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, 2003
Date of reporting period: June 30, 2003
Item 1. Reports to Shareholders
Thornburg New York Intermediate Municipal Fund
Annual Report
June 30, 2003
Thornburg New York Intermediate Municipal Fund ALL DATA AS OF 06/30/03.
Fund facts: Thornburg New York Intermediate Municipal Fund
A Shares
Annualized Distribution Rate (at NAV) 3.91%
SEC Yield 1.35%
NAV $12.86
Maximum Offering Price $13.12
Total returns: (Annual Average - After Subtracting Maximum Sales Charge)
One Year 4.02%
Three Years 5.82%
Five Years 4.69%
Since Inception 5.04%
Inception Date 9/5/97
The investment return and principal value of an investment in the Fund will
fluctuate so that, when redeemed, an investor's shares may be worth more or less
than their original cost.
Maximum sales charge of the Fund's Class A Shares is 2.00%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
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
distribution factors and dividing this sum by a 30-day period and annualizing to
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 14, 2003
Dear Fellow Shareholder:
I am pleased to present the Annual Report for the Thornburg New York
Intermediate Fund. The net asset value of Class A shares increased by 23 cents
to $12.86 during the year ending June 30, 2003. If you were with us for the
entire period, you received dividends of 53.4 cents per share. If you reinvested
dividends, you received 54.5 cents per share.
Over the last year, interest rates on high-quality municipal bonds have fallen
substantially. Falling interest rates drive up the price of most of the bonds
owned by the Fund and this has resulted in an increasing share price.
Your Thornburg Intermediate New York Fund is a laddered portfolio of over 55
municipal obligations from all over New York. All of the bonds are currently
rated A or better by one of the major rating agencies. Today, your fund's
weighted average maturity is 7.3 years; we always 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. The chart
below portrays the percentages of your Fund's bond portfolio maturing in each of
the coming years.
% of portfolio Cumulative %
maturing within maturing by end of
2 years = 15% Year 2 = 15%
2 to 4 years = 16% Year 4 = 31%
4 to 6 years = 15% Year 6 = 46%
6 to 8 years = 11% Year 8 = 57%
8 to 10 years = 10% Year 10 = 67%
10 to 12 years = 10% Year 12 = 77%
12 to 14 years = 5% Year 14 = 82%
14 to 16 years = 8% Year 16 = 90%
16 to 18 years = 4% Year 18 = 94%
18 to 20 years = 6% Year 20 = 100%
Percentages can and do vary. Data as of 6/30/03.
Three powerful trends seem to be driving recent performance
of the municipal market. The first trend is one of persistent economic weakness.
The U.S. unemployment rate, at 6.4%, just hit a nine-year high. GDP growth is
sputtering along at about 2%. Our European and Japanese trading partners are, by
and large, worse off than are we, and the Federal Reserve Board seems to be at
least as worried about deflation as it is about inflation. We continue to
believe that low interest rates, tax cuts, and rising corporate profits will
eventually lead to steady economic and employment growth, and probably give rise
to somewhat higher interest rates. However, that process is taking longer than
we formerly thought and may not materialize until next year.
The second trend is one of financial stress in many of our cities and states. A
combination of flat or declining tax revenues and rising expenses for items such
as Medicaid and pension systems has led to large budget deficits for more than
half of the 50 states. The challenges have led to a number of high profile
downgrades by the major bond rating agencies.
Budget negotiations were particularly contentious in New York this year. The
legislature overrode Governor Pataki's veto in order to settle upon a plan which
attempts to balance the 2004 budget with a combination of spending cuts, income
and sales tax increases, as well as one-time measures. While we are pleased to
see a plan in place, we believe a number of risks remain. They include
concentration of the city and state's economies, relatively high debt levels,
and significant use of non-recurring sources of revenue. We have continued to
maintain high credit quality in the Fund, with 51% of the portfolio rated AAA
and 100% of the securities in the portfolio rated A or above by either Moody's
or Standard & Poor's.
It is notable that in the middle of all these problems, many municipal credits
are doing just fine. Standard & Poor's recently reported that, nationwide,
upgrades outpaced downgrades in the second quarter of 2003 by a ratio of 1.6:1.
This is because the municipal bond market is made-up of much more than the 50
states. Many of our cities, counties, school districts, water and sewer
authorities, transportation authorities, and health care providers have
benefited from stable revenues based upon property taxes, sales taxes, and fees
for essential services. The municipal bond market has historically a much lower
default rate than the corporate bond market, and we continue to enjoy some
success finding good bonds at relatively reasonable prices.
The third trend exerting pressure on the municipal market is the heavy supply of
bonds. $198 billion of municipal bonds were issued in the first half of 2003, a
19% increase over the record pace in 2002. The first-half total already exceeds
full-year volume for 1994, 1995, and 1996. The heavy supply has often saturated
traditional sources of demand and pushed high-quality, tax-free municipal bond
yields to levels approaching taxable Treasury bond yields. The relative
attractiveness of the municipal bond market should allow full coupon municipal
bonds to outperform the Treasury bond market if the heavy supply abates and
yield ratios revert to historical norms. So called "market discount" municipal
bonds may lag if interest rates continue to rise.
The Wall Street Journal ran a front-page story on July 7, 2003, about retirees
who are forced to pinch pennies as money market and CD rates plunge. We believe
that laddering short and intermediate bonds -- as we have done for your account
- -- is the best way to address this problem. Laddering bonds moderates the income
flow risk of plunging short term yields and the principal risk that affects all
bonds when interest rates rise. To see how your Fund has performed over time
relative to the money market fund averages, turn to the back of this report.
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 the Thornburg New York Intermediate Municipal Fund.
Sincerely,
George Strickland
Portfolio Manager
Past performance cannot guarantee future results.
Statement of assets and liabilities
Thornburg New York Intermediate Municipal Fund
June 30, 2003
ASSETS
Investments at value (cost $36,431,414) .......................... $ 38,967,873
Cash ............................................................. 170,307
Receivable for investments sold .................................. 77,901
Receivable for fund shares sold .................................. 95,179
Interest receivable .............................................. 552,721
Total Assets ............................................ 39,863,981
LIABILITIES
Payable for fund shares redeemed ................................. 1,503
Accounts payable and accrued expenses ............................ 23,330
Payable to investment advisor (Note 3) ........................... 27,704
Dividends payable ................................................ 47,872
Total Liabilities ....................................... 100,409
NET ASSETS ....................................................... $ 39,763,572
NET ASSETS CONSIST OF:
Undistributed net investment income ..................... $ 320
Net unrealized appreciation (depreciation) on investments 2,536,459
Accumulated net realized gain (loss) .................... (38,903)
Net capital paid in on shares of beneficial interest .... 37,265,696
$ 39,763,572
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share
($39,763,572 applicable to 3,092,344 shares of beneficial
interest outstanding - Note 4) .......................... $ 12.86
Maximum sales charge, 2.00% of offering price .................... 0.26
Maximum Offering Price Per Share ................................. $ 13.12
See notes to financial statements.
Statement of operations
Thornburg New York Intermediate Municipal Fund
Year Ended June 30, 2003
INVESTMENT INCOME:
Interest income (net of premium amortized of $170,794) .......... $ 1,744,944
EXPENSES:
Investment advisory fees (Note 3) ............................... 176,249
Administration fees (Note 3) .................................... 44,062
Service fees (Note 3) ........................................... 76,445
Transfer agent fees ............................................. 33,741
Custodian fees (Note 3) ......................................... 31,607
Registration and filing fees .................................... 881
Professional fees ............................................... 16,036
Accounting fees ................................................. 2,255
Trustee fees .................................................... 731
Other expenses .................................................. 6,784
Total Expenses ................................ 388,791
Less:
Investment advisory fees waived (Note 3) ............... (59,208)
Fees paid indirectly (Note 3) .......................... (686)
Net Expenses .................................. 328,897
Net Investment Income ......................... 1,416,047
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments sold .................... (38,903)
Increase (Decrease) in unrealized appreciation of investments ... 678,415
Net Realized and Unrealized
Gain (Loss) on Investments .................... 639,512
Net Increase (Decrease) in Net Assets Resulting
From Operations ............................... $ 2,055,559
See notes to financial statements.
Statements of changes in net assets
Thornburg New York Intermediate Municipal Fund
Year Ended Year Ended
June 30, 2003 June 30, 2002
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ....................................... $ 1,416,047 $ 1,233,097
Net realized gain (loss) on investments sold ................ (38,903) 83,913
Increase (Decrease) in unrealized appreciation of investments 678,415
62,767
Net Increase (Decrease) in Net Assets
Resulting from Operations ................. 2,055,559 1,379,777
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares ..................................... (1,416,047) (1,233,097)
From realized gains
Class A Shares ..................................... (52,639) 0
FUND SHARE TRANSACTIONS (NOTE 4):
Class A Shares ..................................... 7,101,029 6,074,393
Net Increase (Decrease) in Net Assets ..... 7,687,902 6,221,073
NET ASSETS:
Beginning of year .................................. 32,075,670 25,854,597
End of year ........................................ $ 39,763,572 $ 32,075,670
See notes to financial statements.
Notes to financial statements
Thornburg New York Intermediate Municipal Fund
June 30, 2003
NOTE 1 - ORGANIZATION
Thornburg New York Intermediate Municipal Fund (the "Fund") is a series of
Thornburg Investment Trust (the "Trust"). The Trust is organized as a
Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and
is registered as a diversified, open-end management investment company under the
Investment Company Act of 1940, as amended. The Trust is currently issuing nine
series of shares of beneficial interest in addition to those of the 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 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 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 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 by check. 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.
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,
2003, 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,
2003, the Advisor voluntarily waived investment advisory fees of $59,208. 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 an underwriting agreement
with Thornburg Securities Corporation (the "Distributor"), which acts as the
distributor of Fund 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 financial institutions 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, 2003 fees paid indirectly were $686.
Certain officers and trustees of the Trust are also officers and/or directors of
the Advisor and Distributor. The compensation of unaffiliated trustees is borne
by the Trust.
NOTE 4 - SHARES OF BENEFICIAL INTEREST
At June 30, 2003 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 Year Ended
June 30, 2003 June 30, 2002
Shares Amount Shares Amount
Class A Shares
Shares sold .................... 1,011,444 $ 12,957,471 702,418 $ 8,885,460
Shares issued to shareholders in
reinvestment of dividends ... 70,934 907,397 60,133 759,542
Shares repurchased ............. (530,074) (6,763,839) (283,204) (3,570,609)
Net Increase (Decrease) ........ 552,304 $ 7,101,029 479,347 $ 6,074,393
NOTE 5 - SECURITIES TRANSACTIONS
For the year ended June 30, 2003 the Fund had purchase and sale transactions
(excluding short-term securities) of $12,515,438 and $5,215,853, respectively.
NOTE 6 - INCOME TAXES
At June 30, 2003, information on the tax components of capital is as follows:
Cost of investments for tax purposes $ 36,431,414
Gross tax unrealized appreciation $ 2,548,109
Gross tax unrealized depreciation (11,650)
Net tax unrealized appreciation
(depreciation) on investments $ 2,536,459
Undistributed tax-exempt income $ 48,192
At June 30, 2003, the Fund had tax basis capital losses of $3,753, which may be
carried over to offset future capital gains. Such losses expire June 30, 2011.
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. At June 30,
2003, the Fund had deferred capital losses occurring subsequent to October 31,
2002 of $35,150. For tax purposes, such losses will be reflected in the year
ended June 30, 2004.
The tax character of distributions paid by the Fund for the years ended June 30,
2003 and June 30, 2002 was as follows:
2003 2002
Tax-exempt income $ 1,416,047 $ 1,233,097
Long-term capital gain $ 52,639
Financial highlights
Thornburg New York Intermediate Municipal Fund
Year Ended June 30,
2003 2002 2001 2000 1999
Class A Shares:
Per Share Performance
(for a share outstanding throughout the year)
Net asset value, beginning of year ................... $ 12.63 $ 12.55 $ 12.16 $ 12.36 $ 12.71
Income from investment operations:
Net investment income ....................... 0.51 0.54 0.62 0.64 0.64
Net realized and unrealized
gain (loss) on investments ......... 0.25 0.08 0.39 (0.20) (0.33)
Total from investment operations ..................... 0.76 0.62 1.01 0.44 0.31
Less dividends from:
Net investment income ....................... (0.51) (0.54) (0.62) (0.64) (0.64)
Net realized gains .......................... (0.02) -- -- -- (0.02)
Total distributions .................................. (0.53) (0.54) (0.62) (0.64) (0.66)
Change in net asset value ............................ 0.23 0.08 0.39 (0.20) (0.35)
Net asset value, end of year ......................... $ 12.86 $ 12.63 $ 12.55 $ 12.16 $ 12.36
Total return (a) ..................................... 6.16% 5.05% 8.44% 3.65% 2.38%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ....................... 4.02% 4.29% 4.95% 5.23% 5.00%
Expenses, after expense reductions .......... 0.93% 0.87% 0.87% 0.76% 0.75%
Expenses, after expense reductions
and net of custody credits ......... 0.93% 0.87% -- -- --
Expenses, before expense reductions ......... 1.10% 1.09% 1.13% 1.15% 1.16%
Portfolio turnover rate .............................. 15.57% 17.66% 21.96% 19.02% 9.06%
Net assets at end of year (000) ..................... $ 39,764 $ 32,076 $ 25,855 $ 24,365 $ 24,633
<FN>
(a) Sales loads are not reflected in computing total return.
</FN>
Schedule of Investments
Thornburg New York Intermediate Municipal Fund
CUSIPS: CLASS A - 885-215-665
NASDAQ SYMBOLS: CLASS A - THNYX
465,000 Amherst Industrial Development Agency Civic Facility Revenue, 5.75% due 4/1/2015 NR/A $ 513,360
(Insured: ACA)
700,000 Bethlehem Central School District General Obligation, 7.10% due 11/1/2006 Aaa/AAA 821,996
(Insured: AMBAC)
1,075,000 Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due A2/BBB+ 1,126,095
11/1/2031 put 11/1/2006 (Methodist Retirement Community Project; LOC: Northfork
Bank)
215,000 Canastota Central School District General Obligation, 7.10% due 6/15/2007 (ETM)* Baa2/NR 252,361
205,000 Canastota Central School District General Obligation, 7.10% due 6/15/2008 (ETM)* Baa2/NR 245,803
1,000,000 Dutchess County Industrial Development Agency, 6.05% due 11/1/2019 (Kaatsbaan NR/AA 1,125,210
Dance Center Project; Guaranty: Dyson Foundation)
550,000 Guam Power Authority Revenue Series A, 6.625% due 10/1/2014 pre-refunded NR/AAA 599,417
10/1/2004 @ 102
1,000,000 Hempstead Town Ind. Dev. Agency Resources Recovery Revenue, 5.00% due 12/1/2010 A3/BBB 1,048,430
put 6/1/2010 (American Ref-Fuel Project)
785,000 Long Island Power Authority Electric Systems Revenue General Series A, 6.00% due Aaa/AAA 914,093
12/1/2007 (Insured: AMBAC)
1,000,000 Long Island Power Authority General Series B, 5.00% due 12/1/2006 Baa1/A- 1,089,310
880,000 Monroe County Ind Dev Agency Revenue, 6.45% due 2/1/2014 (Civic Facility - Aa1/NR 921,263
DePaul Community Facility Project; Insured: Sonyma)
150,000 Nassau County New York Refunding Series B, 5.75% due 2/1/2009 (Insured: MBIA) Aaa/AAA 153,572
530,000 Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) Aaa/AAA 619,342
500,000 New York City, 1.00% due 8/1/2017 put 7/1/2003 (LOC: J.P. Morgan) (daily demand VMIG1/A1+ 500,000
notes)
1,000,000 New York City General Obligation Series B, 7.20% due 8/15/2008 pre-refunded A2/A 1,079,390
8/15/2004 @ 101
250,000 New York City General Obligation Series B-1, 7.30% due 8/15/2010 pre-refunded Aaa/A 270,150
8/15/2004 @ 101
1,000,000 New York City Municipal Water Finance Authority Series B, 5.75% due 6/15/2013 Aaa/AAA 1,003,550
(ETM)*
200,000 New York City Subseries A5, 1.05% due 8/1/2019 put 7/1/2003 (LOC: Morgan VMIG1/A1+ 200,000
Guaranty) (daily demand notes)
575,000 New York City Transitional Finance Authority, 1.00% due 11/1/2022 put 7/1/2003 VMIG1/A1+ 575,000
(daily demand notes)
1,365,000 New York City Transitional Refunding Future Tax Secured C, 5.25% due 8/1/2016 Aaa/AAA 1,520,269
(Insured: AMBAC)
920,000 New York City Trust Cultural Resources Revenue, 5.75% due 7/1/2014 (Museum of NR/A 1,022,672
American Folk Art Project; Insured: ACA)
1,000,000 New York Dormitory Authority Lease Revenue Series A, 5.25% due 8/15/2013 Aaa/AAA 1,128,670
(Insured: FSA)
295,000 New York Dormitory Authority Revenue, 4.00% due 7/1/2005 (New York Medical NR/A+ 295,622
College Project; LOC: Fleet National Bank)
350,000 New York Dormitory Authority Revenue, 5.25% due 7/1/2010 (Insured: Asset NR/AA 398,458
Guaranty)
370,000 New York Dormitory Authority Revenue, 5.25% due 7/1/2011 (Insured: Asset NR/AA 420,242
Guaranty)
500,000 New York Dormitory Authority Revenue, 7.35% due 8/1/2029 (Jewish Geriatric NR/AAA 538,430
Project; Insured: FHA)
190,000 New York Dormitory Authority Revenue Capital Appreciation, 0% due 7/1/2005 Aaa/AAA 173,831
(Insured: FSA)
1,115,000 New York Dormitory Authority Revenue Mental Health Services Facilities Aaa/AAA 1,227,214
Improvement A, 5.50% due 2/15/2019 (Insured: MBIA)
1,000,000 New York Dormitory Authority Revenue Refunding, 6.10% due 7/1/2019 (Ryan Clinton Aa1/NR 1,136,150
Community Health Center Project; Insured: Sonyma Mortgage)
25,000 New York Environmental Facilities Corp. PCR Water Revolving Fund Series B, 7.50% Aaa/AA- 25,121
due 3/15/2011
600,000 New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, Aaa/AAA 642,900
6.875% due 6/15/2014 pre-refunded 6/1/2004 @ 101.5
400,000 New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, Aaa/AAA 425,372
6.875% due 6/15/2014
665,000 New York Housing Finance Service Series A, 6.375% due 9/15/2015 pre-refunded A3/AAA 784,168
9/15/2007 @ 100
55,000 New York Medical Care Facilities Finance Agency Revenue, 6.125% due 2/15/2014 Aa2/AA 57,602
(Insured: FHA)
500,000 New York Medical Care Facilities Finance Agency Revenue Series A, 6.85% due Aaa/AAA 555,430
2/15/2017 pre-refunded 2/15/2005 @ 102 (Brookdale Hospital Medical Center
Project)
500,000 New York Medical Care Facilities Finance Agency Revenue Series A, 6.80% due Aaa/AAA 555,025
2/15/2020 pre-refunded 2/15/2005 @ 102 (New York Downtown Hospital Project)
665,000 New York Mortgage Agency Revenue, 5.85% due 10/1/2017 Aaa/NR 708,877
750,000 New York New York Series A, 7.00% due 8/1/2007 (Insured: FSA) Aaa/AAA 868,687
350,000 New York New York Series F, 5.50% due 8/1/2006 (Insured: MBIA) Aaa/AAA 390,264
1,000,000 New York Series G, 6.75% due 2/1/2009 (Insured: MBIA) Aaa/AAA 1,207,460
1,000,000 New York State Dormitory Authority Revenues, 5.50% due 3/15/2012 NR/AA 1,160,030
500,000 New York State General Obligation, 9.875% due 11/15/2005 A2/AA 595,040
80,000 New York State Housing Finance Service Contract Series A 2003, 6.375% due A3/AA- 90,319
9/15/2015 pre-refunded 9/15/2005 @ 102
5,000 New York State Housing Finance Service Contract Unrefunded Balance Series A A3/AA- 5,545
2003, 6.375% due 9/15/2015
45,000 New York State Medical Care Facilities Finance Agency Revenue, 6.125% due Aa2/AA 46,697
2/15/2014 pre-refunded 2/15/2004 @ 102 (Insured: FHA)
300,000 New York State Mortgage Agency Revenue Series 70, 5.375% due 10/1/2017 Aa2/NR 316,344
1,000,000 New York State Urban Development Corp. Revenue Personal Income Tax Series D, A1/AA 1,110,410
5.00% due 12/15/2006
1,000,000 New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% due Aaa/AAA 1,217,820
1/1/2011 (Correctional Capital Project; Insured: FSA)
2,000,000 New York Urban Development Corp. Correctional Facilities Revenue, 0% due A3/AA- 1,766,200
1/1/2008
1,505,000 Newark Wayne Community Hospital Revenue Series B, 5.875% due 1/15/2033 (Insured: Aaa/AAA 1,539,961
AMBAC)
355,000 Oneida County Industrial Development Agency Revenue, 6.00% due 1/1/2010 NR/AA 413,167
(Insured: Asset Guaranty)
450,000 Oneida County Industrial Development Agency Revenue, 6.10% due 6/1/2020 (Civic Aa3/NR 491,373
Facility Presbyterian Home Project; LOC: HSBC Bank USA)
750,000 Port Chester Industrial Development Agency Refunding, 4.75% due 7/1/2031 put NR/AAA 812,655
7/1/2011 @ 100 (American Foundation Project; Collateralized: FNMA)
100,000 Southampton Village General Obligation Series B, 7.60% due 9/1/2003 (Insured: Aaa/AAA 101,101
MBIA)
850,000 Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series A-1C, NR/AA- 888,964
5.00% due 6/1/2012
210,000 Utica Industrial Development Agency Civic Facility Revenue, 5.25% due 7/15/2016 Aa3/NR 232,186
(Munson Williams Proctor Institute Project)
625,000 Valley Central School District Montgomery, 7.15% due 6/15/2007 (Insured: AMBAC) Aaa/AAA 746,087
165,000 Watkins Glen Central School District, 7.25% due 6/15/2004 (Insured: MBIA) Aaa/AAA 174,707
110,000 Waverly General Obligation, 9.05% due 6/15/2004 (Insured: MBIA) (ETM)* Aaa/AAA 118,461
TOTAL INVESTMENTS (Cost $36,431,415) $ 38,967,873
<FN>
+Credit ratings are unaudited.
*Escrowed to maturity See notes to financial statements.
</FN>
Report of independent auditors
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 series of Thornburg Investment Trust (the "Fund") at June 30,
2003, 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 four years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at June 30, 2003 by correspondence with the
custodian, provide a reasonable basis for our opinion. The financial highlights
for the year ended June 30, 1999 were audited by other independent accountants
whose report dated July 27, 1999 expressed an unqualified opinion on those
financial highlights.
PricewaterhouseCoopers LLP
New York, New York
July 30, 2003
Index Comparisons
Thornburg New York Intermediate Municipal Fund
June 30, 2003
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 and the Consumer Price Index, for
the periods ended June 30, 2003. On June 30, 2003, 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 9.4
years and 7.3 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.
Class A
Thornburg New York Intermediate Municipal Fund Class A Total Returns, Since
September 30, 1997, versus Merrill Lynch 7-12 Year Municipal Index and Consumer
Price Index (C.P.I.)
ML Muni 7-12 yrs
Fund A Shares
CPI
Average Annual Total Returns (at max. offering price)
(ending 6/30/03)
One year: 4.02%
Three years: 5.82%
Five years: 4.69%
From inception (9/5/97): 5.04%
TRUSTEES and Officers
Thornburg New York Intermediate Municipal Fund
trustees and officers
Thornburg Value Fund
September 30, 2002
Name, Address Position(s) Term of Principal Number of Other
and Age (1) Held with Office Occupation(s) Portfolios Directorships
Fund (2) and During Past in Fund Held by
Length of 5 Years Complex Trustee or
Time Overseen Nominee for
Served by Trustee(2) Trustee
Interested Trustees
Garrett Chairman Trustee CEO, Chairman and controlling Twelve None
Thornburg, of Trustees (3) Since shareholder of Thornburg
57 1987 (4) Investment Management, Inc.
(investment adviser) and
Thornburg Securities
Corporation (securities dealer);
Chairman of Thornburg Limited
Term Municipal Fund, Inc.
(registered investment company);
CEO and Chairman of Thornburg
Mortgage, Inc. (real estate
investment trust); Chairman
of Thornburg Mortgage
Advisory Corporation (investment
manager to Thornburg
Mortgage, Inc.).
Brian J. McMahon, Trustee, Trustee President and Managing Director Ten None
47 President, Since of Thornburg Investment
Assistant 2001; Management, Inc.; President
Secretary (5) President of Thornburg Limited Term
Since 1997 Municipal Fund, Inc.
(4)(6)
Independent Trustees
David A. Ater, Trustee Trustee Principal in Ater & Ater Ten Director of
58 since Associates, Santa Fe, New Thornburg
1994 (4) Mexico (developer, planner Mortgage, Inc.
and broker of residential and (real estate
commercial real estate); owner, investment trust)
developer and broker for
various real estate projects.
David D. Chase, Trustee Trustee Chairman, President and CEO Twelve Director of
62 since of general partner of Vestor Thornburg
2001 (4) Partners, LP, Santa Fe, NM Limited Term
(private equity fund); Chairman Municipal Fund,
and CEO of Vestor Holdings, Inc. (registered
Inc., Santa Fe, NM (merchant investment
bank). company)
Forrest S. Smith, Trustee Trustee Attorney in private practice Ten None
73 since and shareholder, Catron, Catron
1987 (4) & Sawtell (law firm), Santa Fe, NM.
James W. Weyhrauch, Trustee Trustee Executive Vice President and Ten None
44 since Director, Nambe Mills, Inc.
1996 (4) (manufacturer) Santa Fe, NM.
Officers of the Fund (who are not Trustees) (7)
Dawn B. Fischer, Secretary; Secretary Vice President, Secretary and N/A N/A
56 Assistant and Managing Director, Thornburg
Treasurer Assistant Investment Management, Inc.;
Treasurer Secretary, Thornburg Limited Term
Since 1987 Municipal Fund, Inc.; Secretary,
(6) Thornburg Securities Corporation;
Vice President, Daily Tax Free
Income Fund, Inc. (registered
investment company).
Steven J. Bohlin, Vice President; Vice Vice President and Managing N/A N/A
44 Treasurer President Director of Thornburg Investment
Since 1987; Management, Inc.; Vice President
Treasurer of Thornburg Limited Term
Since 1989 Municipal Fund, Inc.
(6)
George T.Strickland,Vice President Vice Vice President and Managing N/A N/A
40 President Director of Thornburg Investment
Since 1999 Management, Inc.; Vice President
(6) of Thornburg Limited Term
Municipal Fund, Inc.
William V. Fries, Vice President Vice Managing Director of N/A N/A
64 President Thornburg Investment
Since 1995 Management, Inc.
(6)
Leigh Moiola, Vice President Vice Vice President and Managing N/A N/A
36 President Director of Thornburg Investment
Since 2001 Management, Inc.; Vice President
(6) of Thornburg Limited Term
Municipal Fund, Inc.
Kenneth Ziesenheim, Vice President Vice Managing Director of Thornburg N/A N/A
49 President Investment Management, Inc.;
Since 1995 President of Thornburg Securities
(6) Corporation; Vice President
of Thornburg Limited Term
Municipal Fund, Inc.
Alexander Motola, Vice President Vice Managing Director of Thornburg N/A N/A
33 President Investment Management, Inc.
Since 2001 since 2000; Vice President of
(6) Thornburg Limited Term
Municipal Fund, Inc. since 2001;
Portfolio Manager, Insight Capital
Research & Management, Inc.,
Walnut Creek, California
1995-2000.
Dale Van Scoyk, Vice President Vice Account Manager for Thornburg N/A N/A
56 President Investment Management, Inc.
Since 1998 since 1997, and Vice President
(6) and Managing Director since
1999; Vice President of Thornburg
Limited Term Municipal Fund,
Inc. since 1999; National Account
Manager for Heartland Funds
1993-1997.
Wendy Trevisani, Vice President Vice Associate of Thornburg Investment N/A N/A
32 President Management, Inc. since 1999 and
Since 1999 Vice President since 2000; Vice
(6) President of Thornburg Limited
Term Municipal Fund, Inc.
1999-2002; Sales Representative,
Salomon Smith Barney 1996-1999.
Joshua Gonze, Vice President Vice Associate (and since 1999 a N/A N/A
40 President Vice President of Thornburg
Since 2001 Investment Management, Inc.);
(6) Vice President of Thornburg
Limited Term Municipal Fund, Inc.
Since 2001; Associate Director,
Corporate Credit Ratings, Standard
& Poor's Corporation 1994-1996.
Brad Kinkelaar, Vice President Vice Assistant Portfolio Manager of N/A N/A
35 President Thornburg Investment Management,
Since 2001 Inc. since 1999; Vice President
(6) of Thornburg Limited Term
Municipal Fund, Inc. 2001-2002;
Equity Investment Analyst,
State Farm Insurance Companies
1996-1999.
Kerry Lee, Vice President Vice Associate of Thornburg Investment N/A N/A
36 President Management, Inc.; Vice President
Since 1999 of Thornburg Limited Term
(6) Municipal Fund, Inc. 1999-2002
and Assistant Vice President
1998-1999.
<FN>
(1) Each person's address is 119 East Marcy Street, Santa Fe, New Mexico 87501.
(2) The Fund is one of nine separate investment "funds" or "portfolios" of
Thornburg Investment Trust (the "Trust"), organized as a Massachusetts business
trust. The Trust currently has nine active funds, which are considered for
certain regulatory purposes as parts of a "fund complex" with the two funds of
Thornburg Limited Term Municipal Fund, Inc. Thornburg Investment Management,
Inc. is the investment adviser to, and manages, the eleven funds of the Trust
and Thornburg Limited Term Municipal Fund, Inc.
(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 adviser to the nine 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 Fund's Statement of Additional Information includes additional
information about the Trustees and is available, without charge and upon request
by calling 1-800-847-0200
</FN>
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
Thornburg NEW YORK INTERMEDIATE
MUNICIPAL FUND- A shares
Outperformed Tax-Exempt Money Market Funds
Investors sometimes ask us to compare New York Intermediate Municipal Fund to
money market fund returns. These investments have certain differences, and
investors in New York Intermediate Municipal Fund took more risk than money
market fund investors to earn their higher returns.
Return from a hypothetical $10,000 investment
6/30/98 through 6/30/03
(after sales charges and fund expenses)
Lipper New York Tax-Exempt
Money Market Index
$1,131
Thornburg New York Intermediate
Municipal Fund (after capital gains taxes)
$2,548
The chart above is for the Fund's Class A Shares only. See the inside front
cover page for the 30-day SEC yield and the total returns for one year, three
years, five years, and since inception for the Class A shares. Note 1: Future
increases, if any, of any of these investments may bear no relationship to prior
increases. Quotations for the money fund averages are based upon 30-day yield
quotations for New York tax-exempt money funds as quoted in "Lipper New York
Tax-Exempt Money Market Index" for the months covered by this analysis. The
increase for the Class A Shares of New York Intermediate Municipal Fund is based
upon the dividends paid for the months covered by this analysis, the beginning
offering price at $12.97 per share and the ending NAV at $12.86 per share. These
investments returned the $10,000 initial investment in addition to the amounts
shown above. Note 2: This analysis does not take into account the effect, if
any, caused by state and local income taxes. The portion of the increase, if
any, of New York Intermediate Municipal Fund representing appreciation of the
share price and any long-term capital gain distributions are assumed to be taxed
at a 15% federal tax rate. The average money market fund increases shown above
may differ from the return of a particular money market fund. It is not possible
to invest in these money fund averages.
Note 3: Generally, money market funds seek to maintain an investment portfolio
with an average maturity of 90 days or less. New York Intermediate Municipal
Fund invests in short-to-intermediate maturity municipal obligations. The net
asset value of the money funds did not fluctuate. The net asset value of the
Class A Shares of THNYX did vary from time to time, and will continue to vary in
the future due to the effect of changes in interest rates on the value of the
investments the Fund holds. The analysis assumes that the investor received the
net asset value of the shares owned, plus accrued income, at time of sale.
Redemptions are made at the then current net asset value, which may give you a
gain or loss when you sell your shares.
Note 4: This analysis assumes that the dividends from each of these investment
vehicles were reinvested and compounded monthly. Most money funds declare
dividends daily and pay them monthly. New York Intermediate Municipal Fund also
declares dividends daily and pays them monthly.
Note 5: An investment in a Money Market Fund is not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency. Although a
Money Market Fund seeks to preserve the value of your investment at $1.00 per
share, it is possible to lose money by investing in the Fund.
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 the shareholders of the
Fund. It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by an effective prospectus, which includes
information regarding the Fund's objectives and policies, experience of its
management, marketability of shares, and other information. Performance data
quoted represent past performance and do not guarantee future results.
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Reserved
Item 7. Disclosure of Proxy Voting Policies and Procedures
for Closed-End Management Investment Companies
Not applicable.
Item 8. Reserved
Item 9. Controls and Procedures
(a)(i) The principal executive officer and the principal financial officer have
concluded that the Thornburg New York Intermediate Municipal Fund (a series of
Thornburg Investment Trust) disclosure controls and procedures (as defined in
Rule 30a-2(c) under the Investment Company Act of 1940) provide reasonable
assurances that material information relating to Thornburg New York Intermediate
Municipal Fund 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.
(a)(ii) There were no changes in Thornburg New York Intermediate Municipal
Fund's internal controls over financial reporting (as defined in Rule 30a-3(d)
under the Investment Company Act of 1940) that occurred during the registrant's
last fiscal half-year that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial reporting.
Item 10. Exhibits
(a) (1) Not applicable
(a) (2) Certifications pursuant to Rule 30a-2 under the Investment
Company Act of 1940
(17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
attached hereto as Exhibit 99.906 CERT.
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 its series,
Thornburg New York Intermediate Municipal Fund
By: /s/ Brian J. McMahon
Brian J. McMahon
President and principal executive officer
Date: August 25, 2003
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 25, 2003
By: /s/ Steven J. Bohlin
Steven J. Bohlin
Treasurer and principal financial officer
Date: August 22, 2003