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