification across issuers and market sectors.
As your Fund approaches its 20th birthday, we hope that you are pleased with your investment in the Thornburg Limited Term Municipal Fund. 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. Thank you for investing in Thornburg Limited Term Municipal Fund.
% of portfolio maturing within | Cumulative % maturing by end of | |
---|---|---|
1 years = 13% | year 1 = 13% | |
1 to 2 years = 13% | year 2 = 26% | |
2 to 3 years = 12% | year 3 = 38% | |
3 to 4 years = 13% | year 4 = 51% | |
4 to 5 years = 13% | year 5 = 64% | |
5 to 6 years = 11% | year 6 = 75% | |
6 to 7 years = 10% | year 7 = 85% | |
7 to 8 years = 6% | year 8 = 91% | |
8 to 9 years = 5% | year 9 = 96% | |
over 9 years = 4% | over 9 years =100% |
Percentages can and do vary. Data as of 06/30/04.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/george.jpg)
George Strickland
Portfolio Manager
Past performance cannot guarantee future results. The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks. |
3
Statement of assets and liabilities
Thornburg Limited Term Municipal Fund June 30, 2004
ASSETS | |||||
Investments at value (cost $1,346,607,618) | $ | 1,377,591,952 | |||
Cash | 3,214,107 | ||||
Receivable for investments sold | 27,422,316 | ||||
Receivable for fund shares sold | 4,039,272 | ||||
Interest receivable | 18,570,449 | ||||
Prepaid expenses and other assets | 47,935 | ||||
Total Assets | 1,430,886,031 | ||||
LIABILITIES | |||||
Payable for fund shares redeemed | 3,047,586 | ||||
Accounts payable and accrued expenses | 459,297 | ||||
Payable to investment advisor (Note 3) | 601,132 | ||||
Dividends payable | 1,078,202 | ||||
Total Liabilities | 5,186,217 | ||||
NET ASSETS | $ | 1,425,699,814 | |||
NET ASSETS CONSIST OF: | |||||
Net unrealized appreciation (depreciation) on investments | $ | 30,984,334 | |||
Over-distributed net investment income (loss) | (1,293 | ) | |||
Accumulated net realized gain (loss) | (4,658,982 | ) | |||
Net capital paid in on shares of beneficial interest | 1,399,375,755 | ||||
$ | 1,425,699,814 | ||||
NET ASSET VALUE: | |||||
Class A Shares: | |||||
Net asset value and redemption price per share | |||||
($1,047,481,813 applicable to 76,584,691 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.68 | |||
Maximum sales charge, 1.50% of offering price | 0.21 | ||||
Maximum Offering Price Per Share | $ | 13.89 | |||
Class C Shares: | |||||
Net asset value and offering price per share* | |||||
($155,457,571 applicable to 11,345,224 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.70 | |||
Class I Shares: | |||||
Net asset value, offering and redemption price per share | |||||
($222,760,430 applicable to 16,284,542 shares of beneficial | |||||
interest outstanding - Note 4) | $ | 13.68 | |||
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements. |
4
Statement of operations
Thornburg Limited Term Municipal Fund Year Ended June 30, 2004
INVESTMENT INCOME: | |||||
Interest income (net of premium amortized of $15,358,148) | $ | 53,238,459 | |||
EXPENSES: | |||||
Investment advisory fees (Note 3) | 5,754,193 | ||||
Administration fees (Note 3) | |||||
Class A Shares | 1,311,880 | ||||
Class C Shares | 191,093 | ||||
Class I Shares | 107,843 | ||||
Distribution and service fees (Note 3) | |||||
Class A Shares | 2,622,964 | ||||
Class C Shares | 1,538,688 | ||||
Transfer agent fees | |||||
Class A Shares | 377,245 | ||||
Class C Shares | 98,715 | ||||
Class I Shares | 60,375 | ||||
Registration and filing fees | |||||
Class A Shares | 75,030 | ||||
Class C Shares | 14,731 | ||||
Class I Shares | 15,281 | ||||
Custodian fees (Note 3) | 534,108 | ||||
Professional fees | 150,630 | ||||
Accounting fees | 121,890 | ||||
Trustee fees | 51,315 | ||||
Other expenses | 332,331 | ||||
Total Expenses | 13,358,312 | ||||
Less: | |||||
Expenses reimbursed by investment advisor (Note 3) | (4,388 | ) | |||
Distribution and service fees waived (Note 3) | (769,344 | ) | |||
Fees paid indirectly (Note 3) | (5,718 | ) | |||
Net Expenses | 12,578,862 | ||||
Net Investment Income | 40,659,597 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||
Net realized gain (loss) on investments sold | 1,795,864 | ||||
Increase (Decrease) in unrealized appreciation of investments | (36,334,816 | ) | |||
Net Realized and Unrealized | |||||
Gain (Loss) on Investments | (34,538,952 | ) | |||
Net Increase (Decrease) in Net Assets Resulting | |||||
From Operations | $ | 6,120,645 | |||
See notes to financial statements.
5
Statements of changes in net assets
Thornburg Limited Term Municipal Fund
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||
---|---|---|---|---|---|---|---|---|
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 40,659,597 | $ | 36,971,587 | ||||
Net realized gain (loss) on investments sold | 1,795,864 | 877,102 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (36,334,816 | ) | 28,100,206 | |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 6,120,645 | 65,948,895 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (29,889,249 | ) | (28,771,058 | ) | ||||
Class C Shares | (3,916,198 | ) | (2,645,994 | ) | ||||
Class I Shares | (6,854,150 | ) | (5,554,535 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 74,238,458 | 190,903,532 | ||||||
Class C Shares | 21,587,725 | 78,064,848 | ||||||
Class I Shares | 30,607,967 | 69,803,156 | ||||||
Net Increase (Decrease) in Net Assets | 91,895,198 | 367,748,844 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,333,804,616 | 966,055,772 | ||||||
End of year | $ | 1,425,699,814 | $ | 1,333,804,616 | ||||
See notes to financial statements.
6
Notes to financial statements
Thornburg Limited Term Municipal Fund June 30, 2004
NOTE 1 — ORGANIZATION
Thornburg Limited Term Municipal Fund (the “Fund”)(formerly Thornburg Limited Term Municipal Fund – National Portfolio) 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income taxes as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the National Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the National Portfolio and the subsequent dissolution of the National Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the National Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the National Portfolio’s assets were transferred to the Fund, and the shareholders of the National Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The National Portfolio is the accounting survivor, and the financial results of the Fund include the results of the National Portfolio prior to the reorganization.
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 the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. 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 Board of 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.
7
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
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 the investment objectives of the Fund 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, the Fund 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 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended June 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has an Administrative Services Agreement with the Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004, the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $4,388 for Class C shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor”), which acts as the Distributor of Fund shares. For the year ended June 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $16,530 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $71,750 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 Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
8
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
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 1% per annum 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 Class C distribution fees waived by the Distributor for the year ended June 30, 2004, are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended June 30, 2004 fees paid indirectly were $5,718.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 22,343,137 | $ | 310,234,300 | 24,734,784 | $ | 343,160,230 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 1,399,170 | 19,393,497 | 1,359,442 | 18,874,006 | ||||||||||
Shares repurchased | (18,441,220 | ) | (255,389,339 | ) | (12,329,726 | ) | (171,130,704 | ) | ||||||
Net Increase (Decrease) | 5,301,087 | $ | 74,238,458 | 13,764,500 | $ | 190,903,532 | ||||||||
Class C Shares | ||||||||||||||
Shares sold | 4,814,111 | $ | 66,984,540 | 7,145,702 | $ | 99,350,605 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 194,692 | 2,704,058 | 135,892 | 1,892,308 | ||||||||||
Shares repurchased | (3,462,370 | ) | (48,100,873 | ) | (1,670,144 | ) | (23,178,065 | ) | ||||||
Net Increase (Decrease) | 1,546,433 | $ | 21,587,725 | 5,611,450 | $ | 78,064,848 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 8,616,079 | $ | 119,652,434 | 7,667,976 | $ | 106,488,989 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 394,435 | 5,468,468 | 309,747 | 4,303,264 | ||||||||||
Shares repurchased | (6,808,603 | ) | (94,512,935 | ) | (2,952,400 | ) | (40,989,097 | ) | ||||||
Net Increase (Decrease) | 2,201,911 | $ | 30,607,967 | 5,025,323 | $ | 69,803,156 | ||||||||
9
Notes to financial statements, Continued
Thornburg Limited Term Municipal Fund June 30, 2004
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended June 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $465,353,933 and $289,684,557, respectively.
NOTE 6 – INCOME TAXES
At June 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ | 1,346,613,399 | |||
Gross unrealized appreciation on a tax basis | $ | 35,385,004 | |||
Gross unrealized depreciation on a tax basis | (4,406,451 | ) | |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 30,978,553 | |||
At June 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At June 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such capital loss carryovers expire as follows:
2008 | $ | 1,088,098 | |||
2009 | 3,565,103 | ||||
$ | 4,653,201 | ||||
The Fund utilized $1,796,480 of its capital loss carry forward during the year ended June 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
During the year ended June 30, 2004, $873,288 of capital loss carry forwards from prior years expired.
In order to account for permanent book/tax differences, the Fund decreased over-distributed net investment income by $1,293, increased accumulated net realized gain (loss) by $734,388, and decreased net capital paid in on shares of beneficial interest by $733,095. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from an expired capital loss carry forward and the difference in the tax treatment of market discounts.
All dividends paid by the Fund for the years ended June 30, 2004 and June 30, 2003, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
10
Financial highlights
Thornburg Limited Term Municipal Fund
Yr End June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class I Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 | $ 13.26 |
Income from investment operations: | |||||
Net investment income | 0.44 | 0.49 | 0.57 | 0.63 | 0.63 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Total from investment operations | 0.11 | 0.85 | 0.78 | 1.01 | 0.43 |
Less dividends from: | |||||
Net investment income | (0.44) | (0.49) | (0.57) | (0.63) | (0.63) |
Change in net asset value | (0.33) | 0.36 | 0.21 | 0.38 | (0.20) |
Net asset value, end of year | $ 13.68 | $ 14.01 | $ 13.65 | $ 13.44 | $ 13.06 |
Total return | 0.80% | 6.36% | 5.91% | 7.91% | 3.37% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 3.18% | 3.54% | 4.18% | 4.75% | 4.84% |
Expenses, after expense reductions | 0.57% | 0.58% | 0.60% | 0.60% | 0.60% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.57% | 0.58% | 0.60% | -- | -- |
Expenses, before expense reductions | 0.57% | 0.58% | 0.62% | 0.65% | 0.62% |
Portfolio turnover rate | 21.37% | 15.81% | 19.59% | 25.37% | 33.65% |
Net assets at end of year (000) | $ 222,760 | $ 197,367 | $ 123,652 | $ 86,160 | $ 76,470 |
11
Schedule of Investments
Thornburg Limited Term Municipal Fund June 30, 2004
Issuer-Desription | Credit Rating† Moody's/S&P | Principal Amount | Value | ||||
---|---|---|---|---|---|---|---|
�� Alabama | (2.00%) | ||||||
Alabama State Public School & College Authority, 4.375% due 8/1/2004 | Aa3/AA | $ 2,000,000 | $ 2,005,200 | ||||
Birmingham Carraway Alabama Special, 6.25% due 8/15/2009 (Insured: Connie Lee) | NR/AAA | 10,000,000 | 10,882,600 | ||||
Birmingham General Obligation, 7.25% due 7/1/2004 (ETM)* | NR/NR | 980,000 | 980,157 | ||||
Huntsville Health Care Authority Facilities Revenue Series B, 4.65% due 6/1/2024 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,245,000 | 1,275,154 | ||||
Huntsville Health Care Series A, 4.65% due 6/1/2024 put 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,330,000 | 5,459,092 | ||||
Scottsboro Industrial Development Board Refunding, 5.25% due 5/1/2009 (LOC: PNC | |||||||
Bank) | NR/NR | 1,920,000 | 1,959,245 | ||||
Shelby County Series A, 7.20% due 8/1/2005 (Insured: MBIA) (ETM)* | Aaa/AAA | 500,000 | 502,210 | ||||
Wilsonville Industrial Development Board Pollution Control Revenue Refunding, 4.20% | |||||||
due 6/1/2019 put 6/1/2006 (Southern Electric Gaston Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,168,250 | ||||
Alaska | (0.10%) | ||||||
North Slope Borough Alaska, 0% due 6/30/2006 (Insured: MBIA) | Aaa/AAA | 2,070,000 | 1,973,579 | ||||
Arizona | (0.90%) | ||||||
Arizona State Transportation Board Grant Anticipation Notes Series A, 5.00% due | |||||||
7/1/2009 | Aa3/AA- | 2,500,000 | 2,706,500 | ||||
Maricopa County Arizona School District 97, 5.50% due 7/1/2008 (Insured: FGIC) | Aaa/NR | 650,000 | 712,660 | ||||
Maricopa County School District 008, 7.50% due 7/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,167,100 | ||||
Maricopa County Unified School District Number 41 Gilbert Refunding, 0% due | |||||||
1/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 968,370 | ||||
Mohave County Industrial Development Authority Correctional Facilities Contract | |||||||
Revenue Series A, 5.00% due 4/1/2009 (Mohave Prison LLC Project; Insured: XLCA) | Aaa/AAA | 4,595,000 | 4,923,267 | ||||
Pima County Industrial Development Authority Education Revenue Series C, 6.40% due | |||||||
7/1/2013 (Arizona Charter Schools Project) | Baa3/NR | 1,000,000 | 1,035,870 | ||||
Pima County Industrial Development Authority Industrial Revenue Refunding Lease | |||||||
Obligation A, 7.25% due 7/15/2010 (Insured: FSA) | Aaa/AAA | 680,000 | 715,972 | ||||
Tucson Water Revenue Series D, 9.75% due 7/1/2008 | Aa3/A+ | 500,000 | 624,475 | ||||
Arkansas | (0.90%) | ||||||
Conway Electric Revenue Refunding, 5.00% due 8/1/2007 | A2/NR | 2,000,000 | 2,123,260 | ||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2010 | |||||||
(Regional Medical Center Project) | NR/A | 1,000,000 | 1,088,830 | ||||
Jefferson County Hospital Revenue Refunding & Improvement, 5.50% due 6/1/2011 | |||||||
(Regional Medical Center Project) | NR/A | 1,075,000 | 1,169,966 | ||||
Little Rock Arkansas Capital Improvement, 4.00% due 4/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,018,170 | ||||
Little Rock Hotel & Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/2009 | A3/NR | 2,645,000 | 3,000,726 | ||||
Rogers Sales & Use Tax Revenue, 6.00% due 11/1/2007 | A1/AA- | 1,735,000 | 1,761,736 | ||||
Rogers Sales & Use Tax Revenue Refunding & Improvement Series A, 4.25% due 9/1/2006 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,545,000 | 1,611,466 | ||||
California | (2.40%) | ||||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: | |||||||
AMBAC) | Aaa/AAA | 2,385,000 | 2,391,129 | ||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% | |||||||
due 10/1/2013 (Kaiser Permanente Project) (ETM)* | A3/A | 2,620,000 | 2,836,884 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due | |||||||
5/1/2008 | A3/BBB+ | 2,050,000 | 2,219,084 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due | |||||||
5/1/2012 | A3/BBB+ | 2,600,000 | 2,856,308 | ||||
California State Department of Water Resources Power Supply Series A, 6.00% due | |||||||
5/1/2013 | A3/BBB+ | 2,550,000 | 2,874,411 | ||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 3,660,000 | 3,783,708 | ||||
Fairfield Water Revenue Refunding, 5.25% due 4/1/2012 (Insured: AMBAC) | Aaa/AAA | 3,700,000 | 3,865,353 | ||||
Irvine Improvement Bond Act 1915 Limited Obligation Assessment District, 1.06% due | |||||||
9/2/2025 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 100,000 | 100,000 | ||||
Metropolitan Water District South California Variable Series B-3, 1.06% due | |||||||
7/1/2035 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 1,400,000 | 1,400,000 | ||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 5,200,000 | 5,434,312 | ||||
San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory | |||||||
put 6/1/2006 (Civic Center Project; Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,152,640 | ||||
Torrance Hospital Revenue Series A, 7.10% due 12/1/2015 pre-refunded 12/1/2005 | |||||||
(Little Co. of Mary Hospital Project) | NR/AAA | 1,380,000 | 1,467,423 | ||||
Colorado | (3.50%) | ||||||
Adams County Communication Center Series A, 4.75% due 12/1/2006 | Baa1/NR | 1,500,000 | 1,545,060 | ||||
Adams County School District 012 Series A, 4.375% due 12/15/2007 | Aa3/AA- | 1,000,000 | 1,051,970 | ||||
Central Platte Valley Metropolitan District Refunding Series A, 5.00% due 12/1/2031 | |||||||
put 12/1/2009 (LOC: US Bank) | NR/A1+ | 7,210,000 | 7,542,237 | ||||
Colorado Department Transport Revenue Anticipation Notes, 6.00% due 6/15/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,669,365 | ||||
Colorado Educational & Cultural Facilities, 4.90% due 4/1/2008 (Nashville Public | |||||||
Radio Project) | NR/BBB+ | 1,000,000 | 1,043,410 | ||||
Colorado Health Facilities Authority, 5.00% due 9/1/2007 (Catholic Health | |||||||
Initiatives Project) | Aa2/A1+ | 5,705,000 | 6,050,666 | ||||
Colorado Health Facilities Authority Series A, 5.375% due 12/1/2009 (Catholic | |||||||
Health Initiatives Project) | Aa2/A1+ | 515,000 | 552,327 | ||||
Colorado Housing Finance Authority, 5.25% due 10/1/2007 | A1/AA+ | 220,000 | 221,553 | ||||
Colorado Springs Utilities Revenue Systems Subordinated Lien Refunding & | |||||||
Improvement Series A, 5.00% due 11/15/2005 | Aa2/AA | 2,230,000 | 2,326,314 | ||||
Cucharas Sanitation & Water District Refunding & Improvement, 7.25% due 1/1/2015 | |||||||
pre-refunded 1/1/2005 | NR/NR | 500,000 | 518,945 | ||||
Denver City & County Certificates of Participation Series A, 5.50% due 5/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 500,000 | 529,330 | ||||
Denver Convention Center Senior Series A, 5.00% due 12/1/2011 (Insured: XLCA) | Aaa/AAA | 3,335,000 | 3,591,095 | ||||
Dove Valley Metropolitan District Arapahoe County, Series B, 3.30% due 11/1/2025 | |||||||
put 11/1/2005 @100 (LOC: BNP Paribas) | NR/A1+ | 1,820,000 | 1,851,486 | ||||
El Paso County School District General Obligation 20 Series B, 8.25% due 12/15/2004 | |||||||
(State Aid Withholding) | Aa3/NR | 500,000 | 515,450 | ||||
Highlands Ranch Metropolitan District 2 General Obligation, 6.50% due 6/15/2012 | |||||||
(Insured: FSA) | Aaa/AAA | 1,000,000 | 1,180,520 | ||||
Highlands Ranch Metropolitan District Number 3 Refunding Series B, 5.25% due | |||||||
12/1/2008 (Insured: ACA) | NR/A | 1,760,000 | 1,855,251 | ||||
Highlands Ranch Metropolitan District Number 3 Series A, 5.25% due 12/1/2008 | |||||||
(Insured: ACA) | NR/A | 1,520,000 | 1,602,262 | ||||
Lakewood Certificates of Participation, 4.40% due 12/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,050,460 | ||||
Pinery West Metropolitan District Number 3 Co., 4.70% due 12/1/2021 put 12/1/2007 | |||||||
(LOC: Compass Bank) | NR/A- | 1,000,000 | 1,035,160 | ||||
Plaza Metropolitan District 1 Revenue, 7.60% due 12/1/2016 (Public Improvement | |||||||
Fee/Tax Increment Project) | NR/NR | 6,000,000 | 6,110,760 | ||||
Regional Transportation District of Colorado Series A, 5.00% due 6/1/2009 (Transit | |||||||
Vehicles Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,078,000 | ||||
Section 14 Metropolitan District Jefferson Refunding Series A, 6.20% due 12/1/2013 | |||||||
(LOC: US Bank Trust) | NR/AA- | 1,000,000 | 1,018,710 | ||||
Superior Metropolitan District 1 Variable Refunding & Improvement Series A, 5.45% | |||||||
due 12/1/2020 put 12/1/2004 (LOC: BNP) | NR/AA- | 1,150,000 | 1,165,732 | ||||
Westminister Multi Family Housing Revenue Series 1995, 5.95% due 9/1/2015 put | |||||||
9/1/2006 (Semper Village Apartments Project; Insured: AXA) | NR/AA | 2,725,000 | 2,738,407 | ||||
Connecticut | (0.80%) | ||||||
Bridgeport General Obligation, 6.00% due 3/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,325,000 | 1,406,461 | ||||
Bridgeport Series A Pre-refunded, 6.00% due 3/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 800,000 | 823,896 | ||||
Bridgeport Series A Unrefunded Balance, 6.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 885,000 | 911,311 | ||||
Capitol Region Education Council, 6.375% due 10/15/2005 | NR/BBB | 690,000 | 720,767 | ||||
Connecticut State Health & Educational Facilities Authority Revenue, 5.85% due | |||||||
7/1/2007 (Newington Children’s Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,020,120 | ||||
Connecticut State Health & Educational Facilities Authority Revenue, 7.50% due | |||||||
11/1/2016 (Nursing Home/Highland Project; Insured: AMBAC) | Aaa/AAA | 4,200,000 | 4,365,396 | ||||
New Haven Connecticut, 3.00% due 11/1/2004 (Insured: FGIC) | Aaa/AAA | 2,010,000 | 2,020,975 | ||||
Delaware | (0.40%) | ||||||
Delaware State Health Facilities Authority Revenue, 6.25% due 10/1/2006 (Insured: | |||||||
MBIA) (ETM)* | Aaa/AAA | 2,000,000 | 2,062,960 | ||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2012 | |||||||
(Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,370,000 | 1,466,078 | ||||
Delaware State Health Facilities Authority Revenue Series A, 5.25% due 5/1/2013 | |||||||
(Nanticoke Memorial Hospital Project; Insured: Radian) | NR/AA | 1,445,000 | 1,529,793 | ||||
District of Columbia | (2.60%) | ||||||
District of Columbia, 5.50% due 6/1/2008 (Insured: AMBAC) | Aaa/AAA | 1,915,000 | 2,087,560 | ||||
District of Columbia Certificates of Participation, 5.00% due 1/1/2008 (Public | |||||||
Safety & Emergency Project) | Aaa/AAA | 1,000,000 | 1,066,030 | ||||
District of Columbia Certificates of Participation, 5.25% due 1/1/2013 (Insured: | |||||||
AMBAC) | Aaa/AAA | 5,950,000 | 6,370,903 | ||||
District of Columbia Hospital Revenue, 5.70% due 8/15/2008 (Medlantic Healthcare | |||||||
Project; Insured: MBIA) (ETM)* | Aaa/AAA | 4,430,000 | 4,819,087 | ||||
District of Columbia Hospital Revenue Refunding, 5.10% due 8/15/2008 (Medlantic | |||||||
Healthcare Group A Project; Insured: MBIA) (ETM)* | Aaa/AAA | 1,500,000 | 1,605,660 | ||||
District of Columbia Revenue, 6.00% due 8/15/2005 (Medlantic Healthcare Project; | |||||||
Insured: MBIA) (ETM)* | Aaa/AAA | 1,330,000 | 1,392,071 | ||||
District of Columbia Revenue, 5.50% due 10/1/2005 | Aaa/AAA | 500,000 | 522,735 | ||||
District of Columbia Revenue, 6.00% due 1/1/2007 (American Assoc. for Advancement | |||||||
of Science Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 539,675 | ||||
District of Columbia Revenue, 6.00% due 1/1/2009 (American Assoc. for Advancement | |||||||
of Science Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,111,670 | ||||
District of Columbia Series A, 5.50% due 6/1/2009 (Insured: MBIA) | Aaa/AAA | 4,700,000 | 5,165,864 | ||||
District of Columbia Tax Capital Appreciation, 0% due 7/1/2009 (Mandarin Oriental | |||||||
Project; Insured: FSA) | Aaa/AAA | 2,000,000 | 1,664,860 | ||||
District of Columbia Tax Capital Appreciation, 0% due 7/1/2012 (Mandarin Oriental | |||||||
Project; Insured: FSA) | Aaa/AAA | 1,480,000 | 1,050,045 | ||||
District of Columbia Tax Revenue Capital Appreciation, 0% due 7/1/2011 (Mandarin | |||||||
Oriental Project; Insured: FSA) | Aaa/AAA | 1,990,000 | 1,492,361 | ||||
Washington DC Convention Center Authority Dedicated Tax Revenue, 5.00% due | |||||||
10/1/2006 (Insured: AMBAC) | Aaa/AAA | 750,000 | 793,335 | ||||
Washington DC Convention Center Senior Lien, 5.00% due 10/1/2007 | Aaa/AAA | 6,110,000 | 6,522,914 | ||||
Florida | (4.70%) | ||||||
Broward County Resource Recovery Revenue Refunding, 5.375% due 12/1/2009 | A3/AA- | 5,000,000 | 5,390,700 | ||||
Capital Projects Finance Authority Student Housing, 5.50% due 10/1/2012 (Capital | |||||||
Projects Student Housing; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,750 | ||||
Crossings at Fleming Island Community Development Refunding Series B, 5.45% due | |||||||
5/1/2010 (Insured: MBIA) | Aaa/AAA | 2,996,000 | 3,312,498 | ||||
Dade County Solid Waste Systems Special Obligation Revenue Refunding, 6.00% due | |||||||
10/1/2007 (Insured: AMBAC) | Aaa/AAA | 7,000,000 | 7,698,320 | ||||
Florida State Refunding, 6.00% due 7/1/2006 (Department of Transportation Right of | |||||||
Way Project) | Aa2/AA+ | 1,465,000 | 1,574,992 | ||||
Hillsborough County Capital Improvement Program Revenue Refunding Junior Lien, | |||||||
5.00% due 8/1/2008 (Criminal Justice Project; Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,075,670 | ||||
Hillsborough County Industrial Development Authority Pollution Control Revenue | |||||||
Refunding, 4.00% due 9/1/2025 put 8/1/2007 (Tampa Electric Co. Project) | Baa2/BBB- | 2,400,000 | 2,405,952 | ||||
Jacksonville Electric St. John’s River Park Systems Revenue Refunding Issue-2 17th | |||||||
Series, 5.25% due 10/1/2012 | Aa2/AA- | 5,000,000 | 5,414,350 | ||||
Miami Dade County School Board Certificates of Participation Series A, 5.00% due | |||||||
5/1/2006 (Insured: MBIA) | Aaa/AAA | 1,910,000 | 2,005,557 | ||||
Miami Dade County School Board Certificates of Participation Series B, 5.50% due | |||||||
5/1/2031 put 5/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,096,840 | ||||
Miami Dade County School Board Certificates of Participation Series C, 5.00% due | |||||||
8/1/2007 (Insured: MBIA) | Aaa/AAA | 3,390,000 | 3,626,893 | ||||
Miami Dade County Special Housing Revenue Refunding, 5.80% due 10/1/2012 (HUD | |||||||
Section 8) | Baa3/NR | 3,700,000 | 3,612,088 | ||||
Orange County Health Facilities Authority, 5.80% due 11/15/2009 (Adventist Health | |||||||
System Project) | A3/A | 1,395,000 | 1,526,800 | ||||
Orange County Health Facilities Authority Revenue Refunding, 6.25% due 11/15/2008 | |||||||
(Adventist Health Systems Project; Insured: AMBAC) | Aaa/AAA | 3,120,000 | 3,351,566 | ||||
Orange County Health Facilities Authority Revenue Unrefunded Balance Series A, | |||||||
6.25% due 10/1/2007 (Orlando Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 925,000 | 1,021,690 | ||||
Orange County School Board Certificates Series A, 5.00% due 8/1/2006 | Aaa/NR | 5,000,000 | 5,282,350 | ||||
Orange County School District Series B, 1.06% due 8/1/2025 put 7/1/2004 (Insured: | |||||||
AMBAC) (daily demand notes) | Aaa/NR | 1,500,000 | 1,500,000 | ||||
Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/2006 | |||||||
(Lourdes-Noreen McKeen Residence Project; LOC: Allied Irish Bank) (ETM)* | NR/A | 940,000 | 1,016,591 | ||||
Palm Beach County Solid Waste Authority Revenue Refunding Series A, 5.00% due | |||||||
10/1/2005 | Aa3/AA- | 2,420,000 | 2,509,008 | ||||
Pasco County Housing Finance Authority Multi Family Revenue Refunding Series A, | |||||||
5.35% due 6/1/2027 put 6/1/2008 (Oak Trail Apts Project; Insured: AXA) | NR/AA- | 1,000,000 | 1,046,310 | ||||
Pelican Marsh Community Development District Refunding Series A, 5.00% due 5/1/2011 | |||||||
(Insured: Radian) | NR/NR | 3,445,000 | 3,582,628 | ||||
Tampa Florida Guaranteed Entitlement Revenue Refunding, 6.00% due 10/1/2007 | |||||||
(Insured: AMBAC) | Aaa/AAA | 2,040,000 | 2,247,529 | ||||
University Athletic Association Inc. Florida Athletic Program Revenue Refunding, | |||||||
2.20% due 10/1/2031 put 10/1/2005 (LOC: Suntrust Bank) | VMIG1/NR | 3,000,000 | 3,015,030 | ||||
Georgia | (1.10%) | ||||||
Cobb County School District, 4.75% due 2/1/2005 | Aa1/AA+ | 1,000,000 | 1,012,730 | ||||
Georgia Municipal Association Inc. Certificates of Participation City Court Atlanta | |||||||
Project, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,061,230 | ||||
Georgia Municipal Electric Power Authority Revenue, 7.00% due 1/1/2008 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,550,000 | 1,754,150 | ||||
Georgia Municipal Electric Power Authority Revenue Series Y, 6.30% due 1/1/2006 | A2/A+ | 730,000 | 772,333 | ||||
Georgia Municipal Gas Authority, 6.30% due 7/1/2009 (Southern Storage Gas Project) | NR/A | 1,000,000 | 1,031,390 | ||||
Monroe County Development Authority Pollution Control, 6.75% due 1/1/2010 | |||||||
(Oglethorpe Power Scherer A Refunding; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,324,960 | ||||
Monroe County Development Authority Pollution Control Revenue Oglethorpe Power | |||||||
Scherer A, 6.80% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,194,110 | ||||
Municipal Electric Authority Georgia Subordinated Series B, 5.00% due 1/1/2026 put | |||||||
1/1/2009 (Project One; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,352,950 | ||||
Municipal Electric Authority Georgia Unrefunded Balance Subordinated A, 6.00% due | |||||||
1/1/2006 (Project One; Insured: AMBAC) | Aaa/AAA | 910,000 | 961,533 | ||||
Hawaii | (0.40%) | ||||||
Hawaii State Department of Budget & Finance Special Purpose Hawaiian Electric Co., | |||||||
4.95% due 4/1/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,132,320 | ||||
Hawaii State Refunding Series Cb, 5.75% due 1/1/2007 | Aa3/AA- | 1,000,000 | 1,076,350 | ||||
Hawaii State Series CN, 6.25% due 3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,565,000 | 1,669,182 | ||||
Honolulu City & County Refunding Series A, 7.35% due 7/1/2006 | Aa2/AA- | 1,000,000 | 1,097,880 | ||||
Illinois | (10.50%) | ||||||
Champaign County Community Unit Series C, 0% due 1/1/2009 (Insured: FGIC) | Aaa/AAA | 3,345,000 | 2,847,297 | ||||
Chicago Board of Education, 6.00% due 12/1/2009 (Insured: FGIC) | Aaa/AAA | 2,000,000 | 2,254,900 | ||||
Chicago Board of Education School Reform, 6.25% due 12/1/2012 (Insured: MBIA) | Aaa/AAA | 750,000 | 875,310 | ||||
Chicago Housing Authority Capital Program Revenue, 5.25% due 7/1/2010 | Aa3/AA | 2,300,000 | 2,480,067 | ||||
Chicago Metropolitan Water Reclamation District, 6.90% due 1/1/2007 | Aaa/AA+ | 2,300,000 | 2,536,026 | ||||
Chicago Midway Airport Revenue Series A, 5.40% due 1/1/2009 (Insured: MBIA) | Aaa/AAA | 1,340,000 | 1,427,408 | ||||
Chicago Midway Airport Revenue Series C, 5.50% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 1,180,000 | 1,297,587 | ||||
Chicago O’Hare International Airport Refunding General Airport Series A, 6.375% due | |||||||
1/1/2012 (Insured: MBIA) | Aaa/AAA | 3,420,000 | 3,562,990 | ||||
Chicago O’Hare International Airport Revenue, 5.375% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,059,720 | ||||
Chicago O’Hare International Airport Revenue, 5.00% due 1/1/2012 (Insured: MBIA) | Aaa/AAA | 1,105,000 | 1,185,632 | ||||
Chicago O’Hare International Airport Revenue 2nd Lien Series C-1, 5.00% due | |||||||
1/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,076,040 | ||||
Chicago O’Hare International Airport Revenue Passenger Facility Change Series A, | |||||||
6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 3,000,000 | 3,168,990 | ||||
Chicago O’Hare International Airport Revenue Refunding, 4.80% due 1/1/2005 | |||||||
(Insured: AMBAC) | Aaa/AAA | 690,000 | 701,571 | ||||
Chicago O’Hare International Airport Revenue Refunding Series A, 4.90% due 1/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 675,000 | 690,100 | ||||
Chicago O’Hare International Airport Revenue Series C-1, 5.00% due 1/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 6,000,000 | 6,398,220 | ||||
Chicago Park District, 6.60% due 11/15/2014 partially pre-refunded 5/15/2005 | Aa3/AA | 1,700,000 | 1,803,343 | ||||
Chicago Park District Parking Facility Revenue, 5.75% due 1/1/2010 (ETM)* | Baa1/A | 1,000,000 | 1,117,040 | ||||
Chicago Public Commerce Building Revenue, 5.00% due 3/1/2005 (Insured: AMBAC) | Aaa/AAA | 750,000 | 767,378 | ||||
Chicago Public Commerce Building Revenue Series C, 5.50% due 2/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 2,000,000 | 2,103,760 | ||||
Chicago Refunding Series A, 5.375% due 1/1/2013 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,177,060 | ||||
Chicago Refunding Series A-2, 6.125% due 1/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,151,250 | ||||
Chicago Tax Increment Allocation Central Series A, 0% due 12/1/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 5,000,000 | 4,866,800 | ||||
Cicero Refunding Tax Increment Series A, 4.25% due 1/1/2007 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,038,740 | ||||
Collinsville Leased Facilities Revenue Refunding, 5.15% due 11/1/2004 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,000,000 | 1,012,220 | ||||
Cook & Will Counties Township High School District 206 Series C, 0% due 12/1/2005 | |||||||
(Insured: FSA) | Aaa/AAA | 2,545,000 | 2,477,201 | ||||
Cook County Capital Improvement, 5.50% due 11/15/2008 pre-refunded 11/15/2006 | Aaa/AAA | 995,000 | 1,078,083 | ||||
Cook County Community School District 97 Series B, 9.00% due 12/1/2013 (Insured: | |||||||
FGIC) | Aaa/NR | 2,250,000 | 3,109,950 | ||||
Cook County Series C Refunding, 5.80% due 11/15/2004 (Insured: FGIC) | Aaa/AAA | 2,650,000 | 2,693,539 | ||||
Du Page County Forest Preservation District, 0% due 11/1/2009 | Aaa/AAA | 5,000,000 | 4,111,550 | ||||
Glenview Multi Family Revenue Refunding, 5.20% due 12/1/2027 put 12/1/2007 | |||||||
(Collateralized: FNMA) | NR/AAA | 1,500,000 | 1,560,165 | ||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2005 (Hoffman Estates | |||||||
Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 1,015,000 | 986,357 | ||||
Hoffman Estates Illinois Tax Increment Revenue, 0% due 5/15/2006 (Hoffman Estates | |||||||
Economic Dev. Project; Guaranty: Sears) | Baa1/NR | 3,075,000 | 2,874,756 | ||||
Hoffman Estates Illinois Tax Increment Revenue Refunding, 5.25% due 11/15/2009 | |||||||
(Economic Development Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,065,450 | ||||
Illinois Department Central Management Services Certificates of Participation, | |||||||
5.85% due 7/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,120 | ||||
Illinois Development Finance Authority Pollution Control Revenue Refunding, 5.70% | |||||||
due 1/15/2009 (Commonwealth Edison Company Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,290,970 | ||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2005 (Insured: | |||||||
XLCA) | Aaa/AAA | 860,000 | 884,218 | ||||
Illinois Development Finance Authority Revenue, 4.00% due 11/15/2006 (Insured: | |||||||
XLCA) | Aaa/AAA | 915,000 | 947,528 | ||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2009 (Adventist | |||||||
Health Project; Insured: MBIA) | Aaa/AAA | 3,635,000 | 4,030,561 | ||||
Illinois Development Finance Authority Revenue, 6.35% due 7/1/2010 pre-refunded | |||||||
7/1/2005 (Elderly Housing 8 Mattoon Tower A Project) | A3/NR | 1,005,000 | 1,048,798 | ||||
Illinois Development Finance Authority Revenue, 6.00% due 11/15/2010 (Adventist | |||||||
Health Project; Insured: MBIA) | Aaa/AAA | 3,860,000 | 4,312,276 | ||||
Illinois Development Finance Authority Revenue, 5.25% due 2/15/2011 (Insured: | |||||||
AMBAC) | NR/AAA | 785,000 | 816,431 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2004 | NR/BBB | 400,000 | 400,032 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2005 | NR/BBB | 1,000,000 | 1,022,110 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
A, 5.60% due 7/1/2006 | NR/BBB | 1,000,000 | 1,033,420 | ||||
Illinois Development Finance Authority Revenue Refunding Community Rehab Providers | |||||||
Series A, 6.00% due 7/1/2015 | NR/BBB | 4,500,000 | 4,615,425 | ||||
Illinois Health Facilities Authority Revenue, 5.50% due 11/15/2007 (OSF Healthcare | |||||||
System Project) | A2/A | 915,000 | 975,893 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2008 (Iowa Health | |||||||
System Project) | A1/NR | 1,290,000 | 1,418,536 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2009 (Iowa Health | |||||||
System Project) | A1/NR | 1,375,000 | 1,531,337 | ||||
Illinois Health Facilities Authority Revenue, 6.50% due 2/15/2010 (Iowa Health | |||||||
System Project) | A1/NR | 1,465,000 | 1,643,701 | ||||
Illinois Health Facilities Authority Revenue, 6.00% due 2/15/2011 (Iowa Health | |||||||
System Project; Insured: AMBAC) | Aaa/AAA | 1,560,000 | 1,742,785 | ||||
Illinois Health Facilities Authority Revenue Refunding, 4.00% due 8/15/2005 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,000,000 | 1,024,620 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2006 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,000,000 | 1,054,290 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2007 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,500,000 | 1,598,085 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.00% due 8/15/2008 | |||||||
(University of Chicago Hospital & Health Project) | Aaa/AAA | 1,500,000 | 1,606,260 | ||||
Illinois Health Facilities Authority Revenue Refunding, 5.50% due 11/15/2011 | |||||||
(Methodist Medical Center Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,252,540 | ||||
Illinois Health Facilities Authority Revenue Series 1993-A, 7.875% due 8/15/2005 | |||||||
(Community Provider Pooled Loan Program Project) | NR/NR | 104,000 | 104,626 | ||||
Illinois Health Facilities Authority Revenue University of Chicago, 5.00% due | |||||||
8/15/2009 (Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,071,770 | ||||
Illinois Hospital District, 5.50% due 1/1/2010 (Insured: FGIC) | Aaa/AAA | 1,040,000 | 1,138,935 | ||||
Illinois State COPS Central Management Department, 5.00% due 7/1/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 500,000 | 532,955 | ||||
Illinois State Partners Series A, 6.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,630 | ||||
Illinois State Refunding, 5.125% due 12/1/2006 (Insured: FGIC) | Aaa/AAA | 2,250,000 | 2,379,173 | ||||
Kankakee Series A, 5.25% due 1/1/2012 pre-refunded 1/1/2006 @100 | Aaa/AAA | 920,000 | 963,912 | ||||
Kankakee Unrefunded Balance Series A, 5.25% due 1/1/2012 (Insured: FSA) | Aaa/AAA | 80,000 | 83,358 | ||||
Lake County Community Consolidated School District 73, 9.00% due 1/1/2006 (Insured: | |||||||
FSA) | Aaa/NR | 1,000,000 | 1,098,720 | ||||
Lake County Community High School District 117 Series B, 0% due 12/1/2006 (Insured: | |||||||
FGIC) | Aaa/NR | 2,000,000 | 1,877,300 | ||||
Lake County Community High School District 117 Series B, 0% due 12/1/2011 (Insured: | |||||||
FGIC) | Aaa/NR | 3,235,000 | 2,387,430 | ||||
Lake County Consolidated High School Refunding, 3.00% due 12/1/2004 | NR/AA- | 2,370,000 | 2,384,457 | ||||
Lake County Consolidated High School Refunding, 3.25% due 12/1/2005 | NR/AA- | 2,990,000 | 3,045,225 | ||||
McHenry & Kane Counties Community Consolidated School District 158, 0% due 1/1/2010 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,000,000 | 808,090 | ||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding | |||||||
Series A-2002, 6.00% due 6/15/2007 (McCormick Place Exposition Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 1,250,000 | 1,365,175 | ||||
Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue Refunding | |||||||
Series A-2002, 6.00% due 6/15/2007 pre-refunded 6/15/2006 @102 (McCormick Place | |||||||
Exposition Project; Insured: AMBAC) | Aaa/AAA | 3,750,000 | 4,057,050 | ||||
Naperville City, Du Page & Will Counties Economic Development Revenue, 6.10% due | |||||||
5/1/2008 (Hospital & Health System Association Project; LOC: American National | |||||||
Bank) | NR/A-1 | 2,445,000 | 2,541,675 | ||||
Peoria Public Building Commission School District Facilities Revenue, 0% due | |||||||
12/1/2007 (Insured: FGIC) | Aaa/NR | 1,100,000 | 989,175 | ||||
University of Illinois Revenue, 0% due 10/1/2006 (Insured: MBIA) | Aaa/AAA | 6,300,000 | 5,954,445 | ||||
Indiana | (4.30%) | ||||||
Allen County Economic Development Revenue, 5.00% due 12/30/2012 (Indiana Institute | |||||||
of Technology Project) | NR/NR | 1,370,000 | 1,409,168 | ||||
Allen County Economic Development Revenue First Mortgage, 5.20% due 12/30/2005 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 965,000 | 1,003,426 | ||||
Allen County Economic Development Revenue First Mortgage, 5.30% due 12/30/2006 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 690,000 | 727,626 | ||||
Allen County Economic Development Revenue First Mortgage, 5.60% due 12/30/2009 | |||||||
(Indiana Institute of Technology Project) | NR/NR | 1,110,000 | 1,188,688 | ||||
Allen County Jail Building Corp. First Mortgage, 5.75% due 10/1/2010 | Aa3/NR | 1,115,000 | 1,249,079 | ||||
Ball State University Revenues Student Fee Series K, 5.75% due 7/1/2012 (Insured: | |||||||
FGIC) | Aaa/AAA | 1,000,000 | 1,121,410 | ||||
Boone County Hospital Association Lease Revenue, 5.00% due 1/15/2007 (Insured: | |||||||
FGIC) (ETM)* | Aaa/AAA | 1,085,000 | 1,149,015 | ||||
Boonville Junior High School Building Corp. Revenue, 0% due 7/1/2010 (State Aid) | NR/A | 850,000 | 652,264 | ||||
Boonville Junior High School Building Corp. Revenue, 0% due 1/1/2011 (State Aid) | NR/A | 850,000 | 630,377 | ||||
Boonville Junior High School Building Corp. Revenue Refunding, 0% due 7/1/2011 | |||||||
(State Aid) | NR/A | 950,000 | 687,591 | ||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2009 (Insured: AMBAC) | Aaa/AAA | 1,175,000 | 1,266,438 | ||||
Center Grove 2000 Building First Mortgage, 5.00% due 7/15/2010 (Insured: AMBAC) | Aaa/AAA | 1,135,000 | 1,225,369 | ||||
Eagle Union Middle School Building Corp., 5.50% due 7/15/2009 (Insured: AMBAC) | |||||||
(ETM)* | Aaa/AAA | 910,000 | 1,007,261 | ||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage (State Aid), 0% | |||||||
due 1/15/2006 | NR/A | 1,860,000 | 1,779,443 | ||||
Elberfeld J. H. Castle School Building Corp. Indiana First Mortgage Refunding, 0% | |||||||
due 7/5/2008 (Insured: MBIA) | Aaa/AAA | 1,860,000 | 1,624,580 | ||||
Evansville Vanderburgh School Building Corp. First Mortgage, 5.00% due 1/15/2008 | |||||||
(Insured: FSA) | Aaa/AAA | 965,000 | 1,028,777 | ||||
Goshen Multi School Building Corp. First Mortgage, 5.20% due 7/15/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 965,000 | 1,034,634 | ||||
Hammond Multi-School Building Corp. First Mortgage Refunding Bond Series 1997, | |||||||
6.00% due 7/15/2008 (Lake County Project) | NR/A | 2,305,000 | 2,491,843 | ||||
Huntington Economic Development Revenue, 6.00% due 11/1/2006 (United Methodist | |||||||
Membership Project) | NR/NR | 390,000 | 412,503 | ||||
Huntington Economic Development Revenue, 6.15% due 11/1/2008 (United Methodist | |||||||
Membership Project) | NR/NR | 700,000 | 755,048 | ||||
Huntington Economic Development Revenue, 6.20% due 11/1/2010 (United Methodist | |||||||
Membership Project) | NR/NR | 790,000 | 837,037 | ||||
Indiana Health Facility Financing Authority Hospital Revenue, 5.75% due 11/1/2005 | |||||||
(Daughters of Charity Project) (ETM)* | Aaa/NR | 180,000 | 185,200 | ||||
Indiana Health Facility Financing Authority Hospital Revenue Series D, 5.00% due | |||||||
11/1/2026 pre-refunded 11/1/2007 | Aaa/NR | 1,265,000 | 1,331,084 | ||||
Indiana State Educational Facilities Authority Revenue, 5.75% due 10/1/2009 | |||||||
(University of Indianapolis Project) | NR/A- | 670,000 | 731,975 | ||||
Indiana University Revenues Refunding, 0% due 8/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,500,000 | 2,280,700 | ||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.75% due 7/1/2005 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,040,100 | ||||
Indianapolis Airport Authority Revenue Refunding Series A, 5.35% due 7/1/2007 | |||||||
(Insured: FGIC) | Aaa/AAA | 1,100,000 | 1,176,417 | ||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due | |||||||
7/1/2005 (ETM)* | Aa2/NR | 1,220,000 | 1,199,589 | ||||
Indianapolis Local Public Improvement Bond Bank Transportation Revenue, 0% due | |||||||
7/1/2006 (ETM)* | Aa2/NR | 1,240,000 | 1,184,250 | ||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2004 (Ogden Martin | |||||||
Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,200,000 | 2,245,518 | ||||
Indianapolis Resource Recovery Revenue Refunding, 6.75% due 12/1/2006 (Ogden Martin | |||||||
Systems, Inc. Project; Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,183,020 | ||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2008 (Insured: | |||||||
FGIC) | Aaa/AAA | 855,000 | 948,802 | ||||
Knox Middle School Building Corp. First Mortgage, 6.00% due 7/15/2009 (Insured: | |||||||
FGIC) | Aaa/AAA | 455,000 | 510,478 | ||||
Merrillville Multi School Building Corp. Refunding First Mortgage, 6.55% due | |||||||
7/1/2005 (Insured: MBIA) | Aaa/AAA | 890,000 | 932,462 | ||||
Monroe County Community School Building Corp. Revenue Refunding, 5.00% due | |||||||
1/15/2007 (Insured: AMBAC) | Aaa/AAA | 625,000 | 661,244 | ||||
North Adams Community Schools, 3.50% due 7/15/2004 (Insured: FSA) | Aaa/AAA | 405,000 | 405,336 | ||||
North Adams Community Schools, 4.00% due 7/15/2005 (Insured: FSA) | Aaa/AAA | 940,000 | 962,175 | ||||
North Central Campus School Building Corp. Indiana, 4.50% due 7/10/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,070,000 | 1,100,506 | ||||
Northwest Allen Building Corp. First Mortgage, 5.30% due 12/1/2005 (Insured: MBIA) | Aaa/AAA | 684,000 | 706,846 | ||||
Peru Community School Corp. Refunding First Mortgage, 0% due 7/1/2010 | NR/A | 835,000 | 640,754 | ||||
Plymouth Multi School Building Corp. Refunding, 5.50% due 7/1/2005 (Plymouth | |||||||
Community School Project; Insured: MBIA) | Aaa/AAA | 1,655,000 | 1,688,481 | ||||
Rockport Pollution Control Revenue Series C, 2.625% due 4/1/2025 put 10/1/2006 | |||||||
(Indiana Michigan Power Co. Project) | Baa2/BBB | 4,000,000 | 3,955,760 | ||||
Vigo County Elementary School Building Corp. Refunding & Improvement First | |||||||
Mortgage, 4.00% due 1/10/2006 (Insured: FSA) | Aaa/AAA | 1,540,000 | 1,582,180 | ||||
Vigo County Elementary School Building Corp. Refunding & Improvement First | |||||||
Mortgage, 4.00% due 1/10/2008 (Insured: FSA) | Aaa/AAA | 1,635,000 | 1,690,165 | ||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2010 (State Aid) | NR/AA- | 995,000 | 1,095,395 | ||||
Wawasee Community School Corp. First Mortgage, 5.50% due 7/15/2011 (State Aid) | NR/AA- | 1,095,000 | 1,207,336 | ||||
West Clark School Building Corp. First Mortgage, 5.75% due 7/15/2011 (Insured: | |||||||
FGIC) | Aaa/AAA | 2,080,000 | 2,340,249 | ||||
Westfield Elem. School Building Corp. First Mortgage Series 1997, 6.80% due | |||||||
7/15/2007 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,820,000 | 2,032,285 | ||||
Iowa | (2.10%) | ||||||
Ankeny Community School District Sales & Services Tax Revenue, 5.00% due 7/1/2010 | NR/A+ | 2,900,000 | 3,083,628 | ||||
Des Moines Limited Obligation Revenue, 6.25% due 12/1/2015 put 12/1/2005 (Des | |||||||
Moines Parking Associates Project; LOC: Wells Fargo Bank) | NR/NR | 3,515,000 | 3,520,519 | ||||
Iowa Finance Authority Commercial Development Revenue Refunding, 5.75% due 4/1/2014 | |||||||
put 4/1/2010 (Governor Square Project; Insured: AXA) | NR/AA | 6,650,000 | 6,992,142 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2007 (Iowa Health | |||||||
Services Project) | A1/NR | 435,000 | 470,618 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2009 (Iowa Health | |||||||
Services Project) | A1/NR | 1,765,000 | 1,965,680 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.50% due 2/15/2010 (Iowa Health | |||||||
Services Project) | A1/NR | 1,955,000 | 2,194,507 | ||||
Iowa Finance Authority Hospital Facility Revenue, 6.00% due 2/15/2011 (Iowa Health | |||||||
Services Project; Insured: AMBAC) | Aaa/AAA | 3,145,000 | 3,518,595 | ||||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2007 | Aa3/AA- | 1,430,000 | 1,550,077 | ||||
Iowa Finance Authority Revenue Trinity Health Series B, 5.75% due 12/1/2010 | Aa3/AA- | 3,295,000 | 3,649,344 | ||||
Iowa University of Science & Technology Revenue Refunding Series B, 5.20% due | |||||||
7/1/2005 (Academic Building Project) | Aa3/A+ | 1,170,000 | 1,211,617 | ||||
University of Iowa Facilities Corp. Revenue Series A, 4.875% due 6/1/2005 | Aa2/AA- | 390,000 | 401,318 | ||||
Kansas | (0.60%) | ||||||
Dodge Unified School District 443 Ford County, 8.25% due 9/1/2006 (Insured: FSA) | Aaa/AAA | 500,000 | 562,170 | ||||
La Cygne Environmental Improvement Refunding, 3.90% due 3/1/2015 put 8/31/2004 | |||||||
(Kansas City Power & Light Co. Project) | VMIG2/A-2 | 6,000,000 | 6,021,720 | ||||
Wichita Water & Sewer Utility Revenue, 5.50% due 10/1/2011 (Insured: FGIC) | Aaa/AAA | 1,160,000 | 1,246,420 | ||||
Kentucky | (1.40%) | ||||||
Campbell & Kenton Counties Sanitation District 1 Revenue, 6.50% due 8/1/2005 (ETM)* | Aaa/AAA | 275,000 | 278,839 | ||||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, | |||||||
5.00% due 2/1/2009 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,580,000 | 1,695,008 | ||||
Kentucky Economic Development Finance Authority Refunding & Improvement Series A, | |||||||
5.00% due 2/1/2010 (Ashland Hospital; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,074,430 | ||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2009 converts | |||||||
to 5.35% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,400,000 | 7,588,848 | ||||
Kentucky Economic Development Finance Authority Series C, 0% due 10/1/2010 converts | |||||||
to 5.40% 10/1/2005 (Norton Healthcare Project; Insured: MBIA) | Aaa/AAA | 7,830,000 | 8,074,453 | ||||
Kentucky State Turnpike Authority Resources Recovery Revenue, 0% due 7/1/2006 | |||||||
(Insured: FGIC) | Aaa/AAA | 505,000 | 462,120 | ||||
Louisville Water Revenue Refunding, 6.00% due 11/15/2006 (ETM)* | Aaa/AAA | 150,000 | 162,068 | ||||
Louisiana | (2.80%) | ||||||
Jefferson Parish Hospital District 2, 5.25% due 12/1/2015 crossover-refunded | |||||||
12/1/2005 (Insured: FGIC) | Aaa/AAA | 4,125,000 | 4,292,722 | ||||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due | |||||||
12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,537,978 | ||||
Jefferson Sales Tax District Special Sales Tax Revenue Refunding, 5.25% due | |||||||
12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,515,000 | 1,637,412 | ||||
Louisiana Local Govt. Environmental Facilities & Community Dev. Auth. Multi Family | |||||||
Revenue Series A, 5.00% due 9/1/2012 (Bellemont Apartments Project) | Baa1/NR | 1,000,000 | 975,710 | ||||
Louisiana Offshore Authority Deepwater Port Revenue Series B, 6.25% due 9/1/2004 | |||||||
(Loop LLC Project) | A3/A | 1,000,000 | 1,007,920 | ||||
Louisiana PFA Revenue, 5.375% due 12/1/2008 (Wynhoven Health Care Center Project; | |||||||
Guaranty: Archdiocese of New Orleans) | NR/NR | 2,255,000 | 2,326,732 | ||||
Louisiana Public Facilities Authority Revenue, 5.75% due 10/1/2008 (Loyola | |||||||
University Project) | A1/A+ | 1,000,000 | 1,100,580 | ||||
Louisiana Public Facilities Authority Revenue Refunding, 5.50% due 10/1/2006 | |||||||
(Loyola University Project) | A1/A+ | 1,280,000 | 1,365,594 | ||||
Louisiana State Correctional Facility Lease, 5.00% due 12/15/2008 (Insured: Radian) | NR/AA | 7,135,000 | 7,594,993 | ||||
Louisiana State Offshore Term Refunding Series D, 4.00% due 9/1/2023 put 9/1/2008 | |||||||
(Loop LLC Project) | A3/A-1 | 5,000,000 | 5,059,750 | ||||
Louisiana State Offshore Terminal Authority Deepwater Port Revenue, 4.375% due | |||||||
10/1/2020 put 6/1/2007 (Loop LLC Project) | A3/A-1 | 2,350,000 | 2,431,169 | ||||
Louisiana State Refunding Series A, 7.75% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 1,250,000 | 1,388,575 | ||||
New Orleans Refunding, 0% due 9/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 947,970 | ||||
Orleans Parish School Board, 0% due 2/1/2008 (ETM)* | Aaa/AAA | 5,050,000 | 4,229,880 | ||||
St. Charles Parish Pollution Control Revenue Variable Refunding Series A, 4.90% due | |||||||
6/1/2030 put 6/1/2005 (Entergy Louisiana Inc. Project) | Baa3/BBB- | 3,000,000 | 3,047,640 | ||||
Maine | (0.10%) | ||||||
Regional Waste Systems Inc. Solid Waste Resources Recovery Revenue Series P, 6.25% | |||||||
due 7/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,063,150 | ||||
Maryland | (0.50%) | ||||||
Baltimore Maryland, 7.00% due 10/15/2009 (Insured: MBIA) | Aaa/AAA | 580,000 | 684,058 | ||||
Baltimore Public Improvement Series A, 7.00% due 10/15/2006 (Insured: MBIA) | Aaa/AAA | 2,050,000 | 2,263,876 | ||||
Howard County Retirement Community Revenue Series A, 7.25% due 5/15/2015 | |||||||
pre-refunded 5/15/2010 | NR/AAA | 1,000,000 | 1,203,590 | ||||
Howard County Retirement Community Revenue Series A, 7.875% due 5/15/2021 | |||||||
pre-refunded 5/15/2010 | NR/AAA | 2,500,000 | 3,086,775 | ||||
Massachusetts | (1.70%) | ||||||
Boston Economic Development & Industrial Corp., 5.15% due 7/1/2025 put 7/1/2005 | |||||||
(LOC: Fleet National Bank) | Aa3/NR | 2,000,000 | 2,053,240 | ||||
Massachusetts Development Finance Agency Resource Recovery Revenue Series A, 5.50% | |||||||
due 1/1/2011 (Insured: MBIA) | Aaa/AAA | 3,470,000 | 3,815,438 | ||||
Massachusetts Industrial Finance Agency Pollution Control Revenue Refunding, 5.875% | |||||||
due 8/1/2008 (Eastern Edison Co. Project) | A2/A | 1,000,000 | 1,023,260 | ||||
Massachusetts Industrial Finance Agency Revenue, 8.375% due 2/15/2018 pre-refunded | |||||||
2/15/2006 @ 102 (Glenmeadow Retirement Project) | NR/NR | 1,000,000 | 1,110,980 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue, 5.00% | |||||||
due 7/1/2005 (Stony Brook Intermediate Project A; Insured: MBIA) | Aaa/AAA | 900,000 | 929,592 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Number | |||||||
1-Series A, 5.00% due 7/1/2007 (Nuclear Mix Project; Insured: MBIA) | Aaa/AAA | 4,000,000 | 4,260,080 | ||||
Massachusetts Municipal Wholesale Electric Co. Power Supply Systems Revenue Series | |||||||
A, 5.00% due 7/1/2005 (Stony Brook Peaking Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,032,880 | ||||
Massachusetts State Health & Education Facility, Daughters of Charity, Series D, | |||||||
5.50% due 7/1/2004 (ETM)* | Aaa/AA+ | 515,000 | 515,062 | ||||
Massachusetts State Health & Educational Series H, 5.375% due 5/15/2012 (New | |||||||
England Medical Center Hospital Project; Insured: FGIC) | Aaa/AAA | 3,415,000 | 3,737,820 | ||||
Massachusetts State Refunding Series A, 5.375% due 8/1/2008 | Aa2/AA- | 1,000,000 | 1,086,490 | ||||
Massachusetts State Refunding Series A, 6.00% due 11/1/2008 | Aa2/AA- | 1,000,000 | 1,112,300 | ||||
Massachusetts State Refunding Series A, 5.50% due 1/1/2010 | Aa2/AA- | 1,500,000 | 1,649,760 | ||||
Taunton General Obligation, 8.00% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,635,975 | ||||
Michigan | (2.80%) | ||||||
Dearborn Economic Development Corp. Oakwood Obligation Group Series A, 5.75% due | |||||||
11/15/2015 (Insured: FGIC) | Aaa/AAA | 2,450,000 | 2,595,971 | ||||
Detroit Convention Facility, 5.25% due 9/30/2007 | NR/A | 1,000,000 | 1,065,330 | ||||
Detroit Michigan Series A, 6.00% due 4/1/2007 (Insured: FGIC) (ETM)* | Aaa/AAA | 1,405,000 | 1,533,782 | ||||
Jackson County Hospital Finance Authority Hospital Revenue Series A, 5.00% due | |||||||
6/1/2006 (W.A. Foote Memorial Hospital Project; Insured: AMBAC) | Aaa/NR | 1,670,000 | 1,754,803 | ||||
Kalamazoo Hospital Finance Authority Facility Revenue, 5.50% due 5/15/2005 (Bronson | |||||||
Methodist Hospital Project; Insured: MBIA) | Aaa/NR | 1,000,000 | 1,033,760 | ||||
Lansing Building Authority, 6.00% due 6/1/2005 (Insured: AMBAC) (ETM)* | Aaa/AAA | 1,000,000 | 1,006,730 | ||||
Michigan Hospital Finance Authority Revenue, 5.375% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,104,440 | ||||
Michigan Hospital Finance Authority Revenue, 4.80% due 11/1/2017 pre-refunded | |||||||
7/1/2004 @100 | Aaa/NR | 2,260,000 | 2,285,538 | ||||
Michigan Hospital Finance Authority Revenue Series A, 5.375% due 11/15/2033 put | |||||||
11/15/2007 (Ascension Health Project) | Aa2/AA | 10,000,000 | 10,730,600 | ||||
Michigan Housing Development Authority Single Family Insured Mortgage Revenue | |||||||
Series A, 5.00% due 4/1/2010 (Insured: FHA/VA Mtgs) | Aa1/AA+ | 655,000 | 655,478 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 4/15/2005 | Aa2/AA | 1,500,000 | 1,540,500 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 10/15/2007 | Aaa/AAA | 4,000,000 | 4,285,000 | ||||
Michigan State Building Authority Revenue Refunding Facilities Program Series I, | |||||||
5.00% due 10/15/2008 | Aaa/AAA | 4,000,000 | 4,312,880 | ||||
Michigan State Job Development Authority Pollution Control Revenue, 5.55% due | |||||||
4/1/2009 (General Motors Corp. Project; Guaranty: GM) | Baa1/BBB | 1,000,000 | 1,001,160 | ||||
Missouri State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 6/1/2011 | NR/AA- | 1,000,000 | 1,062,810 | ||||
Oakland County Economic Development Corp. Limited, 5.50% due 6/1/2014 (LOC: First | |||||||
of America Bank-Central) | A1/NR | 1,000,000 | 1,100,440 | ||||
Oxford Area Community School District, 5.00% due 5/1/2012 (Guaranty: School Bond | |||||||
Loan Fund) | Aa1/AA+ | 800,000 | 861,448 | ||||
Minnesota | (1.20%) | ||||||
Breckenridge Health Facilities Revenue Catholic Health Corp., 5.25% due 11/15/2013 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,750 | ||||
Minneapolis Refunding Series B, 5.15% due 3/1/2009 | Aa1/AAA | 5,000,000 | 5,187,700 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2011 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 3,130,000 | 3,260,740 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2012 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 1,000,000 | 1,031,730 | ||||
Minneapolis St. Paul Health Care Systems, 5.25% due 12/1/2013 (Healthpartners | |||||||
Obligation Group Project) | Baa1/BBB+ | 1,500,000 | 1,530,885 | ||||
Osseo Independent School District 279 Crossover Refunding Series B, 5.00% due | |||||||
2/1/2006 | Aa2/NR | 1,915,000 | 2,001,635 | ||||
Southern Minnesota Municipal Power Agency Revenue Refunding Series A, 5.00% due | |||||||
1/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,042,980 | ||||
University of Minnesota Refunding Series A, 5.50% due 7/1/2006 | Aa2/AA | 1,450,000 | 1,543,539 | ||||
Mississippi | (0.30%) | ||||||
Gautier Utility District Systems Revenue Refunding, 5.50% due 3/1/2012 (Insured: | |||||||
FGIC) | Aaa/NR | 1,020,000 | 1,134,373 | ||||
Hattiesburg Water & Sewer Revenue Refunding Systems, 5.20% due 8/1/2006 (Insured: | |||||||
AMBAC) | Aaa/AAA | 700,000 | 735,574 | ||||
Mississippi Hospital Equipment & Facilities Authority Revenue, 6.50% due 5/1/2006 | |||||||
(Refunding Mississippi Baptist Medical Center; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,053,730 | ||||
Ridgeland Multi Family Housing Revenue, 4.95% due 10/1/2007 (FNMA: Collateralized) | NR/A1+ | 930,000 | 952,729 | ||||
Missouri | (0.60%) | ||||||
Jackson County Public Building Corp. Leasehold Revenue Series 1996, 6.00% due | |||||||
12/1/2004 (Capital Improvement Project; Insured: MBIA) | Aaa/AAA | 425,000 | 433,139 | ||||
Missouri Development Finance Board Healthcare Facilities Revenue Series A, 4.80% | |||||||
due 11/1/2012 (Lutheran Home Aged Project; LOC: Commerce Bank) | A2/NR | 1,275,000 | 1,292,710 | ||||
Platte County Certificates of Participation, 5.00% due 9/1/2008 | NR/AA- | 1,530,000 | 1,638,049 | ||||
Springfield Certificates of Participation, 5.20% due 6/1/2006 (Law Enforcement | |||||||
Communication Project) | Aa3/NR | 840,000 | 884,167 | ||||
Springfield Certificates of Participation, 5.25% due 6/1/2007 (Law Enforcement | |||||||
Communication Project) | Aa3/NR | 840,000 | 897,187 | ||||
St. Louis County Refunding, 5.00% due 8/15/2007 (Convention & Sports Facility | |||||||
Project B 1) | Aaa/AAA | 2,495,000 | 2,663,537 | ||||
Montana | (1.10%) | ||||||
Forsyth Pollution Control Revenue Refunding, 5.00% due 10/1/2032 put 12/30/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 11,440,000 | 12,173,304 | ||||
Forsyth Pollution Control Revenue Refunding, 5.20% due 5/1/2033 put 5/1/2009 | |||||||
(Portland General Project) | Baa2/BBB+ | 2,500,000 | 2,597,275 | ||||
Nebraska | (1.40%) | ||||||
Lancaster County School District 1, 4.00% due 7/15/2007 (Lincoln Public School | |||||||
Project) | Aa2/AAA | 1,995,000 | 2,074,840 | ||||
Madison County Hospital Authority Revenue 1, 5.25% due 7/1/2010 (Faith Regional | |||||||
Health Services Project; Insured: Radian) | NR/AA | 1,455,000 | 1,567,282 | ||||
Madison County Hospital Authority Revenue 1, 5.50% due 7/1/2012 (Faith Regional | |||||||
Health Services Project; Insured: Radian) | NR/AA | 1,625,000 | 1,761,923 | ||||
Nebraska IFA Tax Exempt Multi Family Housing Revenue Refunding 1995-A, 5.50% due | |||||||
12/1/2025 put 12/1/2005 (Willow Park Apartments Project; Collateralized: FNMA) | NR/AAA | 2,655,000 | 2,715,056 | ||||
Nebraska Public Power District Revenue General Series A, 5.25% due 1/1/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,491,434 | ||||
Omaha Public Power District Nebraska Electric Revenue Refunding Systems B, 5.00% | |||||||
due 2/1/2013 | Aa2/AA | 5,000,000 | 5,374,350 | ||||
Omaha Public Power District Nebraska Electric Revenue Series A, 7.50% due 2/1/2006 | |||||||
(ETM)* | NR/AA | 2,095,000 | 2,207,962 | ||||
University of Nebraska Facilities Corp., 5.00% due 7/15/2008 | Aa2/AA- | 1,500,000 | 1,612,125 | ||||
Nevada | (1.60%) | ||||||
Colorado River Commission Power Delivery A, 7.00% due 9/15/2008 | Aa2/AA | 840,000 | 946,361 | ||||
Humboldt County Pollution Control Revenue Refunding, 6.55% due 10/1/2013 (Sierra | |||||||
Pacific Project; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,213,500 | ||||
Las Vegas Special Refunding Local Improvement District 707 Series A, 5.125% due | |||||||
6/1/2011 (Insured: FSA) | Aaa/AAA | 1,770,000 | 1,899,670 | ||||
Nevada Housing Division FNMA Multi Family Certificate A, 4.80% due 4/1/2008 | |||||||
(Collateralized: FNMA) | NR/AAA | 1,470,000 | 1,498,445 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2009 (Insured: Radian) | NR/AA | 1,000,000 | 1,088,540 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2010 (Insured: Radian) | NR/AA | 1,000,000 | 1,092,300 | ||||
Sparks Redevelopment Agency Tax Allocation Revenue Refunding Series A, 5.75% due | |||||||
1/15/2011(Insured: Radian) | NR/AA | 1,285,000 | 1,398,671 | ||||
Washoe County Hospital Facility Revenue Series 1993 A, 6.00% due 6/1/2015 (Washoe | |||||||
Medical Center Project) | A3/A- | 5,000,000 | 5,049,950 | ||||
Washoe County School District, 5.50% due 6/1/2008 (Insured: FSA) | Aaa/AAA | 3,500,000 | 3,820,775 | ||||
New Hampshire | (0.30%) | ||||||
New Hampshire General Obligation, 0% due 7/1/2004 | Aa2/AA | 500,000 | 499,980 | ||||
New Hampshire Industrial Development Authority Revenue, 5.50% due 12/1/2009 put | |||||||
12/1/2004 (Central Vermont Public Services Project; LOC: Citizens Bank) | NR/AA- | 2,485,000 | 2,512,161 | ||||
New Hampshire Municipal Bond Bank Refunding Series A-2, 4.60% due 7/15/2004 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,650,000 | 1,652,129 | ||||
New Jersey | (1.60%) | ||||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2007 | |||||||
(Transportation Systems Project) | Aa3/AA- | 3,000,000 | 3,192,150 | ||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2008 | |||||||
(Transportation Systems Project) | Aa3/AA- | 5,000,000 | 5,361,650 | ||||
New Jersey State Transport Trust Fund Authority Series C, 5.00% due 6/15/2009 | |||||||
(Transportation Systems Project) | Aa3/AA- | 5,000,000 | 5,382,250 | ||||
New Jersey State Turnpike Authority Revenue Refunding Series A, 5.50% due 1/1/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 3,015,000 | 3,166,323 | ||||
Newark Housing Authority Port Authority Rental Backed, 3.50% due 1/1/2006 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,780,000 | 1,815,884 | ||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2007 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,058,290 | ||||
Newark Housing Authority Port Authority Rental Backed, 5.00% due 1/1/2010 (Newark | |||||||
Marine Terminal Redevelopment Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,080,730 | ||||
Pequannock River Basin Regional Sewage Authority Refunding Series M, 5.00% due | |||||||
12/1/2006 (Sewer Revenue Project; Insured: MBIA) | Aaa/NR | 1,515,000 | 1,576,191 | ||||
New Mexico | (2.10%) | ||||||
Albuquerque Airport Revenue Adjustment Refunding Subordinated, 1.05% due 7/1/2014 | |||||||
put 7/7/2004 (Insured: AMBAC) (weekly demand notes) | VMIG1/A-2 | 1,700,000 | 1,700,000 | ||||
Albuquerque Joint Water & Sewage Systems Refunding Series A, 4.50% due 7/1/2004 | Aa3/AA | 1,685,000 | 1,685,152 | ||||
Farmington Pollution Control Revenue, 1.06% due 9/1/2024 put 7/1/2004 (LOC: | |||||||
Barclays Bank) (daily demand notes) | P1/A1+ | 5,000,000 | 5,000,000 | ||||
New Mexico Highway Commission Revenue Subordinated Lien Tax Series B, 5.00% due | |||||||
6/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,865,000 | 5,245,783 | ||||
New Mexico State, 4.00% due 3/1/2005 | Aa1/AA+ | 1,350,000 | 1,372,626 | ||||
New Mexico State, 4.00% due 9/1/2005 | Aa1/AA+ | 8,000,000 | 8,210,400 | ||||
New Mexico State Refunding Series B, 5.00% due 9/1/2005 | Aa1/AA+ | 1,000,000 | 1,037,830 | ||||
New Mexico State Severance Tax, 5.00% due 7/1/2005 | Aa2/AA | 2,650,000 | 2,737,397 | ||||
New Mexico State University Revenues Refunding & Improvement, 4.00% due 4/1/2006 | |||||||
(Insured: FSA) | Aaa/AAA | 1,260,000 | 1,299,627 | ||||
New York | (7.00%) | ||||||
Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due | |||||||
11/1/2031 put 11/1/2006(Methodist Retirement Community Project; LOC: Northfork | |||||||
Bank) | A2/A- | 1,625,000 | 1,664,406 | ||||
Hempstead Town Industrial Development Agency Refunding, 5.00% due 12/1/2008 | |||||||
(American Fuel Co. Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,590 | ||||
Hempstead Town Industrial Development Agency Resources Recovery Revenue Refunding, | |||||||
5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,068,210 | ||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due | |||||||
12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,651,575 | ||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 7,000,000 | 7,379,540 | ||||
Metropolitan Transportation Authority New York Revenue Series B, 5.00% due | |||||||
11/15/2007 | A2/A | 8,000,000 | 8,491,920 | ||||
Metropolitan Transportation Authority New York Service Series B, 5.25% due 7/1/2007 | A3/AA- | 4,535,000 | 4,856,894 | ||||
Monroe County Industrial Development Agency, 5.375% due 6/1/2007 (St. John Fisher | |||||||
College Project; Insured: Radian) | NR/AA | 1,050,000 | 1,123,616 | ||||
New York City Housing Development Corp. Multi Family Housing Revenue Refunding | |||||||
Series A, 5.50% due 11/1/2009 | Aa2/AA | 710,000 | 724,236 | ||||
New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2011 | |||||||
(Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,215,000 | 2,311,153 | ||||
New York City Industrial Development Agency Civic Facility, 5.25% due 6/1/2012 | |||||||
(Lycee Francais De New York Project Series A; Insured: ACA) | NR/A | 2,330,000 | 2,424,295 | ||||
New York City Refunding Series H, 1.03% due 8/1/2021 put 7/1/2004 (Insured: FSA) | |||||||
(daily demand notes) | VMIG1/A1+ | 1,400,000 | 1,400,000 | ||||
New York City Transitional Refunding Future Tax Secured Series A, 4.50% due | |||||||
11/1/2004 | Aa2/AA+ | 1,500,000 | 1,515,585 | ||||
New York Dormitory Authority, 6.00% due 7/1/2007 (Champlain Valley Physicians | |||||||
Project; Insured: Connie Lee) | NR/AAA | 1,040,000 | 1,136,782 | ||||
New York Dormitory Authority Revenues, 6.00% due 9/1/2008 pre-refunded 9/1/2005 | |||||||
(Norton Healthcare Project) | NR/AA | 1,645,000 | 1,672,471 | ||||
New York Dormitory Authority Revenues Mental Health Services Facilities Improvement | |||||||
B, 5.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 1,600,000 | 1,733,328 | ||||
New York Dormitory Authority Revenues Series B, 5.25% due 11/15/2026 put 5/15/2012 | |||||||
(Insured: AMBAC) | Aaa/AAA | 4,000,000 | 4,291,440 | ||||
New York Medical Care Facilities Finance Agency Revenue, 6.40% due 11/1/2014 | |||||||
(Insured: FSA) | Aaa/AAA | 560,000 | 562,106 | ||||
New York Series B, 5.50% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,112,060 | ||||
New York Series B, 1.06% due 8/15/2018 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 1,300,000 | 1,300,000 | ||||
New York State Dormitory Authority Revenues, 5.875% due 7/1/2005 (Teresian House | |||||||
Project; LOC: Fleet Bank) | Aa3/NR | 1,000,000 | 1,039,400 | ||||
New York State Dormitory Authority Revenues, 4.00% due 12/15/2005 | NR/AA | 15,100,000 | 15,549,074 | ||||
New York State Dormitory Authority Revenues, 5.00% due 7/1/2007 (City University | |||||||
Systems Project) | A3/AA- | 3,500,000 | 3,713,010 | ||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2012 (South Nassau | |||||||
Community Hospital B Project) | Baa1/NR | 1,820,000 | 1,958,902 | ||||
New York State Dormitory Authority Revenues, 5.50% due 7/1/2013 (South Nassau | |||||||
Community Hospital B Project) | Baa1/NR | 1,500,000 | 1,604,880 | ||||
New York State Dormitory Authority Revenues Refunding, 5.00% due 2/15/2010 | |||||||
(Hospital Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 4,870,000 | 5,197,069 | ||||
New York State Medical Care Facilities Finance Agency Revenue Bonds Series F, 6.20% | |||||||
due 8/15/2015 pre-refunded 8/15/05 @102 (Insured: FHA) | Aa2/AA | 1,175,000 | 1,256,992 | ||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due | |||||||
1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 2,500,000 | 2,912,275 | ||||
New York Thruway Authority General Revenue Special Obligation, 0% due 1/1/2006 | NR/A- | 1,320,000 | 1,268,045 | ||||
New York Urban Development Corp. Revenue University Facilities Grants, 6.00% due | |||||||
1/1/2006 | A3/AA- | 255,000 | 269,053 | ||||
New York Urban Development Corp. Series 7, 6.00% due 1/1/2006 | A3/AA- | 3,425,000 | 3,613,752 | ||||
Oneida County Industrial Development Agency Series C, 6.00% due 1/1/2009 (Civic | |||||||
Facility Faxton Hospital Project; Insured: Radian) | NR/AA | 710,000 | 785,537 | ||||
Tobacco Settlement Financing Corp. Asset Backed Series B 1C, 5.25% due 6/1/2013 | NR/AA- | 2,000,000 | 2,080,220 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.00% | |||||||
due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 2,000,000 | 2,067,200 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.25% | |||||||
due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 1,000,000 | 1,038,220 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series B-1C, 5.25% | |||||||
due 6/1/2013 (Insured: XLCA) | Aaa/AAA | 2,000,000 | 2,095,700 | ||||
Yonkers New York Series B, 4.00% due 10/15/2009 (Insured: FSA) | Aaa/AAA | 2,055,000 | 2,115,376 | ||||
North Carolina | (2.50%) | ||||||
Cabarrus County Certificates of Participation Installment Financing Contract, 4.50% | |||||||
due 2/1/2007 | Aaa/AAA | 1,100,000 | 1,152,096 | ||||
Charlotte Certificates of Participation Series B, 5.00% due 6/1/2006 (FY Project) | Aa1/AA+ | 1,000,000 | 1,051,170 | ||||
Gastonia Housing Corp. First Lien Rev Series A, 5.75% due 7/1/2004 (Golfview | |||||||
Village Square Apartment Project) | NR/A- | 70,000 | 70,000 | ||||
Macon County Certificates of Participation, 4.00% due 6/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,035,840 | ||||
North Carolina Capital Facilities Finance Agency Educational Facilities Revenue | |||||||
Series A, 5.00% due 4/1/2007 (Johnson & Wales University Project; Insured: XLCA) | Aaa/AAA | 925,000 | 981,037 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue, 6.125% due | |||||||
1/1/2009 (Insured: MBIA) | Aaa/AAA | 2,860,000 | 3,201,856 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Refunding | |||||||
Series D, 5.375% due 1/1/2011 | Baa2/BBB | 3,000,000 | 3,189,990 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue Series C, 5.25% | |||||||
due 1/1/2012 | Baa2/BBB | 650,000 | 684,983 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Series A, 5.50% due | |||||||
1/1/2012 | Baa2/BBB | 1,000,000 | 1,069,650 | ||||
North Carolina Eastern Municipal Power Agency Power Systems Series C, 5.25% due | |||||||
1/1/2013 | Baa2/BBB | 1,055,000 | 1,108,109 | ||||
North Carolina Medical Care Commission, 5.00% due 6/1/2006 (Rex Healthcare Project; | |||||||
Insured: AMBAC) | Aaa/AAA | 1,350,000 | 1,421,428 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue, 6.00% due | |||||||
1/1/2010 (Insured: MBIA) | Aaa/AAA | 2,400,000 | 2,704,344 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series A, 5.50% | |||||||
due 1/1/2013 | Baa1/BBB+ | 2,505,000 | 2,702,394 | ||||
North Carolina Municipal Power Agency 1 Catawba Electric Revenue Series B, 6.375% | |||||||
due 1/1/2013 | Baa1/BBB+ | 1,000,000 | 1,112,270 | ||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2007 (Insured: MBIA) | Aaa/AAA | 3,400,000 | 3,678,358 | ||||
North Carolina Municipal Power Agency Series A, 6.00% due 1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,900,000 | 4,290,390 | ||||
North Carolina State Certificates of Participation Series B, 5.00% due 6/1/2009 | |||||||
(Repair & Renovation Project) | Aa2/AA+ | 2,000,000 | 2,155,060 | ||||
Raleigh Durham Airport Authority Airport Revenue Series A, 5.50% due 11/1/2006 | |||||||
(Insured: FGIC) | Aaa/NR | 2,000,000 | 2,140,860 | ||||
University of North Carolina Systems Pool Revenue Refunding Series B, 5.00% due | |||||||
4/1/2012 (Insured: AMBAC) | Aaa/AAA | 1,030,000 | 1,120,197 | ||||
North Dakota | (0.10%) | ||||||
Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/2005 | |||||||
(Altru Health System Project; Insured: MBIA) | Aaa/AAA | 910,000 | 954,581 | ||||
Ohio | (2.50%) | ||||||
Bellefontaine Hospital Revenue Refunding, 6.00% due 12/1/2013 (Mary Rutan Health | |||||||
Associates Project) | NR/BBB+ | 2,205,000 | 2,254,635 | ||||
Cleveland Cuyahoga County Port Authority Revenue, 6.00% due 11/15/2010 | NR/NR | 3,995,000 | 4,236,857 | ||||
Cuyahoga County Hospital Revenue Refunding Series A, 4.75% due 2/15/2008 | |||||||
(Metrohealth Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,061,240 | ||||
Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/2006 | |||||||
(University Hospital Health Systems Project) | Baa1/A | 2,255,000 | 2,375,259 | ||||
Hudson City Library Improvement, 6.35% due 12/1/2011 | Aa1/NR | 1,400,000 | 1,620,822 | ||||
Lake County Sewer & Water District Improvement, 5.30% due 12/1/2011 | Aa2/NR | 520,000 | 553,654 | ||||
Lorain County Hospital Revenue Refunding Catholic Healthcare Partners B, 6.00% due | |||||||
9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,200,000 | 1,318,428 | ||||
Mahoning Valley District Water Refunding, 5.85% due 11/15/2008 (Insured: FSA) | Aaa/AAA | 1,300,000 | 1,447,810 | ||||
Mahoning Valley District Water Refunding, 5.90% due 11/15/2009 (Insured: FSA) | Aaa/AAA | 770,000 | 867,467 | ||||
Montgomery County Revenue, 6.00% due 12/1/2008 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 2,250,000 | 2,477,723 | ||||
Montgomery County Revenue, 6.00% due 12/1/2009 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 2,385,000 | 2,640,457 | ||||
Montgomery County Revenue, 6.00% due 12/1/2010 (Catholic Health Initiatives | |||||||
Project) | Aa2/AA | 1,530,000 | 1,706,195 | ||||
Montgomery County Solid Waste Revenue, 6.00% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,055,120 | ||||
Ohio State Building Authority Refunding Adult Corrections Facilities, 5.00% due | |||||||
10/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,119,180 | ||||
Ohio State Highway Capital Improvement Series C, 5.00% due 5/1/2006 | Aa1/AAA | 1,000,000 | 1,051,750 | ||||
Ohio State Unlimited Tax General Obligation Series A, 5.75% due 6/15/2010 | Aa1/AA+ | 5,000,000 | 5,587,250 | ||||
Plain Local School District Capital Appreciation, 0% due 12/1/2006 (Insured: FGIC) | Aaa/NR | 680,000 | 638,996 | ||||
Plain Local School District Capital Appreciation, 0% due 12/1/2007 (Insured: FGIC) | Aaa/NR | 845,000 | 762,680 | ||||
Reading Revenue Development, 6.00% due 2/1/2009 (St. Mary’s Educational Institute | |||||||
Project; Insured: Radian) | NR/AA | 975,000 | 1,076,244 | ||||
Oklahoma | (2.30%) | ||||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2006 (Insured: | |||||||
FSA) | Aaa/NR | 1,235,000 | 1,323,500 | ||||
Claremore Public Works Authority Revenue Refunding, 6.00% due 6/1/2007 (Insured: | |||||||
FSA) | Aaa/NR | 1,340,000 | 1,468,439 | ||||
Jenks Aquarium Authority Revenue First Mortgage, 5.50% due 7/1/2010 (Insured: MBIA) | Aaa/NR | 660,000 | 708,965 | ||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, | |||||||
5.75% due 8/15/2007 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,589,416 | ||||
Oklahoma Authority Revenue Refunding Health Systems Obligation Group Series A, | |||||||
6.00% due 8/15/2010 (Insured: MBIA) | Aaa/AAA | 2,340,000 | 2,613,663 | ||||
Oklahoma Development Finance Authority Health Facilities Revenue, 5.75% due | |||||||
6/1/2011 (Insured: AMBAC) | Aaa/AAA | 740,000 | 827,054 | ||||
Oklahoma Development Finance Authority Hospital Revenue Refunding, 5.00% due | |||||||
10/1/2012 (Unity Health Center Project) | NR/BBB+ | 1,070,000 | 1,089,474 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2011 (Duncan Regional Hospital Project) | NR/A- | 1,215,000 | 1,294,048 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2012 (Duncan Regional Hospital Project) | NR/A- | 1,330,000 | 1,404,267 | ||||
Oklahoma Development Finance Authority Hospital Revenue Series A, 5.25% due | |||||||
12/1/2013 (Duncan Regional Hospital Project) | NR/A- | 1,250,000 | 1,306,338 | ||||
Oklahoma Housing Development Authority Revenue Lease Purchase Program Series A, | |||||||
5.10% due 11/1/2005 | Aa3/NR | 5,000,000 | 5,200,450 | ||||
Oklahoma State Industrial Authority Revenue Refunding Integris Health System, 5.50% | |||||||
due 8/15/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,041,480 | ||||
Tulsa County Independent School Building, 4.00% due 6/1/2008 | Aa3/NR | 2,750,000 | 2,850,622 | ||||
Tulsa County Independent School District, 4.50% due 8/1/2006 | Aa3/A+ | 2,650,000 | 2,770,575 | ||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2005 | NR/AA | 1,500,000 | 1,531,155 | ||||
Tulsa County Industrial Authority Capital Series B, 4.00% due 5/15/2006 | NR/AA | 2,000,000 | 2,065,180 | ||||
Tulsa Metropolitan Utility Authority Water Series A, 5.60% due 11/1/2004 | NR/AA | 1,000,000 | 1,013,870 | ||||
Tulsa Public Facilities Authority Solid Waste Steam & Electric Revenue Refunding | |||||||
Series 1994, 5.45% due 11/1/2004 (Ogden Martin Systems of Tulsa Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 750,000 | 759,660 | ||||
Oregon | (0.50%) | ||||||
Clackamas County Hospital Facility Authority Revenue Refunding, 5.00% due 5/1/2008 | |||||||
(Legacy Health Systems Project) | Aa3/AA | 4,000,000 | 4,259,760 | ||||
Medford Hospital Facilities Authority Revenue Series A, 5.25% due 8/15/2006 (Asante | |||||||
Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,060,730 | ||||
Salem Hospital Facility Authority Revenue, 5.25% due 8/15/2014 (Salem Hospital | |||||||
Project) | NR/AA- | 1,000,000 | 1,022,510 | ||||
Salem Oregon Water & Sewer Revenue, 6.00% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 750,000 | 779,887 | ||||
Pennsylvania | (2.60%) | ||||||
Allegheny County Hospital Development Health Series B, 6.30% due 5/1/2009 (South | |||||||
Hills Health System Project) | Baa1/NR | 1,505,000 | 1,560,805 | ||||
Allegheny County Hospital Development Refunding, 4.40% due 11/1/2005 (Health Center | |||||||
UPMC Health Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,033,200 | ||||
Allegheny County Ind. Development Authority Health & Housing Facilities Revenue | |||||||
Refunding Series B, 1.14% due 7/1/2029 put 7/1/2004 (Longwood Project; Insured: | |||||||
Radian) (daily demand notes) | NR/A1+ | 4,700,000 | 4,700,000 | ||||
Central Bucks School District Refunding, 5.50% due 11/15/2009 (State Aid | |||||||
Withholding) | A1/NR | 1,325,000 | 1,385,341 | ||||
Delaware County Pennsylvania Authority Revenue, 5.50% due 11/15/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,000,000 | 1,081,480 | ||||
Delaware County Pollution Control Refunding Series A, 5.20% due 4/1/2021 put | |||||||
10/1/2004 (Peco Energy Co. Project) | A3/BBB+ | 4,250,000 | 4,280,557 | ||||
Geisinger Authority Health Systems Revenue, 5.50% due 8/15/2009 | Aa3/AA- | 1,000,000 | 1,081,860 | ||||
Manheim Township School Authority School Revenue Series 1978, 6.625% due 12/1/2007 | |||||||
pre-refunded 12/1/2005 | NR/AAA | 1,605,000 | 1,703,451 | ||||
Montgomery County Higher Education & Health Authority, 6.25% due 7/1/2006 | Baa3/NR | 730,000 | 754,842 | ||||
Montgomery County Higher Education & Health Authority, 6.375% due 7/1/2007 | Baa3/NR | 550,000 | 574,816 | ||||
Montgomery County Industrial Development Authority Pollution Control Revenue Series | |||||||
A, 5.20% due 10/1/2030 put 10/1/2004 (Peco Energy Co. Project) | A2/BBB+ | 2,000,000 | 2,014,380 | ||||
Pennsylvania Higher Educational Facilities Authority Health Services Revenue, 5.50% | |||||||
due 1/1/2009 (University of Pennsylvania Health Systems Project) | A3/A | 1,500,000 | 1,556,445 | ||||
Pennsylvania Higher Educational Facility Series A, 6.00% due 1/1/2005 (University | |||||||
of Pennsylvania Health Systems Project) | A3/A | 750,000 | 766,155 | ||||
Pennsylvania State Higher Educational Facilities Authority, 7.00% due 1/1/2009 | |||||||
(University of Pennsylvania Project) | A3/A | 4,500,000 | 4,606,290 | ||||
Pennsylvania State Higher Educational Facilities Authority Revenue, 4.00% due | |||||||
11/1/2032 put 11/1/2005 (LOC: Allied Irish Banks PLC) | VMIG1/NR | 1,500,000 | 1,541,670 | ||||
Pennsylvania State Second Series, 5.25% due 10/1/2008 | Aa2/AA | 900,000 | 980,622 | ||||
Philadelphia Hospital & Higher Education Facilities Authority Revenue, 5.50% due | |||||||
5/15/2006 (Jefferson Health Systems Project) | Aa3/AA- | 1,000,000 | 1,050,920 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2008 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,255,000 | 1,344,607 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.00% due 7/1/2009 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,320,000 | 1,417,033 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2011 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,400,000 | 1,522,892 | ||||
Sayre Pennsylvania Health Care Facilities Authority Series A, 5.25% due 7/1/2012 | |||||||
(Latrobe Area Hospital Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,087,020 | ||||
Rhode Island | (2.00%) | ||||||
Providence Public Building Authority Refunding Series B, 5.75% due 12/15/2007 | |||||||
(Insured: FSA) | Aaa/AAA | 1,075,000 | 1,177,415 | ||||
Providence Public Building Authority School Project Series B, 5.00% due 12/15/2005 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,044,310 | ||||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2006 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,037,500 | ||||
Providence Public Building Authority School Project Series B, 4.00% due 12/15/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,038,010 | ||||
Providence Series C, 5.50% due 1/15/2012 (Insured: FSA) | Aaa/AAA | 1,880,000 | 2,096,313 | ||||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2005 (State | |||||||
Public Projects; Insured: AMBAC) | Aaa/AAA | 4,455,000 | 4,632,398 | ||||
Rhode Island Bond Authority Revenue Refunding Series A, 5.00% due 10/1/2006 (State | |||||||
Public Projects; Insured: AMBAC) | Aaa/AAA | 10,085,000 | 10,679,107 | ||||
Rhode Island Economic Development Corp. Revenue, 5.75% due 7/1/2010 (Providence | |||||||
Place Mall Project; Insured: Radian) | NR/AA | 2,075,000 | 2,289,182 | ||||
Rhode Island State Health & Education Building, 4.50% due 9/1/2009 (Butler Hospital | |||||||
Project; LOC: Fleet National Bank) | NR/AA- | 1,960,000 | 2,042,065 | ||||
Rhode Island State Health & Educational Building Corp. Revenue Hospital Financing, | |||||||
5.25% due 7/1/2014 (Memorial Hospital Project; LOC: Fleet Bank) | NR/A+ | 1,565,000 | 1,632,843 | ||||
South Carolina | (1.60%) | ||||||
Charleston County Certificates of Participation, 6.00% due 12/1/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,050,000 | 2,261,949 | ||||
Charleston County Certificates of Participation Refunding, 5.00% due 6/1/2007 | |||||||
(Charleston Public Facilities Corp. Project; Insured: MBIA) | Aaa/AAA | 1,350,000 | 1,433,687 | ||||
Kershaw County School District Series B, 4.60% due 3/1/2007 | Aa1/AA+ | 1,445,000 | 1,498,971 | ||||
Medical University of South Carolina Hospital Facilities Revenue, 5.50% due | |||||||
7/1/2005 (ETM)* | Baa2/NR | 1,000,000 | 1,037,320 | ||||
Piedmont Municipal Power Agency Electric Revenue, 6.375% due 1/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 945,000 | 1,001,880 | ||||
South Carolina Jobs Economic Development Authority Hospital Facilities Revenue | |||||||
Improvement, 7.125% due 12/15/2015 pre-refunded 12/15/2010 (Palmetto Health | |||||||
Alliance Project) | Baa2/BBB | 1,250,000 | 1,508,350 | ||||
South Carolina Jobs Economic Development Authority Hospital Facilities Revenue | |||||||
Improvement Series A, 7.375% due 12/15/2021 pre-refunded 12/15/2010 (Palmetto | |||||||
Health Alliance Project) | Baa2/BBB | 2,600,000 | 3,174,314 | ||||
South Carolina State Public Service Authority Refunding Series A, 6.50% due | |||||||
1/1/2008 (Insured: MBIA) | Aaa/AAA | 3,530,000 | 3,814,341 | ||||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due | |||||||
1/1/2006 | Aa2/AA- | 2,000,000 | 2,084,140 | ||||
South Carolina State Public Service Authority Revenue Refunding Series D, 5.00% due | |||||||
1/1/2007 | Aa2/AA- | 2,315,000 | 2,448,205 | ||||
York County Refunding, 5.00% due 6/1/2006 (Insured: FSA) | Aaa/AAA | 1,720,000 | 1,811,659 | ||||
South Dakota | (0.40%) | ||||||
South Dakota Health & Educational Facilities Authority Revenue, 5.50% due 9/1/2011 | |||||||
(Rapid City Regional Hospital Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,212,200 | ||||
South Dakota State Building Authority Lease Revenue, 6.625% due 9/1/2012 | |||||||
pre-refunded 9/1/2004 @100 (Insured: AMBAC) | Aaa/AAA | 2,235,000 | 2,254,824 | ||||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, | |||||||
6.25% due 7/1/2009 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,126,180 | ||||
South Dakota State Health & Educational Facilities Authority Revenue Refunding, | |||||||
6.00% due 7/1/2014 (McKennan Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,084,310 | ||||
Tennessee | (0.50%) | ||||||
Clarksville Natural Gas Refunding, 5.00% due 11/1/2004 | NR/BBB+ | 2,420,000 | 2,440,812 | ||||
Franklin Industrial Development Multi Family Refunding Housing Series A, 5.75% due | |||||||
4/1/2010 (Insured: FSA) | Aaa/AAA | 770,000 | 805,335 | ||||
Hamilton County Industrial Development Board, 5.75% due 9/1/2005 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,046,230 | ||||
Knox County Health Educational & Housing Facilities Board Hospital Facilities | |||||||
Revenue Refunding, 5.00% due 1/1/2006 (Insured: FSA) | Aaa/AAA | 2,000,000 | 2,082,340 | ||||
Shelby County Series A, 0% due 5/1/2011 pre-refunded 5/1/2005 @ 69.561 | Aa2/AA+ | 1,050,000 | 720,458 | ||||
Texas | (11.20%) | ||||||
Amarillo Health Facilities Corp. Hospital Revenue, 5.50% due 1/1/2011 (Baptist St | |||||||
Anthony’s Hospital Corp. Project; Insured: FSA) | Aaa/NR | 1,350,000 | 1,479,505 | ||||
Austin Texas Refunding, 5.00% due 3/1/2011 | Aa2/AA+ | 1,000,000 | 1,078,610 | ||||
Austin Utility Systems Revenue Refunding Comb. Series A, 5.60% due 5/15/2007 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,013,170 | ||||
Bell County Health Facilities Development Corp. Revenue Series A, 6.25% due | |||||||
8/15/2010 (Scott & White Memorial Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,137,880 | ||||
Bexar County Housing Finance Corp. Multi Family Housing Revenue, 5.00% due 1/1/2011 | |||||||
(Insured: MBIA) | Aaa/NR | 1,800,000 | 1,884,330 | ||||
Cedar Hill Independent School District Refunding, 0% due 8/15/2010 (Guaranty: PSF) | NR/AAA | 1,250,000 | 959,137 | ||||
Clint Independent School District Refunding, 5.50% due 2/15/2011 (Guaranty: PSF) | Aaa/AAA | 1,700,000 | 1,884,042 | ||||
Clint Independent School District Refunding, 5.50% due 2/15/2012 (Guaranty: PSF) | Aaa/AAA | 1,425,000 | 1,566,075 | ||||
Coppell Independent School District Refunding, 0% due 8/15/2007 (Guaranty: PSF) | NR/AAA | 3,300,000 | 3,005,937 | ||||
Corpus Christi Business & Job Development Corp. Sales Tax Revenue, 5.00% due | |||||||
9/1/2012 (Refunding & Improvement Arena Project; Insured: AMBAC) | Aaa/AAA | 1,025,000 | 1,105,637 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2005 (Insured: | |||||||
FSA) | Aaa/AAA | 2,000,000 | 2,078,440 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2006 (Insured: | |||||||
FSA) | Aaa/AAA | 4,070,000 | 4,334,061 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2008 (Insured: | |||||||
FSA) | Aaa/AAA | 2,000,000 | 2,188,080 | ||||
Corpus Christi Utility Systems Revenue Refunding, 5.50% due 7/15/2009 (Insured: | |||||||
FSA) | Aaa/AAA | 4,780,000 | 5,271,432 | ||||
Dallas Tax Increment Financing Reinvestment Zone 2, 5.75% due 8/15/2006 (Insured: | |||||||
Radian) | NR/AA | 450,000 | 479,452 | ||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2011 | |||||||
(Guaranty: PSF) | Aaa/AAA | 4,945,000 | 3,775,458 | ||||
Duncanville Independent School District Refunding Series B, 0% due 2/15/2012 | |||||||
(Guaranty: PSF) | Aaa/AAA | 1,245,000 | 899,824 | ||||
Fort Worth Water & Sewer Revenue Refunding & Improvement, 5.25% due 2/15/2011 | Aa2/AA | 3,800,000 | 4,066,494 | ||||
Fort Worth Water & Sewer Revenue Series 2001, 5.25% due 2/15/2011 (Tarrant & Denton | |||||||
County Project) | Aa2/AA | 1,390,000 | 1,520,201 | ||||
Grapevine Texas, 5.25% due 2/15/2012 (Insured: FGIC) | Aaa/AAA | 2,005,000 | 2,093,842 | ||||
Gulf Coast Waste Disposal Authority Environmental Facilities Revenue Refunding, | |||||||
4.20% due 11/1/2006 (Occidental Project) | Baa2/BBB+ | 4,000,000 | 4,126,400 | ||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2010 | |||||||
(Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,075,680 | ||||
Gulf Coast Waste Disposal Authority Texas Revenue Refunding, 5.00% due 10/1/2011 | |||||||
(Bayport Area Systems Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,073,100 | ||||
Harlingen Consolidated Independent School, 7.50% due 8/15/2009 (Guaranty: PSF) | Aaa/AAA | 750,000 | 895,065 | ||||
Harris County Health Facilities Development Corp. Hospital Revenue Refunding | |||||||
Series A, 6.00% due 6/1/2012 (Memorial Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 500,000 | 571,665 | ||||
Harris County Health Facilities Development Corp. Thermal Utility Revenue, 5.45% | |||||||
due 2/15/2011 (Insured: AMBAC) | Aaa/AAA | 4,410,000 | 4,812,501 | ||||
Harris County Health Facilities Hospital Series A, 6.00% due 6/1/2010 (Memorial | |||||||
Hospital Systems Project; Insured: MBIA) | Aaa/AAA | 600,000 | 674,772 | ||||
Harris County Hospital District Mortgage Revenue, 7.40% due 2/15/2010 (Insured: | |||||||
AMBAC) (ETM)* | Aaa/AAA | 620,000 | 681,070 | ||||
Harris County Hospital District Mortgage Revenue Unrefunded Balance Refunding, | |||||||
7.40% due 2/15/2010 (Insured: AMBAC) | Aaa/AAA | 930,000 | 1,052,025 | ||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2011 (Insured: | |||||||
MBIA) | Aaa/AAA | 10,000,000 | 11,070,600 | ||||
Harris County Hospital District Revenue Refunding, 5.75% due 2/15/2012 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,000,000 | 2,202,980 | ||||
Harris County Refunding Toll Road Senior Lien Series B-2, 5.00% due 8/15/2021 put | |||||||
8/15/2009 @100 (Insured: FGIC) | Aaa/AAA | 5,000,000 | 5,370,000 | ||||
Harris County Sports Authority Revenue Senior Lien Series G, 0% due 11/15/2010 | |||||||
(Insured: MBIA) | Aaa/AAA | 3,260,000 | 2,539,736 | ||||
Irving Independent School District, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 1,000,000 | 990,270 | ||||
Irving Texas Hospital Authority Revenue Series B, 5.75% due 7/1/2005 (Irving | |||||||
Healthcare Systems Project; Insured: FSA) | Aaa/AAA | 500,000 | 519,895 | ||||
Lewisville Combination Contract Revenue, 4.125% due 5/1/2031 put 11/1/2006 (Special | |||||||
Assessment Castle Hills Project Number 3; LOC: Wells Fargo Bank) | NR/AA | 1,000,000 | 1,040,230 | ||||
Lower Colorado River Authority Revenue Refunding & Improvement, 8.00% due 5/15/2010 | |||||||
(Insured: FSA) | Aaa/AAA | 750,000 | 926,250 | ||||
Matagorda County Navigation District 1 Adjusted Refunding Central Power A, 2.15% | |||||||
due 5/1/2030 put 11/1/2004 | Baa2/BBB | 3,000,000 | 2,998,770 | ||||
Mesquite Independent School District Refunding, 0% due 8/15/2011 (Guaranty: PSF) | NR/AAA | 3,065,000 | 2,257,894 | ||||
Midlothian Independent School District Refunding, 0% due 2/15/2008 (Guaranty: PSF) | Aaa/NR | 1,415,000 | 1,254,228 | ||||
Midlothian Independent School District Refunding, 0% due 2/15/2009 (Guaranty: PSF) | Aaa/NR | 1,200,000 | 1,016,292 | ||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2010 (Insured: Radian) | Baa2/AA | 700,000 | 774,725 | ||||
Midtown Redevelopment Authority Texas Tax, 6.00% due 1/1/2011 (Insured: Radian) | Baa2/AA | 740,000 | 822,665 | ||||
New Caney Independent School District Refunding, 0% due 2/15/2005 (Guaranty: PSF) | Aaa/AAA | 2,275,000 | 2,253,296 | ||||
North Texas Thruway Authority Dallas North Thruway Systems Revenue Refunding Series | |||||||
B, 5.00% due 1/1/2038 (Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,330,800 | ||||
Red River Education Finance Corp., 2.10% due 12/1/2034 put 12/1/2007 (Parish | |||||||
Episcopal School Project; LOC: Allied Irish Banks PLC) | VMIG1/NR | 2,500,000 | 2,407,875 | ||||
Sam Rayburn Municipal Power Agency Refunding, 5.50% due 10/1/2012 | Baa2/BBB- | 6,000,000 | 6,460,800 | ||||
San Antonio Hotel Occupancy Revenue Refunding Series B, 5.00% due 8/15/2034 put | |||||||
8/1/2008 | Aaa/AAA | 3,000,000 | 3,189,360 | ||||
Socorro Independent School District Series A, 5.75% due 2/15/2011 (Guaranty: PSF) | NR/AAA | 1,970,000 | 2,138,809 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2007 | |||||||
(Insured: AMBAC) | Aaa/AAA | 965,000 | 870,690 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2008 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,120,000 | 963,290 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2009 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,275,000 | 1,032,151 | ||||
Southlake Tax Increment Certificates of Obligation Series B, 0% due 2/15/2010 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,440,000 | 1,092,960 | ||||
Southwest Texas State University Revenues Refunding, 4.90% due 8/1/2004 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,145,000 | 1,148,366 | ||||
Spring Branch Independent School District, 7.50% due 2/1/2011 (Guaranty: PSF) | Aaa/AAA | 500,000 | 609,155 | ||||
Tarrant County Health Facilities, 5.875% due 11/15/2007 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 580,000 | 629,335 | ||||
Tarrant County Health Facilities, 6.00% due 11/15/2009 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 650,000 | 719,732 | ||||
Tarrant County Health Facilities, 6.10% due 11/15/2011 (Adventist/Sunbelt Health | |||||||
System Project) | A3/A | 730,000 | 813,775 | ||||
Tarrant County Health Facilities Development Corp., 5.75% due 2/15/2011 (Texas | |||||||
Health Resources Project; Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,536,794 | ||||
Tarrant County Health Facilities Development Corp. Health Systems Revenue Series A, | |||||||
5.75% due 2/15/2008 (Texas Health Resources Systems Project; Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,273,180 | ||||
Texarkana Health Facilities Development Corp. Hospital Revenue, 5.75% due 10/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,100,170 | ||||
Texas Affordable Housing Corp. Portfolio A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,098,740 | ||||
Texas Affordable Housing Corp. Series A, 4.85% due 9/1/2012 (Insured: MBIA) | Aaa/AAA | 1,945,000 | 2,041,025 | ||||
Texas Public Finance Authority Building Revenue State Preservation Project Series | |||||||
B, 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,114,390 | ||||
Texas State Turnpike Authority Central Texas Turnpike Systems Rev. Bond | |||||||
Anticipation Note 2nd Tier, 5.00% due 6/1/2008 | Aa3/AA | 7,000,000 | 7,505,050 | ||||
Town Center Improvement District Texas Sales & Hotel Occupancy Tax, 5.00% due | |||||||
3/1/2006 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,046,190 | ||||
Travis County, 5.00% due 3/1/2007 | Aaa/AAA | 1,000,000 | 1,061,050 | ||||
Travis County, 5.00% due 3/1/2010 | Aaa/AAA | 500,000 | 529,960 | ||||
Travis County Health Development Corp. Series A, 5.75% due 11/15/2008 (Insured: | |||||||
MBIA) | Aaa/AAA | 2,300,000 | 2,535,106 | ||||
Travis County Health Facilities Development Corp. Revenue Ascension Health Credit | |||||||
Series A, 5.75% due 11/15/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,092,140 | ||||
Travis County Health Facilities Development Corp. Revenue Series A, 5.75% due | |||||||
11/15/2009 (Insured: MBIA) | Aaa/AAA | 3,750,000 | 4,155,150 | ||||
Travis County Health Facilities Development Series A, 5.75% due 11/15/2010 | |||||||
(Ascension Health Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,218,120 | ||||
Washington County Health Facilities Development Corp. Revenue, 5.35% due 6/1/2009 | |||||||
(Insured: ACA) | NR/A | 2,020,000 | 2,134,797 | ||||
Utah | (1.10%) | ||||||
Intermountain Power Agency Power Supply Revenue Series A, 5.20% due 7/1/2006 (ETM)* | A1/A+ | 385,000 | 390,001 | ||||
Intermountain Power Agency Power Supply Revenue Series A, 5.00% due 7/1/2012 | |||||||
(Insured: MBIA) (ETM)* | Aaa/AAA | 4,355,000 | 4,367,369 | ||||
Intermountain Power Agency Power Supply Revenue Series A, 5.50% due 7/1/2013 (ETM)* | A1/A+ | 4,000,000 | 4,053,080 | ||||
Intermountain Power Agency Power Supply Revenue Series B, 0% due 7/1/2004 (ETM)* | A1/A+ | 630,000 | 629,975 | ||||
Intermountain Power Agency Power Supply Revenue Series B, 0% due 7/1/2004 | A1/A+ | 370,000 | 369,981 | ||||
Intermountain Power Agency Utah Power Supply Series E, 6.25% due 7/1/2009 (Insured: | |||||||
FSA) | Aaa/AAA | 500,000 | 567,510 | ||||
Salt Lake County Municipal Building, 5.50% due 10/1/2009 | Aa1/AA+ | 1,500,000 | 1,658,640 | ||||
Snyderville Basin Sewer Improvement, 5.00% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 675,000 | 717,248 | ||||
Utah Board Regents Auxiliary Systems & Student Fee Revenue Refunding Series A, | |||||||
5.00% due 5/1/2010 | NR/AA | 510,000 | 549,765 | ||||
Utah State University Hospital Board of Regents Revenue, 5.50% due 8/1/2005 | |||||||
(Insured: AMBAC) | Aaa/AAA | 500,000 | 520,220 | ||||
Utah State University Hospital Board of Regents Revenue, 5.25% due 8/1/2008 | |||||||
(Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,077,750 | ||||
Vermont | (0.10%) | ||||||
Vermont Educational & Health Buildings Financing Agency Revenue, 6.00% due 9/1/2006 | |||||||
(Northwestern Medical Center Project) | NR/BBB | 680,000 | 709,254 | ||||
Virginia | (1.00%) | ||||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2007 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,010,000 | 1,105,263 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2008 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,070,000 | 1,185,710 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2009 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,130,000 | 1,263,611 | ||||
Alexandria Industrial Development Authority Revenue, 5.75% due 10/1/2010 (Insured: | |||||||
AMBAC) | Aaa/AAA | 1,195,000 | 1,347,972 | ||||
Chesterfield County Industrial Development, 5.50% due 10/1/2009 (Vepco Project) | A3/BBB+ | 1,500,000 | 1,579,275 | ||||
Hampton General Obligation Refunding Bond, 5.85% due 3/1/2007 | Aa2/AA | 530,000 | 533,843 | ||||
Hampton Hospital Facilities Revenue Series A, 5.00% due 11/1/2005 | Aa2/AA | 500,000 | 519,860 | ||||
Loudoun County Industrial Development Authority Series E, 1.06% due 2/15/2038 put | |||||||
7/1/2004 (Howard Hughes Medical Center Project) (daily demand notes) | VMIG1/A1+ | 1,500,000 | 1,500,000 | ||||
Norton Industrial Development Authority Hospital Revenue Refunding Improvement, | |||||||
5.75% due 12/1/2012 (Norton Community Hospital Project; Insured: ACA) | NR/A | 1,460,000 | 1,571,544 | ||||
Suffolk Redevelopment Housing Authority Refunding, 4.85% due 7/1/2031 put 7/1/2011 | |||||||
(Windsor at Potomac Project; Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,170,340 | ||||
Washington | (6.00%) | ||||||
Conservation & Renewable Energy Systems Revenue Refunding, 5.00% due 10/1/2007 | |||||||
(Washington Conservation Project) | Aaa/AA- | 1,000,000 | 1,067,580 | ||||
Energy Northwest Washington Electric Revenue Refunding Series A, 5.375% due | |||||||
7/1/2013 (Project Number 1; Insured: FSA) | Aaa/AAA | 2,000,000 | 2,181,700 | ||||
Energy Northwest Washington Revenue Series A, 4.75% due 7/1/2007 (Wind Project) | A3/A- | 1,675,000 | 1,725,987 | ||||
Energy Northwest Washington Wind Project Revenue Series A, 4.95% due 7/1/2008 | A3/A- | 1,760,000 | 1,820,615 | ||||
Energy Northwest Washington Wind Project Revenue Series B, 4.95% due 7/1/2008 | A3/A- | 705,000 | 729,280 | ||||
Energy Northwest Washington Wind Project Revenue Series B, 5.20% due 7/1/2010 | A3/A- | 785,000 | 812,295 | ||||
Grant County Priest Rapids Hydroelectric, 6.00% due 1/1/2006 (Insured: AMBAC) | Aaa/AAA | 650,000 | 686,511 | ||||
King County School District 414 Lake Washington Refunding, 3.00% due 12/1/2004 | Aa1/AA | 1,885,000 | 1,897,667 | ||||
Lewis County Public Utility District Refunding, 5.00% due 10/1/2007 | Aaa/AA- | 1,880,000 | 2,007,652 | ||||
Seattle Municipal Light & Power Revenue Refunding, 4.75% due 7/1/2007 (Insured: | |||||||
FSA) | Aaa/AAA | 1,000,000 | 1,058,750 | ||||
Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due | |||||||
11/1/2006 (Insured: FSA) | Aaa/AAA | 5,000,000 | 5,298,050 | ||||
Seattle Municipal Light & Power Revenue Refunding & Improvement, 5.00% due | |||||||
11/1/2007 (Insured: FSA) | Aaa/AAA | 10,000,000 | 10,697,700 | ||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2007 | |||||||
(Insured: MBIA) | Aaa/NR | 2,285,000 | 2,373,247 | ||||
Spokane County School District Number 354 Mead Refunding, 4.00% due 12/1/2008 | |||||||
(Insured: MBIA) | Aaa/NR | 1,375,000 | 1,424,156 | ||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2005 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,040,600 | ||||
Spokane Regional Solid Waste Refunding, 5.00% due 12/1/2006 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,056,150 | ||||
Spokane Regional Solid Waste Refunding, 5.25% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,072,350 | ||||
Spokane Washington Refunding, 5.00% due 12/15/2009 | A2/BBB | 2,150,000 | 2,248,384 | ||||
Spokane Washington Refunding, 5.00% due 12/15/2010 | A2/BBB | 2,430,000 | 2,529,630 | ||||
Tacoma Conservation Systems Project Revenue, 6.20% due 1/1/2006 (Tacoma Public | |||||||
Utilities Project) | Aaa/AA- | 550,000 | 563,096 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due | |||||||
8/15/2004 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 800,000 | 803,096 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 4.50% due | |||||||
8/15/2005 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 900,000 | 927,252 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due | |||||||
8/15/2006 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,054,500 | ||||
University of Washington Alumni Association Lease Revenue Refunding, 5.00% due | |||||||
8/15/2007 (University of Washington Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,172,270 | ||||
Washington Health Care Facilities, 5.50% due 12/1/2009 (Providence Services | |||||||
Project; Insured: MBIA) | Aaa/AAA | 1,500,000 | 1,643,475 | ||||
Washington Public Power Supply, 5.40% due 7/1/2012 (Insured: FSA) | Aaa/AAA | 900,000 | 988,794 | ||||
Washington Public Power Supply Refunding Series A, 5.00% due 7/1/2011 (Insured: | |||||||
FSA) | Aaa/AAA | 2,500,000 | 2,664,725 | ||||
Washington Public Power Supply System Refunding Revenue, 0% due 7/1/2008 (Nuclear | |||||||
Project Number 3) | Aaa/AA- | 1,140,000 | 992,951 | ||||
Washington Public Power Supply System Series 96-A, 6.00% due 7/1/2006 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,655,000 | 1,774,524 | ||||
Washington Public Power Supply Systems, 6.00% due 7/1/2008 (Nuclear Project Number | |||||||
1; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,109,170 | ||||
Washington Public Power Supply Systems Refunding Series B, 0% due 7/1/2004 (Nuclear | |||||||
Project Number 3) | Aaa/AA- | 3,445,000 | 3,444,862 | ||||
Washington Public Power Supply Systems Revenue Refunding Series A, 6.00% due | |||||||
7/1/2006 (Nuclear Project Number 2; Insured: AMBAC) | Aaa/AAA | 1,810,000 | 1,940,718 | ||||
Washington Public Power Supply Systems Revenue Refunding Series A, 5.10% due | |||||||
7/1/2010 (Nuclear Project Number 2; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,072,850 | ||||
Washington Public Power Supply Systems Revenue Refunding Series B, 0% due 7/1/2008 | |||||||
(Nuclear Project Number 3) | Aaa/AA- | 830,000 | 722,938 | ||||
Washington State Health Care Facilities Authority Revenue, 4.00% due 7/1/2005 | |||||||
(Overlake Hospital Medical Center Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,022,870 | ||||
Washington State Motor Vehicle Fuel Tax Series B, 5.00% due 7/1/2007 (Insured: | |||||||
FGIC) | Aaa/AAA | 5,075,000 | 5,412,538 | ||||
Washington State Public Power Supply Systems Nuclear Project Number 2 Revenue | |||||||
Refunding Series A, 4.90% due 7/1/2005 | Aaa/AA- | 1,000,000 | 1,031,680 | ||||
Washington State Public Power Supply Systems Revenue Refunding Series A, 6.00% due | |||||||
7/1/2007 (Nuclear Project Number 1; Insured: AMBAC) | Aaa/AAA | 5,000,000 | 5,406,150 | ||||
Washington State Series A, 5.00% due 7/1/2008 (Insured: FGIC) | Aaa/AAA | 6,810,000 | 7,317,481 | ||||
West Virginia | (0.30%) | ||||||
Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/2010 (Salem | |||||||
Health Care Corp. Project; LOC: Fleet Bank) | NR/NR | 520,000 | 528,731 | ||||
Marion County SFMR Series 1992, 7.75% due 7/10/2011 | NR/NR | 123,726 | 123,966 | ||||
Pleasants County Pollution Control Revenue, 4.70% due 11/1/2007 (Monongahela Power | |||||||
Co. Project; Insured: AMBAC) | Aaa/AAA | 1,500,000 | 1,593,360 | ||||
West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due | |||||||
7/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,075,860 | ||||
Wisconsin | (1.20%) | ||||||
Bradley Pollution Control Revenue, 6.75% due 7/1/2009 (Owens Illinois Waste | |||||||
Project) (ETM)* | B1/BB+ | 1,500,000 | 1,736,115 | ||||
Milwaukee Wisconsin, 5.00% due 3/15/2005 | Aa2/AA | 3,325,000 | 3,406,629 | ||||
Wisconsin State Health & Educational Facilities, 5.00% due 8/15/2009 (Aurora Health | |||||||
Care Inc. Project) | Aaa/AAA | 2,835,000 | 3,006,262 | ||||
Wisconsin State Health & Educational Facilities Authority, 5.90% due 8/15/2005 | |||||||
(Wheaton Franciscan Services Inc. Project; Insured: MBIA) | Aaa/AAA | 800,000 | 836,624 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue, 6.00% due | |||||||
8/15/2008 (Aurora Health Care Inc. Project; Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,204,320 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 4.00% | |||||||
due 2/15/2006 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,025,730 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 2/15/2007 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,055,010 | ||||
Wisconsin State Health & Educational Facilities Authority Revenue Series A, 5.00% | |||||||
due 2/15/2009 (Gundersen Lutheran Hospital Project; Insured: FSA) | Aaa/AAA | 1,860,000 | 1,985,066 | ||||
Wisconsin State Health & Educational Series A, 5.00% due 2/15/2008 (Gundersen | |||||||
Lutheran Hospital Project) | Aaa/AAA | 1,250,000 | 1,327,925 | ||||
Wyoming | (0.30%) | ||||||
West Park Hospital District Revenue, 5.90% due 7/1/2010 (Insured: ACA) | NR/A | 1,615,000 | 1,689,387 | ||||
Wyoming Farm Loan Board Revenue, 0% due 4/1/2009 | NR/AA- | 2,500,000 | 2,088,500 | ||||
TOTAL INVESTMENTS (100%) (Cost 1,346,607,618) | $ 1,377,591,952 | ||||||
† Credit ratings are unaudited | |||||||
*Escrowed to maturity | |||||||
See notes to financial statements |
Report of independent Registered Public Accounting Firm
Thornburg Limited Term Municipal Fund
To the Board of Trustees and Class I Shareholders of
Thornburg Limited Term Municipal Fund
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 Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund – National Portfolio) a series of Thornburg Investment Trust (the “Fund”) at June 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the Class I shares for each of the five 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 the standards of the Public Company Accounting Oversight Board (United States), 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 June 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 2, 2004
32
Index Comparisons
Thornburg Limited Term Municipal Fund June 30, 2004
Index Comparison
Compares performance of Limited Term Municipal Fund, the Lehman Brothers Five-Year Municipal Bond Index (the “Index”) and the Consumer Price Index (CPI) for the periods ended June 30, 2004. On June 30, 2004, the weighted average securities ratings of both the Index and the Fund were AA and the weighted average portfolio maturities of the Index and the Fund were 5.0 years and 3.9 years, respectively. Past performance of the Index and the Fund may not be indicative of future performance. The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of fund shares.
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltmix604.jpg)
Minimum investments for the I-Share class are higher than those for other classes.
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money.
For the most recent month-end performance information, visit www.thornburg.com.
The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
33
Trustees and officers
Thornburg Limited Term Municipal Fund June 30, 2004
Name, Address and Age (1) | Position(s) Held with Fund (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee or Nominee for Trustee |
---|---|---|---|---|---|
Interested Trustees Garrett Thornburg, 58 Brian J. McMahon, 48 Independent Trustees David A. Ater, 59 David D. Chase, 63 Forrest S. Smith, 74 James W. Weyhrauch, 45 Officers of the Fund (who are not Trustees)(7) Dawn B. Fischer, 57 Steven J. Bohlin, 45 George T. Strickland, 41 William V. Fries, 65 Leigh Moiola, 37 Kenneth Ziesenheim, 50 Alexander Motola, 34 Wendy Trevisani, 33 Joshua Gonze, 41 Brad Kinkelaar, 36 Kerry D. Lee, 37 Christopher Ihlefeld, 33 Leon Sandersfeld, 37 Sasha Wilcoxon, 29 | Chairman of Trustees (3) Trustee, President (5) Trustee Trustee Trustee Trustee Secretary Vice President, Treasurer Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President | Trustee Since 1987 (4) Trustee Since 2001; President Since 1997 (4)(6) Trustee since 1994 (4) Trustee since 2001 (4) Trustee since 1987 (4) Trustee since 1996 (4) Secretary Since 1987 (6) Vice President Since 1987; Treasurer Since 1989 (6) Vice President Since 1996 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 2003 (4) Vice President Since 2003 (6) Vice President Since 2003 (6) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, NambMills, Inc., Santa Fe, NM (manufacturer). Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. Associate of Thornburg Investment Management, Inc. 1999 - -2003, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. Associate of Thornburg Investment Management Inc. to 2004, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999 and Vice President and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President of Thornburg Investment Management, Inc.; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Twelve Twelve Twelve Twelve Twelve Twelve N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A | Director of Thornburg Mortgage, Inc. (real estate investment trust) None Director of Thornburg Mortgage, Inc. (real estate investment trust) Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 None None N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A |
(1) | Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501. |
(2) | The Fund is one of twelve separate investment "Funds" or |
"series" of Thornburg Investment Trust (the "Trust"), | |
organized as a Massachusetts business trust. The Trust currently has twelve | |
active Funds. Thornburg Investment Management, Inc. is the investment advisor | |
to, and manages, the twelve funds of the Trust. | |
(3) | Mr. Thornburg is considered an "interested" Trustee under the |
Investment Company Act of 1940 because he is a director and controlling | |
shareholder of Thornburg Investment Management, Inc., the investment advisor to | |
the twelve active funds of the Trust, and is the sole director and controlling | |
shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. |
(5) | Mr. McMahon is considered an "interested" Trustee because he is the |
president of Thornburg Investment Management, Inc. | |
(6) | The Trust's president, secretary and treasurer each serves a one-year term or until the |
election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
PORTFOLIO PROXY VOTING
Policies and Procedures (Unaudited):
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1.800.847.0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted will be available on or before August 31 of each year for the twelve months ending the preceding June 30. This information will be available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended June 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio,” which was, until June 21, 2004, a series of Thornburg Limited Term Municipal Fund, Inc. (the “Company”), and since June 21, 2004, a series of Thornburg Investment Trust) was held on April 28, 2004, as adjourned to May 21, 2004, at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501.
The shareholders of the National Portfolio approved at the Meeting an Agreement and Plan of Reorganization providing for the reorganization of the National Portfolio into a series or “Fund” of Thornburg Investment Trust called “Thornburg Limited Term Municipal Fund,” by the transfer of all of the assets of the National Portfolio to Thornburg Limited Term Municipal Fund, in exchange solely for voting shares of Thornburg Limited Term Municipal Fund, and for the distribution of those shares to the shareholders of the National Portfolio. See Note 1 in the notes to financial statements.
At the same meeting, the shareholders of Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio”), another series of the Company, approved an Agreement and Plan of Reorganization providing for the reorganization of the California Portfolio into Thornburg California Limited Term Municipal Fund, a series of Thornburg Investment Trust.
The voting results for the matters voted on are as follows:
Thornburg Limited Term Municipal Fund – National Portfolio
Shares Voted for | Shares Voted Against or Withheld | Shares Abstained | Broker Non-Vote | Shares Voted |
---|---|---|---|---|
56,080,363 | 1,214,687 | 2,316,178 | - | 59,611,228 |
Thornburg California Limited Term Municipal Fund
Annual Report
June 30, 2004
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
www.thornburg.com
This report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Performance data quoted represent past performance and do not guarantee future results.
Thornburg California Limited Term Municipal Fund
ALL DATA AS OF 06/30/2004.
FUND FACTS: Thornburg California Limited Term Municipal Fund
A Shares | C Shares | |
---|---|---|
Annualized Distribution Rate (at NAV) | 2.76% | 2.52% |
SEC Yield | 2.12% | 1.91% |
NAV | $ 12.87 | $ 12.88 |
Maximum Offering Price | $ 13.07 | $ 12.88 |
TOTAL RETURNS: (Annual Average - After Subtracting Maximum Sales Charge)
One Year | (1.36)% | (0.62)% |
Three Years | 2.80% | 2.97% |
Five Years | 3.48% | 3.42% |
Ten Years | 4.14% | N/A |
Since Inception | 5.12% | 3.89% |
Inception Date | 2/19/87 | 9/1/94 |
Total return figures for the Public Offering Price (POP) include subtraction of maximum sales charge of 1.50% for the A shares. Total return figures at the public offering price for the C shares include a 0.50% CDSC for the first year only. |
Performance data quoted represent past performance and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. |
Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this information is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period. |
The distribution rate is calculated by taking the sum of the month’s total daily dividend distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending NAV to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions. |
Letter to shareholders
Thornburg California Limited Term Municipal Fund July 7, 2004
Dear Shareholder:
I am pleased to present the annual report for the Thornburg California Limited Term Municipal Fund. The net asset value of the A shares decreased by 33¢ to $12.87 during the year ended June 30, 2004. If you were with us for the entire period, you received dividends of 34.8¢ per share. If you reinvested dividends, you received 35.2¢ per share. Investors who owned C shares received dividends of 31.5¢ and 31.9¢ per share, respectively.
Over the last year, interest-rates on high-quality municipal bonds have risen dramatically. Most of the change happened in April and May of this year. Usually, bond market participants take their cue, at least in part, from the Federal Reserve. In April and May of 2004, the bond market jumped the gun. In anticipation of a rising Fed Funds rate, investors sold bonds, which pushed up the yield on a 5-year Treasury note from a low of 2.64% on March 16th to 3.93% on June 30th. The municipal market followed suit. The yield on a 5-year AAA-rated municipal bond rose from a low of 2.09% to 3.16% at the quarter’s end.
The rise in rates caused bond prices to move down sharply, leading to the worst quarterly total return for bonds since 1994. Our strategy of laddering short and intermediate bonds helped diffuse some, but not all, of the downward price pressures. Thornburg California Limited Term Municipal Fund A shares produced a total return of 0.13% for the year ended June 30, 2004. This was slightly less than that of the Lehman Brothers 5-Year Municipal Bond Index, which posted a 0.24% return over the same time period. We believe the Fund’s under-performance was mostly due to its concentration in California bonds versus the national scope of the index.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of over 160 municipal obligations from all over the state. Approximately 97% of the bonds are rated A or better by one of the major rating agencies. Today, your Fund’s weighted average maturity is 3.9 years, and we normally keep it below 5 years. As you know, we “ladder” the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years.
When interest rates rise, virtually all bonds fall in value. However, as the bonds in a laddered portfolio approach maturity, they tend to recapture lost value. Meanwhile, cash from maturing bonds can be reinvested in a higher interest rate environment, raising the portfolio’s yield. In this way, a laddered portfolio should benefit from rising interest rates over time.
We have been targeting a somewhat shorter duration than normal so far this year because we have been concerned about a rise in interest rates. Now that rates have moved up by over 1.00%, is it time to start extending duration? We have decided not to extend your Fund’s duration yet because we believe that interest rates are more likely to increase than decrease in the months ahead.
Most indicators of economic activity are strong. Personal consumption expenditures are up 4.1% and corporate cash flows have surged 24% in the last year. Almost one million new jobs have been created in the last three months. Clearly a 1.25% Fed Funds rate is inconsistent with such robust economic growth. Since bond yields rose earlier this year, our bond market has already built in expectations of a somewhat higher Fed Funds rate. The next major question concerns what happens to economic growth and inflation after the Fed Funds rate hits 2.5%.
% of portfolio maturing within | Cumulative % maturing by end of | |
---|---|---|
1 year = 13% | year 1 = 13% | |
1 to 2 years = 12% | year 2 = 25% | |
2 to 3 years = 17% | year 3 = 42% | |
3 to 4 years = 13% | year 4 = 55% | |
4 to 5 years = 11% | year 5 = 66% | |
5 to 6 years = 8% | year 6 = 74% | |
6 to 7 years = 5% | year 7 = 79% | |
7 to 8 years = 9% | year 8 = 88% | |
8 to 9 years = 7% | year 9 = 95% | |
over 9 years = 5% | over 9 years = 100% |
As of 6/30/04. Portfolio holdings can and do vary over time.
2
Letter to shareholders, Continued
Thornburg California Limited Term Municipal Fund
We believe that the economy has enough momentum to continue growing in such a scenario. Furthermore, we believe that we are only beginning to see the long-term effects on inflation of government policies over the last three years. Low interest rates, tax cuts, deficit spending, and a weak dollar have all combined to create an environment where businesses and their workers have more pricing power. We expect that this will translate to a sustained, though moderate, rise in the official inflation statistics over the next couple of years.
If these events unfold as we expect, bond yields should eventually resume their upward path. We have positioned your Fund with this outlook in mind. The duration is near the short end of its typical range, and the ladder is somewhat more concentrated in shorter maturities. We are looking forward to a buyer friendly environment in the future when we will hopefully be able to add a significant amount of additional yield while positioning your Fund to perform well for years to come.
Thanks to a strong economy, some hard-fought expenditure cuts, and a lot of borrowing, the California state budget situation has improved. Whether the improvement is temporary or permanent depends upon whether the legislature and governor can work together to close future operating deficits that are currently projected to reach $8 billion by the 2006-07 fiscal year. State budget cuts are also creating difficult operating environments for local governments, schools, and hospitals. We have responded by keeping your Fund’s credit quality high, with average ratings of AA and broad diversification across issuers and market sectors.
We hope that you are pleased with your investment in the Thornburg California Limited Term Municipal Fund. 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. Thank you for investing in Thornburg California Limited Term Municipal Fund.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/george.jpg)
George Strickland
Portfolio Manager
Past performance cannot guarantee future results. The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks. |
3
Statement of assets and liabilities
Thornburg California Limited Term Municipal Fund June 30, 2004
ASSETS | |
Investments at value (cost $168,710,210) | $ 171,601,253 |
Cash | 1,221,892 |
Receivable for investments sold | 1,179,774 |
Receivable for fund shares sold | 48,397 |
Interest receivable | 2,749,053 |
Prepaid expenses and other assets | 2,427 |
Total Assets | 176,802,796 |
LIABILITIES | |
Payable for fund shares redeemed | 72,729 |
Accounts payable and accrued expenses | 84,689 |
Payable to investment advisor (Note 3) | 67,629 |
Dividends payable | 127,272 |
Total Liabilities | 352,319 |
NET ASSETS | $ 176,450,477 |
NET ASSETS CONSIST OF: | |
Net unrealized appreciation (depreciation) on investments | $ 2,891,043 |
Accumulated net realized gain (loss) | (420,561) |
Net capital paid in on shares of beneficial interest | 173,979,995 |
$ 176,450,477 | |
NET ASSET VALUE: | |
Class A Shares: | |
Net asset value and redemption price per share | |
($131,158,041 applicable to 10,188,823 shares of beneficial | |
interest outstanding - Note 4) | $ 12.87 |
Maximum sales charge, 1.50% of offering price | 0.20 |
Maximum Offering Price Per Share | $ 13.07 |
Class C Shares: | |
Net asset value and offering price per share* | |
($22,363,231 applicable to 1,735,890 shares of beneficial | |
interest outstanding - Note 4) | $ 12.88 |
Class I Shares: | |
Net asset value, offering and redemption price per share | |
($22,929,205 applicable to 1,779,494 shares of beneficial | |
interest outstanding - Note 4) | $ 12.89 |
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements.
4
Statement of operations
Thornburg California Limited Term Municipal Fund Year Ended June 30, 2004
INVESTMENT INCOME: | |
Interest income (net of premium amortized of $2,564,506) | $ 6,712,550 |
EXPENSES: | |
Investment advisory fees (Note 3) | 918,297 |
Administration fees (Note 3) | |
Class A Shares | 174,699 |
Class C Shares | 28,238 |
Class I Shares | 10,709 |
Distribution and service fees (Note 3) | |
Class A Shares | 349,320 |
Class C Shares | 226,548 |
Transfer agent fees | |
Class A Shares | 44,268 |
Class C Shares | 20,379 |
Class I Shares | 20,052 |
Custodian fees (Note 3) | 106,583 |
Registration and filing fees | 3,389 |
Professional fees | 61,059 |
Accounting fees | 17,215 |
Trustee fees | 7,178 |
Other expenses | 56,999 |
Total Expenses | 2,044,933 |
Less: | |
Expenses reimbursed by investment advisor (Note 3) | (116,964) |
Distribution and service fees waived (Note 3) | (113,274) |
Fees paid indirectly (Note 3) | (1,718) |
Net Expenses | 1,812,977 |
Net Investment Income | 4,899,573 |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |
Net realized gain (loss) on investments sold | 302,064 |
Increase (Decrease) in unrealized appreciation of investments | (5,077,284) |
Net Realized and Unrealized | |
Gain (Loss) on Investments | (4,775,220) |
Net Increase (Decrease) in Net Assets Resulting | |
From Operations | $ 124,353 |
See notes to financial statements.
5
Statements of changes in net assets
Thornburg California Limited Term Municipal Fund
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||
---|---|---|---|---|---|---|---|---|
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 4,899,573 | $ | 4,872,973 | ||||
Net realized gain (loss) on investments sold | 302,064 | 57,393 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (5,077,284 | ) | 2,933,907 | |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 124,353 | 7,864,273 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,715,243 | ) | (3,907,510 | ) | ||||
Class C Shares | (544,139 | ) | (478,583 | ) | ||||
Class I Shares | (640,191 | ) | (489,837 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (14,508,762 | ) | 31,614,924 | |||||
Class C Shares | 441,058 | 6,082,493 | ||||||
Class I Shares | 2,945,765 | 10,211,834 | ||||||
Net Increase (Decrease) in Net Assets | (15,897,159 | ) | 50,897,594 | |||||
NET ASSETS: | ||||||||
Beginning of year | 192,347,636 | 141,450,042 | ||||||
End of year | $ | 176,450,477 | $ | 192,347,636 | ||||
See notes to financial statements.
6
Notes to financial statements
Thornburg California Limited Term Municipal Fund June 30, 2004
NOTE 1 — ORGANIZATION
Thornburg California Limited Term Municipal Fund (the “Fund”) (formerly Thornburg Limited Term Municipal Fund – California Portfolio) 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the investment advisor, with the preservation of capital. In addition, the Fund will invest primarily in Municipal Obligations originating in California with the objective of obtaining exemption of interest dividends from any income taxes imposed by California on individuals.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the California Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the California Portfolio and the subsequent dissolution of the California Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the California Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the California Portfolio’s assets were transferred to the Fund, and the shareholders of the California Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The California Portfolio is the accounting survivor, and the financial results of the Fund include the results of the California Portfolio prior to the reorganization.
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 the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. EST or at 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 Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
7
Thornburg California Limited Term Municipal Fund
Notes to financial statements, Continued June 30, 2004
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.
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 for the Fund, on a when-issued basis, the Fund 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 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended June 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has entered into an Administrative Services Agreement with the Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004 the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $68,169 for Class A shares, $24,630 for Class C shares and $24,165 for Class I shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor”), which acts as the distributor of Fund shares. For the year ended June 30, 2004 the Distributor has advised the Fund that it earned commissions aggregating $1,919 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,860 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 Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
8
Notes to financial statements, Continued
Thornburg California Limited Term Municipal Fund
The Fund also has adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund can compensate the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum 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 Class C distribution fees waived by the Distributor for the year ended June 30, 2004 are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended June 30, 2004 fees paid indirectly were $1,718.
Certain officers and Trustees of the Trust are also officers and /or Directors of the Advisor and the Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,775,040 | $ | 23,232,846 | 5,242,685 | $ | 68,754,114 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 188,208 | 2,457,459 | 199,540 | 2,620,134 | ||||||||||
Shares repurchased | (3,079,256 | ) | (40,199,067 | ) | (3,028,552 | ) | (39,759,324 | ) | ||||||
Net Increase (Decrease) | (1,116,008 | ) | ($14,508,762 | ) | 2,413,673 | $ | 31,614,924 | |||||||
Class C Shares | ||||||||||||||
Shares sold | 530,253 | $ | 6,927,987 | 606,383 | $ | 7,970,447 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 30,099 | 393,331 | 23,883 | 313,949 | ||||||||||
Shares repurchased | (526,102 | ) | (6,880,260 | ) | (168,027 | ) | (2,201,903 | ) | ||||||
Net Increase (Decrease) | 34,250 | $ | 441,058 | 462,239 | $ | 6,082,493 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 935,797 | $ | 12,251,009 | 1,157,992 | $ | 15,228,991 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 38,885 | 508,066 | 29,869 | 392,681 | ||||||||||
Shares repurchased | (753,140 | ) | (9,813,310 | ) | (411,162 | ) | (5,409,838 | ) | ||||||
Net Increase (Decrease) | 221,542 | $ | 2,945,765 | 776,699 | $ | 10,211,834 | ||||||||
9
Notes to financial statements, Continued
Thornburg California Limited Term Municipal Fund June 30, 2004
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended June 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $41,905,225 and $56,577,056, respectively.
NOTE 6 – INCOME TAXES
At June 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 168,710,210 | |||
Gross unrealized appreciation on a | |||||
tax basis | $ | 3,456,977 | |||
Gross unrealized depreciation on a | |||||
tax basis | (565,934 | ) | |||
Net unrealized appreciation (depreciation) | |||||
on investments (tax basis) | $ | 2,891,043 | |||
At June 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At June 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such capital loss carryovers expire as follows:
2008 | $ | 205,990 | |||
2009 | 214,571 | ||||
$ | 420,561 | ||||
The Fund utilized $302,064 of its capital loss carry forward during the year ended June 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
During the year ended June 30, 2004, $71,588 of capital loss carry forwards from prior years expired.
In order to account for permanent book/tax differences, the Fund increased accumulated net realized gain (loss) by $71,588 and decreased net capital paid in on shares of beneficial interest by $71,588. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from an expired capital loss carry forward.
All dividends paid by the Fund for the years ended June 30, 2004 and June 30, 2003, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
10
Financial highlights
Thornburg California Limited Term Municipal Fund
Yr Ended June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class A Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 13.20 | $ 12.96 | $ 12.79 | $ 12.59 | $ 12.75 |
Income from investment operations: | |||||
Net investment income | 0.35 | 0.38 | 0.46 | 0.54 | 0.54 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.24 | 0.17 | 0.20 | (0.16) |
Total from investment operations | 0.02 | 0.62 | 0.63 | 0.74 | 0.38 |
Less dividends from: | |||||
Net investment income | (0.35) | (0.38) | (0.46) | (0.54) | (0.54) |
Change in net asset value | (0.33) | 0.24 | 0.17 | 0.20 | (0.16) |
Net asset value, end of year | $ 12.87 | $ 13.20 | $ 12.96 | $ 12.79 | $ 12.59 |
Total return (a) | 0.13% | 4.83% | 5.03% | 6.00% | 3.10% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.66% | 2.87% | 3.58% | 4.26% | 4.28% |
Expenses, after expense reductions | 0.99% | 0.99% | 1.00% | 0.99% | 0.99% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.99% | 0.99% | 0.99% | - | - |
Expenses, before expense reductions | 1.04% | 1.02% | 1.01% | 1.05% | 1.01% |
Portfolio turnover rate | 23.80% | 26.03% | 25.16% | 15.45% | 21.34% |
Net assets at end of year (000) | $ 131,158 | $ 149,269 | $ 115,237 | $ 89,967 | $ 90,035 |
(a) Sales loads are not reflected in computing total return.
11
Financial highlights, Continued
Thornburg California Limited Term Municipal Fund
Yr Ended June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class C Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 13.21 | $ 12.97 | $ 12.80 | $ 12.61 | $ 12.76 |
Income from investment operations: | |||||
Net investment income | 0.32 | 0.34 | 0.41 | 0.49 | 0.49 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.24 | 0.17 | 0.19 | (0.15) |
Total from investment operations | (0.01) | 0.58 | 0.58 | 0.68 | 0.34 |
Less dividends from: | |||||
Net investment income | (0.32) | (0.34) | (0.41) | (0.49) | (0.49) |
Change in net asset value | (0.33) | 0.24 | 0.17 | 0.19 | (0.15) |
Net asset value, end of year | $ 12.88 | $ 13.21 | $ 12.97 | $ 12.80 | $ 12.61 |
Total return | (0.12)% | 4.51% | 4.60% | 5.49% | 2.73% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.41% | 2.56% | 3.15% | 3.86% | 3.88% |
Expenses, after expense reductions | 1.24% | 1.30% | 1.38% | 1.40% | 1.40% |
Expenses, after expense reductions | |||||
and net of custody credits | 1.24% | 1.30% | 1.37% | - | - |
Expenses, before expense reductions | 1.86% | 1.80% | 1.86% | 2.01% | 1.94% |
Portfolio turnover rate | 23.80% | 26.03% | 25.16% | 15.45% | 21.34% |
Net assets at end of year (000) | $ 22,363 | $ 22,487 | $ 16,081 | $ 6,392 | $ 7,411 |
12
Financial highlights, Continued
Thornburg California Limited Term Municipal Fund
Yr Ended June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class I Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 13.22 | $ 12.97 | $ 12.79 | $ 12.60 | $ 12.75 |
Income from investment operations: | |||||
Net investment income | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.25 | 0.18 | 0.19 | (0.15) |
Total from investment operations | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 |
Less dividends from: | |||||
Net investment income | (0.39) | (0.42) | (0.51) | (0.59) | (0.58) |
Change in net asset value | (0.33) | 0.25 | 0.18 | 0.19 | (0.15) |
Net asset value, end of year | $ 12.89 | $ 13.22 | $ 12.97 | $ 12.79 | $ 12.60 |
Total return | 0.46% | 5.27% | 5.48% | 6.28% | 3.50% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.99% | 3.20% | 3.92% | 4.60% | 4.60% |
Expenses, after expense reductions | 0.67% | 0.65% | 0.66% | 0.65% | 0.65% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.67% | 0.65% | 0.65% | ||
Expenses, before expense reductions | 0.78% | 0.75% | 0.84% | 0.98% | 0.79% |
Portfolio turnover rate | 23.80% | 26.03% | 25.16% | 15.45% | 21.34% |
Net assets at end of year (000) | $ 22,929 | $ 20,592 | $ 10,133 | $ 5,520 | $ 5,793 |
13
SCHEDULE OF INVESTMENTS
Thornburg California Limited Term Municipal Fund June 30,2004
CUSIPS: CLASS A - 885-215-426, CLASS C - 885-215-418, CLASS I - 885-215-392
NASDAQ SYMBOLS: CLASS A - LTCAX, CLASS C - LTCCX, CLASS I - LTCIX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||
---|---|---|---|---|---|---|---|
ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | 435,000 | $ 456,315 | ||||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 455,000 | 474,369 | ||||
Alameda Certificates of Participation, 4.60% due 5/1/2011 | NR/A+ | 425,000 | 445,358 | ||||
Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 295,000 | 331,241 | ||||
Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2007 (Insured: | |||||||
FGIC) | Aaa/AAA | 380,000 | 442,187 | ||||
Anaheim City School District, 3.25% due 8/1/2004 (Insured: FGIC) | Aaa/AAA | 550,000 | 550,924 | ||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2004 (Insured: AMBAC) | Aaa/AAA | 750,000 | 750,075 | ||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 785,000 | 811,761 | ||||
Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 765,000 | 793,970 | ||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 835,000 | 837,146 | ||||
Bear Valley Unified School District Series A, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 675,000 | 692,611 | ||||
Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 750,000 | 795,750 | ||||
Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 700,000 | 740,040 | ||||
California Educational Facilities Authority Revenue, 6.10% due 6/1/2008 (Keck Graduate Institute Project) | Baa3/NR | 160,000 | 174,373 | ||||
California Educational Facilities Authority Revenue, 6.10% due 6/1/2009 (Keck Graduate Institute Project) | Baa3/NR | 170,000 | 186,509 | ||||
California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA- | 1,235,000 | 1,319,264 | ||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser | |||||||
Permanente Project) (ETM)* | A3/A | 2,000,000 | 2,165,560 | ||||
California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA- | 700,000 | 707,119 | ||||
California HFA Revenue Series 1985-B, 0.00% due 2/1/2017 | Aa2/AA- | 670,000 | 717,068 | ||||
California Housing Finance Agency Revenue Multi Family Housing Series D, 1.12% due 2/1/2031 put 7/1/2004 | |||||||
(daily demand notes) | VMIG1/A1+ | 1,200,000 | 1,200,000 | ||||
California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges | |||||||
Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,089,620 | ||||
California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project; Insured: | |||||||
ACA) | NR/A | 500,000 | 507,750 | ||||
California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project; Insured: | |||||||
ACA) | NR/A | 570,000 | 569,333 | ||||
California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric | |||||||
Project) | A2/A- | 300,000 | 313,473 | ||||
California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM)* | Aaa/NR | 2,650,000 | 2,921,810 | ||||
California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 (Waste | |||||||
Management Inc. Project) | NR/BBB | 1,500,000 | 1,515,450 | ||||
California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 75,000 | 75,834 | ||||
California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 30,000 | 30,752 | ||||
California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 533,340 | ||||
California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,299,600 | ||||
California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 649,835 | ||||
California State, 6.50% due 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,250,000 | 1,457,138 | ||||
California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 230,000 | 235,982 | ||||
California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,222,340 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A3/BBB+ | 2,580,000 | 2,792,798 | ||||
California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 800,000 | 875,536 | ||||
California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,000,000 | 1,071,540 | ||||
California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/A+ | 530,000 | $ 578,537 | ||||
California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,118,140 | ||||
California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,127,710 | ||||
California State Series A-3, 1.06% due 5/1/2033 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 4,400,000 | 4,400,000 | ||||
California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,303,170 | ||||
California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,033,590 | ||||
California Statewide Community Development Authority Insured Health Facility Revenue Series 1996-A, 6.00% | |||||||
due 9/1/2004 (San Gabriel Medical Center Project) (ETM)* | NR/NR | 1,000,000 | 1,007,470 | ||||
California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic | |||||||
Hospital Foundation Project; Insured: AMBAC) | Aaa/AAA | 595,000 | 637,900 | ||||
California Statewide Community Development Authority Revenue Certificates of Participation, 6.50% due | |||||||
8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,110,190 | ||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital | |||||||
Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,110,000 | 1,198,189 | ||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital | |||||||
Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,180,000 | 1,279,297 | ||||
California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical | |||||||
Center Project; Insured: California Health) (ETM)* | NR/NR | 1,000,000 | 1,046,920 | ||||
California Statewide Community Development Authority Solid Waste Revenue, 2.90% due 4/1/2011 put 4/1/2007 | |||||||
(Waste Management Inc. Project) | NR/BBB | 1,000,000 | 976,910 | ||||
California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente | |||||||
Project) | A3/A-1 | 2,000,000 | 2,069,800 | ||||
Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 | |||||||
pre-refunded 9/1/2007 | NR/NR | 950,000 | 1,073,709 | ||||
Castaic Lake Water Agency Certificates of Participation Refunding Series A, 7.25% due 8/1/2007 (Water | |||||||
Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,136,560 | ||||
Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 | |||||||
(Insured: MBIA) | Aaa/AAA | 100,000 | 118,676 | ||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 780,000 | 849,014 | ||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 830,000 | 902,185 | ||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 1,215,000 | 1,256,067 | ||||
Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 205,000 | 190,693 | ||||
Coachella Valley California Unified School District Certificates of Participation Refunding, 5.00% due | |||||||
9/1/2012 (Insured: MBIA) | Aaa/AAA | 800,000 | 864,680 | ||||
Desert Sands Unified School District Series F, 4.00% due 3/1/2006 (Measure O Project; Insured: MBIA) | Aaa/AAA | 2,320,000 | 2,393,590 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2004 (Insured: MBIA) | Aaa/AAA | 550,000 | 552,491 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 526,825 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 700,000 | 764,050 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 840,000 | 941,741 | ||||
El Monte Certificates of Participation Senior Department Public Services Facility Phase II, 5.00% due | |||||||
1/1/2009 (Insured: AMBAC) | Aaa/AAA | 2,730,000 | 2,944,059 | ||||
Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For | |||||||
The Arts Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 296,980 | ||||
Escondido Multi Family Housing Revenue Refunding Bond Series 1997-A, 5.40% due 1/1/2027 put 7/1/2007 | |||||||
(Terrace Gardens Project; Collateralized: FNMA) | NR/AAA | 3,015,000 | 3,132,585 | ||||
Folsom Cordova Unified School District School Facilities Improvement District-2 Series A, 4.50% due | |||||||
10/1/2004 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,016,080 | ||||
Fresno County Housing Authority Multi Family Revenue Refunding Series A, 4.90% due 11/1/2027 mandatory put | |||||||
11/1/2007 (Housing Creek Park Apartments Project; Collateralized: FNMA) | NR/AAA | 400,000 | 417,008 | ||||
Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | 575,000 | 617,234 | ||||
Imperial Irrigation District California Certificates of Participation, 6.50% due 11/1/2007 (Electric | |||||||
Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | $1,104,310 | ||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,000,000 | 1,068,900 | ||||
Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 295,000 | 303,900 | ||||
Kern High School District, 7.00% due 8/1/2010 (ETM)* | A1/NR | 165,000 | 197,332 | ||||
Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 577,710 | ||||
Kern High School District Series B, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 680,000 | 773,949 | ||||
Los Angeles Certificates of Participation, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,508,528 | ||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; | |||||||
Insured: ACA) | NR/A | 835,000 | 857,654 | ||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking Project; | |||||||
Insured: ACA) | NR/A | 435,000 | 461,448 | ||||
Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,000 | 5,498 | ||||
Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 275,000 | 269,129 | ||||
Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,153,400 | ||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,700,000 | 2,014,483 | ||||
Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 (Insured: FGIC) | Aaa/AAA | 700,000 | 730,933 | ||||
Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% due 7/1/2008 (Power | |||||||
Systems Project) | Aa3/AA- | 1,000,000 | 1,082,360 | ||||
Los Angeles Department Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,303,990 | ||||
Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 1,940,000 | 2,034,478 | ||||
Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Facilities Laxfuel Corp. LA International | |||||||
Project) | Aaa/AAA | 1,590,000 | 1,681,902 | ||||
Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,800,050 | ||||
Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 (Villa Delaware Arroyo Project; Insured: | |||||||
ACA) | NR/A | 1,205,000 | 1,234,812 | ||||
New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,400,000 | 1,674,036 | ||||
New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,339,780 | ||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 (Geothermal Project 3-A) (ETM)* | Baa2/BBB+ | 360,000 | 392,717 | ||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 340,000 | 366,095 | ||||
Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 50,000 | 50,239 | ||||
Ontario Montclair School District Certificates of Participation Refunding, 3.80% due 9/1/2028 put 8/31/2007 | |||||||
(School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,730,000 | 1,731,470 | ||||
Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,085,230 | ||||
Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 510,000 | 541,768 | ||||
Orange County Recovery Certificates of Participation Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 600,000 | 645,414 | ||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,090,120 | ||||
Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 1,000,000 | 639,280 | ||||
Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 (Los Medanos | |||||||
Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,350,000 | 3,684,598 | ||||
Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 @ 54.674 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 536,390 | ||||
Pomona Unified School District General Obligation, 5.35% due 2/1/2005 (Insured: MBIA) | Aaa/AAA | 580,000 | 593,375 | ||||
Pomona Unified School District General Obligation, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 340,000 | 353,899 | ||||
Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 364,342 | ||||
Porterville Certificates of Participation, 6.10% due 10/1/2005 (Water Systems Refunding Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 295,000 | 310,762 | ||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | $1,106,040 | ||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due | |||||||
7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,081,180 | ||||
Puerto Rico Commonwealth Refunding Series B, 0.95% due 7/1/2029 put 7/1/2004 (daily demand notes) | Aaa/AAA | 3,300,000 | 3,300,000 | ||||
Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 600,000 | 690,840 | ||||
Rancho Santiago Community College District Series A, 4.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,027,510 | ||||
Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 500,000 | 485,000 | ||||
Sacramento County Sanitation District Financing Authority Revenue, 4.80% due 12/1/2004 (ETM)* | Aaa/AA | 500,000 | 507,175 | ||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 629,804 | ||||
Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (Insured: | |||||||
MBIA) (ETM)* | Aaa/AAA | 330,000 | 334,613 | ||||
Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 1,450,000 | 510,023 | ||||
San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 | |||||||
(Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,134,550 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 190,000 | 194,801 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 205,000 | 209,639 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 300,000 | 306,090 | ||||
San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (Insured: | |||||||
FGIC) (ETM)* | Aaa/AAA | 175,000 | 192,052 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 430,000 | 447,656 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 455,000 | 493,234 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 425,000 | 475,188 | ||||
San Francisco Bay Area Rapid Transit Refunding Sales Tax Revenue, 0% due 7/1/2004 (Insured: AMBAC) | Aaa/AAA | 500,000 | 499,980 | ||||
San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,000,000 | 1,054,330 | ||||
San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,207,349 | ||||
San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,613,062 | ||||
San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic | |||||||
Center Project; Insured: AMBAC) | Aaa/AAA | 2,700,000 | 2,837,376 | ||||
San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM)* | Aaa/NR | 1,900,000 | 1,703,768 | ||||
Santa Ana Multi Family Housing Revenue Bonds Series B, 5.65% due 11/1/2021 put 11/1/2006 (Collateralized: | |||||||
FNMA) | NR/AAA | 2,000,000 | 2,018,620 | ||||
Santa Clara County Financing Authority, 5.00% due 8/1/2005 (Measure B Transportation Improvement Program) | A2/NR | 1,250,000 | 1,289,975 | ||||
Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation | |||||||
Improvement Program Project) | A2/NR | 1,000,000 | 1,030,700 | ||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,035,410 | ||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 (Insured: | |||||||
AMBAC) | Aaa/AAA | 3,410,000 | 3,638,504 | ||||
Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 610,000 | 623,518 | ||||
Santa Margarita/Dana Point Authority Revenue Refunding Improvement Districts 1&2 Series A, 5.375% due | |||||||
8/1/2004 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,003,450 | ||||
Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured: ACA) | NR/A | 575,000 | 591,957 | ||||
South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,435,000 | 1,521,545 | ||||
South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill | |||||||
Area Project; Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,789,275 | ||||
Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,060,000 | 1,131,794 | ||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 350,000 | 375,228 | ||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 250,000 | 268,020 | ||||
Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental | |||||||
Gardens Project; Collateralized: FNMA) | NR/AAA | 3,275,000 | 3,476,249 | ||||
Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | $1,062,290 | ||||
Ukiah Unified School District Certificates of Participation, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,473,296 | ||||
Ukiah Unified School District Certificates of Participation, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,082,000 | ||||
Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 500,000 | 543,485 | ||||
Ventura Unified School District Series F, 6.75% due 8/1/2004 (Insured: FSA) | Aaa/AAA | 160,000 | 160,741 | ||||
Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 115,000 | 121,314 | ||||
Victorville Redevelopment Agency Tax Allocation Bear Valley Road Special Escrow Fund A, 5.00% due 12/1/2014 | |||||||
(Insured: FSA) | Aaa/AAA | 455,000 | 473,459 | ||||
Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 800,000 | 910,528 | ||||
Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM)* | Aaa/AAA | 1,000,000 | 1,290,890 | ||||
Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 245,000 | 258,323 | ||||
Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 250,000 | 277,170 | ||||
Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 (Insured: MBIA) | Aaa/AAA | 250,000 | 284,925 | ||||
Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 100,000 | 115,839 | ||||
Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 450,000 | 475,862 | ||||
West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 570,000 | 599,708 | ||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 595,000 | 654,060 | ||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 655,000 | 758,746 | ||||
Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,023,010 | ||||
TOTAL INVESTMENTS (Cost $168,710,210) | $171,601,253 | ||||||
† Credit ratings are unaudited | |||||||
*Escrowed to maturity | |||||||
See notes to financial statements |
Report of independent Registered Public Accounting Firm
Thornburg California Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg California Limited Term Municipal Fund
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 California Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund — California Portfolio) a series of Thornburg Investment Trust (the “Fund”) at June 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 the standards of the Public Company Accounting Oversight Board (United States), 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 June 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 2, 2004
19
Index Comparisons
Thornburg California Limited Term Municipal Fund June 30, 2004
Index Comparison
Compares performance ofThornburg California Limited Term Municipal Fund, the Lehman Brothers Five-Year Municipal Bond Index, (the “Index”) and the Consumer Price Index (CPI) for the periods ended June 30, 2004. On June 30, 2004, the weighted average securities ratings of both the Index and the Fund were AA and the weighted average portfolio maturities of the Index and the Fund were 5.0 years and 3.9 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. Performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of fund shares.
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltcax604.jpg)
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltccx604.jpg)
Maximum sales charge of the Fund’s Class A Shares is 1.50%. C shares include a 0.50% CDSC for the first year only. Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com.
The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
20
Trustees and officers
Thornburg California Limited Term Municipal Fund June 30, 2004
Name, Address and Age (1) | Position(s) Held with Fund (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee or Nominee for Trustee |
---|---|---|---|---|---|
Interested Trustees Garrett Thornburg, 58 Brian J. McMahon, 48 Independent Trustees David A. Ater, 59 David D. Chase, 63 Forrest S. Smith, 74 James W. Weyhrauch, 45 Officers of the Fund (who are not Trustees)(7) Dawn B. Fischer, 57 Steven J. Bohlin, 45 George T. Strickland, 41 William V. Fries, 65 Leigh Moiola, 37 Kenneth Ziesenheim, 50 Alexander Motola, 34 �� Wendy Trevisani, 33 Joshua Gonze, 41 Brad Kinkelaar, 36 Kerry D. Lee, 37 Christopher Ihlefeld, 33 Leon Sandersfeld, 37 Sasha Wilcoxon, 29 | Chairman of Trustees (3) Trustee, President (5) Trustee Trustee Trustee Trustee Secretary Vice President, Treasurer Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President | Trustee Since 1987 (4) Trustee Since 2001; President Since 1997 (4)(6) Trustee since 1994 (4) Trustee since 2001 (4) Trustee since 1987 (4) Trustee since 1996 (4) Secretary Since 1987 (6) Vice President Since 1987; Treasurer Since 1989 (6) Vice President Since 1996 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 2003 (4) Vice President Since 2003 (6) Vice President Since 2003 (6) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, NambMills, Inc., Santa Fe, NM (manufacturer). Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. Associate of Thornburg Investment Management, Inc. 1999 - -2003, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. Associate of Thornburg Investment Management Inc. to 2004, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999 and Vice President and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President of Thornburg Investment Management, Inc.; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Twelve Twelve Twelve Twelve Twelve Twelve N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A | Director of Thornburg Mortgage, Inc. (real estate investment trust) None Director of Thornburg Mortgage, Inc. (real estate investment trust) Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 None None N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A |
(1) | Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501. |
(2) | The Fund is one of twelve separate investment "Funds" or |
"series" of Thornburg Investment Trust (the "Trust"), | |
organized as a Massachusetts business trust. The Trust currently has twelve | |
active Funds. Thornburg Investment Management, Inc. is the investment advisor | |
to, and manages, the twelve funds of the Trust. | |
(3) | Mr. Thornburg is considered an "interested" Trustee under the |
Investment Company Act of 1940 because he is a director and controlling | |
shareholder of Thornburg Investment Management, Inc., the investment advisor to | |
the twelve active funds of the Trust, and is the sole director and controlling | |
shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. |
(5) | Mr. McMahon is considered an "interested" Trustee because he is the |
president of Thornburg Investment Management, Inc. | |
(6) | The Trust's president, secretary and treasurer each serves a one-year term or until the |
election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
PORTFOLIO PROXY VOTING
Policies and Procedures (Unaudited):
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1.800.847.0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted will be available on or before August 31 of each year for the twelve months ending the preceding June 30. This information will be available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended June 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio,” which was, until June 21, 2004, a series of Thornburg Limited Term Municipal Fund, Inc. (the “Company”), and since June 21, 2004, a series of Thornburg Investment Trust) were held on April 28, 2004, as adjourned to May 21, 2004, at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501.
The shareholders of the California Portfolio considered at the Meeting the approval of an Agreement and Plan of Reorganization providing for the reorganization of the California Portfolio into a series or “Fund” of Thornburg Investment Trust called “Thornburg California Limited Term Municipal Fund,” by the transfer of all of the assets of the California Portfolio to Thornburg California Limited Term Municipal Fund, in exchange solely for voting shares of Thornburg California Limited Term Municipal Fund, and for the distribution of those shares to the shareholders of the California Portfolio. See Note 1 in the notes to financial statements.
Similarly, the shareholders of Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio”) another series of the Company, approved an Agreement and Plan of Reorganization providing for the reorganization of the National Portfolio into Thornburg Limited Term Municipal Fund, a series of Thornburg Investment Trust.
The voting results for the matters voted on are as follows:
Thornburg Limited Term Municipal Fund – California Portfolio
Shares Voted for | Shares Voted Against or Withheld | Shares Abstained | Broker Non-Vote | Shares Voted |
---|---|---|---|---|
7,392,850 | 189,676 | 286,920 | - | 7,869,446 |
Thornburg California Limited Term Municipal Fund - I Shares
Annual Report
June 30, 2004
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
www.thornburg.com
This report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Performance data quoted represent past performance and do not guarantee future results.
Thornburg California Limited Term Municipal Fund
ALL DATA AS OF 06/30/2004.
FUND FACTS: Thornburg California Limited Term Municipal Fund
I Shares | |
---|---|
Annualized Distribution Rate (at NAV) | 3.08% |
SEC Yield | 2.48% |
NAV | $ 12.89 |
Maximum Offering Price | $ 12.89 |
TOTAL RETURNS: (Annual Average)
One Year | 0.46% |
Three Years | 3.71% |
Five Years | 4.18% |
Since Inception | 4.44% |
Inception Date | 4/1/97 |
Minimum investments for I-share class are higher that those for other classes. There is no up front sales charge for this class of shares. |
Performance data quoted represent past performance and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. |
Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this information is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period. |
The distribution rate is calculated by taking the sum of the month’s total daily dividend distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending NAV to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions. |
Letter to shareholders
Thornburg California Limited Term Municipal Fund July 7, 2004
Dear Shareholder:
I am pleased to present the Annual Report for the Thornburg California Limited Term Municipal Fund. The net asset value of the I shares decreased by 33¢ to $12.89 during the year ended June 30, 2004. If you were with us for the entire period, you received dividends of 39.1¢ per share. If you reinvested dividends, you received 39.6 cents per share.
Over the last year, interest-rates on high-quality municipal bonds have risen dramatically. Most of the change happened in April and May of this year. Usually, bond market participants take their cue, at least in part, from the Federal Reserve. In April and May of 2004, the bond market jumped the gun. In anticipation of a rising Fed Funds rate, investors sold bonds, which pushed up the yield on a 5-year Treasury note from a low of 2.64% on March 16th to 3.93% on June 30th. The municipal market followed suit. The yield on a 5-year AAA-rated municipal bond rose from a low of 2.09% to 3.16% at the quarter’s end.
The rise in rates caused bond prices to move down sharply, leading to the worst quarterly total return for bonds since 1994. Our strategy of laddering short and intermediate bonds helped diffuse some, but not all, of the downward price pressures. Thornburg California Limited Term Municipal Fund A shares produced a total return of 0.13% for the year ended June 30, 2004. This was slightly less than that of the Lehman Brothers 5-Year Municipal Bond Index, which posted a 0.24% return over the same time period. We believe the Fund’s under-performance was mostly due to its concentration in California bonds versus the national scope of the index.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of over 160 municipal obligations from all over the state. Approximately 97% of the bonds are rated A or better by one of the major rating agencies. Today, your Fund’s weighted average maturity is 3.9 years, and we normally keep it below 5 years. As you know, we “ladder” the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years.
When interest rates rise, virtually all bonds fall in value. However, as the bonds in a laddered portfolio approach maturity, they tend to recapture lost value. Meanwhile, cash from maturing bonds can be reinvested in a higher interest rate environment, raising the portfolio’s yield. In this way, a laddered portfolio should benefit from rising interest rates over time.
We have been targeting a somewhat shorter duration than normal so far this year because we have been concerned about a rise in interest rates. Now that rates have moved up by over 1.00%, is it time to start extending duration? We have decided not to extend your Fund’s duration yet because we believe that interest rates are more likely to increase than decrease in the months ahead.
Most indicators of economic activity are strong. Personal consumption expenditures are up 4.1% and corporate cash flows have surged 24% in the last year. Almost one million new jobs have been created in the last three months. Clearly a 1.25% Fed Funds rate is inconsistent with such robust economic growth. Since bond yields rose earlier this year, our bond market has already built in expectations of a somewhat higher Fed Funds rate. The next major question concerns what happens to economic growth and inflation after the Fed Funds rate hits 2.5%.
% of portfolio maturing within | Cumulative % maturing by end of | |
---|---|---|
1 year = 13% | year 1 = 13% | |
1 to 2 years = 12% | year 2 = 25% | |
2 to 3 years = 17% | year 3 = 42% | |
3 to 4 years = 13% | year 4 = 55% | |
4 to 5 years = 11% | year 5 = 66% | |
5 to 6 years = 8% | year 6 = 74% | |
6 to 7 years = 5% | year 7 = 79% | |
7 to 8 years = 9% | year 8 = 88% | |
8 to 9 years = 7% | year 9 = 95% | |
over 9 years = 5% | over 9 years = 100% |
As of 6/30/04. Portfolio holdings can and do vary over time.
2
Letter to shareholders, Continued
Thornburg California Limited Term Municipal Fund
We believe that the economy has enough momentum to continue growing in such a scenario. Furthermore, we believe that we are only beginning to see the long-term effects on inflation of government policies over the last three years. Low interest rates, tax cuts, deficit spending, and a weak dollar have all combined to create an environment where businesses and their workers have more pricing power. We expect that this will translate to a sustained, though moderate, rise in the official inflation statistics over the next couple of years.
If these events unfold as we expect, bond yields should eventually resume their upward path. We have positioned your Fund with this outlook in mind. The duration is near the short end of its typical range, and the ladder is somewhat more concentrated in shorter maturities. We are looking forward to a buyer friendly environment in the future when we will hopefully be able to add a significant amount of additional yield while positioning your Fund to perform well for years to come.
Thanks to a strong economy, some hard-fought expenditure cuts, and a lot of borrowing, the California state budget situation has improved. Whether the improvement is temporary or permanent depends upon whether the legislature and governor can work together to close future operating deficits that are currently projected to reach $8 billion by the 2006-07 fiscal year. State budget cuts are also creating difficult operating environments for local governments, schools, and hospitals. We have responded by keeping your Fund’s credit quality high, with average ratings of AA and broad diversification across issuers and market sectors.
We hope that you are pleased with your investment in the Thornburg California Limited Term Municipal Fund. 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. Thank you for investing in Thornburg California Limited Term Municipal Fund.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/george.jpg)
George Strickland
Portfolio Manager
Past performance cannot guarantee future results. The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks. |
3
Statement of assets and liabilities
Thornburg California Limited Term Municipal Fund June 30, 2004
ASSETS | |
Investments at value (cost $168,710,210) | $ 171,601,253 |
Cash | 1,221,892 |
Receivable for investments sold | 1,179,774 |
Receivable for fund shares sold | 48,397 |
Interest receivable | 2,749,053 |
Prepaid expenses and other assets | 2,427 |
Total Assets | 176,802,796 |
LIABILITIES | |
Payable for fund shares redeemed | 72,729 |
Accounts payable and accrued expenses | 84,689 |
Payable to investment advisor (Note 3) | 67,629 |
Dividends payable | 127,272 |
Total Liabilities | 352,319 |
NET ASSETS | $ 176,450,477 |
NET ASSETS CONSIST OF: | |
Net unrealized appreciation (depreciation) on investments | $ 2,891,043 |
Accumulated net realized gain (loss) | (420,561) |
Net capital paid in on shares of beneficial interest | 173,979,995 |
$ 176,450,477 | |
NET ASSET VALUE: | |
Class A Shares: | |
Net asset value and redemption price per share | |
($131,158,041 applicable to 10,188,823 shares of beneficial | |
interest outstanding - Note 4) | $ 12.87 |
Maximum sales charge, 1.50% of offering price | 0.20 |
Maximum Offering Price Per Share | $ 13.07 |
Class C Shares: | |
Net asset value and offering price per share* | |
($22,363,231 applicable to 1,735,890 shares of beneficial | |
interest outstanding - Note 4) | $ 12.88 |
Class I Shares: | |
Net asset value, offering and redemption price per share | |
($22,929,205 applicable to 1,779,494 shares of beneficial | |
interest outstanding - Note 4) | $ 12.89 |
*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. See notes to financial statements.
4
Statement of operations
Thornburg California Limited Term Municipal Fund Year Ended June 30, 2004
INVESTMENT INCOME: | |
Interest income (net of premium amortized of $2,564,506) | $ 6,712,550 |
EXPENSES: | |
Investment advisory fees (Note 3) | 918,297 |
Administration fees (Note 3) | |
Class A Shares | 174,699 |
Class C Shares | 28,238 |
Class I Shares | 10,709 |
Distribution and service fees (Note 3) | |
Class A Shares | 349,320 |
Class C Shares | 226,548 |
Transfer agent fees | |
Class A Shares | 44,268 |
Class C Shares | 20,379 |
Class I Shares | 20,052 |
Custodian fees (Note 3) | 106,583 |
Registration and filing fees | 3,389 |
Professional fees | 61,059 |
Accounting fees | 17,215 |
Trustee fees | 7,178 |
Other expenses | 56,999 |
Total Expenses | 2,044,933 |
Less: | |
Expenses reimbursed by investment advisor (Note 3) | (116,964) |
Distribution and service fees waived (Note 3) | (113,274) |
Fees paid indirectly (Note 3) | (1,718) |
Net Expenses | 1,812,977 |
Net Investment Income | 4,899,573 |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |
Net realized gain (loss) on investments sold | 302,064 |
Increase (Decrease) in unrealized appreciation of investments | (5,077,284) |
Net Realized and Unrealized | |
Gain (Loss) on Investments | (4,775,220) |
Net Increase (Decrease) in Net Assets Resulting | |
�� From Operations | $ 124,353 |
See notes to financial statements.
5
Statements of changes in net assets
Thornburg California Limited Term Municipal Fund
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||
---|---|---|---|---|---|---|---|---|
INCREASE (DECREASE) IN NET ASSETS FROM: | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 4,899,573 | $ | 4,872,973 | ||||
Net realized gain (loss) on investments sold | 302,064 | 57,393 | ||||||
Increase (Decrease) in unrealized appreciation of investments | (5,077,284 | ) | 2,933,907 | |||||
Net Increase (Decrease) in Net Assets | ||||||||
Resulting from Operations | 124,353 | 7,864,273 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,715,243 | ) | (3,907,510 | ) | ||||
Class C Shares | (544,139 | ) | (478,583 | ) | ||||
Class I Shares | (640,191 | ) | (489,837 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (14,508,762 | ) | 31,614,924 | |||||
Class C Shares | 441,058 | 6,082,493 | ||||||
Class I Shares | 2,945,765 | 10,211,834 | ||||||
Net Increase (Decrease) in Net Assets | (15,897,159 | ) | 50,897,594 | |||||
NET ASSETS: | ||||||||
Beginning of year | 192,347,636 | 141,450,042 | ||||||
End of year | $ | 176,450,477 | $ | 192,347,636 | ||||
See notes to financial statements.
6
Notes to financial statements
Thornburg California Limited Term Municipal Fund June 30, 2004
NOTE 1 — ORGANIZATION
Thornburg California Limited Term Municipal Fund (the “Fund”) (formerly Thornburg Limited Term Municipal Fund – California Portfolio) 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New York Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the investment advisor, with the preservation of capital. In addition, the Fund will invest primarily in Municipal Obligations originating in California with the objective of obtaining exemption of interest dividends from any income taxes imposed by California on individuals.
Reorganization: The Fund is the successor to Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio”) a series of Thornburg Limited Term Municipal Fund, Inc. On December 8, 2003, the Company’s Board of Directors approved an Agreement and Plan of Reorganization providing for the transfer of substantially all of the California Portfolio’s assets to the Fund, in exchange solely for voting shares of the Fund, and the distribution of those shares to the shareholders of the California Portfolio and the subsequent dissolution of the California Portfolio. The Fund was created by the Trust on December 8, 2003 to accomplish the reorganization, and until the reorganization was completed had only nominal assets. The reorganization was intended to simplify legal and regulatory compliance functions, and to reduce the costs of performing those functions. The Agreement and Plan of Reorganization was approved by the California Portfolio’s shareholders on May 21, 2004, and the reorganization was concluded on June 21, 2004. As a result, all of the California Portfolio’s assets were transferred to the Fund, and the shareholders of the California Portfolio became shareholders of the Fund. There was no change in investment objective or policies as a result of the reorganization, and the investment advisor did not change because of the reorganization. The California Portfolio is the accounting survivor, and the financial results of the Fund include the results of the California Portfolio prior to the reorganization.
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 the Fund represents an interest in the same portfolio of investments, 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 contingent deferred sales charge upon redemption within one year, and bear both 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, the Fund may allocate among its classes certain expenses, to the extent applicable 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 service and distribution fees, administrative fees, and certain registration and transfer agent expenses.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value, the Fund utilizes an independent pricing service approved by the Board of 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, normally at 4:00 p.m. EST or at 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 Board of Trustees. Short-term obligations having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
7
Thornburg California Limited Term Municipal Fund
Notes to financial statements, Continued June 30, 2004
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.
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 for the Fund, on a when-issued basis, the Fund 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 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Net investment income, other than class specific expenses, and realized and unrealized gains and losses, are allocated daily to each class of shares based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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 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.
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended June 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .225 of 1% of the average daily net assets of the Fund. The Fund also has entered into an Administrative Services Agreement with the Advisor, whereby the Advisor 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 .125 of 1% of the average daily net assets attributable to each class of shares. For the year ended June 30, 2004 the Advisor voluntarily reimbursed certain class specific expenses and administrative fees of $68,169 for Class A shares, $24,630 for Class C shares and $24,165 for Class I shares.
The Fund has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor”), which acts as the distributor of Fund shares. For the year ended June 30, 2004 the Distributor has advised the Fund that it earned commissions aggregating $1,919 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,860 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 Advisor amounts not to exceed .25 of 1% per annum of the average daily net assets attributable to each class of shares of the Fund for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
8
Notes to financial statements, Continued
Thornburg California Limited Term Municipal Fund
The Fund also has adopted a Distribution Plan pursuant to Rule 12b-1, applicable only to the Fund’s Class C shares, under which the Fund can compensate the Distributor for services in promoting the sale of Class C shares of the Fund at an annual rate of up to .75 of 1% per annum 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 Class C distribution fees waived by the Distributor for the year ended June 30, 2004 are set forth in the statement of operations.
The Fund has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended June 30, 2004 fees paid indirectly were $1,718.
Certain officers and Trustees of the Trust are also officers and /or Directors of the Advisor and the Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2004, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended June 30, 2004 | Year Ended June 30, 2003 | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | |||||||||||
Class A Shares | ||||||||||||||
Shares sold | 1,775,040 | $ | 23,232,846 | 5,242,685 | $ | 68,754,114 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 188,208 | 2,457,459 | 199,540 | 2,620,134 | ||||||||||
Shares repurchased | (3,079,256 | ) | (40,199,067 | ) | (3,028,552 | ) | (39,759,324 | ) | ||||||
Net Increase (Decrease) | (1,116,008 | ) | ($14,508,762 | ) | 2,413,673 | $ | 31,614,924 | |||||||
Class C Shares | ||||||||||||||
Shares sold | 530,253 | $ | 6,927,987 | 606,383 | $ | 7,970,447 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 30,099 | 393,331 | 23,883 | 313,949 | ||||||||||
Shares repurchased | (526,102 | ) | (6,880,260 | ) | (168,027 | ) | (2,201,903 | ) | ||||||
Net Increase (Decrease) | 34,250 | $ | 441,058 | 462,239 | $ | 6,082,493 | ||||||||
Class I Shares | ||||||||||||||
Shares sold | 935,797 | $ | 12,251,009 | 1,157,992 | $ | 15,228,991 | ||||||||
Shares issued to shareholders in | ||||||||||||||
reinvestment of dividends | 38,885 | 508,066 | 29,869 | 392,681 | ||||||||||
Shares repurchased | (753,140 | ) | (9,813,310 | ) | (411,162 | ) | (5,409,838 | ) | ||||||
Net Increase (Decrease) | 221,542 | $ | 2,945,765 | 776,699 | $ | 10,211,834 | ||||||||
9
Notes to financial statements, Continued
Thornburg California Limited Term Municipal Fund June 30, 2004
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended June 30, 2004, the Fund had purchase and sale transactions (excluding short-term securities) of $41,905,225 and $56,577,056, respectively.
NOTE 6 – INCOME TAXES
At June 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purpose | $ | 168,710,210 | |||
Gross unrealized appreciation on a | |||||
tax basis | $ | 3,456,977 | |||
Gross unrealized depreciation on a | |||||
tax basis | (565,934 | ) | |||
Net unrealized appreciation (depreciation) | |||||
on investments (tax basis) | $ | 2,891,043 | |||
At June 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At June 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such capital loss carryovers expire as follows:
2008 | $ | 205,990 | |||
2009 | 214,571 | ||||
$ | 420,561 | ||||
The Fund utilized $302,064 of its capital loss carry forward during the year ended June 30, 2004. Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
During the year ended June 30, 2004, $71,588 of capital loss carry forwards from prior years expired.
In order to account for permanent book/tax differences, the Fund increased accumulated net realized gain (loss) by $71,588 and decreased net capital paid in on shares of beneficial interest by $71,588. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from an expired capital loss carry forward.
All dividends paid by the Fund for the years ended June 30, 2004 and June 30, 2003, represent exempt interest dividends, which are excludable by shareholders from gross income for Federal income tax purposes.
10
Financial highlights
Thornburg California Limited Term Municipal Fund
Yr Ended June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class I Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 13.22 | $ 12.97 | $ 12.79 | $ 12.60 | $ 12.75 |
Income from investment operations: | |||||
Net investment income | 0.39 | 0.42 | 0.51 | 0.59 | 0.58 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.33) | 0.25 | 0.18 | 0.19 | (0.15) |
Total from investment operations | 0.06 | 0.67 | 0.69 | 0.78 | 0.43 |
Less dividends from: | |||||
Net investment income | (0.39) | (0.42) | (0.51) | (0.59) | (0.58) |
Change in net asset value | (0.33) | 0.25 | 0.18 | 0.19 | (0.15) |
Net asset value, end of year | $ 12.89 | $ 13.22 | $ 12.97 | $ 12.79 | $ 12.60 |
Total return | 0.46% | 5.27% | 5.48% | 6.28% | 3.50% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 2.99% | 3.20% | 3.92% | 4.60% | 4.60% |
Expenses, after expense reductions | 0.67% | 0.65% | 0.66% | 0.65% | 0.65% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.67% | 0.65% | 0.65% | ||
Expenses, before expense reductions | 0.78% | 0.75% | 0.84% | 0.98% | 0.79% |
Portfolio turnover rate | 23.80% | 26.03% | 25.16% | 15.45% | 21.34% |
Net assets at end of year (000) | $ 22,929 | $ 20,592 | $ 10,133 | $ 5,520 | $ 5,793 |
11
SCHEDULE OF INVESTMENTS
Thornburg California Limited Term Municipal Fund June 30,2004
CUSIPS: CLASS A - 885-215-426, CLASS C - 885-215-418, CLASS I - 885-215-392
NASDAQ SYMBOLS: CLASS A - LTCAX, CLASS C - LTCCX, CLASS I - LTCIX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||
---|---|---|---|---|---|---|---|
ABAG Finance Authority, 4.75% due 10/1/2011 (California School of Mechanical Arts Project) | A3/NR | 435,000 | $ 456,315 | ||||
ABAG Finance Authority, 4.75% due 10/1/2012 (California School of Mechanical Arts Project) | A3/NR | 455,000 | 474,369 | ||||
Alameda Certificates of Participation, 4.60% due 5/1/2011 | NR/A+ | 425,000 | 445,358 | ||||
Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2006 (Insured: | |||||||
FGIC) | Aaa/AAA | 295,000 | 331,241 | ||||
Alum Rock Union Elementary School District General Obligation Refunding Bonds, 8.00% due 9/1/2007 (Insured: | |||||||
FGIC) | Aaa/AAA | 380,000 | 442,187 | ||||
Anaheim City School District, 3.25% due 8/1/2004 (Insured: FGIC) | Aaa/AAA | 550,000 | 550,924 | ||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2004 (Insured: AMBAC) | Aaa/AAA | 750,000 | 750,075 | ||||
Bay Area Government Associates Lease Series 2002, 5.00% due 7/1/2005 (Insured: AMBAC) | Aaa/AAA | 785,000 | 811,761 | ||||
Bay Area Government Associates Lease Series 2002, 4.00% due 7/1/2006 (Insured: AMBAC) | Aaa/AAA | 765,000 | 793,970 | ||||
Bay Area Government Association Rapid Transit, 4.875% due 6/15/2009 (Insured: AMBAC) | Aaa/AAA | 835,000 | 837,146 | ||||
Bear Valley Unified School District Series A, 4.00% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 675,000 | 692,611 | ||||
Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 750,000 | 795,750 | ||||
Bonita Unified School District Certificates of Participation Refunding, 4.50% due 5/1/2010 (Insured: MBIA) | Aaa/AAA | 700,000 | 740,040 | ||||
California Educational Facilities Authority Revenue, 6.10% due 6/1/2008 (Keck Graduate Institute Project) | Baa3/NR | 160,000 | 174,373 | ||||
California Educational Facilities Authority Revenue, 6.10% due 6/1/2009 (Keck Graduate Institute Project) | Baa3/NR | 170,000 | 186,509 | ||||
California Health Facilities Financing, 5.50% due 10/1/2006 (Sisters of Providence Project) | Aa3/AA- | 1,235,000 | 1,319,264 | ||||
California Health Facilities Financing Authority Revenue Series B Refunding, 5.25% due 10/1/2013 (Kaiser | |||||||
Permanente Project) (ETM)* | A3/A | 2,000,000 | 2,165,560 | ||||
California Health Facilities Financing Revenue, 6.40% due 10/1/2005 (Sisters of Providence Project) | Aa3/AA- | 700,000 | 707,119 | ||||
California HFA Revenue Series 1985-B, 0.00% due 2/1/2017 | Aa2/AA- | 670,000 | 717,068 | ||||
California Housing Finance Agency Revenue Multi Family Housing Series D, 1.12% due 2/1/2031 put 7/1/2004 | |||||||
(daily demand notes) | VMIG1/A1+ | 1,200,000 | 1,200,000 | ||||
California Infrastructure & Economic Development Bank Revenue, 5.00% due 7/1/2010 (Bay Area Toll Bridges | |||||||
Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,089,620 | ||||
California Mobile Home Park Financing Series A, 4.75% due 11/15/2010 (Rancho Vallecitos Project; Insured: | |||||||
ACA) | NR/A | 500,000 | 507,750 | ||||
California Mobile Home Park Financing Series A, 5.00% due 11/15/2013 (Rancho Vallecitos Project; Insured: | |||||||
ACA) | NR/A | 570,000 | 569,333 | ||||
California Pollution Control Financing Authority Series A, 5.90% due 6/1/2014 (San Diego Gas & Electric | |||||||
Project) | A2/A- | 300,000 | 313,473 | ||||
California Pollution Control Solid Waste Authority, 6.75% due 7/1/2011 (ETM)* | Aaa/NR | 2,650,000 | 2,921,810 | ||||
California Pollution Control Solid Waste Authority Series B, 4.45% due 7/1/2027 put 7/1/2005 (Waste | |||||||
Management Inc. Project) | NR/BBB | 1,500,000 | 1,515,450 | ||||
California Rural HMFA Single Family Mortgage Revenue, 5.25% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 75,000 | 75,834 | ||||
California Rural HMFA Single Family Mortgage Revenue, 5.65% due 6/1/2010 (Collateralized: GNMA/FNMA) | NR/AAA | 30,000 | 30,752 | ||||
California State, 6.40% due 2/1/2006 (Insured: MBIA) | Aaa/AAA | 500,000 | 533,340 | ||||
California State, 7.50% due 10/1/2007 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,299,600 | ||||
California State, 6.60% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 560,000 | 649,835 | ||||
California State, 6.50% due 9/1/2010 (Insured: AMBAC) | Aaa/AAA | 1,250,000 | 1,457,138 | ||||
California State, 5.50% due 3/1/2012 (Insured: FGIC) | Aaa/AAA | 230,000 | 235,982 | ||||
California State Department of Water Resources Power Series A, 5.50% due 5/1/2011 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,222,340 | ||||
California State Department of Water Resources Power Supply Series A, 5.50% due 5/1/2008 | A3/BBB+ | 2,580,000 | 2,792,798 | ||||
California State Department of Water Resources Power Supply Series A, 5.25% due 5/1/2009 (Insured: MBIA) | Aaa/AAA | 800,000 | 875,536 | ||||
California State Economic Recovery Series A, 5.00% due 1/1/2008 | Aa3/AA- | 1,000,000 | 1,071,540 | ||||
California State Public Works Board Lease Revenue, 5.50% due 6/1/2010 (Various Universities Project) | Aa2/A+ | 530,000 | $ 578,537 | ||||
California State Public Works Board Lease Revenue Series A, 5.25% due 1/1/2007 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,118,140 | ||||
California State Refunding, 5.75% due 10/1/2010 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,127,710 | ||||
California State Series A-3, 1.06% due 5/1/2033 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 4,400,000 | 4,400,000 | ||||
California State Veterans Bonds, 9.50% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,303,170 | ||||
California Statewide Community Development Authority, 5.00% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,033,590 | ||||
California Statewide Community Development Authority Insured Health Facility Revenue Series 1996-A, 6.00% | |||||||
due 9/1/2004 (San Gabriel Medical Center Project) (ETM)* | NR/NR | 1,000,000 | 1,007,470 | ||||
California Statewide Community Development Authority Revenue, 5.125% due 6/1/2008 (Louisiana Orthopedic | |||||||
Hospital Foundation Project; Insured: AMBAC) | Aaa/AAA | 595,000 | 637,900 | ||||
California Statewide Community Development Authority Revenue Certificates of Participation, 6.50% due | |||||||
8/1/2012 (Cedars Sinai Center Hospital Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,110,190 | ||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2008 (Hospital | |||||||
Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,110,000 | 1,198,189 | ||||
California Statewide Community Development Authority Revenue Series B, 5.00% due 6/1/2009 (Hospital | |||||||
Monterey Peninsula Project; Insured: FSA) | Aaa/AAA | 1,180,000 | 1,279,297 | ||||
California Statewide Community Development Authority Series 1996-A, 6.00% due 9/1/2005 (San Gabriel Medical | |||||||
Center Project; Insured: California Health) (ETM)* | NR/NR | 1,000,000 | 1,046,920 | ||||
California Statewide Community Development Authority Solid Waste Revenue, 2.90% due 4/1/2011 put 4/1/2007 | |||||||
(Waste Management Inc. Project) | NR/BBB | 1,000,000 | 976,910 | ||||
California Statewide Community Development Series E, 4.70% due 11/1/2036 put 6/1/2009 (Kaiser Permanente | |||||||
Project) | A3/A-1 | 2,000,000 | 2,069,800 | ||||
Capistrano Unified School District 92-1 Community Facilities District Special Tax, 7.10% due 9/1/2021 | |||||||
pre-refunded 9/1/2007 | NR/NR | 950,000 | 1,073,709 | ||||
Castaic Lake Water Agency Certificates of Participation Refunding Series A, 7.25% due 8/1/2007 (Water | |||||||
Systems Improvement Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,136,560 | ||||
Castaic Lake Water Agency Refunding Water Systems Improvement Project Series A, 7.25% due 8/1/2009 | |||||||
(Insured: MBIA) | Aaa/AAA | 100,000 | 118,676 | ||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2011 (Insured: FGIC) | Aaa/AAA | 780,000 | 849,014 | ||||
Central Union High School District Imperial County Refunding, 5.00% due 8/1/2012 (Insured: FGIC) | Aaa/AAA | 830,000 | 902,185 | ||||
Central Valley Financing Authority Revenue, 6.00% due 7/1/2009 (Carson Ice Project) | NR/BBB | 1,215,000 | 1,256,067 | ||||
Central Valley School Districts Financing Authority, 0% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 205,000 | 190,693 | ||||
Coachella Valley California Unified School District Certificates of Participation Refunding, 5.00% due | |||||||
9/1/2012 (Insured: MBIA) | Aaa/AAA | 800,000 | 864,680 | ||||
Desert Sands Unified School District Series F, 4.00% due 3/1/2006 (Measure O Project; Insured: MBIA) | Aaa/AAA | 2,320,000 | 2,393,590 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2004 (Insured: MBIA) | Aaa/AAA | 550,000 | 552,491 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 500,000 | 526,825 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 700,000 | 764,050 | ||||
East Side Union High School District Santa Clara County Series B, 6.625% due 8/1/2007 (Insured: MBIA) | Aaa/AAA | 840,000 | 941,741 | ||||
El Monte Certificates of Participation Senior Department Public Services Facility Phase II, 5.00% due | |||||||
1/1/2009 (Insured: AMBAC) | Aaa/AAA | 2,730,000 | 2,944,059 | ||||
Escondido Joint Powers Financing Authority Lease Revenue Refunding, 0% due 9/1/2013 (California Center For | |||||||
The Arts Project; Insured: AMBAC) | Aaa/AAA | 500,000 | 296,980 | ||||
Escondido Multi Family Housing Revenue Refunding Bond Series 1997-A, 5.40% due 1/1/2027 put 7/1/2007 | |||||||
(Terrace Gardens Project; Collateralized: FNMA) | NR/AAA | 3,015,000 | 3,132,585 | ||||
Folsom Cordova Unified School District School Facilities Improvement District-2 Series A, 4.50% due | |||||||
10/1/2004 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,016,080 | ||||
Fresno County Housing Authority Multi Family Revenue Refunding Series A, 4.90% due 11/1/2027 mandatory put | |||||||
11/1/2007 (Housing Creek Park Apartments Project; Collateralized: FNMA) | NR/AAA | 400,000 | 417,008 | ||||
Hawaiian Gardens Redevelopment Agency Refunding, 5.50% due 12/1/2008 | NR/BBB+ | 575,000 | 617,234 | ||||
Imperial Irrigation District California Certificates of Participation, 6.50% due 11/1/2007 (Electric | |||||||
Systems Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | $1,104,310 | ||||
Irwindale Community Redevelopment Agency, 6.60% due 8/1/2018 pre-refunded 8/1/2005 | Baa3/NR | 1,000,000 | 1,068,900 | ||||
Julian Union High School District, 4.875% due 11/1/2005 (Insured: MBIA) | Aaa/AAA | 295,000 | 303,900 | ||||
Kern High School District, 7.00% due 8/1/2010 (ETM)* | A1/NR | 165,000 | 197,332 | ||||
Kern High School District Refunding Series A, 6.30% due 8/1/2011 (Insured: MBIA) | Aaa/AAA | 500,000 | 577,710 | ||||
Kern High School District Series B, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 680,000 | 773,949 | ||||
Los Angeles Certificates of Participation, 5.00% due 2/1/2012 (Insured: MBIA) | Aaa/AAA | 1,400,000 | 1,508,528 | ||||
Los Angeles Community Redevelopment Agency, 5.00% due 7/1/2009 (Cinerama Dome Public Parking Project; | |||||||
Insured: ACA) | NR/A | 835,000 | 857,654 | ||||
Los Angeles Community Redevelopment Agency, 5.75% due 7/1/2010 (Cinerama Dome Public Parking Project; | |||||||
Insured: ACA) | NR/A | 435,000 | 461,448 | ||||
Los Angeles Convention & Exhibition Center, 9.00% due 12/1/2020 pre-refunded 12/1/2005 | Aaa/AAA | 5,000 | 5,498 | ||||
Los Angeles Convention & Exhibition Center Authority Certificates Refunding, 0% due 8/15/2005 (Insured: | |||||||
AMBAC) | Aaa/AAA | 275,000 | 269,129 | ||||
Los Angeles County Capital Asset, 5.00% due 4/1/2008 (Insured: AMBAC) | Aaa/AAA | 2,000,000 | 2,153,400 | ||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 9.00% due 7/1/2007 (Insured: | |||||||
MBIA) | Aaa/AAA | 1,700,000 | 2,014,483 | ||||
Los Angeles Department Airport Revenue Refunding Series A, 5.50% due 5/15/2010 (Insured: FGIC) | Aaa/AAA | 700,000 | 730,933 | ||||
Los Angeles Department of Water & Power Revenue Refunding Series A Subseries A-1, 5.00% due 7/1/2008 (Power | |||||||
Systems Project) | Aa3/AA- | 1,000,000 | 1,082,360 | ||||
Los Angeles Department Water & Power Revenue Series A, 5.25% due 7/1/2011 (Insured: MBIA) | Aaa/AAA | 3,000,000 | 3,303,990 | ||||
Los Angeles Multi Family Revenue, 5.85% due 12/1/2027 put 12/01/2007 (Collateralized: FNMA) | NR/AAA | 1,940,000 | 2,034,478 | ||||
Los Angeles Regional Airport Lease Refunding, 5.25% due 1/1/2009 (Facilities Laxfuel Corp. LA International | |||||||
Project) | Aaa/AAA | 1,590,000 | 1,681,902 | ||||
Los Angeles Unified School District Series E, 5.50% due 7/1/2012 (Insured: MBIA) | Aaa/AAA | 2,500,000 | 2,800,050 | ||||
Moorpark Mobile Home Park Revenue Series A, 5.80% due 5/15/2010 (Villa Delaware Arroyo Project; Insured: | |||||||
ACA) | NR/A | 1,205,000 | 1,234,812 | ||||
New Haven Unified School District Refunding, 12.00% due 8/1/2006 (Insured: FSA) | Aaa/AAA | 1,400,000 | 1,674,036 | ||||
New Haven Unified School District Refunding, 12.00% due 8/1/2008 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,339,780 | ||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 (Geothermal Project 3-A) (ETM)* | Baa2/BBB+ | 360,000 | 392,717 | ||||
Northern California Power Agency Public Power Revenue, 5.65% due 7/1/2007 | Baa2/BBB+ | 340,000 | 366,095 | ||||
Oakland Redevelopment Agency, 7.40% due 5/1/2007 (Insured: AMBAC) | Aaa/AAA | 50,000 | 50,239 | ||||
Ontario Montclair School District Certificates of Participation Refunding, 3.80% due 9/1/2028 put 8/31/2007 | |||||||
(School Facility Bridge Funding Project; Insured: FSA) | VMIG1/A-1 | 1,730,000 | 1,731,470 | ||||
Orange County Airport Revenue Bond, 6.00% due 7/1/2007 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,085,230 | ||||
Orange County Local Transportation Authority Sales Tax Revenue, 6.00% due 2/15/2006 | Aa2/AA+ | 510,000 | 541,768 | ||||
Orange County Recovery Certificates of Participation Series A, 6.00% due 7/1/2006 (Insured: MBIA) | Aaa/AAA | 600,000 | 645,414 | ||||
Orange County Refunding Recovery, 6.50% due 6/1/2005 (Insured: MBIA) | Aaa/AAA | 2,000,000 | 2,090,120 | ||||
Piedmont Unified School District Series B, 0% due 8/1/2013 pre-refunded 8/1/2007 | Aa3/NR | 1,000,000 | 639,280 | ||||
Pittsburg California Redevelopment Agency Tax Allocation Refunding, 5.25% due 8/1/2012 (Los Medanos | |||||||
Community Development Project A; Insured: MBIA) | Aaa/AAA | 3,350,000 | 3,684,598 | ||||
Pleasanton Unified School District Series B, 0% due 8/1/2016 pre-refunded 8/1/2005 @ 54.674 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 536,390 | ||||
Pomona Unified School District General Obligation, 5.35% due 2/1/2005 (Insured: MBIA) | Aaa/AAA | 580,000 | 593,375 | ||||
Pomona Unified School District General Obligation, 5.40% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 340,000 | 353,899 | ||||
Pomona Unified School District Refunding Series A, 6.10% due 2/1/2010 (Insured: MBIA) | Aaa/AAA | 320,000 | 364,342 | ||||
Porterville Certificates of Participation, 6.10% due 10/1/2005 (Water Systems Refunding Project; Insured: | |||||||
AMBAC) | Aaa/AAA | 295,000 | 310,762 | ||||
Puerto Rico Commonwealth Highway & Transportation Authority, 5.50% due 7/1/2009 (Insured: FSA) | Aaa/AAA | 1,000,000 | $1,106,040 | ||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Refunding Series A, 5.00% due | |||||||
7/1/2008 (Insured: FGIC) | Aaa/AAA | 1,000,000 | 1,081,180 | ||||
Puerto Rico Commonwealth Refunding Series B, 0.95% due 7/1/2029 put 7/1/2004 (daily demand notes) | Aaa/AAA | 3,300,000 | 3,300,000 | ||||
Puerto Rico Municipal Finance Agency Series A, 6.00% due 7/1/2011 (Insured: FSA) | Aaa/AAA | 600,000 | 690,840 | ||||
Rancho Santiago Community College District Series A, 4.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,027,510 | ||||
Richmond Joint Powers Financing Authority Revenue Series A, 5.20% due 5/15/2005 | NR/NR | 500,000 | 485,000 | ||||
Sacramento County Sanitation District Financing Authority Revenue, 4.80% due 12/1/2004 (ETM)* | Aaa/AA | 500,000 | 507,175 | ||||
Sacramento County Sanitation District Financing Authority Revenue Series A, 5.75% due 12/1/2009 | Aa3/AA | 560,000 | 629,804 | ||||
Sacramento Municipal Utility District Electric Revenue Refunding Series C, 5.75% due 11/15/2007 (Insured: | |||||||
MBIA) (ETM)* | Aaa/AAA | 330,000 | 334,613 | ||||
Salinas Redevelopment Agency Tax Allocation Series A, 0% due 11/1/2022 (Insured: FSA) | Aaa/AAA | 1,450,000 | 510,023 | ||||
San Bernardino County Multi Family Housing Revenue Refunding Series A, 4.75% due 12/15/2031 put 12/15/2011 | |||||||
(Collateralized: FNMA) | Aaa/NR | 3,000,000 | 3,134,550 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.10% due 9/1/2011 | NR/NR | 190,000 | 194,801 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.20% due 9/1/2012 | NR/NR | 205,000 | 209,639 | ||||
San Bernardino County Special Taxes Community Facilities District 2002-1, 5.30% due 9/1/2013 | NR/NR | 300,000 | 306,090 | ||||
San Bernardino County Transportation Authority Sales Tax Revenue Series A, 6.00% due 3/1/2010 (Insured: | |||||||
FGIC) (ETM)* | Aaa/AAA | 175,000 | 192,052 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2005 (Insured: MBIA) | Aaa/AAA | 430,000 | 447,656 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2006 (Insured: MBIA) | Aaa/AAA | 455,000 | 493,234 | ||||
San Diego Public Facilities Financing Authority Lease Revenue, 7.00% due 4/1/2007 (Insured: MBIA) | Aaa/AAA | 425,000 | 475,188 | ||||
San Francisco Bay Area Rapid Transit Refunding Sales Tax Revenue, 0% due 7/1/2004 (Insured: AMBAC) | Aaa/AAA | 500,000 | 499,980 | ||||
San Francisco Bay Area Transit Bridge Toll Notes, 5.625% due 8/1/2006 (Insured: ACA) | NR/A | 1,000,000 | 1,054,330 | ||||
San Francisco International Airport Revenue Series Issue 13B, 8.00% due 5/1/2007 (Insured: MBIA) | Aaa/AAA | 1,100,000 | 1,207,349 | ||||
San Jose Evergreen Community College District Series C, 0% due 9/1/2011 (Insured: AMBAC) | Aaa/AAA | 2,200,000 | 1,613,062 | ||||
San Jose Financing Authority Lease Revenue Series D, 5.00% due 6/1/2039 mandatory put 6/1/2006 (Civic | |||||||
Center Project; Insured: AMBAC) | Aaa/AAA | 2,700,000 | 2,837,376 | ||||
San Marcos Public Facilities Authority Revenue Community Facilities District 88-1, 0% due 3/1/2008 (ETM)* | Aaa/NR | 1,900,000 | 1,703,768 | ||||
Santa Ana Multi Family Housing Revenue Bonds Series B, 5.65% due 11/1/2021 put 11/1/2006 (Collateralized: | |||||||
FNMA) | NR/AAA | 2,000,000 | 2,018,620 | ||||
Santa Clara County Financing Authority, 5.00% due 8/1/2005 (Measure B Transportation Improvement Program) | A2/NR | 1,250,000 | 1,289,975 | ||||
Santa Clara County Financing Authority Special Obligation Measure B, 4.00% due 8/1/2006 (Transportation | |||||||
Improvement Program Project) | A2/NR | 1,000,000 | 1,030,700 | ||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 4.00% due 4/1/2036 put 10/2/2006 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,035,410 | ||||
Santa Clara Valley Transportation Authority Sales Tax Revenue Measure A, 5.50% due 4/1/2036 (Insured: | |||||||
AMBAC) | Aaa/AAA | 3,410,000 | 3,638,504 | ||||
Santa Cruz County Certificates Refunding, 4.00% due 8/1/2005 | A3/NR | 610,000 | 623,518 | ||||
Santa Margarita/Dana Point Authority Revenue Refunding Improvement Districts 1&2 Series A, 5.375% due | |||||||
8/1/2004 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,003,450 | ||||
Seal Beach Redevelopment Agency Mobile Home Park Revenue Series A, 5.20% due 12/15/2013 (Insured: ACA) | NR/A | 575,000 | 591,957 | ||||
South Orange County Public Finance Authority Special Tax Revenue, 7.00% due 9/1/2005 (Insured: MBIA) | Aaa/AAA | 1,435,000 | 1,521,545 | ||||
South Orange County Public Financing Authority Special Tax Revenue Series C, 8.00% due 8/15/2008 (Foothill | |||||||
Area Project; Insured: FGIC) | Aaa/AAA | 1,500,000 | 1,789,275 | ||||
Southeast Resources Recovery Facilities Authority Lease Revenue Refunding Series B, 5.375% due 12/1/2013 | |||||||
(Insured: AMBAC) | Aaa/AAA | 1,060,000 | 1,131,794 | ||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 350,000 | 375,228 | ||||
Southern California Revenue, 5.15% due 7/1/2015 (Public Power Project; Insured: AMBAC) | Aaa/AAA | 250,000 | 268,020 | ||||
Stanton Multi Family Housing Revenue Bond Series 1997, 5.625% due 8/1/2029 put 8/1/2009 (Continental | |||||||
Gardens Project; Collateralized: FNMA) | NR/AAA | 3,275,000 | 3,476,249 | ||||
Tri City Hospital District Revenue Refunding Series B, 6.00% due 2/15/2006 (Insured: MBIA) | Aaa/AAA | 1,000,000 | $1,062,290 | ||||
Ukiah Unified School District Certificates of Participation, 4.00% due 9/1/2006 (Insured: MBIA) | Aaa/AAA | 2,380,000 | 2,473,296 | ||||
Ukiah Unified School District Certificates of Participation, 5.00% due 9/1/2008 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,082,000 | ||||
Ventura County Community College Series A, 5.00% due 8/1/2012 (Insured: MBIA) | Aaa/AAA | 500,000 | 543,485 | ||||
Ventura Unified School District Series F, 6.75% due 8/1/2004 (Insured: FSA) | Aaa/AAA | 160,000 | 160,741 | ||||
Ventura Unified School District Series F, 6.75% due 8/1/2005 (Insured: FSA) | Aaa/AAA | 115,000 | 121,314 | ||||
Victorville Redevelopment Agency Tax Allocation Bear Valley Road Special Escrow Fund A, 5.00% due 12/1/2014 | |||||||
(Insured: FSA) | Aaa/AAA | 455,000 | 473,459 | ||||
Walnut Valley Unified School District, 9.00% due 8/1/2006 (ETM)* | Aaa/AAA | 800,000 | 910,528 | ||||
Walnut Valley Unified School District, 8.75% due 8/1/2010 (ETM)* | Aaa/AAA | 1,000,000 | 1,290,890 | ||||
Walnut Valley Unified School District Series A, 6.70% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 245,000 | 258,323 | ||||
Walnut Valley Unified School District Series A, 6.80% due 2/1/2007 (Insured: MBIA) | Aaa/AAA | 250,000 | 277,170 | ||||
Walnut Valley Unified School District Series A, 6.90% due 2/1/2008 (Insured: MBIA) | Aaa/AAA | 250,000 | 284,925 | ||||
Walnut Valley Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 100,000 | 115,839 | ||||
Washington Township Health Care District Revenue, 5.00% due 7/1/2009 | A2/NR | 450,000 | 475,862 | ||||
West Contra Costa Unified School District Series A, 6.50% due 8/1/2005 (Insured: MBIA) | Aaa/AAA | 570,000 | 599,708 | ||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 595,000 | 654,060 | ||||
West Contra Costa Unified School District Series A, 7.00% due 8/1/2008 (Insured: MBIA) | Aaa/AAA | 655,000 | 758,746 | ||||
Whittier Solid Waste Revenue Refunding Series A, 5.375% due 8/1/2014 (Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,023,010 | ||||
TOTAL INVESTMENTS (Cost $168,710,210) | $171,601,253 | ||||||
† Credit ratings are unaudited | |||||||
*Escrowed to maturity | |||||||
See notes to financial statements |
Report of independent Registered Public Accounting Firm
Thornburg California Limited Term Municipal Fund
To the Trustees and Class I Shareholders of
Thornburg California Limited Term Municipal Fund
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 California Limited Term Municipal Fund (formerly Thornburg Limited Term Municipal Fund — California Portfolio) a series of Thornburg Investment Trust (the “Fund”) at June 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the class I shares for each of the five 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 the standards of the Public Company Accounting Oversight Board (United States), 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 June 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 2, 2004
17
Index Comparisons
Thornburg California Limited Term Municipal Fund June 30, 2004
Index Comparison
Compares performance ofThornburg California Limited Term Municipal Fund, the Lehman Brothers Five-Year Municipal Bond Index, (the “Index”) and the Consumer Price Index (CPI) for the periods ended June 30, 2004. On June 30, 2004, the weighted average securities ratings of both the Index and the Fund were AA and the weighted average portfolio maturities of the Index and the Fund were 5.0 years and 3.9 years, respectively. Past performance of the Index and the Fund may not be indicative of future performance. Performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of fund shares.
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/ltcix604.jpg)
Minimum investments for the I-share class are higher than those for other classes. There is no up front sales charge for this class of shares.
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money.
For the most recent month-end performance information, visit www.thornburg.com.
The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
The Lehman Brothers Five-Year Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must have a minimum credit rating of Baa. The approximate maturity of the municipal bonds in the index is five years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
18
Trustees and officers
Thornburg California Limited Term Municipal Fund June 30, 2004
Name, Address and Age (1) | Position(s) Held with Fund (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee or Nominee for Trustee |
---|---|---|---|---|---|
Interested Trustees Garrett Thornburg, 58 Brian J. McMahon, 48 Independent Trustees David A. Ater, 59 David D. Chase, 63 Forrest S. Smith, 74 James W. Weyhrauch, 45 Officers of the Fund (who are not Trustees)(7) Dawn B. Fischer, 57 Steven J. Bohlin, 45 George T. Strickland, 41 William V. Fries, 65 Leigh Moiola, 37 Kenneth Ziesenheim, 50 Alexander Motola, 34 Wendy Trevisani, 33 Joshua Gonze, 41 Brad Kinkelaar, 36 Kerry D. Lee, 37 Christopher Ihlefeld, 33 Leon Sandersfeld, 37 Sasha Wilcoxon, 29 | Chairman of Trustees (3) Trustee, President (5) Trustee Trustee Trustee Trustee Secretary Vice President, Treasurer Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President | Trustee Since 1987 (4) Trustee Since 2001; President Since 1997 (4)(6) Trustee since 1994 (4) Trustee since 2001 (4) Trustee since 1987 (4) Trustee since 1996 (4) Secretary Since 1987 (6) Vice President Since 1987; Treasurer Since 1989 (6) Vice President Since 1996 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 2003 (4) �� Vice President Since 2003 (6) Vice President Since 2003 (6) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, NambMills, Inc., Santa Fe, NM (manufacturer). Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. Associate of Thornburg Investment Management, Inc. 1999 - -2003, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. Associate of Thornburg Investment Management Inc. to 2004, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999 and Vice President and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President of Thornburg Investment Management, Inc.; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Twelve Twelve Twelve Twelve Twelve Twelve N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A | Director of Thornburg Mortgage, Inc. (real estate investment trust) None Director of Thornburg Mortgage, Inc. (real estate investment trust) Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 None None N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A |
(1) | Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501. |
(2) | The Fund is one of twelve separate investment "Funds" or |
"series" of Thornburg Investment Trust (the "Trust"), | |
organized as a Massachusetts business trust. The Trust currently has twelve | |
active Funds. Thornburg Investment Management, Inc. is the investment advisor | |
to, and manages, the twelve funds of the Trust. | |
(3) | Mr. Thornburg is considered an "interested" Trustee under the |
Investment Company Act of 1940 because he is a director and controlling | |
shareholder of Thornburg Investment Management, Inc., the investment advisor to | |
the twelve active funds of the Trust, and is the sole director and controlling | |
shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. |
(5) | Mr. McMahon is considered an "interested" Trustee because he is the |
president of Thornburg Investment Management, Inc. | |
(6) | The Trust's president, secretary and treasurer each serves a one-year term or until the |
election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
PORTFOLIO PROXY VOTING
Policies and Procedures (Unaudited):
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1.800.847.0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted will be available on or before August 31 of each year for the twelve months ending the preceding June 30. This information will be available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended June 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003.
SHAREHOLDER MEETING INFORMATION
A special meeting (the “Meeting”) of the shareholders of Thornburg Limited Term Municipal Fund – California Portfolio (the “California Portfolio,” which was, until June 21, 2004, a series of Thornburg Limited Term Municipal Fund, Inc. (the “Company”), and since June 21, 2004, a series of Thornburg Investment Trust) were held on April 28, 2004, as adjourned to May 21, 2004, at the offices of Thornburg Investment Management, Inc., 119 East Marcy Street, Santa Fe, New Mexico 87501.
The shareholders of the California Portfolio considered at the Meeting the approval of an Agreement and Plan of Reorganization providing for the reorganization of the California Portfolio into a series or “Fund” of Thornburg Investment Trust called “Thornburg California Limited Term Municipal Fund,” by the transfer of all of the assets of the California Portfolio to Thornburg California Limited Term Municipal Fund, in exchange solely for voting shares of Thornburg California Limited Term Municipal Fund, and for the distribution of those shares to the shareholders of the California Portfolio. See Note 1 in the notes to financial statements.
Similarly, the shareholders of Thornburg Limited Term Municipal Fund – National Portfolio (the “National Portfolio”) another series of the Company, approved an Agreement and Plan of Reorganization providing for the reorganization of the National Portfolio into Thornburg Limited Term Municipal Fund, a series of Thornburg Investment Trust.
The voting results for the matters voted on are as follows:
Thornburg Limited Term Municipal Fund – California Portfolio
Shares Voted for | Shares Voted Against or Withheld | Shares Abstained | Broker Non-Vote | Shares Voted |
---|---|---|---|---|
7,392,850 | 189,676 | 286,920 | - | 7,869,446 |
Thornburg New York Intermediate Municipal Fund
Annual Report
June 30, 2004
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
www.thornburg.com
This report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus. Carefully consider information in the prospectus regarding the Fund’s investment objectives and policies, risks, sales charges, expenses, experience of its management, marketability of shares, and other information. Performance data quoted represent past performance and do not guarantee future results.
Thornburg New York Intermediate Municipal Fund ALL DATA AS OF 06/30/2004.
FUND FACTS: Thornburg New York Intermediate Municipal Fund
A Shares | |
---|---|
Annualized Distribution Rate (at NAV) | 3.49% |
SEC Yield | 2.28% |
NAV | $ 12.46 |
Maximum Offering Price | $ 12.71 |
TOTAL RETURNS: (Annual Average - After Subtracting Maximum Sales Charge)
One Year | (1.63)% |
Three Years | 3.12% |
Five Years | 4.28% |
Since Inception | 4.34% |
Inception Date | 9/5/97 |
Total return figures for the Public Offering Price (POP) include subtraction of maximum sales charge of 2.00% for the A shares. |
Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. |
Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period. |
The distribution rate is calculated by taking the sum of the month’s total daily dividend distribution factors and dividing this sum by a 30-day period and annualizing to a 360-day year. The value is then divided by the ending NAV to arrive at the annualized distribution yield. The yield is calculated on a periodic basis and is subject to change depending on the Fund’s NAV and current distributions. |
Letter to shareholders
Thornburg New York Intermediate Municipal Fund July 7, 2004
Dear Shareholder:
I am pleased to present the annual report for the Thornburg New York Intermediate Municipal Fund. The net asset value of your Fund decreased by 40¢ to $12.46 during the year ended June 30, 2004. If you were with us for the entire period, you received dividends of 44.5¢ per share. If you reinvested dividends, you received 45.3¢ per share.
Over the last year, interest rates on high-quality municipal bonds have risen dramatically. Most of the change happened in April and May of this year. Usually, bond market participants take their cue, at least in part, from the Federal Reserve. In April and May of 2004, the bond market jumped the gun. In anticipation of a rising Fed Funds rate, investors sold bonds, which pushed up the yield on a 10-year Treasury bond from a low of 3.55% on March 16th to 4.64% on June 30th. The municipal market followed suit. The yield on a 10-year AAA-rated municipal bond rose from a low of 3.30% to 4.02% at the quarter’s end.
The rise in rates caused bond prices to move down sharply, leading to the worst quarterly total return for bonds since 1994. Our strategy of laddering short and intermediate bonds helped diffuse some, but not all, of the downward price pressures. Thornburg New York Intermediate Municipal Fund produced a total return of 0.36% for the year ended June 30, 2004. This was slightly better than that of the Merrill Lynch 7-12 Year Municipal Bond Index, which posted a 0.22% return over the same time period. We believe the Fund out-performed the index because of its shorter duration and dispersion of maturities.
Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of over 55 municipal obligations from all over the state. Approximately 98% of the bonds are rated A or better by one of the major rating agencies. Today, your Fund’s weighted average maturity is 6.2 years, and we normally keep it below 10 years. As you know, we “ladder” the maturity dates of the bonds in your portfolio so that some of the bonds are scheduled to mature during each of the coming years.
When interest rates rise, virtually all bonds fall in value. However, as the bonds in a laddered portfolio approach maturity, they tend to recapture lost value. Meanwhile, cash from maturing bonds can be reinvested in a higher interest rate environment, raising the portfolio’s yield. In this way, a laddered portfolio should benefit from rising interest rates over time.
We have been targeting a somewhat shorter duration than normal so far this year because we have been concerned about a rise in interest rates. Now that rates have moved up by over 1.00%, is it time to start extending duration? We have decided not to extend your Fund’s duration yet because we believe that interest rates are more likely to increase than decrease in the months ahead.
Most indicators of economic activity are strong. Personal consumption expenditures are up 4.1% and corporate cash flows have surged 24% in the last year. Almost one million new jobs have been created in the last three months. Clearly, a 1.25% Fed Funds rate is inconsistent with such robust economic growth. Since bond yields rose earlier this year, our bond market has already built in expectations of a somewhat higher Fed Funds rate. The next major question concerns what happens to economic growth and inflation after the Fed Funds rate hits 2.5%.
% of portfolio maturing within | Cumulative % maturing by end of | ||
---|---|---|---|
2 years = 13% | Year 2 = 13% | ||
2 to 4 years = 29% | Year 4 = 42% | ||
4 to 6 years = 11% | Year 6 = 53% | ||
6 to 8 years = 13% | Year 8 = 66% | ||
8 to 10 years = 11% | Year 10 = 77% | ||
10 to 12 years = 3% | Year 12 = 80% | ||
12 to 14 years = 8% | Year 14 = 88% | ||
14 to 16 years = 7% | Year 16 = 95% | ||
16 to 18 years = 0% | Year 18 = 95% | ||
Over 18 years = 5% | Over 18 years = 100% |
Percentages can and do vary. Data as of 6/30/04.
2
Letter to shareholders, Continued
Thornburg New York Intermediate Municipal Fund
We believe that the economy has enough momentum to continue growing rapidly in such a scenario. Furthermore, we believe that we are only beginning to see the long-term effects on inflation of government policies over the last three years. Low interest rates, tax cuts, deficit spending, and a weak dollar have all combined to create an environment where businesses and their workers have more pricing power. We expect that this will translate to a sustained, though moderate, rise in the official inflation statistics over the next couple of years.
If these events unfold as we expect, bond yields should eventually resume their upward path. We have positioned your Fund with this outlook in mind. The duration is near the short end of its typical range, and the ladder is somewhat more concentrated in shorter maturities. We are looking forward to a buyer friendly environment in the future when we will hopefully be able to add a significant amount of additional yield while positioning the Fund to perform well for years to come.
Thanks to the strongest economy in years, tax increases, and some degree of fiscal control, the New York budget situation has improved. Whether the improvement is temporary or permanent depends upon whether the legislature and governor can work together to close future operating deficits without increasing the state’s high tax and debt burdens. Budget cuts are also creating difficult operating environments for local governments, schools, and hospitals. We have responded by keeping your Fund’s credit quality high, with average ratings of AA and broad diversification across issuers and market sectors.
We hope that you are pleased with your investment in the Thornburg New York Intermediate Municipal Fund. 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. Thank you for investing in Thornburg New York Intermediate Municipal Fund.
Sincerely,
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/george.jpg)
George Strickland
Portfolio Manager
Past performance cannot guarantee future results. The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
The Fed Funds Rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each Fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any Fund to differ materially as compared to its benchmarks. |
3
Statement of assets and liabilities
Thornburg New York Intermediate Municipal Fund June 30, 2004
ASSETS | |||
Investments at value (cost $40,434,264) | $ 41,645,136 | ||
Cash | 93,512 | ||
Receivable for investments sold | 326,929 | ||
Receivable for fund shares sold | 29,295 | ||
Interest receivable | 622,844 | ||
Prepaid expenses and other assets | 845 | ||
Total Assets | 42,718,561 | ||
LIABILITIES | |||
Payable for fund shares redeemed | 80,818 | ||
Accounts payable and accrued expenses | 30,651 | ||
Payable to investment advisor (Note 3) | 14,933 | ||
Dividends payable | 40,883 | ||
Total Liabilities | 167,285 | ||
NET ASSETS | $ 42,551,276 | ||
NET ASSETS CONSIST OF: | |||
Net unrealized appreciation (depreciation) on investments | $ 1,210,872 | ||
Over-distributed net investment income (loss) | (5,629 | ) | |
Accumulated net realized gain (loss) | (30,714 | ) | |
Net capital paid in on shares of beneficial interest | 41,376,747 | ||
$ 42,551,276 | |||
NET ASSET VALUE: | |||
Class A Shares: | |||
Net asset value and redemption price per share | |||
($42,551,276 applicable to 3,416,175 shares of beneficial | |||
interest outstanding - Note 4) | $ 12.46 | ||
Maximum sales charge, 2.00% of offering price | 0.25 | ||
Maximum Offering Price Per Share | $ 12.71 | ||
See notes to financial statements.
4
Statement of operations
Thornburg New York Intermediate Municipal Fund Year Ended June 30, 2004
INVESTMENT INCOME: | |||
Interest income (net of premium amortized of $332,490) | $ 1,872,494 | ||
EXPENSES: | |||
Investment advisory fees (Note 3) | 208,059 | ||
Administration fees (Note 3) | 52,017 | ||
Service fees (Note 3) | 98,757 | ||
Transfer agent fees | 29,297 | ||
Custodian fees (Note 3) | 35,364 | ||
Professional fees | 22,259 | ||
Accounting fees | 2,831 | ||
Trustee fees | 1,008 | ||
Other expenses | 10,975 | ||
Total Expenses | 460,567 | ||
Less: | |||
Investment advisory fees waived (Note 3) | (47,265 | ) | |
Fees paid indirectly (Note 3) | (1,334 | ) | |
Net Expenses | 411,968 | ||
Net Investment Income | 1,460,526 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on investments sold | 7,282 | ||
Increase (decrease) in unrealized appreciation of investments | (1,325,587 | ) | |
Net Realized and Unrealized | |||
Gain (Loss) on Investments | (1,318,305 | ) | |
Net Increase (Decrease) in Net Assets Resulting | |||
From Operations | $ 142,221 | ||
See notes to financial statements.
5
Statements of changes in net assets
Thornburg New York Intermediate Municipal Fund
Year Ended June 30, 2004 | Year Ended June 30, 2003 | ||||
---|---|---|---|---|---|
INCREASE (DECREASE) IN NET ASSETS FROM: | |||||
OPERATIONS: | |||||
Net investment income | $ 1,460,526 | $ 1,416,047 | |||
Net realized gain (loss) on investments sold | 7,282 | (38,903 | ) | ||
Increase(Decrease) in unrealized appreciation of investments | (1,325,587 | ) | 678,415 | ||
Net Increase (Decrease) in Net Assets | |||||
Resulting from Operations | 142,221 | 2,055,559 | |||
DIVIDENDS TO SHAREHOLDERS: | |||||
From net investment income | |||||
Class A Shares | (1,460,846 | ) | (1,416,047 | ) | |
From realized gains | |||||
Class A Shares | 0 | (52,639 | ) | ||
FUND SHARE TRANSACTIONS (NOTE 4): | |||||
Class A Shares | 4,106,329 | 7,101,029 | |||
Net Increase (Decrease) in Net Assets | 2,787,704 | 7,687,902 | |||
NET ASSETS: | |||||
Beginning of year | 39,763,572 | 32,075,670 | |||
End of year | $ 42,551,276 | $ 39,763,572 | |||
See notes to financial statements.
6
Notes to financial statements
Thornburg New York Intermediate Municipal Fund June 30, 2004
NOTE 1 — ORGANIZATION
Thornburg New York 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 eleven series of shares of beneficial interest in addition to those of the Fund: Thornburg California Limited Term Municipal Fund, Thornburg Limited Term Municipal Fund, Thornburg Florida Intermediate Municipal Fund, Thornburg New Mexico Intermediate Municipal Fund, Thornburg Intermediate Municipal Fund, Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, Thornburg Value Fund, Thornburg International Value Fund, Thornburg Core Growth Fund, and Thornburg Investment Income Builder Fund. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s investment objective is to obtain as high a level of current income exempt from Federal income tax as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. The Fund will also invest primarily in municipal obligations within the state of New York, with the objective of having interest dividends paid to its shareholders exempt from any individual income taxes. Additionally, the Fund will seek to have dividends paid to its individual shareholders exempt from New York City income taxes.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining net asset value, the Trust 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, normally at 4:00 p.m. EST or at 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 Trust to comply with the provisions of the Internal Revenue Code applicable to “regulated investment companies” and to distribute substantially all of taxable and tax exempt income to its shareholders. Therefore, no provision for Federal income tax is required.
When-Issued and Delayed Delivery Transactions: The Trust may engage in when-issued or delayed delivery transactions. To the extent the Trust engages in such transactions, it will do so for the purpose of acquiring portfolio securities consistent with the investment objectives of the Fund and not for the purpose of investment leverage or to speculate on interest rate changes. At the time the Trust makes a commitment to purchase a security for the Fund, 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 at least annually.
General: Securities transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on securities purchased are amortized to call dates or maturity dates of the respective securities. Realized gains and losses from the sale of securities are recorded on an identified cost basis. Expenses common to all funds are allocated among the funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods.
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.
7
Notes to financial statements, Continued
Thornburg New York Intermediate Municipal Fund June 30, 2004
Guarantees and Indemnifications: Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Fund. Additionally, in the normal course of business the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services for which the fees are payable at the end of each month. For the year ended June 30, 2004, these fees were payable at annual rates ranging from .50 of 1% to .275 of 1% of the average daily net assets of the Fund. For the year ended June 30, 2004, the Advisor voluntarily waived investment advisory fees of $47,265. The Trust entered into an Administrative Services Agreement with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders and for which fees will be payable at an annual rate of up to .125 of 1% of the average daily net assets.
The Trust has a Distribution Agreement with Thornburg Securities Corporation (the “Distributor”), which acts as the distributor of Fund shares. For the year ended June 30, 2004, the Distributor has advised the Fund that it earned commissions aggregating $268 from the sale of Class A shares.
Pursuant to a Service Plan, under Rule 12b-1 of the Investment Company Act of 1940, the Trust may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the Fund’s average daily net assets for payments made by the Advisor to securities dealers and other persons for distribution of the Fund’s shares and to obtain various shareholder related services. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees have been adjusted to reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the statement of operations. For the year ended June 30, 2004 fees paid indirectly were $1,334.
Certain officers and Trustees of the Trust are also officers and/or directors of the Advisor and Distributor. The compensation of independent Trustees is borne by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2004 there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest of Class A were as follows:
Year Ended June 30, 2004 | Year Ended June 30, 2003 | ||||||||
---|---|---|---|---|---|---|---|---|---|
Shares | Amount | Shares | Amount | ||||||
Class A Shares | |||||||||
Shares sold | 940,980 | $ 11,918,550 | 1,011,444 | $ 12,957,471 | |||||
Shares issued to shareholders in | |||||||||
reinvestment of dividends | 73,809 | 933,594 | 70,934 | 907,397 | |||||
Shares repurchased | (690,958 | ) | (8,745,815 | ) | (530,074 | ) | (6,763,839 | ) | |
Net Increase (Decrease) | 323,831 | $ 4,106,329 | 552,304 | $ 7,101,029 | |||||
8
Notes to financial statements, Continued
Thornburg New York Intermediate Municipal Fund June 30, 2004
NOTE 5 – SECURITIES TRANSACTIONS
For the year ended June 30, 2004 the Fund had purchase and sale transactions (excluding short-term securities) of $9,711,516 and $5,334,883, respectively.
NOTE 6 – INCOME TAXES
At June 30, 2004, information on the tax components of capital is as follows:
Cost of investments for tax purposes | $ 40,433,357 | ||
Gross unrealized appreciation on a tax basis | $ 1,285,009 | ||
Gross unrealized depreciation on a tax basis | (73,230 | ) | |
Net unrealized appreciation (depreciation) | |||
on investments (tax basis) | $ 1,211,779 | ||
At June 30, 2004, the Fund did not have any undistributed tax-exempt/ordinary net income or undistributed capital gains.
At June 30, 2004, the Fund had tax basis capital losses, which may be carried over to offset future capital gains. Such capital loss carryovers expire as follows:
2011 | $ 3,753 | ||
2012 | 27,868 | ||
$31,621 | |||
Unutilized tax basis capital losses may be carried forward to offset realized gains in future years. To the extent such carry forwards are used, capital gain distributions may be reduced to the extent provided by regulations.
In order to account for permanent book/tax differences, the Fund decreased over-distributed net investment income (loss) by $5,629, increased accumulated net realized gain (loss) by $907 and increased net capital paid in on shares of beneficial interest by $4,722. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from the difference in the tax treatment of market discounts.
The tax character of distributions paid by the Fund for the years ended June 30, 2004 and June 30, 2003 was as follows:
2004 | 2003 | ||||
---|---|---|---|---|---|
Tax-exempt income | $1,460,846 | $1,416,047 | |||
Long-term capital gain | - | $ 52,639 |
9
Financial highlights
Thornburg New York Intermediate Municipal Fund
Yr Ended June 30, | |||||
---|---|---|---|---|---|
2004 | 2003 | 2002 | 2001 | 2000 | |
Class A Shares: | |||||
Per Share Performance | |||||
(for a share outstanding throughout the year) | |||||
Net asset value, beginning of year | $ 12.86 | $ 12.63 | $ 12.55 | $ 12.16 | $ 12.36 |
Income from investment operations: | |||||
Net investment income | 0.45 | 0.51 | 0.54 | 0.62 | 0.64 |
Net realized and unrealized | |||||
gain (loss) on investments | (0.40) | 0.25 | 0.08 | 0.39 | (0.20) |
Total from investment operations | 0.05 | 0.76 | 0.62 | 1.01 | 0.44 |
Less dividends from: | |||||
Net investment income | (0.45) | (0.51) | (0.54) | (0.62) | (0.64) |
Realized capital gains | -- | (0.02) | -- | -- | -- |
Total distributions | (0.45) | (0.53) | (0.54) | (0.62) | (0.64) |
Change in net asset value | (0.40) | 0.23 | 0.08 | 0.39 | (0.20) |
Net asset value, end of year | $ 12.46 | $ 12.86 | $ 12.63 | $ 12.55 | $ 12.16 |
Total return (a) | 0.36% | 6.16% | 5.05% | 8.44% | 3.65% |
Ratios/Supplemental Data | |||||
Ratios to average net assets: | |||||
Net investment income | 3.51% | 4.02% | 4.29% | 4.95% | 5.23% |
Expenses, after expense reductions | 0.99% | 0.93% | 0.87% | 0.87% | 0.76% |
Expenses, after expense reductions | |||||
and net of custody credits | 0.99% | 0.93% | 0.87% | -- | -- |
Expenses, before expense reductions | 1.11% | 1.10% | 1.09% | 1.13% | 1.15% |
Portfolio turnover rate | 13.46% | 15.57% | 17.66% | 21.96% | 19.02% |
Net assets at end of year (000) | $ 42,551 | $ 39,764 | $ 32,076 | $ 25,855 | $ 24,365 |
(a) Sales loads are not reflected in computing total return.
10
SCHEDULE OF INVESTMENTS
Thornburg Thornburg New York Intermediate Municipal Fund June 30,2004
CUSIPS: CLASS A - 885-215-665
NASDAQ SYMBOLS: CLASS A - THNYX
Issuer-Description | Credit Rating† Moody’s/S&P | Principal Amount | Value | ||||
---|---|---|---|---|---|---|---|
Amherst Industrial Development Agency Civic Facility Revenue, 5.75% due 4/1/2015 (Insured: ACA) | NR/A | $ 465,000 | $ 483,814 | ||||
Bethlehem Central School District General Obligation, 7.10% due 11/1/2006 (Insured: AMBAC) | Aaa/AAA | 700,000 | 774,039 | ||||
Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due 11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork Bank) | A2/A- | 1,075,000 | 1,101,069 | ||||
Canastota Central School District General Obligation, 7.10% due 6/15/2007 (ETM)* | Baa2/NR | 215,000 | 243,036 | ||||
Canastota Central School District General Obligation, 7.10% due 6/15/2008 (ETM)* | Baa2/NR | 205,000 | 237,534 | ||||
Guam Power Authority Revenue Series A, 6.625% due 10/1/2014 pre-refunded 10/1/2004 @ 102 | NR/AAA | 550,000 | 568,293 | ||||
Hempstead Town Ind. Dev. Agency Resource Recovery Revenue, 5.00% due 12/1/2010 put 6/1/2010 (American Ref-Fuel Project) | A3/BBB | 1,000,000 | 1,051,570 | ||||
Hempstead Industrial Development Agency Resource Recovery Revenue Refunding, 5.00% due 12/1/2007 (American Ref-Fuel Project; Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,068,210 | ||||
Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due 12/1/2007 (Insured: AMBAC) | Aaa/AAA | 785,000 | 864,324 | ||||
Long Island Power Authority General Series B, 5.00% due 12/1/2006 | Baa1/A- | 1,000,000 | 1,054,220 | ||||
Long Island Power Authority New York Electric Systems Revenue Subordinated Series 8-F, 5.00% due 4/1/2011 put 4/1/2006 (Insured: MBIA) | Aaa/AAA | 405,000 | 423,525 | ||||
Monroe County Industrial Development Agency Revenue, 6.45% due 2/1/2014 (Civic Facility - DePaul Community Facility Project; Insured: Sonyma) | Aa1/NR | 880,000 | 900,970 | ||||
Nassau County New York Refunding Series B, 5.75% due 2/1/2009 (Insured: MBIA) | Aaa/AAA | 150,000 | 152,069 | ||||
Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) | Aaa/AAA | 530,000 | 597,469 | ||||
New York Adjustment Adjusted Series H Subseries H 3, 1.03% due 8/1/2023 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 600,000 | 600,000 | ||||
New York City General Obligation Series B, 7.20% due 8/15/2008 pre-refunded 8/15/2004 @ 101 | A2/A | 1,000,000 | 1,017,280 | ||||
New York City Industrial Development Agency Civic Facility Revenue Refunding, 6.00% due 8/1/2006 (YMCA Greater New York Project) | Baa1/NR | 580,000 | 618,187 | ||||
New York City Municipal Water Finance Authority, 1.03% due 6/15/2024 put 7/1/2004 (daily demand notes) | VMIG1/A1+ | 500,000 | 500,000 | ||||
New York City Municipal Water Finance Authority Series B, 5.75% due 6/15/2013 (ETM)* | Aaa/AAA | 1,000,000 | 1,041,660 | ||||
New York City Transitional Refunding Future Tax Secured C, 5.25% due 8/1/2016 (Insured: AMBAC) | Aaa/AAA | 1,365,000 | 1,457,533 | ||||
New York City Trust Cultural Resources Revenue, 5.75% due 7/1/2014 (Museum of American Folk Art Project; Insured: ACA) | NR/A | 920,000 | 963,939 | ||||
New York Dormitory Authority Lease Revenue Series A, 5.25% due 8/15/2013 (Insured: FSA) | Aaa/AAA | 1,000,000 | 1,074,230 | ||||
New York Dormitory Authority Revenue, 5.25% due 7/1/2010 (Insured: Radian) | NR/AA | 350,000 | 380,730 | ||||
New York Dormitory Authority Revenue, 5.25% due 7/1/2011 (Insured: Radian) | NR/AA | 370,000 | 402,715 | ||||
New York Dormitory Authority Revenue, 7.35% due 8/1/2029 (Jewish Geriatric Project; Insured: FHA) | NR/AAA | 500,000 | 512,045 | ||||
New York Dormitory Authority Revenue Capital Appreciation, 0% due 7/1/2005 (Insured: FSA) | Aaa/AAA | 110,000 | 105,349 | ||||
New York Dormitory Authority Revenue Mental Health Services Facilities Improvement A, 5.50% due 2/15/2019 (Insured: MBIA) | Aaa/AAA | 1,115,000 | 1,189,014 | ||||
New York Dormitory Authority Revenue Refunding, 6.10% due 7/1/2019 (Ryan Clinton Community Health Center Project; Insured: Sonyma Mortgage) | Aa1/NR | 1,000,000 | 1,091,180 | ||||
New York Dormitory Authority School District Bond Financing Program Series A, 5.50% due 7/1/2009 | NR/A+ | 575,000 | 629,016 | ||||
New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, 6.875% due 6/15/2014 | Aaa/AAA | 400,000 | 407,716 | ||||
New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded 9/15/2007 @ 100 | A3/AAA | 665,000 | 738,855 | ||||
New York Medical Care Facilities Finance Agency Revenue, 6.125% due 2/15/2014 (Insured: FHA) | Aa2/AA | 35,000 | 36,006 | ||||
New York Medical Care Facilities Finance Agency Revenue Series A, 6.85% due 2/15/2017 pre-refunded 2/15/2005 @ 102 (Brookdale Hospital Medical Center Project) | Aaa/AAA | 500,000 | 526,670 | ||||
New York Medical Care Facilities Finance Agency Revenue Series A, 6.80% due 2/15/2020 pre-refunded 2/15/2005 @ 102 (New York Downtown Hospital Project) | Aaa/AAA | 500,000 | 526,515 | ||||
New York Mortgage Agency Revenue, 5.85% due 10/1/2017 | Aaa/NR | 665,000 | 686,559 | ||||
New York Series A, 7.00% due 8/1/2007 (Insured: FSA) | Aaa/AAA | 750,000 | 823,747 | ||||
New York Series F, 5.50% due 8/1/2006 (Insured: MBIA) | Aaa/AAA | 350,000 | 372,943 | ||||
New York Series G, 6.75% due 2/1/2009 (Insured: MBIA) | Aaa/AAA | 1,000,000 | 1,147,650 | ||||
New York State Dormitory Authority Revenue, 5.50% due 3/15/2012 | NR/AA | 1,000,000 | 1,108,810 | ||||
New York State Dormitory Authority Revenue Refunding, 5.00% due 2/15/2010 (Wyckoff Heights Project; Insured: AMBAC) | Aaa/AAA | 1,000,000 | 1,067,160 | ||||
New York State General Obligation, 9.875% due 11/15/2005 | A2/AA | 500,000 | 552,030 | ||||
New York State Housing Finance Service Contract Series A 2003, 6.375% due 9/15/2015 pre-refunded 9/15/2005 @ 102 | A3/AA- | 80,000 | 85,939 | ||||
New York State Housing Finance Service Contract Unrefunded Balance Series A 2003, 6.375% due 9/15/2015 | A3/AA- | 5,000 | 5,308 | ||||
New York State Mortgage Agency Revenue Series 70, 5.375% due 10/1/2017 | Aa2/NR | 300,000 | 310,491 | ||||
New York State Thruway Authority Service Contract Revenue Refunding, 5.50% due 4/1/2013 (Local Highway & Bridge Project; Insured: XLCA) | Aaa/AAA | 1,000,000 | 1,099,080 | ||||
New York State Thruway Authority State Personal Income Tax Revenue Transportation Series A, 5.00% due 3/15/2006 | A1/AA | 300,000 | 314,169 | ||||
New York State Urban Development Corp. Revenue Personal Income Tax Series D, 5.00% due 12/15/2006 | A1/AA | 1,000,000 | 1,059,750 | ||||
New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due 1/1/2011 (Correctional Capital Project; Insured: FSA) | Aaa/AAA | 1,000,000 | 1,164,910 | ||||
New York Urban Development Corp. Correctional Facilities Revenue, 0% due 1/1/2008 | A3/AA- | 2,000,000 | 1,771,120 | ||||
Newark Wayne Community Hospital Revenue Series B, 5.875% due 1/15/2033 (Insured: AMBAC) | Aaa/AAA | 1,505,000 | 1,524,038 | ||||
Oneida County Industrial Development Agency Revenue, 6.00% due 1/1/2010 (Insured: Radian) | NR/AA | 355,000 | 396,063 | ||||
Oneida County Industrial Development Agency Revenue, 6.10% due 6/1/2020 (Civic Facility Presbyterian Home Project; LOC: HSBC Bank USA) | Aa3/NR | 450,000 | 480,816 | ||||
Port Chester Industrial Development Agency Refunding, 4.75% due 7/1/2031 put 7/1/2011 (American Foundation Project; Collateralized: FNMA) | NR/AAA | 750,000 | 788,033 | ||||
Puerto Rico Electric Power Authority Power Revenue Refunding Series J, 5.375% due 7/1/2017 (Insured: XLCA) | Aaa/AAA | 560,000 | 613,043 | ||||
Puerto Rico Public Bldgs Authority Revenue Guaranteed Refunding Government Facilities Series K, 4.00% due 7/1/2026 (Insured: MBIA) (put 7/1/07) | Aaa/AAA | 1,000,000 | 1,038,130 | ||||
Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, 5.00% due 6/1/2012 (Secured: State Contingency Contract) | NR/AA- | 850,000 | 878,560 | ||||
Utica Industrial Development Agency Civic Facility Revenue, 5.25% due 7/15/2016 (Munson Williams Proctor Institute Project) | A1/NR | 210,000 | 223,509 | ||||
Valley Central School District Montgomery, 7.15% due 6/15/2007 (Insured: AMBAC) | Aaa/AAA | 625,000 | 703,044 | ||||
Westchester County IDA Civic Facility Revenue, 6.25% due 4/1/2005 (Julia Dyckman Project) | NR/NR | 90,000 | 91,452 | ||||
TOTAL INVESTMENTS (Cost $40,434,264) | $ 41,645,136 | ||||||
† Credit ratings are unaudited | |||||||
*Escrowed to maturity | |||||||
See notes to financial statements |
Report of Independent Registered Public Accounting Firm
Thornburg New York Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg New York Intermediate Municipal Fund
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 York Intermediate Municipal Fund, a series of Thornburg Investment Trust (the “Fund”) at June 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five 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 the standards of the Public Company Accounting Oversight Board (United States), 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 June 30, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 2, 2004
13
Index Comparisons
Thornburg New York Intermediate Municipal Fund June 30, 2004
Thornburg New York Intermediate Municipal Fund
Index Comparison
Compares performance of Thornburg New York Intermediate Municipal Fund, the Merrill Lynch Municipal Bond (7-12 year) Index (the “Index”) and the Consumer Price Index (CPI), for the periods ended June 30, 2004. On June 30, 2004, 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 9.3 years and 6.2 years, respectively. Past performance of the Index and the Fund may not be indicative of future performance.
The performance data and graph do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of fund shares.
![](https://capedge.com/proxy/N-CSR/0000816153-04-000072/thnyx604.jpg)
Total return figures for the Public Offering Price (POP) include subtraction of maximum sales charge of 2.00% for the A shares. Performance data quoted represent the past and are no guarantee of future results. Current returns may be either lower or higher than those shown. Share prices and returns will fluctuate and investors may experience a loss upon redemption. There is no guarantee that the Fund will meet its objectives. Shares in the Fund carry risks, including possible loss of principal. Carefully consider the Fund’s investment objectives, risks, sales charges, and expenses; this is found in the prospectus, which is available from your financial advisor or from www.thornburg.com. Read it carefully before you invest or send money. For the most recent month-end performance information, visit www.thornburg.com. |
The Consumer Price Index (CPI) measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index. |
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad measure of market performance. It is a model portfolio of municipal obligations throughout the U.S., with an average maturity which ranges from seven to twelve years. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. |
Trustees and officers
Thornburg New York Intermediate Municipal Fund June 30, 2004
Name, Address and Age (1) | Position(s) Held with Fund (2) | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee or Nominee for Trustee |
---|---|---|---|---|---|
Interested Trustees Garrett Thornburg, 58 Brian J. McMahon, 48 Independent Trustees David A. Ater, 59 David D. Chase, 63 Forrest S. Smith, 74 James W. Weyhrauch, 45 Officers of the Fund (who are not Trustees)(7) Dawn B. Fischer, 57 Steven J. Bohlin, 45 George T. Strickland, 41 William V. Fries, 65 Leigh Moiola, 37 Kenneth Ziesenheim, 50 Alexander Motola, 34 Wendy Trevisani, 33 Joshua Gonze, 41 Brad Kinkelaar, 36 Kerry D. Lee, 37 Christopher Ihlefeld, 33 Leon Sandersfeld, 37 Sasha Wilcoxon, 29 | Chairman of Trustees (3) Trustee, President (5) Trustee Trustee Trustee Trustee Secretary Vice President, Treasurer Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President Vice President | Trustee Since 1987 (4) Trustee Since 2001; President Since 1997 (4)(6) Trustee since 1994 (4) Trustee since 2001 (4) Trustee since 1987 (4) Trustee since 1996 (4) Secretary Since 1987 (6) Vice President Since 1987; Treasurer Since 1989 (6) Vice President Since 1996 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1995 (6) Vice President Since 2001 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 1999 (6) Vice President Since 2003 (4) Vice President Since 2003 (6) Vice President Since 2003 (6) | CEO, Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor) and Thornburg Securities Corporation (securities dealer); Chairman of Thornburg Limited Term Municipal Fund, Inc. (registered investment company) to 2004; CEO and Chairman of Thornburg Mortgage, Inc. (real estate investment trust); Chairman of Thornburg Mortgage Advisory Corporation (investment manager to Thornburg Mortgage, Inc.). President and Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Principal in Ater & Ater Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner developer and broker for various real estate projects. Chairman, President, CEO, and General Partner of Vestor Partners, LP, Santa Fe, NM (private equity fund); Chairman and CEO of Vestor Holdings, Inc., Santa Fe, NM (merchant bank). Trust and estate attorney, of counsel to Catron, Catron & Pottow, Santa Fe, NM (law firm). Executive Vice President and Director to 2002, and since 2002; CEO and Vice Chairman, NambMills, Inc., Santa Fe, NM (manufacturer). Secretary and Managing Director, Thornburg Investment Management, Inc.; Secretary, Thornburg Limited Term Municipal Fund, Inc. to 2004; Secretary, Thornburg Securities Corporation; Vice President, Daily Tax Free Income Fund, Inc. (registered investment company). Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President (and Treasurer since 2003) of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President and Managing Director of Thornburg Investment Management, Inc. Vice President and Managing Director of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2004. Managing Director of Thornburg Investment Management, Inc.; President of Thornburg Securities Corporation; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Managing Director of Thornburg Investment Management, Inc. since 2000; Portfolio Manager, Insight Capital Research & Management, Inc., Walnut Creek, California 1995-2000. Associate of Thornburg Investment Management, Inc. 1999 - -2003, Vice President since 2000 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. 1999-2002; Sales Representative, Solomon Smith Barney 1996-1999. Associate of Thornburg Investment Management Inc. to 2004, Vice President since 1999 and Managing Director since 2004; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Associate Portfolio Manager of Thornburg Investment Management, Inc. since 1999 and Vice President and Managing Director since 2004; Equity Investment Analyst, State Farm Insurance Companies 1996-1999. Vice President of Thornburg Investment Management, Inc.; Vice President of Thornburg Limited Term Municipal Fund, Inc. to 2004. Vice President of Thornburg Investment Management, Inc.; Vice President of Limited Term Municipal Fund, Inc., 2003-2004. Associate of Thornburg Investment Management, Inc. since 2002; Senior Staff Accountant, Farm Bureau Life Insurance Co. 1998-2002. Associate of Thornburg Investment Management, Inc. since 2000; and Mutual Fund Support Service Department Manager since 2002. | Twelve Twelve Twelve Twelve Twelve Twelve N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A | Director of Thornburg Mortgage, Inc. (real estate investment trust) None Director of Thornburg Mortgage, Inc. (real estate investment trust) Director of Thornburg Limited Term Municipal Fund, Inc. 2001-2004 None None N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A |
(1) | Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501. |
(2) | The Fund is one of twelve separate investment "Funds" or |
"series" of Thornburg Investment Trust (the "Trust"), | |
organized as a Massachusetts business trust. The Trust currently has twelve | |
active Funds. Thornburg Investment Management, Inc. is the investment advisor | |
to, and manages, the twelve funds of the Trust. | |
(3) | Mr. Thornburg is considered an "interested" Trustee under the |
Investment Company Act of 1940 because he is a director and controlling | |
shareholder of Thornburg Investment Management, Inc., the investment advisor to | |
the twelve active funds of the Trust, and is the sole director and controlling | |
shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. | |
(4) | Each Trustee serves in office until the election and qualification of a successor. |
(5) | Mr. McMahon is considered an "interested" Trustee because he is the |
president of Thornburg Investment Management, Inc. | |
(6) | The Trust's president, secretary and treasurer each serves a one-year term or until the |
election and qualification of a successor; each other officer serves at the pleasure of the Trustees. | |
(7) | Assistant vice presidents, assistant secretaries and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
PORTFOLIO PROXY VOTING
Policies and Procedures (Unaudited):
The Trust has delegated to Thornburg Investment Management, Inc. (“the Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1.800.847.0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Commencing August 31, 2004, information regarding how proxies were voted will be available on or before August 31 of each year for the twelve months ending the preceding June 30. This information will be available (i) without charge, upon request, on the Thornburg website at www.thornburg.com and (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
TAX INFORMATION
For the fiscal year ended June 30, 2004, one hundred percent of dividends paid by the Fund are tax exempt dividends. The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003.
Item 2. Code of Ethics
Thornburg Investment Trust (the “Trust”) has adopted a code of ethics described in Item 2 of Form N-CSR. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Trustees of Thornburg Investment Trust have determined that two members of the Trust’s audit committee, David A. Ater and David D. Chase, are each audit committee financial experts as defined in Item 3 of Form N-CSR. Mr. Ater and Mr. Chase are each independent for purposes of Item 3 of Form N-CSR. The Trustees’ determinations in this regard were based upon their current understandings of the definition of “audit committee financial expert” and current interpretations of the definition. The Trustees call attention to the lack of clarity in the definition, and that shareholders and prospective investors may wish to evaluate independently this definition and the qualifications of the Trust’s audit committee. The definition of “audit committee financial expert,” together with comments on the definition, are set forth in the Securities and Exchange Commission’s website (www.sec.gov).
Item 4. Principal Accountant Fees and Services
Audit Fees
The aggregate fees billed to Thornburg Investment Trust by the Trust’s independent auditors, PricewaterhouseCoopers LLP (“PWC”) in each of the last two fiscal years ended June 30, 2003 and June 30, 2004, for the audit of the Trust’s financial statements and for services that are normally provided by PWC in connection with statutory and regulatory filings or requirements for those fiscal years are set out below. In addition, the table below displays the aggregate fees billed to Thornburg Limited Term Municipal Fund, Inc. (the “Company”) for the audit of the Company’s financial statements and services described in the preceding sentence for the Company’s two most recent fiscal years ended June 30, 2003 and June 30, 2004. On June 21, 2004, the Company’s two series, Thornburg Limited Term Municipal Fund — National Portfolio and Thornburg Limited Term Municipal Fund — California Portfolio, were reorganized as Thornburg Limited Term Municipal Fund and Thornburg California Limited Term Municipal Fund, respectively, Funds of Thornburg Investment Trust.
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Investment Trust | $162,090 (1) | $200,700 (1) |
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Limited Term | |||||
Municipal Fund, Inc. | $64,030 | $65,210 |
(1) | Before the reorganization on June 21, 2004, nine Funds of the Trust had a fiscal year ending September 30, and one Fund of the Trust (Thornburg New York Intermediate Municipal Fund) had a fiscal year ending June 30. Consequently, information for the year ended June 30, 2003 and June 30, 2004 for the Trust includes fees of $10,000 billed for Thornburg New York Intermediate Municipal Fund for each period, and $152,090 and $190,700 billed for the other nine Funds relating to those Funds' fiscal year ended September 30, 2003 and period ended June 30, 2004, respectively. The information for the year ended June 30, 2003 for the Company relates to the predecessors to Thornburg Limited Term Municipal Fund and Thornburg California Limited Term Municipal Fund, and the information for the year ended June 30, 2004 for the Company relates primarily to the audits of Thornburg Limited Term Municipal Fund and Thornburg California Limited Term Municipal Fund. |
Audit Related Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years ended June 30, 2003 and June 30, 2004 for assurance and related services that are reasonably related to the audit or review of the Trust’s financial statements are set out below. In addition, the table below displays the aggregate fees billed to the Company for the same category of services in each of the last two fiscal years ended June 30, 2003 and June 30, 2004. Please see the discussion of the reorganization of the Company under the caption “Audit Fees,” above.
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Investment Trust | $350 | $10,730 |
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Limited Term | |||||
Municipal Fund, Inc. | -0- | $7,835 |
The audit related fees billed to the Trust in the fiscal year ended June 30, 2003 related to advice, consultation and issuance of a consent by PWC to be named in the Trust’s registration statement, respecting the commencement of operations by a new Fund. The audit related fees billed to the Trust in the fiscal year ended June 30, 2004 related to advice, consultation and issuance of a consent by PWC, respecting the creation and issuance of a new class of shares by some Funds of the Trust, Audit Committee attendance, and dividend distribution analysis in respect of Thornburg Value Fund, Thornburg International Value Fund, and Thornburg Investment Income Builder Fund. The audit related fees billed to the Company in the fiscal year ended June 30, 2004 related to advice on financial reporting issues and issuance of consents arising from the reorganization of the Company’s two series as Funds of the Trust.
Tax Fees
The fees billed to the Trust by PWC in each of the last two fiscal years ended June 30, 2003 and June 30, 2004 for professional services rendered by PWC for tax compliance, tax advice or tax planning are set out below. In addition, the table below displays the fees billed to the Company for the same category of services for the last two fiscal years ended June 30, 2003 and June 30, 2004. Please see the discussion of the reorganization of the Company under the caption “Audit Fees,” above.
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Investment Trust | $32,500 (1) | $3,000 (1) |
Year Ended June 30, 2003 | Year Ended June 30, 2004 | ||||
---|---|---|---|---|---|
Thornburg Limited Term | |||||
Municipal Fund, Inc. | $5,500 | $7,000 |
(1) | Information for the year ended June 30, 2003 for the Trust includes fees of $3,000 billed for Thornburg New York Intermediate Municipal Fund and $29,500 billed for the other nine Funds of the Trust relating to those Funds' taxable year ended September 30, 2003. The information for the Trust for the fiscal year ended June 30, 2004 relates to Thornburg New York Intermediate Municipal Fund. |
The fees billed to the Trust and the Company in each of the last two fiscal years ended June 30, 2003 and June 30, 2004 were primarily for tax return preparation.
All Other Fees
PWC did not bill Thornburg Investment Trust or the Company for other products or services, other than described above, for the two most recent fiscal years of Thornburg Investment Trust or the Company ended June 30, 2003 and June 30, 2004.
PWC performs no services for the investment adviser, the Trust’s principal underwriter or any other person controlling, controlled by, or under common control with the investment adviser, which provides ongoing services to the Trust, except that PWC has provided to the investment adviser, Thornburg Investment Management, Inc., in the two fiscal years ended June 30, 2003 and June 30, 2004, attestation of its investment performance presentations. The fees billed by PWC for these services were $27,500 and $61,500 for the fiscal years ended June 30, 2003 and June 30, 2004, respectively.
The Trust’s Audit Committee has determined that PWC’s performance of the described services for the investment adviser is compatible with PWC’s independence in its audit of the Trust.
Audit Committee Pre-Approval Policies and Procedures
As of June 30, 2004, the Trust’s Audit Committee has not adopted pre-approval policies and procedures. Accordingly, all services provided by PWC to the Funds must be pre-approved by the Audit Committee.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 10. Controls and Procedures
(a) The principal executive officer and the principal financial officer have concluded that Thornburg Investment Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurance that material information relating to Thornburg Investment Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There was no change in the Thornburg Investment Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 11. Exhibits
(a) | (1) Code of Business Conduct and Ethics attached hereto as Exhibit 99.CODE ETH. |
(a) | (2) Certifications pursuant to Rule 30a-2 under the Investment Company Act of 1940 (17 CFR 70.30a-2) attached hereto as Exhibit 99.CERT. |
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Thornburg Investment Trust, in respect of Thornburg Limited Term Municipal Fund, Thornburg California Limited Term Municipal Fund, and Thornburg New York Intermediate Municipal Fund.
By: | /s/ Brian J. McMahon | ||
Brian J. McMahon | |||
President and principal executive officer | |||
Date: | August 24, 2004 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian J. McMahon | ||
Brian J. McMahon | |||
President and principal executive officer | |||
Date: | August 24, 2004 | ||
By: | /s/ Steven J. Bohlin | ||
Steven J. Bohlin | |||
Treasurer and principal financial officer | |||
Date: | August 24, 2004 |