UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05201
Thornburg Investment Trust
(Exact name of registrant as specified in charter)
119 East Marcy Street, Santa Fe, New Mexico 87501
(Address of principal executive offices) (Zip code)
Garrett Thornburg, 119 East Marcy Street, Santa Fe, New Mexico 87501
(Name and address of agent for service)
Registrant's telephone number, including area code: 505-984-0200
Date of fiscal year end: June 30, 2004
Date of reporting period: December 31, 2003
Item 1. Reports to Stockholders
The following semi-annual report is attached hereto:
Thornburg New York Intermediate Municipal Fund
Thornburg New York Intermediate Municipal Fund
Semi-Annual Report
December 31, 2003
Thornburg New York Intermediate Municipal Fund ALL DATA AS OF 12/31/03.
FUND FACTS: Thornburg New York Intermediate Municipal Fund
A Shares
Annualized Distribution Rate (at NAV) 3.49%
SEC Yield 1.80%
NAV $12.74
Maximum Offering Price $13.00
TOTAL RETURNS: (Annual Average - After Subtracting Maximum Sales Charge)
One Year 1.15%
Three Years 4.41%
Five Years 4.20%
Since Inception 4.77%
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 daily
dividend 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
January 21, 2004
Dear Fellow Shareholder:
I am pleased to present the semi-annual report for your Thornburg New York
Intermediate Municipal Fund. The net asset value of the A shares decreased by 12
cents to $12.74 during the six-month period ending December 31, 2003. If you
were with us for the entire period, you received dividends of 22.7 cents per
share. If you reinvested dividends, you received 22.9 cents per share.
Market interest rates for municipal bonds, and therefore bond prices, were
rather volatile in 2003. For instance, the market yield for a five-year
high-quality municipal bond ranged between a low of 1.90% and a high of 2.89%.
Most of the volatility was seen during the summer as the market bounced between
fears of deflation and inflation. In the end, bond yields finished the year
slightly below the point at which they began the year.
% of portfolio Cumulative %
maturing within maturing by end of
2 years = 16% Year 2 = 16%
2 to 4 years = 23% Year 4 = 39%
4 to 6 years = 9% Year 6 = 48%
6 to 8 years = 12% Year 8 = 60%
8 to 10 years = 13% Year 10 = 73%
10 to 12 years = 7% Year 12 = 80%
12 to 14 years = 8% Year 14 = 88%
14 to 16 years = 6% Year 16 = 94%
16 to 18 years = 1% Year 18 = 95%
Over 18 years = 5% Over 18 years = 100%
Putting income and the change in price together, the Fund produced a total
return of 3.21% in 2003, assuming a beginning-of-the-year investment at the
Fund's net asset value. The Merrill Lynch 7-12 year Municipal Bond Index
produced a 5.63% total return over the same period. Interest rates moved
slightly lower over the course of the year, allowing longer duration bonds to
generally outperform shorter duration bonds. Since the fund kept a shorter
duration than the index and allocated a large percentage of its portfolio to
short-term bonds, its return fell short of the index's return. We have continued
to keep our duration shorter than the index thus far in 2004 because we believe
doing so will help the funds performance, if interest rates rise.
The New York economy and State tax revenues are showing some early signs of
improvement after a very difficult couple of years. The recently proposed
Governor's budget for the 2004-05 fiscal year seeks to close a $5.1 billion
shortfall with a combination of spending cuts, revenue increases, and one-time
measures. It appears the budget negotiations will be much less contentious this
year than last, but we believe the state needs to tackle its very high tax and
debt burden in order to ensure future long-term economic growth.
Your Thornburg New York Intermediate Municipal Fund is a laddered portfolio of
over 60 municipal obligations from all over New York. Approximately 98% of the
bonds are rated A or better by one of the major rating agencies. Today, your
fund's weighted average maturity is 6.6 years. We always keep it to 10 years or
less. 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 above chart portrays the percentages of your fund's bond portfolio
maturing in each of the coming years.
We would like to make a few observations regarding the interest rate
environment. The U.S. economy is growing rapidly and starting to absorb excess
capacity: Witness 8.2% growth in the third quarter and market expectations of 4%
fourth quarter growth. Consumer spending, corporate investment, and exports are
all showing healthy gains.
The Federal Government is clearly following
expansionist fiscal and monetary policies. Government spending, particularly for
health care and defense, is eclipsing old records. The Federal Reserve Board has
now held the real Federal Funds rate (defined as the nominal rate minus
inflation) below zero for the past 16 months.
There will be a much heavier
calendar of Treasury bond issuance going forward. Estimates for the next year
range between $800 billion and $1 trillion. These levels are close to twice the
amount of bonds issued in recent years. Our country has become dependent on
large quantities of foreign net investment to support its currency. Because of
low interest rates and other factors, cash flows from overseas have slowed
recently. If this trend continues, we will either have to live with a weaker
dollar (which may push up inflation), or make our markets more attractive to
foreign buyers.
Headline inflation is still fairly subdued, but pricing pressures clearly are
building. The core Consumer Price Index is up only 1.1% over the last year, but
the crude materials Producer Price Index is up 18%.
If we put these and other
factors together, we must conclude that the odds are skewed toward continued
robust economic growth and higher interest rates by the end of 2004. However, we
think that the pressures may take some more time to build and, in the meantime,
bond prices are holding up well.
If interest rates do rise, the market price of most bonds will decline. Remember
though, that short and intermediate bonds, such as those in your Thornburg New
York Intermediate Municipal Fund, should not decline in price as much as
long-term bonds. Furthermore, as the bonds in the Fund move closer to maturity,
they should recover much, if not all, of their lost value. Most importantly, if
interest rates go up we will be able to replace maturing bonds with higher
yielding bonds, which will increase your Funds' returns over time. Thus, even
though short-term market values may be negatively impacted, your Fund should
benefit from rising interest rates over longer periods of time.
Yields on money
market funds are showing no signs of recovering soon. As of early February, the
average taxable money market fund was yielding 0.52%. If you are an investor in
the 35% Federal tax bracket, that leaves you with only 0.31% after taxes! To see
how your Fund has performed 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.
The Merrill Lynch 7-12 Year Municipal Bond Index represents a broad
measure of market performance. It is a model portfolio of municipal obligations
throughout the U.S., with an average maturity which ranges from seven to twelve
years.
The Consumer Price Index (CPI) measures prices of a fixed basket of
goods bought by a typical consumer, including food, transportation, shelter,
utilities, clothing, medical care, entertainment and other items. The CPI,
published by the Bureau of Labor Statistics in the Department of Labor, is based
at 100 in 1982 and is released monthly. It is widely used as a cost-of-living
benchmark to adjust Social Security payments and other payment schedules, union
contracts and tax brackets. Also known as the cost-of-living index.
The Producer Price Index (PPI) is a family of indexes that measures the
average change over time in selling process received by domestic producers of
goods and services. The PPI tracks price changes for almost the entire output of
domestic goods-producing sectors: agriculture, fisheries, mining, forestry,
scrap, and manufacturing. The PPI sample includes approximately 25,000
establishments and provides close to 100,000 price quotes per month. The
Department of Labor's Bureau of Labor Statistics publishes the PPI monthly.
Unless otherwise noted, index returns reflect the reinvestment of
income dividends and capital gains, if any, but do not reflect fees, brokerage
commissions or other expenses of investing. Investors may not make direct
investments into any index.
Statement of assets and liabilities
Thornburg New York Intermediate Municipal Fund
December 31, 2003
(Unaudited)
ASSETS
Investments at value (cost $39,397,440) .......................... $ 41,591,756
Cash ............................................................. 14,604
Receivable for fund shares sold .................................. 158,012
Interest receivable .............................................. 619,497
Prepaid expenses and other assets ................................ 1,576
Total Assets ............................................ 42,385,445
LIABILITIES
Accounts payable and accrued expenses ............................ 16,780
Payable to investment advisor (Note 3) ........................... 19,209
Dividends payable ................................................ 122,040
Total Liabilities ....................................... 158,029
NET ASSETS ....................................................... $ 42,227,416
NET ASSETS CONSIST OF:
Net unrealized appreciation (depreciation) on investments $ 2,194,316
Accumulated net realized gain (loss) .................... (40,769)
Net capital paid in on shares of beneficial interest .... 40,073,869
$ 42,227,416
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share
($42,227,416 applicable to 3,313,913 shares of beneficial
interest outstanding - Note 4) ................................ $ 12.74
Maximum sales charge, 2.00% of offering price .................... 0.26
Maximum Offering Price Per Share ................................. $ 13.00
See notes to financial statements.
Statement of operations
Thornburg New York Intermediate Municipal Fund
Six Months Ended December 31, 2003
(Unaudited)
INVESTMENT INCOME:
Interest income (net of premium amortized of $147,460) .......... $ 924,868
EXPENSES:
Investment advisory fees (Note 3) ............................... 101,797
Administration fees (Note 3) .................................... 25,449
Service fees (Note 3) ........................................... 42,836
Transfer agent fees ............................................. 16,129
Custodian fees (Note 3) ......................................... 17,903
Professional fees ............................................... 10,349
Accounting fees ................................................. 1,043
Trustee fees .................................................... 552
Other expenses .................................................. 3,245
Total Expenses ................................ 219,303
Less:
Investment advisory fees waived (Note 3) ............... (17,023)
Fees paid indirectly (Note 3) .......................... (723)
Net Expenses .................................. 201,557
Net Investment Income ......................... 723,311
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments sold .................... (1,866)
Increase (decrease) in unrealized appreciation of investments ... (342,143)
Net Realized and Unrealized
Gain (Loss) on Investments ........... (344,009)
Net Increase (Decrease) in Net Assets Resulting
From Operations ...................... $ 379,302
See notes to financial statements.
Statements of changes in net assets
Thornburg New York Intermediate Municipal Fund
Six Months Ended Year Ended
December 31, 2003 June 30, 2003
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ....................................... $ 723,311 $ 1,416,047
Net realized gain (loss) on investments sold ................ (1,866) (38,903)
Increase (Decrease) in unrealized appreciation of investments (342,143) 678,415
Net Increase (Decrease) in Net Assets
Resulting from Operations ........ 379,302 2,055,559
DIVIDENDS TO SHAREHOLDERS:
From net investment income ..................................
Class A Shares (723,631) (1,416,047)
From realized gains
Class A Shares ..................................... 0 (52,639)
FUND SHARE TRANSACTIONS (NOTE 4):
Class A Shares ..................................... 2,808,173 7,101,029
Net Increase (Decrease) in Net Assets ..... 2,463,844 7,687,902
NET ASSETS:
Beginning of period ................................ 39,763,572 32,075,670
End of period ...................................... $ 42,227,416 $ 39,763,572
<FN>
See notes to financial statements.
</FN>
Notes to financial statements
Thornburg New York Intermediate Municipal Fund
December 31, 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 period ended
December 31, 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 period
ended December 31, 2003, the Advisor voluntarily waived investment advisory fees
of $17,023. 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 period ended
December 31, 2003 fees paid indirectly were $723.
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 December 31, 2003 there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest of Class A
were as follows:
Six Months Ended Year Ended
December 31, 2003 June 30, 2003
Shares Amount Shares Amount
Class A Shares
Shares sold .................... 483,554 $ 6,131,684 1,011,444 $ 12,957,471
Shares issued to shareholders in
reinvestment of dividends ... 29,546 373,983 70,934 907,397
Shares repurchased ............. (291,531) (3,697,494) (530,074) (6,763,839)
Net Increase (Decrease) ........ 221,569 $ 2,808,173 552,304 $ 7,101,029
NOTE 5 - SECURITIES TRANSACTIONS
For the period ended December 31, 2003 the Fund had purchase and sale
transactions (excluding short-term securities) of $4,721,842 and $1,145,000,
respectively.
NOTE 6 - INCOME TAXES
At December 31, 2003, information on the tax components of
capital is as follows:
Cost of investments for tax purposes $ 39,397,440
Gross unrealized appreciation on a tax basis $ 2,202,288
Gross unrealized depreciation on a tax basis (7,972)
Net unrealized appreciation (depreciation)
on investments (tax basis) $ 2,194,316
At December 31, 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 December
31, 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.
Financial highlights
Thornburg New York Intermediate Municipal Fund
Year Ended June 30,
Six Months
Ended
December 31, 2003 2003 2002 2001 2000 1999
Class A Shares:
Per Share Performance
(for a share outstanding throughout the period)
Net asset value, beginning of period ................. $ 12.86 $ 12.63 $ 12.55 $ 12.16 $ 12.36 $ 12.71
Income from investment operations:
Net investment income ............................ 0.23 0.51 0.54 0.62 0.64 0.64
Net realized and unrealized
gain (loss) on investments ..................... (0.12) 0.25 0.08 0.39 (0.20) (0.33)
Total from investment operations ..................... 0.11 0.76 0.62 1.01 0.44 0.31
Less dividends from:
Net investment income ............................ (0.23) (0.51) (0.54) (0.62) (0.64) (0.64)
Realized capital gains ........................... -- (0.02) -- -- -- (0.02)
Total distributions .................................. (0.23) (0.53) (0.54) (0.62) (0.64) (0.66)
Change in net asset value ............................ (0.12) 0.23 0.08 0.39 (0.20) (0.35)
Net asset value, end of period ....................... $ 12.74 $ 12.86 $ 12.63 $ 12.55 $ 12.16 $ 12.36
Total return (a) ..................................... 0.85% 6.16% 5.05% 8.44% 3.65% 2.38%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income ............................ 3.55%(b) 4.02% 4.29% 4.95% 5.23% 5.00%
Expenses, after expense reductions ............... 0.99%(b) 0.93% 0.87% 0.87% 0.76% 0.75%
Expenses, after expense reductions
and net of custody credits ..................... 0.99%(b) 0.93% 0.87% -- -- --
Expenses, before expense reductions .............. 1.08%(b) 1.10% 1.09% 1.13% 1.15% 1.16%
Portfolio turnover rate .............................. 2.95% 15.57% 17.66% 21.96% 19.02% 9.06%
Net assets at end of period (000) $ 42,227 $ 39,764 $ 32,076 $ 25,855 $ 24,365 $ 24,633
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized.
</FN>
Schedule of Investments
Thornburg New York Intermediate Municipal Fund
CUSIPS: CLASS A - 885-215-665
NASDAQ SYMBOLS: CLASS A - THNYX
Principal Credit Rating
Amount Issuer-Description Moody's/S&P Value
465,000 Amherst Industrial Development Agency Civic Facility Revenue, 5.75% due NR/A $ 512,397
4/1/2015 (Insured: ACA)
700,000 Bethlehem Central School District General Obligation, 7.10% due 11/1/2006 Aaa/AAA 801,318
(Insured: AMBAC)
1,075,000 Brookhaven Industrial Development Agency Civic Facility Revenue, 4.375% due A2/BBB+ 1,112,356
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 Baa2/NR 252,068
(ETM)*
205,000 Canastota Central School District General Obligation, 7.10% due 6/15/2008 Baa2/NR 247,011
(ETM)*
550,000 Guam Power Authority Revenue Series A, 6.625% due 10/1/2014 pre-refunded NR/AAA 583,880
10/1/2004 @ 102
1,000,000 Hempstead Town Ind. Dev. Agency Resources Recovery Revenue, 5.00% due A3/BBB 1,065,390
12/1/2010 put 6/1/2010 (American Ref-Fuel Project)
785,000 Long Island Power Authority Electric Systems Revenue General Series A, 6.00% Aaa/AAA 895,387
due 12/1/2007 (Insured: AMBAC)
1,000,000 Long Island Power Authority General Series B, 5.00% due 12/1/2006 Baa1/A- 1,078,280
880,000 Monroe County Industrial Development Agency Revenue, 6.45% due 2/1/2014 Aa1/NR 901,226
(Civic Facility - DePaul Community Facility Project; Insured: Sonyma)
150,000 Nassau County New York Refunding Series B, 5.75% due 2/1/2009 (Insured: Aaa/AAA 152,052
MBIA)
530,000 Nassau Health Care Corp., 6.00% due 8/1/2011 (Insured: FSA) Aaa/AAA 613,549
250,000 New York City Adjustment Subseries E5, 1.35% due 8/1/2010 put 1/2/2004 (LOC: VMIG1/A1+ 250,000
JPM) (daily demand notes)
1,000,000 New York City General Obligation Series B, 7.20% due 8/15/2008 pre-refunded A2/A 1,048,130
8/15/2004 @ 101
250,000 New York City General Obligation Series B-1, 7.30% due 8/15/2010 Aaa/A 262,205
pre-refunded 8/15/2004 @ 101
580,000 New York City Industrial Development Agency Civic Facility Revenue Baa1/NR 633,865
Refunding, 6.00% due 8/1/2006 (YMCA Greater New York Project)
1,000,000 New York City Municipal Water Finance Authority Series B, 5.75% due Aaa/AAA 1,078,540
6/15/2013 (ETM)*
500,000 New York City Municipal Water Finance Authority Water & Sewer Systems VMIG1/A1+ 500,000
Revenue 2003 Sub Series A, 1.27% due 6/15/2018 put 1/2/2004 (LOC: Bank of
New York) (daily demand notes)
1,365,000 New York City Transitional Refunding Future Tax Secured C, 5.25% due Aaa/AAA 1,515,095
8/1/2016 (Insured: AMBAC)
920,000 New York City Trust Cultural Resources Revenue, 5.75% due 7/1/2014 (Museum NR/A 1,016,241
of 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 1,112,690
(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: Radian) NR/AA 394,762
370,000 New York Dormitory Authority Revenue, 5.25% due 7/1/2011 (Insured: Radian) NR/AA 417,460
500,000 New York Dormitory Authority Revenue, 7.35% due 8/1/2029 (Jewish Geriatric NR/AAA 526,100
Project; Insured: FHA)
190,000 New York Dormitory Authority Revenue Capital Appreciation, 0% due 7/1/2005 Aaa/AAA 180,263
(Insured: FSA)
1,115,000 New York Dormitory Authority Revenue Mental Health Services Facilities Aaa/AAA 1,241,497
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 Aa1/NR 1,125,190
Clinton Community Health Center Project; Insured: Sonyma Mortgage)
575,000 New York Dormitory Authority Revenues School Districts Bond Financing NR/A+ 646,766
Program Series A, 5.50% due 7/1/2009
25,000 New York Environmental Facilities Corp. PCR Water Revolving Fund Series B, Aa2/AA- 25,129
7.50% due 3/15/2011
600,000 New York Environmental Facilities Corp. PCR Water Revolving Fund Series E, Aaa/AAA 624,930
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 416,036
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 766,306
9/15/2007 @ 100
40,000 New York Medical Care Facilities Finance Agency Revenue, 6.125% due Aa2/AA 41,606
2/15/2014 (Insured: FHA)
500,000 New York Medical Care Facilities Finance Agency Revenue Series A, 6.85% due Aaa/AAA 541,760
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 541,480
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 705,193
750,000 New York Series A, 7.00% due 8/1/2007 (Insured: FSA) Aaa/AAA 850,132
350,000 New York Series F, 5.50% due 8/1/2006 (Insured: MBIA) Aaa/AAA 383,218
1,000,000 New York Series G, 6.75% due 2/1/2009 (Insured: MBIA) Aaa/AAA 1,193,600
1,000,000 New York State Dormitory Authority Revenues, 5.50% due 3/15/2012 NR/AA 1,146,590
500,000 New York State General Obligation, 9.875% due 11/15/2005 A2/AA 574,725
80,000 New York State Housing Finance Service Contract Series A 2003, 6.375% due A3/AA- 88,297
9/15/2015 pre-refunded 9/15/2005 @ 102
5,000 New York State Housing Finance Service Contract Unrefunded Balance Series A A3/AA- 5,446
2003, 6.375% due 9/15/2015
25,000 New York State Medical Care Facilities Finance Agency Revenue, 6.125% due Aa2/AA 25,562
2/15/2014 pre-refunded 2/15/2004 @ 102 (Insured: FHA)
325,000 New York State Medical Care Facilities Finance Agency Revenue Bonds Series Aa2/AA 356,873
F, 6.20% due 8/15/2015 pre-refunded 8/15/05 @102 (Mortgage Project; Insured:
XLCA)
300,000 New York State Mortgage Agency Revenue Series 70, 5.375% due 10/1/2017 Aa2/NR 315,087
1,000,000 New York State Thruway Authority Service Contract Revenue Refunding, 5.50% Aaa/AAA 1,134,750
due 4/1/2013 (Local Highway & Bridge Project; Insured: XLCA)
300,000 New York State Thruway Authority State Personal Income Tax Revenue A1/AA 321,909
Transportation Series A, 5.00% due 3/15/2006
1,000,000 New York State Urban Development Corp. Revenue Personal Income Tax Series D, A1/AA 1,090,040
5.00% due 12/15/2006
1,000,000 New York State Urban Development Corp. Revenue Refunding Facilities A, 6.50% Aaa/AAA 1,205,490
due 1/1/2011 (Correctional Capital Project; Insured: FSA)
2,000,000 New York Urban Development Corp. Correctional Facilities Revenue, 0% due A3/AA- 1,785,960
1/1/2008
1,505,000 Newark Wayne Community Hospital Revenue Series B, 5.875% due 1/15/2033 Aaa/AAA 1,525,167
(Insured: AMBAC)
355,000 Oneida County Industrial Development Agency Revenue, 6.00% due 1/1/2010 NR/AA 409,084
(Insured: Radian)
450,000 Oneida County Industrial Development Agency Revenue, 6.10% due 6/1/2020 Aa3/NR 491,999
(Civic Facility Presbyterian Home Project; LOC: HSBC Bank USA)
330,000 Port Authority New York & New Jersey Consolidated Ninety First Series, 4.80% A1/AA- 334,221
due 11/15/2005
500,000 Port Authority New York & New Jersey Consolidated Ninety First Series, 5.00% A1/AA- 506,535
due 11/15/2007
750,000 Port Chester Industrial Development Agency Refunding, 4.75% due 7/1/2031 put NR/AAA 781,987
7/1/2011 (American Foundation Project; Collateralized: FNMA)
560,000 Puerto Rico Electric Power Authority Power Revenue Refunding Series J, Aaa/AAA 644,151
5.375% due 7/1/2017 (Insured: XLCA)
850,000 Tobacco Settlement Financing Corp. New York Revenue Asset Backed Series NR/AA- 880,073
A-1C, 5.00% due 6/1/2012 (Secured: State Contingency Contract)
210,000 Utica Industrial Development Agency Civic Facility Revenue, 5.25% due Aa3/NR 231,752
7/15/2016 (Munson Williams Proctor Institute Project)
625,000 Valley Central School District Montgomery, 7.15% due 6/15/2007 (Insured: Aaa/AAA 728,687
AMBAC)
165,000 Watkins Glen Central School District, 7.25% due 6/15/2004 (Insured: MBIA) Aaa/AAA 169,562
110,000 Waverly General Obligation, 9.05% due 6/15/2004 (Insured: MBIA) (ETM)* Aaa/AAA 113,991
170,000 Westchester County IDA Civic Facility Revenue, 6.25% due 4/1/2005 (Julia NR/NR 175,088
Dykman Project)
TOTAL INVESTMENTS (Cost $39,397,440) $ 41,591,756
<FN>
+ Credit ratings are unaudited.
* Escrowed to maturity
See notes to financial statements.
</FN>
Index Comparisons
Thornburg New York Intermediate Municipal Fund
December 31, 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 December 31, 2003. On December 31, 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 9.3
years and 6.6 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.
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 (CPI)
Date THNYX ML Muni 7-12 Yr CPI
Sep-97 $9,800.00 $10,000.00 $10,000.00
Dec-97 $10,032.76 $10,258.49 $10,040.05
Dec-98 $10,639.07 $10,967.47 $10,212.02
Dec-99 $10,605.53 $10,833.94 $10,458.50
Dec-00 $11,486.69 $12,020.71 $10,805.25
Dec-01 $12,090.40 $12,565.91 $10,972.07
Dec-02 $12,922.32 $14,006.57 $11,381.76
Dec-03 $13,336.66 $14,795.96 $11,608.45
Class A
Average Annual Total Returns (at max. offering price)
(ending 12/31/03)
One year: 1.15%
Three years: 4.41%
Five years: 4.20%
From inception (9/5/97): 4.77%
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
12/31/98 through 12/31/03
(after sales charges and fund expenses)
Lipper New York Tax-Exempt
Money Market Index $ 1,005
Thornburg New York Intermediate
Municipal Fund (after capital gains taxes) $ 2,284
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 $13.04 per share and the ending NAV at $12.74 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.
Not applicable.
Item 9. Controls and Procedures
(a) The principal executive officer and the principal financial officer have
concluded that Thornburg Investment Trust disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide
reasonable assurance that material information relating to Thornburg Investment
Trust is made known to them by the appropriate persons, based on their
evaluation of these controls and procedures as of a date within 90 days prior to
the filing date of this report.
(b) There were no changes in the Thornburg Investment Trust'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 most recent 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 70.30a-2) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Thornburg Investment Trust, in respect of Thornburg New York Intermediate
Municipal Fund.
By: /s/ Brian J. McMahon
Brian J. McMahon
President and principal executive officer
Date: February 19, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Brian J. McMahon
Brian J. McMahon
President and principal executive officer
Date: February 19, 2004
By: /s/ Steven J. Bohlin
Steven J. Bohlin
Treasurer and principal financial officer
Date: February 20, 2004