UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number 811-2671
DWS Municipal Trust
(Exact Name of Registrant as Specified in Charter)
Two International Place
Boston, MA 02110
(Address of principal executive offices) (Zip code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154
(Name and Address of Agent for Service)
Date of fiscal year end: | 05/31 |
Date of reporting period: | 05/31/06 |
ITEM 1. REPORT TO STOCKHOLDERS
MAY 31, 2006
(AS RESTATED FEBRUARY 26, 2007)
Annual Report
to Shareholders
DWS Managed Municipal Bond Fund
(formerly Scudder Managed Municipal Bond Fund)
![]() |
Contents
Click here Performance Summary Click here Information About Your Fund's Expenses Click here Portfolio Management Review Click here Portfolio Summary Click here Investment Portfolio Click here Financial Statements Click here Financial Highlights Click here Notes to Financial Statements Click here Report of Independent Registered Public Accounting Firm Click here Tax Information Click here Other Information Click here Shareholder Meeting Results Click here Trustees and Officers Click here Account Management Resources |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. This fund invests in individual bonds whose yields and market values fluctuate so that your investment may be worth more or less than its original cost. Bond investments are subject to interest-rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the bond fund, can decline and the investor can lose principal value. A portion of the fund's returns may be subject to federal, state, local and alternative minimum tax. Finally, the fund may focus its investments in certain geographical regions, thereby increasing its vulnerability to developments in that region. This may result in greater share price volatility. Please read this fund's prospectus for specific details regarding its investments and risk profile.
DWS Scudder is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Asset Management, Inc., Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary May 31, 2006
Classes A, B, C and Institutional
All performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit www.dws-scudder.com for the Fund's most recent month-end performance.
The maximum sales charge for Class A shares is 4.5%. For Class B shares, the maximum contingent deferred sales charge (CDSC) is 4% within the first year after purchase, declining to 0% after six years. Class C shares have no adjustment for front-end sales charges, but redemptions within one year of purchase may be subject to a CDSC of 1%. Unadjusted returns do not reflect sales charges and would have been lower if they had. Institutional Class shares are not subject to sales charges.
To discourage short-term trading, the Fund imposes a 2% redemption fee on shareholders redeeming shares held less than 15 days, which has the effect of lowering total return.
Returns and rankings during all periods shown for Class A, B and C shares and during the 3-year, 5-year and 10-year periods shown for Institutional Class shares reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns and rankings may differ by share class.
A portion of the Fund's distributions may be subject to federal, state and local tax and the alternative minimum tax.
Returns shown for Class A, B and C shares for the periods prior to their inception on June 11, 2001 are derived from the historical performance of Class S shares of DWS Managed Municipal Bond Fund during such periods and have been adjusted to reflect the higher gross total annual operating expenses of each specific class. Any difference in expenses will affect performance.
Average Annual Total Returns (Unadjusted for Sales Charge) as of 5/31/06 | ||||
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Class A | 2.65% | 2.92% | 4.93% | 5.55% |
Class B | 1.88% | 2.13% | 4.12% | 4.74% |
Class C | 1.86% | 2.13% | 4.11% | 4.72% |
Lehman Brothers Municipal Bond Index+ | 1.89% | 3.22% | 5.27% | 5.95% |
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | Life of Class* |
Institutional Class | 2.82% | 3.17% | 4.08% |
Lehman Brothers Municipal Bond Index+ | 1.89% | 3.22% | 4.31% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
* Institutional Class shares commenced operations on August 19, 2002. Index returns began on August 31, 2002.Net Asset Value and Distribution Information | ||||
| Class A | Class B | Class C | Institutional Class |
Net Asset Value: 5/31/06 | $ 9.04 | $ 9.04 | $ 9.04 | $ 9.04 |
5/31/05 | $ 9.20 | $ 9.20 | $ 9.20 | $ 9.21 |
Distribution Information: Twelve Months:Income Dividends as of 5/31/06 | $ .40 | $ .33 | $ .33 | $ .42 |
Capital Gain Distributions as of 5/31/06 | $ .002 | $ .002 | $ .002 | $ .002 |
May Income Dividend | $ .0326 | $ .0268 | $ .0268 | $ .0340 |
SEC 30-day Yield++ as of 5/31/06 | 3.54% | 2.96% | 2.95% | 3.89% |
Tax Equivalent Yield++ as of 5/31/06 | 5.45% | 4.55% | 4.54% | 5.98% |
Current Annualized Distribution Rate++ as of 5/31/06 | 4.25% | 3.49% | 3.49% | 4.43% |
Class A Lipper Rankings — General Municipal Debt Funds Category as of 5/31/06 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 39 | of | 260 | 15 |
3-Year | 103 | of | 249 | 42 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return unadjusted for sales charges with distributions reinvested. If sales charges had been included, results might have been less favorable. Rankings are for Class A shares; other share classes may vary.
Growth of an Assumed $10,000 Investment (Adjusted for Maximum Sales Charge) |
[] DWS Managed Municipal Bond Fund — Class A [] Lehman Brothers Municipal Bond Index+ |
![]() |
Yearly periods ended May 31 |
The Fund's growth of an assumed $10,000 investment is adjusted for the maximum sales charge of 4.50%. This results in a net initial investment of $9,550. The growth of $10,000 is cumulative.
Comparative Results (Adjusted for Maximum Sales Charge) as of 5/31/06 | |||||
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Class A | Growth of $10,000 | $9,803 | $10,410 | $12,150 | $16,395 |
Average annual total return | -1.97% | 1.35% | 3.97% | 5.07% | |
Class B | Growth of $10,000 | $9,893 | $10,462 | $12,137 | $15,885 |
Average annual total return | -1.07% | 1.52% | 3.95% | 4.74% | |
Class C | Growth of $10,000 | $10,186 | $10,652 | $12,231 | $15,857 |
Average annual total return | 1.86% | 2.13% | 4.11% | 4.72% | |
Lehman Brothers Municipal Bond Index+ | Growth of $10,000 | $10,189 | $10,997 | $12,926 | $17,816 |
Average annual total return | 1.89% | 3.22% | 5.27% | 5.95% |
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | Life of Class* | |
Institutional Class | Growth of $1,000,000 | $1,028,200 | $1,098,000 | $1,163,300 |
Average annual total return | 2.82% | 3.17% | 4.08% | |
Lehman Brothers Municipal Bond Index+ | Growth of $1,000,000 | $1,018,900 | $1,099,700 | $1,171,600 |
Average annual total return | 1.89% | 3.22% | 4.31% |
The growth of $10,000 and $1,000,000 are cumulative.
The minimum initial investment for Institutional Class is $1,000,000.
* Institutional Class shares commenced operations on August 19, 2002. Index returns began on August 31, 2002.+ The Lehman Brothers Municipal Bond Index is an unmanaged market-value-weighted measure of municipal bonds issued across the United States. Index issues have a credit rating of at least Baa and a maturity of at least two years. Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Class AARP and Class S
Class AARP has been created especially for members of AARP. Class S shares are no longer available to new investors except under certain circumstances. (Please refer to the Fund's Statement of Additional Information.)
All performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit www.dws-scudder.com for the Fund's most recent month-end performance.
To discourage short-term trading, the Fund imposes a 2% redemption fee on shareholders redeeming shares held less than 15 days, which has the effect of lowering total return.
Returns and rankings during the 3-year, 5-year and 10-year periods shown for Class S and all periods shown for Class AARP reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns and rankings may differ by share class.
A portion of the Fund's distributions may be subject to federal, state and local tax and the alternative minimum tax.
Returns shown for Class AARP shares for the period prior to its inception on July 31, 2000 are derived from the historical performance of Class S shares of DWS Managed Municipal Bond Fund during such periods and have assumed the same expense structure during such periods. Any difference in expenses will affect performance.
Average Annual Total Returns as of 5/31/06 | ||||
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | 2.88% | 3.19% | 5.19% | 5.78% |
Class AARP | 2.88% | 3.18% | 5.18% | 5.79% |
Lehman Brothers Municipal Bond Index+ | 1.89% | 3.22% | 5.27% | 5.95% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Net Asset Value and Distribution Information | ||
| Class AARP | Class S |
Net Asset Value: 5/31/06 | $ 9.05 | $ 9.05 |
5/31/05 | $ 9.21 | $ 9.21 |
Distribution Information: Twelve Months:Income Dividends as of 5/31/06 | $ .42 | $ .42 |
Capital Gain Distributions as of 5/31/06 | $ .002 | $ .002 |
May Income Dividend | $ .0344 | $ .0344 |
SEC 30-day Yield++ as of 5/31/06 | 3.93% | 3.94% |
Tax Equivalent Yield++ as of 5/31/06 | 6.05% | 6.06% |
Current Annualized Distribution Rate++ as of 5/31/06 | 4.48% | 4.48% |
Class S Lipper Rankings — General Municipal Debt Funds Category as of 5/31/06 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 28 | of | 260 | 11 |
3-Year | 71 | of | 249 | 28 |
5-Year | 43 | of | 221 | 20 |
10-Year | 20 | of | 143 | 14 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Class S shares; other share classes may vary.
Growth of an Assumed $10,000 Investment |
[] DWS Managed Municipal Bond Fund — Class S [] Lehman Brothers Municipal Bond Index+ |
![]() |
Yearly periods ended May 31 |
Comparative Results as of 5/31/06 | |||||
DWS Managed Municipal Bond Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Class S | Growth of $10,000 | $10,288 | $10,987 | $12,876 | $17,545 |
Average annual total return | 2.88% | 3.19% | 5.19% | 5.78% | |
Class AARP | Growth of $10,000 | $10,288 | $10,985 | $12,873 | $17,549 |
Average annual total return | 2.88% | 3.18% | 5.18% | 5.79% | |
Lehman Brothers Municipal Bond Index+ | Growth of $10,000 | $10,189 | $10,997 | $12,926 | $17,816 |
Average annual total return | 1.89% | 3.22% | 5.27% | 5.95% |
The growth of $10,000 is cumulative.
+ The Lehman Brothers Municipal Bond Index is an unmanaged market-value-weighted measure of municipal bonds issued across the United States. Index issues have a credit rating of at least Baa and a maturity of at least two years. Index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, Class A, B, C and AARP limited these expenses; had they not done so, expenses would have been higher. The tables are based on an investment of $1,000 made at the beginning of the six-month period ended May 31, 2006.
The tables illustrate your Fund's expenses in two ways:
Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.
Restated to include interest expense related to the Fund's investments in inverse floaters. (Please see Note J in the Notes to Financial Statements.) Expenses and Value of a $1,000 Investment (Including Interest Expense) for the six months ended May 31, 2006 | ||||||
Actual Fund Return | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
Beginning Account Value 12/1/05 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 5/31/06 | $ 1,018.90 | $ 1,015.00 | $ 1,014.90 | $ 1,020.00 | $ 1,020.00 | $ 1,020.30 |
Expenses Paid per $1,000* | $ 5.49 | $ 9.24 | $ 9.29 | $ 4.33 | $ 4.33 | $ 4.38 |
Hypothetical 5% Fund Return | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
Beginning Account Value 12/1/05 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 5/31/06 | $ 1,019.50 | $ 1,015.76 | $ 1,015.71 | $ 1,020.64 | $ 1,020.64 | $ 1,020.59 |
Expenses Paid per $1,000* | $ 5.49 | $ 9.25 | $ 9.30 | $ 4.33 | $ 4.33 | $ 4.38 |
Annualized Expense Ratios | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
DWS Managed Municipal Bond Fund | 1.09% | 1.84% | 1.85% | .86% | .86% | .87% |
As previously reported, excluding interest expense. Expenses and Value of a $1,000 Investment (Excluding Interest Expense) for the six months ended May 31, 2006 | ||||||
Actual Fund Return | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
Beginning Account Value 12/1/05 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 5/31/06 | $ 1,018.90 | $ 1,015.00 | $ 1,014.90 | $ 1,020.00 | $ 1,020.00 | $ 1,020.30 |
Expenses Paid per $1,000* | $ 3.72 | $ 7.49 | $ 7.54 | $ 2.57 | $ 2.57 | $ 2.62 |
Hypothetical 5% Fund Return | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
Beginning Account Value 12/1/05 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 5/31/06 | $ 1,021.24 | $ 1,017.50 | $ 1,017.45 | $ 1,022.39 | $ 1,022.39 | $ 1,022.34 |
Expenses Paid per $1,000* | $ 3.73 | $ 7.49 | $ 7.54 | $ 2.57 | $ 2.57 | $ 2.62 |
Annualized Expense Ratios | Class A | Class B | Class C | Class AARP | Class S | Institutional Class |
DWS Managed Municipal Bond Fund | .74% | 1.49% | 1.50% | .51% | .51% | .52% |
For more information, please refer to the Fund's prospectus.
DWS Managed Municipal Bond Fund: A Team Approach to Investing
Deutsche Investment Management Americas Inc. ("DeIM" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for DWS Managed Municipal Bond Fund. DeIM and its predecessors have more than 80 years of experience managing mutual funds and DeIM provides a full range of investment advisory services to institutional and retail clients. DeIM is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DeIM is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Portfolio Management Team
Philip G. Condon
Managing Director of Deutsche Asset Management and Co-Lead Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1983 and the fund in 1990.
Over 29 years of investment industry experience.
BA, MBA, University of Massachusetts at Amherst.
Ashton P. Goodfield, CFA
Managing Director of Deutsche Asset Management and Co-Lead Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1986 and the fund in 1998.
Over 20 years of investment industry experience.
BA, Duke University
Eleanor R. Lynch, CFA
Director of Deutsche Asset Management and Co-Lead Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1995 and the fund in 1999.
Over 18 years of investment industry experience.
BS, Ursinus College; MS, Drexel University.
Matthew J. Caggiano, CFA
Director of Deutsche Asset Management and Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1989 and the fund in 1999.
Over 17 years of investment industry experience.
BS, Pennsylvania State University; MS, Boston College.
Philip G. Condon, Ashton P. Goodfield and Eleanor R. Lynch serve as co-lead portfolio managers of DWS Managed Municipal Bond Fund. Matthew J. Caggiano is also a portfolio manager. In the following interview, the DWS municipal bond team discusses the fund's performance for the period and the market environment for municipal bonds.
Q: Will you describe the general market environment during the annual period ended May 31, 2006?
A: Municipal bonds delivered tepid results over the period, although returns were significantly above those in the taxable market. The municipal bond market, as measured by the Lehman Brothers Municipal Bond Index, delivered a total return of 1.89% for the 12 months ended May 31, 2006.1 The broad taxable-bond market, as measured by the Lehman Brothers Aggregate Bond Index, delivered a total return of -0.48% for the same period.2
1 The Lehman Brothers Municipal Bond Index is an unmanaged market-value-weighted measure of municipal bonds issued across the United States. Index issues have a credit rating of at least Baa and a maturity of at least two years.2 The Lehman Brothers Aggregate Bond Index is an unmanaged index representing domestic taxable investment-grade bonds, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities with average maturities of one year or more.
Index returns assume reinvestment of all distributions and, unlike fund returns, do not include any fees or expenses. It is not possible to invest directly into an index.
The US Federal Reserve Board (the Fed) continued to increase short-term interest rates as it attempts to move to a neutral monetary policy. Over the period, the federal funds rate — the overnight interbank lending rate and a benchmark for interest rates generally — was raised eight times by 0.25%, to its current level of 5.00%. This caused yields on shorter-term bonds, which are highly sensitive to Fed moves, to rise. Since a bond's yield moves in the opposite direction of its price, this meant that prices of short-term bonds generally fell. Longer-term interest rates rose as well, although to a lesser extent.
The relationship between supply of and demand for municipal issues can be an important factor in the performance of this market. High demand or low supply can drive municipal bond prices higher, while low demand or high supply can have the reverse effect. For most of 2005, the supply of municipal issues coming to market was heavy, driven in large part by refunding activity as borrowers sought to take advantage of low interest rates. Toward the end of 2005, as rates rose, supply began to drop off. This trend has prevailed so far in 2006, as supply nationally is down significantly compared with the same period in 2005. On the demand side, interest from institutional investors such as insurance companies has remained strong, and mutual funds also provided support. In addition, as yields rose, individual investors began to display renewed interest in municipal issues. The combination of lightening supply of and continued broad demand for municipal issues contributed to their strong performance relative to most areas of the taxable market.
The municipal bond yield curve flattened during the 12-month period.3 The two-year bond yield increased 83 basis points, from 2.76% to 3.59%, while the 30-year yield rose only 27 basis points to 4.53% from 4.26%, resulting in a total flattening of 56 basis points. (See the accompanying graph for municipal bond yield changes from the beginning to the end of the period.)
3 The yield curve is a graph with a left-to-right line that shows how high or low yields are, from the shortest to the longest maturities. Typically (and when the yield curve is characterized as "steep," this is especially true) the line rises from left to right as investors who are willing to tie up their money for a longer period are rewarded with higher yields.Q: How did DWS Managed Municipal Bond Fund perform for the 12-month period ended May 31, 2006?
A: DWS Managed Municipal Bond Fund posted a modest positive return for the period, outperforming its benchmark and average
Municipal Bond Yield Curve (as of 5/31/05 and 5/31/06) |
![]() |
Source: Municipal Market Data, AAA-rated universe
This chart is not intended to represent the yield of any DWS fund.
Lipper peer. The fund's Class A shares delivered a total return of 2.65%, while its benchmark, the unmanaged Lehman Brothers Municipal Bond Index, returned 1.89%. (Returns are unadjusted for sales charges. If sales charges had been included, returns would have been lower. Past performance is no guarantee of future results. Please see pages 4 through 9 for the performance of other share classes and more complete performance information.) The fund's Class A shares outperformed its average peer in the Lipper General Municipal Debt Funds category, which gained 1.73%.4
4 The Lipper General Municipal Debt Funds category includes funds that invest primarily in municipal debt issues in the top 4 credit ratings. Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Inc. as falling into the General Municipal Debt Funds category. For the one- and three-year periods, this category's average return was 1.73% (260 funds) and 2.79% (249 funds), respectively, as of May 31. 2006.Q: How was the fund positioned, and how did this positioning contribute to its performance for the annual period ended May 31, 2006?
A: For much of the period, we maintained a relatively defensive posture, meaning that we sought to avoid taking any undue credit or interest-rate risk. This translated into an underweighting of both lower-quality and longer-maturity issues compared with many of our peers.
With respect to credit risk, the yield advantage provided by BBB-rated versus AAA-rated issues has for some time been narrow by historical standards, and we did not feel that we could justify any significant tilt toward lower quality given the minimal incremental reward. This constrained performance a bit as credit spreads continued to tighten over the period. Our holdings of tobacco-related issues helped returns as this sector benefited from spread tightening and refunding activity (which generally results in a price increase as affected issues are revalued to their call date).
We do not focus on trying to predict the overall level of interest rates, and we attempt to keep the fund's duration and overall interest rate sensitivity similar to that of its peers and its benchmark, the Lehman Brothers Municipal Bond Index.5 In attempting to maintain a duration-neutral stance, we will shift the fund's relative exposure to shorter and longer maturities to reflect our view of where the best return opportunities lie. Performance benefited from our efforts to minimize the impact of a flattening yield curve on returns, in particular by hedging our exposure to the 10-year segment of the market. The execution of this strategy also allowed us to benefit from the outperformance of the municipal market versus taxable bonds. In addition, our exposure to inverse floaters, instruments whose coupon rates move in the opposite direction of short-term rates, helped performance. This position has been trimmed with the increase in short-term rates.
5 Duration is a measure of bond price volatility. Duration can be defined as the approximate percentage change in price for a 100-basis-point (one single percentage point) change in market interest rate levels. A duration of 1.25, for example, means that the price of a bond or bond portfolio should rise by approximately 1.25% for a one-percentage-point drop in interest rates, and that it should fall by 1.25% for a one-percentage-point rise in interest rates.The flattening of the yield curve that has occurred has significantly reduced the income advantage provided by longer-term issues. In this vein, we are currently emphasizing bonds with maturities in the 10- to 15-year range and that are priced to a call. The fund is currently well positioned should the yield curve steepen and should quality spreads widen.
We will continue to take a prudent approach to investing in the municipal market, while seeking to maintain an attractive dividend.
The views expressed in this report reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The managers' views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results.
(as restated, see Note J)
Portfolio Composition | 5/31/06 | 5/31/05 |
|
|
|
Revenue Bonds | 51% | 57% |
General Obligation Bonds | 23% | 23% |
US Government Secured | 17% | 12% |
Lease Obligations | 9% | 8% |
| 100% | 100% |
Quality | 5/31/06 | 5/31/05 |
|
|
|
AAA | 70% | 73% |
AA | 7% | 8% |
A | 7% | 6% |
BBB | 6% | 7% |
Not Rated | 10% | 6% |
| 100% | 100% |
Effective Maturity | 5/31/06 | 5/31/05 |
|
|
|
0-4.99 years | 35% | 24% |
5-9.99 years | 48% | 53% |
10-15 years | 15% | 18% |
Greater than 15 years | 2% | 5% |
| 100% | 100% |
Weighted average effective maturity: 6.64 years and 7.73 years, respectively.
Portfolio composition, quality and effective maturity are subject to change.
The quality ratings represent the lower of Moody's Investors Services, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings. The ratings of Moody's and S&P represent their opinions as to the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality. The Fund's credit quality does not remove market risk.
Top Five State Allocations (% of Total Investment Portfolio) | 5/31/06 | 5/31/05 |
|
|
|
California | 17% | 18% |
Illinois | 11% | 11% |
New Jersey | 9% | 8% |
New York | 7% | 7% |
Texas | 7% | 7% |
Top five state allocations are subject to change.
For more complete details about the Fund's investment portfolio, see page 21. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to www.dws-scudder.com on or after the last day of the following month. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Investment Portfolio as of May 31, 2006
(as restated, see Note J)
| Principal Amount ($) | Value ($) |
|
| |
Municipal Bonds and Notes 89.9% | ||
Alabama 0.1% | ||
Phoenix County, AL, Industrial Development Revenue, Industrial Development Board, AMT, 6.35%, 5/15/2035 | 4,000,000 | 4,284,000 |
Alaska 0.5% | ||
Anchorage, AK, Core City General Obligation, 5.5%, 7/1/2021 (a) | 3,860,000 | 4,152,511 |
Anchorage, AK, Electric Revenue, 6.5%, 12/1/2015 (a) | 5,000,000 | 5,918,200 |
Anchorage, AK, State General Obligation: |
|
|
5.5%, 7/1/2019 (a) | 2,500,000 | 2,699,925 |
5.5%, 7/1/2020 (a) | 2,500,000 | 2,699,925 |
North Slope Borough, AK, County General Obligation Lease, Series B, Zero Coupon, 6/30/2011 (a) | 5,000,000 | 4,088,250 |
| 19,558,811 | |
Arizona 1.3% | ||
Arizona, School District General Obligation, School Facilities Board Revenue: |
|
|
Series B, 5.25%, 9/1/2017 (a) | 6,500,000 | 7,048,275 |
5.5%, 7/1/2014 | 5,000,000 | 5,405,000 |
5.5%, 7/1/2015 | 3,000,000 | 3,243,000 |
5.5%, 7/1/2016 | 5,000,000 | 5,405,000 |
Mesa, AZ, Electric Revenue: |
|
|
5.25%, 7/1/2016 (a) | 7,500,000 | 8,173,875 |
5.25%, 7/1/2017 (a) | 10,000,000 | 10,959,700 |
Phoenix, AZ, Transportation/Tolls Revenue, Series A, Zero Coupon, 7/1/2012 (a) | 4,675,000 | 3,656,598 |
Phoenix, AZ, Water & Sewer Revenue, Civic Improvement Corp., Prerefunded, 6.0%, 7/1/2011 (a) | 4,105,000 | 4,492,512 |
Scottsdale, AZ, General Obligation, 5.375%, 7/1/2015 | 1,635,000 | 1,752,393 |
Tucson, AZ, Water & Sewer Revenue, 5.5%, 7/1/2018 (a) | 4,100,000 | 4,480,644 |
| 54,616,997 | |
Arkansas 0.5% | ||
Jonesboro, AR, Hospital & Healthcare Revenue, Healthcare Facilities Authority, Bernard's Regional Medical Center, Series A, 5.8%, 7/1/2012 (a) | 4,025,000 | 4,111,417 |
North Little Rock, AR, Electric Revenue, Series A, 6.5%, 7/1/2015 (a) | 13,080,000 | 15,025,911 |
| 19,137,328 | |
California 16.0% | ||
Banning, CA, Water & Sewer Revenue, 1989 Water System Improvement Project, 8.0%, 1/1/2019 (a) | 885,000 | 1,100,958 |
Banning, CA, Water & Sewer Revenue, Water System Reference & Improvement Project, 8.0%, 1/1/2019 (a) | 880,000 | 1,033,850 |
California, Department of Water Resources Revenue: |
|
|
Prerefunded, Series W, 5.5%, 12/1/2015 | 565,000 | 615,720 |
5.5%, 12/1/2015 | 2,825,000 | 3,057,272 |
California, Department of Water Resources Revenue, Central Valley Project, Series AC, 5.0%, 12/1/2027 (a) | 9,000,000 | 9,318,150 |
California, Electric Revenue, Department of Water Resources and Power Supply: |
|
|
Series A, 5.25%, 5/1/2020 | 2,000,000 | 2,176,300 |
Series A, 5.375%, 5/1/2021 | 5,000,000 | 5,473,650 |
Series A, 5.375%, 5/1/2022 | 10,665,000 | 11,675,295 |
Series A, 5.875%, 5/1/2016 | 20,000,000 | 22,415,400 |
California, Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue, Series A-1, 6.625%, 6/1/2040 | 17,545,000 | 19,446,176 |
California, Higher Education Revenue, 5.25%, 11/1/2020 (a) | 6,315,000 | 6,760,460 |
California, Higher Education Revenue, Marymount University, Zero Coupon, 10/1/2014 (a) | 1,000,000 | 700,930 |
California, Housing Finance Agency Revenue, Multi-Family Housing, Series C, AMT, 3.54%*, 8/1/2037 | 800,000 | 800,000 |
California, Public Works Board, Lease Revenue, Department of Corrections, Series C, 5.0%, 6/1/2025 | 2,500,000 | 2,555,675 |
California, Senior Care Revenue, Statewide Community Development Authority, California Lutheran Homes, ETM, 5.5%, 11/15/2008 | 1,735,000 | 1,776,779 |
California, Special Assessment Revenue, Golden State Tobacco Securitization Corp.: |
|
|
Series B, 5.5%, 6/1/2043 | 9,950,000 | 10,941,318 |
Series B, 5.625%, 6/1/2038 | 37,265,000 | 41,261,299 |
Series 2003-A-1, 6.75%, 6/1/2039 | 37,520,000 | 41,980,002 |
California, State Agency General Obligation Lease, Series A, 6.3%, 12/1/2006 (a) | 8,095,000 | 8,206,792 |
California, State General Obligation: |
|
|
5.0%, 5/1/2015 | 10,450,000 | 11,107,618 |
5.0%, 3/1/2017 | 10,000,000 | 10,579,000 |
Series 1, 5.0%, 9/1/2019 | 12,700,000 | 13,313,410 |
5.0%, 6/1/2029 (a) | 25,000,000 | 25,759,000 |
5.0%, 2/1/2031 (a) | 26,975,000 | 27,625,637 |
5.0%, 4/1/2031 (a) | 10,000,000 | 10,276,500 |
5.0%, 12/1/2031 (a) | 32,470,000 | 33,385,979 |
5.125%, 11/1/2024 | 5,000,000 | 5,193,400 |
5.25%, 2/1/2017 | 17,450,000 | 18,521,779 |
5.25%, 2/1/2027 (a) | 4,790,000 | 5,039,128 |
6.25%, 10/1/2007 (a) (c) | 4,000,000 | 4,140,000 |
California, State Public Works Board, Lease Revenue, Department of Mental Health: Series A, 5.5%, 6/1/2021 | 5,275,000 | 5,712,667 |
Series A, 5.5%, 6/1/2022 | 1,400,000 | 1,513,204 |
California, State Revenue Lease, 5.25%, 12/1/2020 (a) | 22,040,000 | 23,359,976 |
California, State Revenue Lease, Public Works Board, Department of Corrections: |
|
|
Series C, 5.5%, 6/1/2020 | 5,000,000 | 5,396,150 |
Series C, 5.5%, 6/1/2021 | 2,500,000 | 2,696,400 |
California, State University Revenue: |
|
|
Series A, 5.0%, 11/1/2016 (a) | 16,790,000 | 17,905,863 |
Series A, 5.125%, 5/15/2017 (a) | 10,000,000 | 10,658,300 |
Series A, 5.25%, 11/1/2021 (a) | 4,000,000 | 4,257,120 |
Fairfield-Suisun, CA, Unified School District General Obligation, Election 2002, 5.0%, 8/1/2024 (a) | 3,840,000 | 3,992,410 |
Foothill, CA, Eastern Corridor Agency, Toll Road Revenue: |
|
|
Series A, ETM, Zero Coupon, 1/1/2015 | 11,000,000 | 7,622,010 |
Series A, ETM, Zero Coupon, 1/1/2017 | 5,000,000 | 3,128,450 |
Foothill, CA, Transportation/Tolls Revenue, Eastern Corridor Agency: |
|
|
Series A, ETM, Zero Coupon, 1/1/2018 | 21,890,000 | 13,014,043 |
Series A, Prerefunded, 6.0%, 1/1/2016 | 20,400,000 | 22,013,640 |
Series A, ETM, 7.05%, 1/1/2009 | 5,000,000 | 5,422,350 |
Series A, Prerefunded, 7.1%, 1/1/2011 | 4,000,000 | 4,530,440 |
Series A, Prerefunded, 7.1%, 1/1/2012 | 4,000,000 | 4,530,440 |
Series A, Prerefunded, 7.15%, 1/1/2014 | 6,250,000 | 7,089,187 |
Los Angeles County, CA, County General Obligation Lease: |
|
|
Zero Coupon, 9/1/2007 | 4,030,000 | 3,822,818 |
Zero Coupon, 9/1/2009 | 5,425,000 | 4,739,497 |
Los Angeles, CA, Airport Revenue, Regional Airports Improvement Corporation Lease, Series C, AMT, 7.5%, 12/1/2024 | 2,500,000 | 2,691,425 |
Los Angeles, CA, School District General Obligation, Unified School District: |
|
|
Series A, 5.0%, 7/1/2023 (a) | 12,000,000 | 12,444,720 |
Series A, 5.0%, 7/1/2024 (a) | 10,000,000 | 10,352,200 |
5.75%, 7/1/2015 (a) | 2,000,000 | 2,263,480 |
5.75%, 7/1/2016 (a) | 17,000,000 | 19,334,610 |
Los Angeles, CA, Unified School District: |
|
|
Series A-1, 5.0%, 7/1/2017 (a) | 10,000,000 | 10,620,700 |
Series A, 5.375%, 7/1/2018 (a) | 16,575,000 | 18,187,747 |
Madera County, CA, Hospital & Healthcare Revenue, Valley Childrens Hospital, 6.5%, 3/15/2010 (a) | 2,840,000 | 3,116,531 |
Murrieta Valley, CA, School District General Obligation, Unified School District, Series A, Zero Coupon, 9/1/2014 (a) | 4,235,000 | 2,979,704 |
Oakland, CA, Special Assessment Revenue, Oakland Convention Centers, 5.5%, 10/1/2014 (a) | 2,000,000 | 2,215,940 |
Roseville, CA, School District General Obligation, Junior High, Series B, Zero Coupon, 8/1/2015 (a) | 1,000,000 | 672,100 |
San Diego, CA, School District General Obligation, Series A, Zero Coupon, 7/1/2014 (a) | 3,420,000 | 2,424,780 |
San Diego, CA, Water & Sewer Revenue: |
|
|
5.632%, 4/25/2007 (a) | 6,300,000 | 6,417,432 |
5.681%, 4/22/2009 (a) | 4,500,000 | 4,755,330 |
San Joaquin County, CA, County General Obligation Lease, Facilities Project, 5.5%, 11/15/2013 (a) | 3,895,000 | 4,300,859 |
San Joaquin Hills, CA, Transportation/Tolls Revenue, Transportation Corridor Agency, Toll Road Revenue: |
|
|
Series A, Zero Coupon, 1/15/2012 (a) | 5,000,000 | 3,996,850 |
Series A, Zero Coupon, 1/15/2013 (a) | 35,295,000 | 26,901,496 |
Series A, Zero Coupon, 1/15/2014 (a) | 14,905,000 | 10,806,870 |
Ukiah, CA, School District General Obligation Lease, Zero Coupon, 8/1/2015 (a) | 2,000,000 | 1,344,200 |
Vallejo City, CA, General Obligation, Unified School District, Series A, 5.9%, 2/1/2022 (a) | 3,905,000 | 4,589,586 |
| 658,059,002 | |
Colorado 2.7% | ||
Colorado, E-40 Public Highway Authority Revenue, Series B, Zero Coupon, 9/1/2016 (a) | 5,000,000 | 3,164,500 |
Colorado, Health Facilities Authority Revenue, Catholic Health Initiatives, Series B-1, 3.2%*, 3/1/2023 | 2,800,000 | 2,800,000 |
Colorado, Health Facilities Authority Revenue, Covenant Retirement Communities Project: |
|
|
6.75%, 12/1/2015 | 1,750,000 | 1,788,658 |
6.75%, 12/1/2025 | 4,150,000 | 4,241,674 |
Colorado, Hospital & Healthcare Revenue, Portercare Adventist Health Project, 6.5%, 11/15/2031 | 3,000,000 | 3,408,960 |
Colorado, Transportation/Tolls Revenue: |
|
|
Series B, Zero Coupon, 9/1/2014 (a) | 11,295,000 | 7,915,084 |
Series B, Zero Coupon, 9/1/2015 (a) | 21,500,000 | 14,344,800 |
Series B, Zero Coupon, 9/1/2017 (a) | 8,000,000 | 4,789,280 |
Series B, Zero Coupon, 9/1/2018 (a) | 20,560,000 | 11,641,894 |
Series B, Zero Coupon, 9/1/2019 (a) | 36,500,000 | 19,595,390 |
Series B, Zero Coupon, 9/1/2020 (a) | 7,000,000 | 3,555,860 |
Series B, Zero Coupon, 9/1/2034 | 15,200,000 | 2,117,816 |
Series A, 5.75%, 9/1/2014 (a) | 14,700,000 | 16,456,503 |
Denver, CO, School District General Obligation, Series A, 6.5%, 12/1/2010 | 3,000,000 | 3,338,310 |
Douglas County, CO, School District General Obligation, 7.0%, 12/15/2013 (a) | 2,500,000 | 2,986,975 |
Mesa County, CO, Residual Revenue, EMT, Zero Coupon, 12/1/2011 | 11,435,000 | 9,196,713 |
| 111,342,417 | |
Connecticut 0.6% | ||
Connecticut, State General Obligation: |
|
|
Series A, 5.375%, 4/15/2019 | 10,075,000 | 10,893,292 |
Series C, 5.5%, 12/15/2014 | 5,000,000 | 5,540,600 |
Series A, 5.5%, 12/15/2015 | 5,000,000 | 5,559,200 |
Series B, 5.5%, 6/15/2018 | 1,000,000 | 1,089,650 |
Prerefunded, Series E, ETM, 6.0%, 3/15/2012 | 170,000 | 189,064 |
Greenwich, CT, Multi-Family Housing Revenue, 6.35%, 9/1/2027 | 2,640,000 | 2,766,746 |
| 26,038,552 | |
District of Columbia 0.2% | ||
District of Columbia, Core City General Obligation: |
|
|
Series B3, 5.5%, 6/1/2012 (a) | 1,050,000 | 1,139,219 |
Series A1, 6.5%, 6/1/2010 (a) | 1,095,000 | 1,207,084 |
Series A1, Prerefunded, 6.5%, 6/1/2010 (a) | 1,175,000 | 1,291,019 |
District of Columbia, Water & Sewer Revenue, Public Utility Revenue, 5.5%, 10/1/2023 (a) | 5,000,000 | 5,615,700 |
| 9,253,022 | |
Florida 2.7% | ||
Florida, Municipal Loan Council Revenue, Series A, 5.25%, 5/1/2019 (a) | 1,000,000 | 1,064,280 |
Florida, State Board of Public Education, Series D, 5.375%, 6/1/2019 | 1,000,000 | 1,071,330 |
Florida, Village Center Community Development District, Utility Revenue, ETM, 6.0%, 11/1/2018 (a) | 1,250,000 | 1,436,212 |
Florida, Water Pollution Control Financing Corp. Revenue, 5.5%, 1/15/2014 | 1,000,000 | 1,075,470 |
Fort Pierce, FL, Utilities Authority Revenue, Series B, Zero Coupon, 10/1/2018 (a) | 2,000,000 | 1,137,540 |
Gainesville, FL, Utilities System Revenue, Series B, 6.5%, 10/1/2010 | 1,370,000 | 1,517,576 |
Highlands County, FL, Health Facilities Authority Revenue, Adventist Health Systems: |
|
|
5.25%, 11/15/2020 | 1,000,000 | 1,022,420 |
5.25%, 11/15/2028 | 5,300,000 | 5,378,599 |
Highlands County, FL, Health Facilities Authority Revenue, Adventist Sunbelt, Series A, 6.0%, 11/15/2031 | 7,000,000 | 7,783,650 |
Hillsborough County, FL, Industrial Development Authority Revenue, University Community Hospital, 6.5%, 8/15/2019 (a) | 1,000,000 | 1,189,470 |
Jacksonville, FL, Health Facilities Authority: |
|
|
Prerefunded, 11.5%, 10/1/2012 | 15,000 | 15,389 |
Prerefunded, ETM, 11.5%, 10/1/2012 | 85,000 | 120,604 |
Jacksonville, FL, Sales & Special Tax Revenue, Local Government: |
|
|
5.5%, 10/1/2015 (a) | 4,730,000 | 5,244,766 |
5.5%, 10/1/2016 (a) | 6,760,000 | 7,544,228 |
5.5%, 10/1/2018 (a) | 6,470,000 | 7,256,234 |
Melbourne, FL, Water & Sewer Revenue, ETM, Zero Coupon, 10/1/2016 (a) | 1,350,000 | 863,204 |
Miami Beach, FL, Stormwater Revenue, 5.75%, 9/1/2017 (a) | 725,000 | 785,182 |
Miami-Dade County, FL, Sales & Special Tax Revenue: |
|
|
Series A, Zero Coupon, 10/1/2014 (a) | 2,195,000 | 1,490,449 |
Series A, Zero Coupon, 10/1/2022 (a) | 7,000,000 | 2,998,660 |
Nassau County, FL, ICF/MR-Intercare Facilities Mentally Retarded Revenue, GF/Amelia Island Properties Project, Series A, 9.75%, 1/1/2023 | 920,000 | 922,236 |
Orange County, FL, Health Facilities Authority Revenue: |
|
|
Series 2006-A, 6.25%, 10/1/2016 (a) | 1,000,000 | 1,265,759 |
Series 2006-A, ETM, 6.25%, 10/1/2016 (a) | 70,000 | 80,781 |
Orange County, FL, Health Facilities Authority Revenue, Orlando Regional Healthcare System: |
|
|
5.75%, 12/1/2032 | 1,000,000 | 1,104,590 |
Series A, 6.25%, 10/1/2018 (a) | 500,000 | 587,025 |
Series C, 6.25%, 10/1/2021 (a) | 6,000,000 | 7,186,920 |
Orange County, FL, Health Facilities Authority, Orlando Regional Facilities, Series A, ETM, 6.25%, 10/1/2016 (a) | 2,830,000 | 3,296,865 |
Orlando & Orange County, FL, Expressway Authority Revenue, 6.5%, 7/1/2012 (a) | 1,000,000 | 1,141,590 |
Orlando, FL, Electric Revenue, Community Utilities, 6.75%, 10/1/2017 | 6,500,000 | 7,680,075 |
Orlando, FL, Special Assessment Revenue, Conroy Road Interchange Project, Series A, 5.8%, 5/1/2026 | 500,000 | 512,170 |
Palm Beach County, FL, Airport Revenue: |
|
|
5.75%, 10/1/2012 (a) | 5,000,000 | 5,502,600 |
5.75%, 10/1/2013 (a) | 5,000,000 | 5,542,700 |
Palm Beach County, FL, Airport System Revenue, 5.75%, 10/1/2014 (a) | 1,000,000 | 1,115,040 |
Palm Beach County, FL, Criminal Justice Facilities Revenue, 7.2%, 6/1/2015 (a) | 110,000 | 135,170 |
Sunrise, FL, Water & Sewer Revenue, Utility Systems, 5.5%, 10/1/2018 (a) | 12,500,000 | 13,794,750 |
Tallahassee, FL, Energy System Revenue: |
|
|
Series A, 5.25%, 10/1/2014 (a) | 1,000,000 | 1,085,210 |
5.5%, 10/1/2016 (a) | 1,005,000 | 1,119,801 |
Tampa, FL, Occupational License Tax, Series A, 5.375%, 10/1/2017 (a) | 1,000,000 | 1,074,750 |
Tampa, FL, Sales Tax Revenue, Series A, 5.375%, 10/1/2017 (a) | 500,000 | 537,270 |
Tampa, FL, Sports Authority Revenue, Sales Tax-Tampa Bay Arena Project, 5.75%, 10/1/2020 (a) | 2,075,000 | 2,372,472 |
Tampa, FL, Utility Tax Revenue, Zero Coupon, 10/1/2014 (a) | 3,165,000 | 2,222,052 |
Tampa, FL, Water Utility Systems Revenue, Prerefunded, 5.625%, 10/1/2013 (a) | 1,850,000 | 2,014,761 |
Westchase, FL, Community Development District, Special Assessment Revenue, 5.8%, 5/1/2012 (a) | 2,965,000 | 3,029,044 |
| 112,318,894 | |
Georgia 2.0% | ||
Atlanta, GA, Airport Revenue AMT: |
|
|
Series B, 5.75%, 1/1/2010 (a) | 4,240,000 | 4,484,521 |
Series B, 5.75%, 1/1/2011 (a) | 1,590,000 | 1,694,400 |
Series C, 6.0%, 1/1/2011 (a) | 7,375,000 | 7,920,160 |
Atlanta, GA, Metropolitan Rapid Transit Authority, Sales Tax Revenue, Series A, 5.0%, 7/1/2018 (a) | 21,950,000 | 23,315,729 |
Atlanta, GA, Water & Sewer Revenue, Series A, 5.5%, 11/1/2019 (a) | 13,000,000 | 14,360,450 |
Cobb County, GA, Hospital & Healthcare Revenue, Series A, 5.625%, 4/1/2011 (a) | 2,305,000 | 2,433,780 |
Georgia, Municipal Electric Authority Power Revenue: |
|
|
Series Y, Prerefunded,ETM, 6.4%, 1/1/2013 (a) | 195,000 | 218,527 |
Series 2005-Y, Prerefunded, 6.4%, 1/1/2013 (a) | 35,000 | 38,941 |
Series 2005-Y, 6.4%, 1/1/2013 (a) | 3,270,000 | 3,645,069 |
Series V, 6.5%, 1/1/2012 (a) | 5,000,000 | 5,449,800 |
Series X, 6.5%, 1/1/2012 (a) | 3,500,000 | 3,802,295 |
Series W, 6.6%, 1/1/2018 (a) | 11,270,000 | 13,083,230 |
Georgia, Water & Sewer Revenue, Municipal Electric Authority Power Revenue, Series W, 6.6%, 1/1/2018 (a) | 200,000 | 235,796 |
Macon-Bibb County, GA, Hospital & Healthcare Revenue, Series C, 5.25%, 8/1/2011 (a) | 3,000,000 | 3,203,910 |
| 83,886,608 | |
Hawaii 0.0% | ||
Hawaii, State General Obligation, Series CU, Prerefunded, 5.875%, 10/1/2014 (a) | 1,500,000 | 1,627,560 |
Illinois 10.0% | ||
Chicago, IL, Core City General Obligation: |
|
|
Zero Coupon, 1/1/2017 (a) | 20,000,000 | 12,372,200 |
Series B, 5.0%, 1/1/2011 (a) | 1,620,000 | 1,702,053 |
Series B, 5.125%, 1/1/2015 (a) | 9,550,000 | 10,105,905 |
Series A, 5.375%, 1/1/2013 (a) | 15,410,000 | 16,364,033 |
6.25%, 1/1/2011 (a) | 3,000,000 | 3,250,620 |
Chicago, IL, Sales & Special Tax Revenue, 5.375%, 1/1/2014 (a) | 5,000,000 | 5,423,600 |
Chicago, IL, School District General Obligation Lease, Board of Education: |
|
|
Series A, 6.0%, 1/1/2016 (a) | 11,025,000 | 12,572,248 |
Series A, 6.0%, 1/1/2020 (a) (c) | 46,340,000 | 53,575,528 |
Series A, 6.25%, 1/1/2009 (a) | 6,735,000 | 7,141,390 |
Series A, 6.25%, 1/1/2015 (a) | 28,725,000 | 32,492,858 |
Chicago, IL, School District General Obligation Lease, Public Housing Revenue, Series A, 5.25%, 12/1/2011 (a) | 9,705,000 | 10,386,582 |
Chicago, IL, School District General Obligation, Board of Education: |
|
|
Series B, Zero Coupon, 12/1/2009 (a) | 7,615,000 | 6,647,514 |
Series A, Zero Coupon, 12/1/2014 (a) | 2,000,000 | 1,386,500 |
6.0%, 12/1/2016 (a) | 5,000,000 | 5,160,850 |
Chicago, IL, School District Revenue Lease, Board of Education, 6.25%, 12/1/2011 (a) | 1,600,000 | 1,787,696 |
Chicago, IL, Water & Sewer Revenue: |
|
|
Zero Coupon, 11/1/2012 (a) | 6,350,000 | 4,880,864 |
Zero Coupon, 11/1/2018 (a) | 5,165,000 | 2,898,236 |
5.375%, 1/1/2013 (a) | 3,215,000 | 3,475,286 |
Cook & Du Page Counties, IL, School District General Obligation, Zero Coupon, 12/1/2009 (a) | 2,860,000 | 2,494,921 |
Cook County, IL, County General Obligation, 6.5%, 11/15/2014 (a) | 18,560,000 | 21,700,909 |
Hoffman Estates, IL, Sales & Special Tax Revenue, Tax Increment Revenue, Zero Coupon, 5/15/2007 | 15,460,000 | 14,780,378 |
Illinois, Airport Revenue, Metropolitan Pier and Exposition Authority, Series A, Zero Coupon, 6/15/2011 (a) | 895,000 | 733,811 |
Illinois, Development Finance Authority, Hospital Revenue, Adventist Health System, Sunbelt Obligation, 5.5%, 11/15/2020 | 10,000,000 | 10,658,400 |
Illinois, Health Facilities Authority, ETM, 7.0%, 2/15/2009 | 2,285,000 | 2,400,735 |
Illinois, Higher Education Revenue, Zero Coupon, 4/1/2015 (a) | 3,300,000 | 2,245,749 |
Illinois, Hospital & Healthcare Revenue, Development Finance Authority, Adventist Health System, 5.5%, 11/15/2029 | 5,475,000 | 5,835,474 |
Illinois, Hospital & Healthcare Revenue, Health Facilities Authority: |
|
|
5.2%, 9/1/2012 | 1,000,000 | 1,027,650 |
6.0%, 8/15/2007 (a) | 1,460,000 | 1,498,705 |
6.0%, 8/15/2009 (a) | 1,640,000 | 1,743,484 |
6.25%, 8/15/2013 (a) | 3,400,000 | 3,758,020 |
Series A, 6.25%, 1/1/2015 (a) | 17,000,000 | 18,706,630 |
6.4%, 6/1/2008 (a) | 1,350,000 | 1,417,257 |
Illinois, Metropolitan Pier and Exposition Authority, Series A, ETM, Zero Coupon, 6/15/2011 (a) | 2,900,000 | 2,377,710 |
Illinois, Pollution Control Revenue, Development Finance Authority, 5.85%, 1/15/2014 (a) | 5,000,000 | 5,542,700 |
Illinois, Project Revenue, Zero Coupon, 1/1/2014 (a) | 17,975,000 | 13,018,214 |
Illinois, Project Revenue, Metropolitan Pier and Exposition Authority, Zero Coupon, 6/15/2016 (a) | 10,000,000 | 6,397,700 |
Illinois, Sales & Special Tax Revenue: |
|
|
6.25%, 12/15/2011 (a) | 3,000,000 | 3,279,360 |
6.25%, 12/15/2020 (a) | 6,975,000 | 8,180,280 |
Series A, 6.5%, 12/15/2007 (a) | 4,765,000 | 4,964,511 |
Series A, 6.5%, 12/15/2008 (a) | 5,255,000 | 5,602,671 |
Series P, 6.5%, 6/15/2013 | 2,100,000 | 2,322,537 |
Illinois, Sales & Special Tax Revenue, Metropolitan Pier and Exposition Authority, Zero Coupon, 6/15/2013 (a) | 7,565,000 | 5,646,819 |
Illinois, Special Assessment Revenue, Metropolitan Pier and Exposition Authority, Series A, Zero Coupon, 12/15/2018 (a) | 6,660,000 | 3,724,139 |
Illinois, State General Obligation, 5.5%, 5/1/2016 (a) | 2,500,000 | 2,755,325 |
Illinois, Water & Sewer Revenue, Northwest Suburban Municipal Joint Action Water Agency, 6.45%, 5/1/2007 (a) | 2,575,000 | 2,638,963 |
Joliet, IL, Higher Education Revenue, College Assistance Corp., North Campus Extension Center Project, 6.7%, 9/1/2012 (a) | 2,280,000 | 2,510,531 |
Kane Cook & Du Page County, IL, School District General Obligation: |
|
|
Series B, Zero Coupon, 1/1/2011 (a) | 1,040,000 | 866,580 |
Series B, Zero Coupon, 1/1/2012 (a) | 1,300,000 | 1,037,543 |
Series B, Zero Coupon, 1/1/2013 (a) | 4,595,000 | 3,495,003 |
Kane County, IL, School District General Obligation, Aurora West Side, Series A, 6.5%, 2/1/2010 (a) | 1,775,000 | 1,935,247 |
Lake Cook Kane & McHenry Counties, IL, School District General Obligation, 6.3%, 12/1/2017 (a) | 1,885,000 | 2,226,110 |
Lake County, IL, Higher Education Revenue, District No. 117: |
|
|
Series B, Zero Coupon, 12/1/2013 (a) | 5,880,000 | 4,293,517 |
Series B, Zero Coupon, 12/1/2014 (a) | 5,985,000 | 4,149,101 |
Northern, IL, Higher Education Revenue, University, Auxiliary Facilities System, Zero Coupon, 10/1/2007 (a) | 1,865,000 | 1,774,174 |
Oak Lawn, IL, Water & Sewer Revenue, Zero Coupon, 10/1/2006 (a) | 1,295,000 | 1,278,787 |
Rosemont, IL, Capital Appreciation Tax: |
|
|
ETM, Series 3, Zero Coupon, 12/1/2007 (a) | 2,100,000 | 1,989,393 |
Series 3, Zero Coupon, 12/1/2007 | 555,000 | 524,686 |
Skokie, IL, Other General Obligation, Park District, Series B, Zero Coupon, 12/1/2011 (a) | 3,000,000 | 2,411,490 |
University Park, IL, Sales & Special Tax Revenue, Governors Gateway Industrial Park, 8.5%, 12/1/2011 | 1,605,000 | 1,626,796 |
Will County, IL, Community Unit School District No. 201-U, ETM, Zero Coupon, 12/15/2006 (a) | 3,725,000 | 3,655,417 |
Will County, IL, County General Obligation: |
|
|
Series B, Zero Coupon, 12/1/2011 (a) | 4,145,000 | 3,331,875 |
Series B, Zero Coupon, 12/1/2012 (a) | 2,480,000 | 1,901,664 |
Series B, Zero Coupon, 12/1/2013 (a) | 12,030,000 | 8,784,186 |
Series B, Zero Coupon, 12/1/2014 (a) | 10,255,000 | 7,109,279 |
Will County, IL, School District General Obligation, Community Unit School District No. 365-U, Series B, Zero Coupon, 11/1/2015 (a) | 8,000,000 | 5,296,880 |
Winnebago County, IL, School District General Obligation, District No. 122 Harlem-Loves, 6.55%, 6/1/2010 (a) | 1,825,000 | 2,006,989 |
| 409,282,263 | |
Indiana 1.6% | ||
Indiana, Electric Revenue, Municipal Power Agency: |
|
|
Series B, 5.5%, 1/1/2016 (a) | 10,160,000 | 11,195,406 |
Series B, 6.0%, 1/1/2012 (a) | 1,750,000 | 1,933,190 |
Indiana, Health Facilities Financing Authority, ETM, 6.0%, 7/1/2010 (a) | 1,035,000 | 1,120,129 |
Indiana, Higher Education Revenue, Series H, Zero Coupon, 8/1/2006 (a) | 6,000,000 | 5,964,120 |
Indiana, Hospital & Healthcare Revenue, Health Facilities Finance Authority, Greenwood Village South Project, 5.625%, 5/15/2028 | 2,100,000 | 2,092,335 |
Indiana, Hospital & Healthcare Revenue, Health Facilities Financing Authority: |
|
|
Series D, 5.75%, 11/15/2012 | 4,660,000 | 4,934,987 |
Prerefunded, ETM, 6.0%, 7/1/2006 (a) | 1,630,000 | 1,633,293 |
ETM, 6.0%, 7/1/2006 (a) | 515,000 | 515,994 |
Prerefunded, ETM, 6.0%, 7/1/2007 (a) | 1,725,000 | 1,767,142 |
ETM, 6.0%, 7/1/2007 (a) | 545,000 | 557,938 |
Prerefunded, ETM, 6.0%, 7/1/2008 (a) | 945,000 | 987,487 |
ETM, 6.0%, 7/1/2008 (a) | 300,000 | 313,272 |
Prerefunded, ETM, 6.0%, 7/1/2009 (a) | 980,000 | 1,043,161 |
ETM, 6.0%, 7/1/2009 (a) | 310,000 | 329,099 |
ETM, 6.0%, 7/1/2010 (a) | 325,000 | 350,522 |
Prerefunded, ETM, 6.0%, 7/1/2011 (a) | 1,100,000 | 1,206,876 |
ETM, 6.0%, 7/1/2011 (a) | 345,000 | 378,020 |
Prerefunded, ETM, 6.0%, 7/1/2012 (a) | 1,165,000 | 1,292,649 |
ETM, 6.0%, 7/1/2012 (a) | 370,000 | 408,965 |
Prerefunded, ETM, 6.0%, 7/1/2013 (a) | 1,230,000 | 1,379,986 |
ETM, 6.0%, 7/1/2013 (a) | 390,000 | 434,378 |
Prerefunded, ETM, 6.0%, 7/1/2014 (a) | 1,310,000 | 1,479,252 |
ETM, 6.0%, 7/1/2014 (a) | 410,000 | 460,422 |
Prerefunded, ETM, 6.0%, 7/1/2015 (a) | 1,385,000 | 1,570,479 |
ETM, 6.0%, 7/1/2015 (a) | 440,000 | 496,443 |
Prerefunded, ETM, 6.0%, 7/1/2016 (a) | 1,470,000 | 1,680,430 |
ETM, 6.0%, 7/1/2016 (a) | 465,000 | 527,073 |
Prerefunded, ETM, 6.0%, 7/1/2017 (a) | 1,560,000 | 1,792,549 |
ETM, 6.0%, 7/1/2017 (a) | 490,000 | 558,629 |
Prerefunded, ETM, 6.0%, 7/1/2018 (a) | 1,655,000 | 1,913,693 |
ETM, 6.0%, 7/1/2018 (a) | 520,000 | 595,993 |
Indiana, Transportation/Tolls Revenue, Series A, 7.25%, 6/1/2015 | 3,120,000 | 3,708,526 |
Indiana, Transportation/Tolls Revenue, Transportation Authority: |
|
|
Series A, 5.75%, 6/1/2012 (a) | 4,550,000 | 5,007,184 |
Series A, Prerefunded, ETM, 7.25%, 6/1/2015 | 880,000 | 993,106 |
Indiana, Transportation/Tolls Revenue, Transportation Finance Authority, Series A, ETM, 5.75%, 6/1/2012 (a) | 450,000 | 488,741 |
Merrillville, IN, School District Revenue Lease, Multiple School Building Corp., First Mortgage, Zero Coupon, 1/15/2011 (a) | 4,000,000 | 3,333,880 |
| 64,445,349 | |
Iowa 0.5% | ||
Iowa, Project Revenue: |
|
|
5.5%, 2/15/2015 (a) | 10,530,000 | 11,615,748 |
5.5%, 2/15/2016 (a) | 6,645,000 | 7,357,477 |
| 18,973,225 | |
Kansas 0.6% | ||
Johnson County, KS, School District General Obligation, Series B, 5.5%, 9/1/2015 (a) | 1,860,000 | 2,065,921 |
Kansas, Pollution Control Revenue, Development Financing Authority: |
|
|
Series II, 5.5%, 5/1/2014 | 2,000,000 | 2,207,780 |
Series II, 5.5%, 11/1/2015 | 1,000,000 | 1,106,940 |
Series II, 5.5%, 11/1/2017 | 1,000,000 | 1,118,540 |
Kansas City, KS, Electric Revenue, Utility Systems Revenue, Zero Coupon, 9/1/2006 (a) | 1,375,000 | 1,362,817 |
Overland Park, KS, Industrial Development Revenue, Series A, 7.375%, 1/1/2032 | 12,000,000 | 13,133,520 |
Saline County, KS, Unified School District No. 305: |
|
|
Prerefunded, 5.5%, 9/1/2017 (a) | 2,465,000 | 2,639,325 |
5.5%, 9/1/2017 (a) | 775,000 | 831,862 |
| 24,466,705 | |
Kentucky 2.1% | ||
Kentucky, Hospital & Healthcare Revenue, Economic Development Finance Authority: |
|
|
Series C, 5.6%, 10/1/2012 (a) | 13,670,000 | 14,862,297 |
Series C, 5.7%, 10/1/2013 (a) | 8,245,000 | 9,058,534 |
Series C, 5.8%, 10/1/2014 (a) | 5,130,000 | 5,686,092 |
Series C, 5.85%, 10/1/2015 (a) | 5,235,000 | 5,789,125 |
Series C, 5.9%, 10/1/2016 (a) | 6,500,000 | 7,223,970 |
Kentucky, Project Revenue: |
|
|
5.5%, 8/1/2017 (a) | 6,770,000 | 7,572,651 |
5.5%, 8/1/2018 (a) | 5,000,000 | 5,611,450 |
5.5%, 8/1/2019 (a) | 6,870,000 | 7,739,811 |
5.5%, 8/1/2020 (a) | 4,320,000 | 4,882,637 |
Kentucky, State Agency Revenue Lease, Property and Buildings Project No. 69, Series A, 5.375%, 8/1/2016 (a) | 2,095,000 | 2,236,999 |
Kentucky, State Agency Revenue Lease, Property and Buildings Project No. 71: |
|
|
5.5%, 8/1/2014 | 4,250,000 | 4,665,947 |
5.5%, 8/1/2015 | 4,000,000 | 4,405,440 |
Kentucky, State Revenue Lease, Property and Buildings Project No. 68, Prerefunded, 5.75%, 10/1/2015 | 5,375,000 | 5,806,559 |
| 85,541,512 | |
Louisiana 0.4% | ||
Jefferson, LA, Sales & Special Tax Revenue: |
|
|
5.75%, 12/1/2015 (a) | 2,335,000 | 2,527,708 |
5.75%, 12/1/2016 (a) | 2,465,000 | 2,661,041 |
5.75%, 12/1/2017 (a) | 2,610,000 | 2,817,573 |
5.75%, 12/1/2018 (a) | 2,760,000 | 2,977,543 |
Louisiana, Public Facilities Authority, Centenary College Louisiana Project: |
|
|
Prerefunded, 5.75%, 2/1/2012 | 1,000,000 | 1,040,240 |
Prerefunded, 5.9%, 2/1/2017 | 1,000,000 | 1,042,540 |
Orleans, LA, Sales & Special Tax Revenue, Levee District Improvement Project, 5.95%, 11/1/2014 (a) | 1,275,000 | 1,308,431 |
| 14,375,076 | |
Maine 0.1% | ||
Maine, Transportation/Tolls Revenue, Turnpike Authority, 5.625%, 7/1/2017 (a) | 4,350,000 | 4,692,519 |
Maryland 1.2% | ||
Baltimore, MD, Sales & Special Tax Revenue, Series A, 5.9%, 7/1/2012 (a) | 3,100,000 | 3,432,940 |
Maryland, Hospital & Healthcare Revenue, University of Maryland Medical System, 6.75%, 7/1/2030 | 4,000,000 | 4,488,680 |
Maryland, Project Revenue, Economic Development Corp., Chesapeake Bay, Series B, 7.75%, 12/1/2031 | 37,000,000 | 39,571,130 |
Northeast, MD, Resource Recovery Revenue, Waste Disposal Authority, 7.2%, 1/1/2007 (a) | 3,390,000 | 3,399,729 |
| 50,892,479 | |
Massachusetts 5.2% | ||
Massachusetts, Airport Revenue, Port Authority, AMT, Series B, 5.5%, 7/1/2012 (a) | 3,025,000 | 3,165,905 |
Massachusetts, Airport Revenue, Port Authority, Delta Air Lines, Inc. Project, AMT, Series A, 5.5%, 1/1/2017 (a) | 4,000,000 | 4,192,360 |
Massachusetts, Bay Transportation Authority Revenue, Series B, 6.2%, 3/1/2016 | 17,450,000 | 19,786,729 |
Massachusetts, Higher Education Revenue, Building Authority Project: |
|
|
Series 2, 5.5%, 11/1/2017 (a) | 1,105,000 | 1,184,019 |
Series 2, 5.5%, 11/1/2018 (a) | 1,400,000 | 1,500,114 |
Massachusetts, Higher Education Revenue, College Building Authority Project, Series A, 7.5%, 5/1/2014 | 5,500,000 | 6,636,080 |
Massachusetts, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Massachusetts General Hospital, Series F, 6.25%, 7/1/2012 (a) | 1,000,000 | 1,070,500 |
Massachusetts, Industrial Development Revenue, Development Finance Agency, Series A, 7.1%, 7/1/2032 | 4,825,000 | 4,932,598 |
Massachusetts, Port Authority Revenue, ETM, 13.0%, 7/1/2013 | 1,165,000 | 1,554,739 |
Massachusetts, Port Authority Revenue, Delta Air Lines, Inc. Project, Series A, AMT, 5.5%, 1/1/2018 (a) | 5,000,000 | 5,230,400 |
Massachusetts, Project Revenue, 9.2%, 12/15/2031 | 17,000,000 | 20,992,620 |
Massachusetts, Project Revenue, Health & Educational Facilities Authority, Series B, 9.15%, 12/15/2023 | 3,000,000 | 3,696,330 |
Massachusetts, Sales & Special Tax Revenue, Federal Highway Grant, Series A, Zero Coupon, 12/15/2014 | 27,680,000 | 19,155,390 |
Massachusetts, State General Obligation, College Building Authority Project, Series A, 7.5%, 5/1/2010 | 4,110,000 | 4,650,383 |
Massachusetts, State General Obligation, Consolidated Loan: |
|
|
Series D, 5.5%, 11/1/2018 (a) | 4,000,000 | 4,488,680 |
Series D, 5.5%, 11/1/2019 (a) | 7,500,000 | 8,438,625 |
Series D, 5.5%, 11/1/2020 (a) | 2,000,000 | 2,256,960 |
Massachusetts, State General Obligation, Transportation Authority, Series A, 5.875%, 3/1/2015 | 10,075,000 | 11,236,849 |
Massachusetts, State Health & Educational Facilities Authority Revenue, Massachusetts Institute of Technology, Series K, 5.5%, 7/1/2022 | 9,000,000 | 10,261,170 |
Massachusetts, Transportation/Tolls Revenue, Turnpike Authority, Series C, Zero Coupon, 1/1/2018 (a) | 10,000,000 | 5,878,200 |
Massachusetts, Water & Sewer Revenue, Water Authority: |
|
|
Series J, 5.5%, 8/1/2020 (a) (c) | 34,315,000 | 38,667,171 |
Series J, 5.5%, 8/1/2021 (a) | 5,685,000 | 6,422,003 |
Massachusetts, Water & Sewer Revenue, Water Resource Authority: |
|
|
Series C, 6.0%, 12/1/2011 | 10,000,000 | 10,918,400 |
Series A, 6.5%, 7/15/2009 | 2,625,000 | 2,834,475 |
Series A, 6.5%, 7/15/2019 | 13,710,000 | 16,092,387 |
| 215,243,087 | |
Michigan 1.6% | ||
Detroit, MI, Core City General Obligation, Series B, 6.0%, 4/1/2016 (a) | 2,865,000 | 3,121,618 |
Detroit, MI, School District General Obligation: |
|
|
Series C, 5.25%, 5/1/2014 (a) | 1,000,000 | 1,079,990 |
Series A, 5.5%, 5/1/2017 (a) | 3,295,000 | 3,584,103 |
Detroit, MI, State General Obligation: |
|
|
Series A-1, 5.375%, 4/1/2016 (a) | 2,760,000 | 2,960,348 |
Series A-1, 5.375%, 4/1/2018 (a) | 3,000,000 | 3,202,110 |
Detroit, MI, Water & Sewer Revenue, Series A, Zero Coupon, 7/1/2015 (a) | 8,710,000 | 5,855,385 |
Grand Rapids, MI, Water & Sewer Revenue, Water Supply, 5.75%, 1/1/2016 (a) | 2,955,000 | 3,192,612 |
Michigan, Electric Revenue, Series A, 5.25%, 1/1/2018 (a) | 11,000,000 | 11,950,400 |
Michigan, Hospital & Healthcare Revenue, Hospital Finance Authority, Gratiot Community Hospital, 6.1%, 10/1/2007 | 840,000 | 859,026 |
Michigan, Sales & Special Tax Revenue, State Trunk Line: |
|
|
Series A, 5.5%, 11/1/2014 (a) | 4,055,000 | 4,377,535 |
Series A, Prerefunded, 5.5%, 11/1/2016 (a) | 9,545,000 | 10,304,209 |
Series A, 5.5%, 11/1/2017 (c) | 7,000,000 | 7,816,340 |
Michigan, State General Obligation, 5.5%, 12/1/2015 | 5,875,000 | 6,520,721 |
Michigan, State Hospital Finance Authority Revenue, Crittenton Hospital Medical Center, Series B, 3.56%*, 3/1/2014, Comerica Bank (b) | 650,000 | 650,000 |
Tawas City, MI, Hospital Finance Authority, St. Joseph Health Services, Series A, ETM, 5.6%, 2/15/2013 | 1,715,000 | 1,781,336 |
| 67,255,733 | |
Minnesota 0.3% | ||
University of Minnesota, Higher Education Revenue: |
|
|
Series A, 5.75%, 7/1/2017 | 3,240,000 | 3,682,811 |
Series A, 5.75%, 7/1/2018 | 6,760,000 | 7,727,491 |
| 11,410,302 | |
Mississippi 0.2% | ||
Mississippi, State General Obligation, 5.5%, 12/1/2015 | 6,000,000 | 6,614,760 |
Missouri 1.3% | ||
Missouri, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Washington University, Series A, 5.5%, 6/15/2016 | 11,400,000 | 12,702,450 |
Missouri, Senior Care Revenue, Health & Educational Facilities Authority, 5.75%, 2/1/2017 | 3,250,000 | 3,333,200 |
Missouri, Transportation/Tolls Revenue: |
|
|
Series A, 5.625%, 2/1/2014 | 2,000,000 | 2,155,340 |
Series A, 5.625%, 2/1/2016 | 3,125,000 | 3,362,188 |
Missouri, Water & Sewer Revenue, Environmental Improvement and Energy Resource Authority: |
|
|
Series B, 5.5%, 7/1/2014 | 3,000,000 | 3,302,640 |
Series B, 5.5%, 7/1/2015 | 3,500,000 | 3,866,975 |
Series B, 5.5%, 7/1/2016 | 5,065,000 | 5,614,755 |
St. Louis, MO, Airport Revenue, Series A, 5.625%, 7/1/2017 (a) | 6,000,000 | 6,514,620 |
St. Louis, MO, Industrial Development Authority Revenue, Convention Center Hotel, Zero Coupon, 7/15/2016 (a) | 6,895,000 | 4,398,389 |
St. Louis, MO, Special Assessment Revenue, Scullin Redevelopment Area, Series A, 10.0%, 8/1/2010 | 4,470,000 | 4,919,593 |
St. Louis, MO, State General Obligation Lease, Industrial Development Authority, Convention Center Hotel, Zero Coupon, 7/15/2015 (a) | 4,200,000 | 2,823,492 |
| 52,993,642 | |
Montana 0.1% | ||
Montana, State Board of Regents Higher Education Revenue, University of Montana: |
|
|
Series F, Prerefunded, 6.0%, 5/15/2019 (a) | 455,000 | 500,687 |
Series F, 6.0%, 5/15/2019 (a) | 4,545,000 | 4,982,138 |
| 5,482,825 | |
Nebraska 0.4% | ||
Omaha, NE, Core City General Obligation, Series A, ETM, 6.5%, 12/1/2018 | 1,000,000 | 1,220,270 |
Omaha, NE, Public Power District, Electric Revenue, Series B, ETM, 6.2%, 2/1/2017 | 4,700,000 | 5,374,920 |
Omaha, NE, School District General Obligation, ETM: |
|
|
Series A, 6.5%, 12/1/2015 | 1,480,000 | 1,757,944 |
Series A, 6.5%, 12/1/2016 | 1,000,000 | 1,199,890 |
Series A, 6.5%, 12/1/2017 | 4,000,000 | 4,835,200 |
| 14,388,224 | |
Nevada 0.9% | ||
Clark County, NV, Airport Revenue, Airport Jet Aviation Fuel, AMT: |
|
|
Series C, 5.375%, 7/1/2018 (a) | 1,500,000 | 1,577,400 |
Series C, 5.375%, 7/1/2019 (a) | 1,100,000 | 1,154,725 |
Series C, 5.375%, 7/1/2020 (a) | 1,100,000 | 1,152,613 |
Henderson, NV, Health Care Facility Revenue, Catholic West: |
|
|
Series A, Prerefunded, 5.375%, 7/1/2026 | 3,410,000 | 3,533,067 |
Series A, 5.375%, 7/1/2026 | 11,590,000 | 11,814,614 |
Las Vegas, NV, Transportation/Tolls Revenue, Monorail Department Business and Industry: |
|
|
Zero Coupon, 1/1/2013 (a) | 5,000,000 | 3,800,600 |
7.375%, 1/1/2040 | 15,000,000 | 15,631,500 |
| 38,664,519 | |
New Hampshire 0.2% | ||
New Hampshire, Higher Educational & Health Facility Authority Revenue, Havenwood Heritage Heights, 7.45%, 1/1/2025 | 4,000,000 | 4,086,200 |
New Hampshire, Senior Care Revenue, Havenwood Heritage Heights, 7.35%, 1/1/2018 | 2,500,000 | 2,553,900 |
| 6,640,100 | |
New Jersey 6.5% | ||
Atlantic City, NJ, School District General Obligation, Board of Education, 6.1%, 12/1/2014 (a) | 4,500,000 | 5,154,345 |
New Jersey, Economic Development Authority Revenue, Cigarette Tax: |
|
|
5.5%, 6/15/2031 | 3,000,000 | 3,117,330 |
5.75%, 6/15/2034 | 2,455,000 | 2,591,400 |
New Jersey, Economic Development Authority Revenue, Motor Vehicle Surplus Revenue: |
|
|
Series A, 5.0%, 7/1/2022 (a) | 7,140,000 | 7,463,585 |
Series A, 5.0%, 7/1/2023 (a) | 8,845,000 | 9,181,021 |
New Jersey, Economic Development Authority Revenue, School Facilities Construction: |
|
|
Series O, 5.0%, 3/1/2016 | 5,000,000 | 5,279,550 |
Series I, 5.0%, 9/1/2027 (a) | 4,000,000 | 4,289,520 |
Series K, 5.25%, 12/15/2016 (a) | 22,000,000 | 23,846,680 |
New Jersey, Garden State Preservation Trust, Open Space & Farm Land, Series 2005-A, 5.8%, 11/1/2023 (a) | 5,000,000 | 5,667,900 |
New Jersey, Highway Authority Revenue, Garden State Parkway, ETM, 6.5%, 1/1/2011 | 2,280,000 | 2,416,139 |
New Jersey, Industrial Development Revenue, Economic Development Authority, Harrogate, Inc., Series A, 5.875%, 12/1/2026 | 1,000,000 | 1,013,090 |
New Jersey, Resource Recovery Revenue, Tobacco Settlement Financing Corp., 5.75%, 6/1/2032 | 8,965,000 | 9,302,801 |
New Jersey, Special Assessment Revenue, 6.75%, 6/1/2039 | 25,480,000 | 28,428,546 |
New Jersey, State Agency General Obligation Lease, Transportation Trust Fund Authority, Series A, 5.625%, 6/15/2014 | 3,555,000 | 3,960,377 |
New Jersey, State General Obligation: |
|
|
5.25%, 7/1/2016 | 5,000,000 | 5,442,800 |
Series H, 5.25%, 7/1/2017 | 14,665,000 | 15,949,947 |
New Jersey, State Transportation Trust Fund Authority: Series D, 5.0%, 6/15/2017 (a) | 19,130,000 | 20,434,092 |
Series B, 5.25%, 12/15/2015 (a) | 10,000,000 | 10,840,200 |
New Jersey, State Turnpike Authority Revenue: |
|
|
Series C-2005, Prerefunded, ETM, 6.5%, 1/1/2016 (a) | 2,725,000 | 3,147,647 |
Series C-2005, 6.5%, 1/1/2016 (a) | 8,025,000 | 9,221,768 |
New Jersey, Tobacco Settlement Filing Corp., 6.25%, 6/1/2043 | 18,000,000 | 19,497,420 |
New Jersey, Transportation/Tolls Revenue: |
|
|
Series C, 5.5%, 12/15/2015 (a) | 5,000,000 | 5,517,650 |
Series A, 5.75%, 6/15/2017 | 8,000,000 | 8,928,800 |
New Jersey, Transportation/Tolls Revenue, Federal Transportation Administration Grants, Series B, 5.75%, 9/15/2013 (a) | 11,000,000 | 11,884,730 |
New Jersey, Turnpike Authority, Turnpike Revenue, Series C, Prerefunded, ETM, 6.5%, 1/1/2016 (a) | 38,720,000 | 44,725,472 |
| 267,302,810 | |
New Mexico 0.2% | ||
Albuquerque, NM, Hospital & Healthcare Revenue, Southwest Community Health Services, Prerefunded, 10.125%, 8/1/2012 | 2,865,000 | 3,155,912 |
New Mexico, Single Family Housing Revenue, Mortgage Finance Authority, Series E2, AMT, 6.8%, 3/1/2031 | 3,145,000 | 3,259,698 |
| 6,415,610 | |
New York 6.8% | ||
New York, Core City General Obligation, 5.875%, 2/15/2019 | 55,000 | 55,908 |
New York, Electric Revenue, ETM, Zero Coupon, 6/1/2009 (a) | 2,050,000 | 1,833,254 |
New York, Higher Education Revenue, 5.75%, 7/1/2013 | 10,000,000 | 10,866,100 |
New York, Higher Education Revenue, Dormitory Authority: |
|
|
Series B, 5.25%, 5/15/2019 (a) | 11,860,000 | 12,827,657 |
Series F, Prerefunded, 5.375%, 7/1/2007 | 465,000 | 474,002 |
Series F, 5.375%, 7/1/2007 | 1,535,000 | 1,561,755 |
New York, Higher Education Revenue, Dormitory Authority, City University: |
|
|
Series A, 5.625%, 7/1/2016 (a) | 5,075,000 | 5,611,529 |
Series B, 6.0%, 7/1/2014 (a) | 7,000,000 | 7,731,570 |
New York, School District General Obligation, Dormitory Authority, City University, Series A, 5.5%, 5/15/2019 | 1,500,000 | 1,653,150 |
New York, Senior Care Revenue, Dormitory Authority, City University, Series A, 5.25%, 5/15/2021 | 2,000,000 | 2,159,460 |
New York, Senior Care Revenue, Metropolitan Transportation Authority, Series O, ETM, 5.75%, 7/1/2013 (a) | 6,775,000 | 7,348,910 |
New York, State Agency General Obligation Lease, Dormitory Authority, City University: |
|
|
Prerefunded, 5.25%, 5/15/2017 (a) | 3,500,000 | 3,732,120 |
Series D, ETM, 7.0%, 7/1/2009 (a) | 2,185,000 | 2,291,781 |
Series C, 7.5%, 7/1/2010 (a) | 4,955,000 | 5,338,963 |
New York, State Agency General Obligation Lease, Metropolitan Transportation Authority, Series A, ETM, 6.0%, 4/1/2020 (a) | 5,000,000 | 5,824,300 |
New York, State Agency General Obligation Lease, Urban Development Authority, Correctional Facilities, Series A, 6.5%, 1/1/2011 (a) | 4,500,000 | 5,013,495 |
New York, State Agency General Obligation Lease, Urban Development Corp., 5.7%, 4/1/2020 | 3,600,000 | 4,055,328 |
New York, State Dormitory Authority, Personal Income Tax Revenue, Series F, 5.0%, 3/15/2019 (a) | 3,000,000 | 3,155,520 |
New York, State General Obligation Lease, Urban Development Corp., State Facilities, 5.6%, 4/1/2015 | 4,655,000 | 5,071,995 |
New York, State General Obligation, Tobacco Settlement Financing Corp.: |
|
|
Series A-1, 5.25%, 6/1/2022 (a) | 2,600,000 | 2,748,746 |
Series A-1, 5.5%, 6/1/2019 | 6,850,000 | 7,383,135 |
New York, State Thruway Authority, Highway & Bridge Trust Fund, Series B, 5.0%, 4/1/2016 (a) | 12,500,000 | 13,332,500 |
New York, Transportation/Tolls Revenue, Metropolitan Transportation Authority: |
|
|
Series C, Prerefunded, 5.125%, 7/1/2013 (a) | 3,470,000 | 3,720,430 |
Series C, 5.125%, 7/1/2013 (a) | 1,530,000 | 1,635,448 |
5.5%, 11/15/2018 (a) | 5,000,000 | 5,442,450 |
New York, Transportation/Tolls Revenue, Transportation Authority: |
|
|
Series E, 5.5%, 11/15/2020 (a) | 3,750,000 | 4,081,838 |
Series E, 5.5%, 11/15/2021 (a) | 6,000,000 | 6,486,240 |
New York, Transportation/Tolls Revenue, Triborough Bridge and Tunnel Authority, Series Y, ETM, 5.5%, 1/1/2017 | 5,050,000 | 5,560,252 |
New York, Water & Sewer Revenue, Environmental Facilities Corp., State Water Pollution Control, Series E, 6.875%, 6/15/2014 | 4,560,000 | 4,571,765 |
New York and New Jersey, Port Authority Revenue, AMT: |
|
|
6.0%, 7/1/2013 | 6,550,000 | 6,631,431 |
6.0%, 7/1/2015 | 2,500,000 | 2,529,150 |
Series 4, 7.0%, 10/1/2007 | 800,000 | 814,336 |
New York City, NY, Industrial Development Agency Revenue, Liberty-7, World Trade Center, Series A, 6.25%, 3/1/2015 | 10,000,000 | 10,503,000 |
New York City, NY, Industrial Development Agency, Special Facility Revenue, American Airlines, JFK International Airport, AMT, 7.75%, 8/1/2031 | 16,500,000 | 18,534,120 |
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Series C, 5.0%, 6/15/2027 (a) | 2,065,000 | 2,146,382 |
New York, NY, Core City General Obligation: |
|
|
Series G, Zero Coupon, 8/1/2009 (a) | 4,995,000 | 4,432,313 |
Series F, 5.25%, 8/1/2016 | 5,000,000 | 5,283,700 |
Series A, 5.75%, 8/1/2016 | 6,350,000 | 6,937,819 |
New York, NY, General Obligation: |
|
|
Series H-2, 3.19%*, 3/1/2034, Bank of New York (b) | 300,000 | 300,000 |
Series M, 5.0%, 4/1/2017 (a) | 9,675,000 | 10,220,960 |
Series J-1, 5.0%, 6/1/2018 | 4,170,000 | 4,368,951 |
Series G, 5.0%, 12/1/2023 | 8,000,000 | 8,242,880 |
Series C, Prerefunded, 5.375%, 11/15/2017 (a) | 1,275,000 | 1,318,898 |
Series C, 5.375%, 11/15/2017 (a) | 3,725,000 | 3,847,590 |
Series A, Prerefunded, 6.5%, 5/15/2012 | 6,230,000 | 6,925,019 |
Series A, 6.5%, 5/15/2012 | 770,000 | 846,438 |
Series G, Prerefunded, ETM, 6.75%, 2/1/2009 | 105,000 | 113,226 |
Series G, 6.75%, 2/1/2009 | 1,895,000 | 2,036,613 |
New York, NY, State Dormitory Authority Revenues, Supported Debt, Series C, 5.0%, 7/1/2017 (a) | 3,600,000 | 3,818,304 |
New York, NY, State General Obligation, Series A, 5.25%, 3/15/2015 | 2,500,000 | 2,673,325 |
New York, NY, Water & Sewer Revenue, Municipal Water Financial Authority, Series A, 5.375%, 6/15/2019 | 25,000,000 | 26,848,500 |
Suffolk County, NY, Water & Sewer Revenue, Industrial Development Agency, 6.0%, 2/1/2007 (a) | 8,000,000 | 8,124,240 |
| 279,066,796 | |
North Carolina 1.4% | ||
Charlotte, NC, Core City General Obligation, 5.5%, 8/1/2018 | 4,165,000 | 4,493,952 |
Charlotte, NC, Water & Sewer Revenue: |
|
|
5.5%, 6/1/2014 | 3,105,000 | 3,369,328 |
5.5%, 6/1/2017 | 3,255,000 | 3,518,980 |
North Carolina, Electric Revenue, 5.25%, 1/1/2020 (a) | 4,000,000 | 4,241,360 |
North Carolina, Electric Revenue, Catawba Municipal Power Agency, 6.0%, 1/1/2011 (a) | 8,235,000 | 8,984,797 |
North Carolina, Electric Revenue, Eastern Municipal Power Agency: |
|
|
6.0%, 1/1/2018 (a) | 8,775,000 | 10,128,807 |
Series B, 6.0%, 1/1/2022 (a) (c) | 18,775,000 | 22,054,805 |
| 56,792,029 | |
Ohio 2.3% | ||
Akron, OH, Higher Education Revenue, Prerefunded, 5.75%, 1/1/2013 (a) | 2,365,000 | 2,547,389 |
Akron, OH, Project Revenue, Economic Development, 6.0%, 12/1/2012 (a) | 1,000,000 | 1,102,660 |
Avon, OH, School District General Obligation, 6.5%, 12/1/2015 (a) | 940,000 | 1,115,874 |
Beavercreek, OH, School District General Obligation, Local School District, 6.6%, 12/1/2015 (a) | 1,500,000 | 1,742,715 |
Big Walnut, OH, School District General Obligation, Local School District, Zero Coupon, 12/1/2012 (a) | 420,000 | 324,198 |
Cincinnati, OH, Higher Education Revenue, General Receipts: |
|
|
Series T, 5.5%, 6/1/2012 | 1,280,000 | 1,388,058 |
Series A, 5.75%, 6/1/2015 (a) | 2,000,000 | 2,197,240 |
Series A, 5.75%, 6/1/2016 (a) | 1,500,000 | 1,647,930 |
Cincinnati, OH, Water & Sewer Revenue, 5.5%, 12/1/2017 | 1,000,000 | 1,069,570 |
Cleveland, OH, Electric Revenue, Public Power Systems Revenue, Series 1, 6.0%, 11/15/2011 (a) | 1,050,000 | 1,163,925 |
Cleveland, OH, Sales & Special Tax Revenue, Urban Renewal Tax Increment, Rock & Roll Hall of Fame and Museum Project, 6.75%, 3/15/2018 | 1,000,000 | 1,001,400 |
Cleveland, OH, Water & Sewer Revenue, Series J, 5.375%, 1/1/2016 (a) | 2,000,000 | 2,141,480 |
Cleveland-Cuyahoga County, OH, Port Authority Revenue, AMT, ETM, 6.0%, 3/1/2007 | 1,340,000 | 1,359,028 |
Cuyahoga County, OH, County General Obligation: Prerefunded, 5.0%, 12/1/2020 | 1,000,000 | 1,052,500 |
5.65%, 5/15/2018 | 500,000 | 563,320 |
Dublin City, OH, School District General Obligation, Capital Appreciation, ETM, Zero Coupon, 12/1/2011 (a) | 1,095,000 | 884,475 |
Fayette County, OH, School District General Obligation, Rattlesnake Improvement Area Project, 5.9%, 12/1/2013 | 90,000 | 93,980 |
Finneytown, OH, Other General Obligation, Local School District, 6.2%, 12/1/2017 (a) | 320,000 | 375,344 |
Franklin County, OH, Hospital & Healthcare Revenue, Presbyterian Services: |
|
|
5.25%, 7/1/2008 | 500,000 | 508,650 |
5.5%, 7/1/2017 | 1,000,000 | 1,019,850 |
Franklin County, OH, School District General Obligation, 6.5%, 12/1/2013 | 500,000 | 568,205 |
Green Springs, OH, Senior Care Revenue, Hospital & Healthcare Facilities Revenue, Series A, 7.0%, 5/15/2014 | 3,940,000 | 3,746,585 |
Green Springs, OH, Senior Care Revenue, St. Francis Health Care Center Project, Series A, 7.125%, 5/15/2025 | 4,405,000 | 3,899,394 |
Hilliard, OH, School District General Obligation, Series A, Zero Coupon, 12/1/2012 (a) | 1,655,000 | 1,269,865 |
Huber Heights, OH, Water & Sewer Revenue, Zero Coupon, 12/1/2012 (a) | 1,005,000 | 771,126 |
Liberty Benton, OH, School District General Obligation, Zero Coupon, 12/1/2014 (a) | 570,000 | 402,585 |
Liberty, OH, School District General Obligation, Zero Coupon, 12/1/2012 (a) | 255,000 | 195,659 |
Lorain County, OH, Lakeland Community Hospital, Inc., ETM, 6.5%, 11/15/2012 | 710,000 | 730,959 |
Lucas County, OH, Hospital & Healthcare Revenue, Presbyterian: |
|
|
Series A, 6.625%, 7/1/2014 | 2,000,000 | 2,061,160 |
Series A, 6.75%, 7/1/2020 | 2,000,000 | 2,061,620 |
Miami County, OH, Hospital & Healthcare Revenue, Upper Valley Medical Center, Series C, 6.25%, 5/15/2013 | 1,000,000 | 1,021,420 |
Napoleon, OH, Hospital & Healthcare Revenue, Lutheran Orphans Home, 6.875%, 8/1/2023 | 330,000 | 332,284 |
North Olmstead, OH, Other General Obligation, 6.2%, 12/1/2011 (a) | 2,000,000 | 2,177,020 |
Ohio, Higher Education Revenue, Series A, 6.5%, 7/1/2008 | 2,325,000 | 2,452,131 |
Ohio, Higher Education Revenue, Case Western Reserve University: |
|
|
6.0%, 10/1/2014 | 1,000,000 | 1,131,030 |
Series B, 6.5%, 10/1/2020 | 2,250,000 | 2,692,283 |
Ohio, Higher Education Revenue, General Receipts: |
|
|
Series A, 6.0%, 12/1/2016 | 1,000,000 | 1,083,830 |
Series A, 6.0%, 12/1/2017 | 1,060,000 | 1,148,860 |
Ohio, Higher Education Revenue, University of Findlay Project, 6.125%, 9/1/2016 | 400,000 | 404,068 |
Ohio, Higher Education Revenue, University of Ohio, General Receipts, 5.75%, 6/1/2016 (a) | 1,250,000 | 1,355,163 |
Ohio, Higher Education Revenue, Xavier University, 6.0%, 5/15/2011 (a) | 240,000 | 250,056 |
Ohio, Mortgage Revenue, Single Family Housing Finance Agency, Prerefunded, Zero Coupon, 1/15/2015 (a) | 7,875,000 | 4,978,836 |
Ohio, School District General Obligation, 6.0%, 12/1/2019 (a) | 475,000 | 545,514 |
Ohio, State Agency Revenue Lease, Administrative Building Funds Project: |
|
|
Series A, 5.5%, 10/1/2015 (a) | 4,370,000 | 4,713,307 |
Series A, 5.5%, 10/1/2016 (a) | 3,790,000 | 4,082,057 |
Series A, 5.5%, 10/1/2018 (a) | 3,695,000 | 3,965,954 |
Ohio, State Agency Revenue Lease, Building Authority, Juvenile Correctional Facility, Series A, 5.5%, 4/1/2016 | 3,665,000 | 3,933,351 |
Ohio, State General Obligation, 6.0%, 8/1/2010 | 1,000,000 | 1,086,910 |
Ohio, State General Obligation Lease, Higher Education Revenue, Series B, Prerefunded, 5.625%, 5/1/2015 | 1,000,000 | 1,069,630 |
Ohio, Transportation/Tolls Revenue, Series A, 5.5%, 2/15/2017 (a) | 6,925,000 | 7,715,904 |
Ohio, Water & Sewer Revenue, Bay Shore Project, Series A, AMT, 5.875%, 9/1/2020 | 3,950,000 | 3,982,311 |
South Euclid Lyndhurst, OH, School District General Obligation, 6.4%, 12/1/2018 (a) | 535,000 | 553,019 |
Springboro, OH, School District General Obligation, Community City School District, 6.0%, 12/1/2011 (a) | 500,000 | 537,770 |
Toledo, OH, Other General Obligation, Macys Project, Series A, AMT, 6.35%, 12/1/2025 (a) | 1,000,000 | 1,054,550 |
Wayne, OH, School District General Obligation: |
|
|
6.45%, 12/1/2011 (a) | 155,000 | 169,567 |
6.6%, 12/1/2016 (a) | 200,000 | 243,768 |
Willoughby, OH, Senior Care Revenue, Industrial Development Revenue, Series A, 6.875%, 7/1/2016 | 2,825,000 | 2,883,110 |
Wooster, OH, School District General Obligation, Zero Coupon, 12/1/2013 (a) | 930,000 | 680,072 |
| 95,250,519 | |
Oklahoma 0.9% | ||
Oklahoma, Hospital & Healthcare Revenue, Valley View Hospital Authority: |
|
|
5.75%, 8/15/2006 | 655,000 | 657,548 |
6.0%, 8/15/2014 | 2,695,000 | 2,757,093 |
Oklahoma, Water & Sewer Revenue, McGee Creek Authority, 6.0%, 1/1/2023 (a) | 23,125,000 | 26,496,162 |
Tulsa, OK, Hospital & Healthcare Revenue, Industrial Development Authority, Zero Coupon, 12/1/2006 (a) | 6,430,000 | 6,316,318 |
| 36,227,121 | |
Oregon 0.2% | ||
Chemeketa, OR, School District General Obligation, ETM, 5.5%, 6/1/2015 (a) | 2,600,000 | 2,871,856 |
Oregon, Transportation/Tolls Revenue: |
|
|
5.75%, 11/15/2015 | 1,435,000 | 1,552,957 |
5.75%, 11/15/2016 | 3,140,000 | 3,398,108 |
| 7,822,921 | |
Pennsylvania 2.4% | ||
Allegheny County, PA, Airport Revenue, Pittsburgh International, Series A, AMT, 5.75%, 1/1/2013 (a) | 3,080,000 | 3,341,831 |
Allegheny County, PA, Port Authority Revenue: |
|
|
5.5%, 3/1/2015 (a) | 2,000,000 | 2,158,300 |
5.5%, 3/1/2016 (a) | 1,000,000 | 1,080,050 |
5.5%, 3/1/2017 (a) | 1,000,000 | 1,075,760 |
Berks County, PA, Hospital & Healthcare Revenue, Municipal Authority, Reading Hospital & Medical Center Project, 5.7%, 10/1/2014 (a) | 1,000,000 | 1,108,870 |
Bucks County, PA, Water & Sewer Authority Revenue, ETM, 6.375%, 12/1/2008 | 170,000 | 174,347 |
Delaware County, PA, Senior Care Revenue, Hospital & Healthcare Revenue, Series A, 6.6%, 7/1/2006 | 1,000,000 | 1,001,290 |
Erie County, PA, Industrial Development Revenue, Pollution Control, Series A, 5.3%, 4/1/2012 | 1,000,000 | 1,040,060 |
Exter Township, PA, School District General Obligation, Zero Coupon, 5/15/2017 (a) | 3,700,000 | 2,248,823 |
Indiana County, PA, Pollution Control Revenue, Industrial Development Authority, 5.35%, 11/1/2010 (a) | 1,000,000 | 1,066,550 |
Latrobe, PA, Higher Education Revenue, Industrial Development Authority, 5.375%, 5/1/2013 | 1,000,000 | 1,061,660 |
New Castle, PA, Hospital & Healthcare Revenue, Area Hospital Authority, Jameson Memorial Hospital, 6.0%, 7/1/2010 (a) | 845,000 | 912,347 |
Pennsylvania, Core City General Obligation, Regional Finance Authority Local Government, 5.75%, 7/1/2032 | 28,000,000 | 31,548,720 |
Pennsylvania, Higher Education Revenue, Ursinus College, Prerefunded: |
|
|
5.85%, 1/1/2017 | 1,475,000 | 1,523,011 |
5.9%, 1/1/2027 | 3,400,000 | 3,511,588 |
Pennsylvania, Hospital & Healthcare Revenue, Economic Development Financing Authority, UPMC Health System, Series A, 6.0%, 1/15/2031 | 7,340,000 | 7,951,642 |
Pennsylvania, Sales & Special Tax Revenue, Convention Center Authority, Series A, ETM, 6.0%, 9/1/2019 (a) | 2,200,000 | 2,562,230 |
Pennsylvania, State Agency Revenue Lease, Industrial Development Authority, Economic Development, 5.8%, 7/1/2008 (a) | 4,875,000 | 5,081,359 |
Pennsylvania, State General Obligation, 6.25%, 7/1/2010 | 1,000,000 | 1,094,000 |
Pennsylvania, State Turnpike Commission, Oil Franchise Tax Revenue, Series B, 5.0%, 12/1/2031 (a) | 7,105,000 | 7,331,294 |
Pennsylvania, Transportation/Tolls Revenue, 5.25%, 7/1/2019 | 2,000,000 | 2,157,300 |
Pennsylvania, Transportation/Tolls Revenue, Community Turnpike, Series S, 5.625%, 6/1/2014 | 3,750,000 | 4,079,700 |
Pennsylvania, Water & Sewer Revenue, 5.25%, 11/1/2014 (a) | 1,750,000 | 1,901,322 |
Philadelphia, PA, Industrial Development Authority Revenue, Doubletree Commercial Development, Series A, Prerefunded, 6.5%*, 10/1/2027 | 1,000,000 | 1,035,180 |
Philadelphia, PA, Water & Sewer Revenue, 6.25%, 8/1/2010 (a) | 1,000,000 | 1,095,260 |
Pittsburgh, PA, Core City General Obligation, Series A, 5.5%, 9/1/2014 (a) | 1,500,000 | 1,602,420 |
Pittsburgh, PA, Water & Sewer System, ETM, 7.25%, 9/1/2014 (a) | 140,000 | 159,453 |
Westmoreland County, PA, Hospital & Healthcare Revenue, Industrial Development Authority, 5.375%, 7/1/2011 (a) | 7,300,000 | 7,624,120 |
Westmoreland County, PA, Project Revenue, Zero Coupon, 8/15/2017 (a) | 6,230,000 | 3,741,676 |
| 100,270,163 | |
Puerto Rico 0.3% | ||
Puerto Rico, Electric Revenue, 5.375%, 7/1/2018 (a) | 8,710,000 | 9,580,564 |
Puerto Rico Commonwealth, General Obligation, 6.25%, 7/1/2013 (a) | 1,850,000 | 2,109,981 |
Puerto Rico Commonwealth, General Obligation, Public Building Authority, Series A, ETM, 6.25%, 7/1/2013 (a) | 1,000,000 | 1,145,180 |
| 12,835,725 | |
Rhode Island 0.9% | ||
Rhode Island, Economic Protection Corp., Special Obligation: |
|
|
Series B, ETM, 5.8%, 8/1/2011 (a) | 1,025,000 | 1,123,308 |
Series B, ETM, 5.8%, 8/1/2012 (a) | 2,500,000 | 2,769,525 |
Series B, ETM, 5.8%, 8/1/2013 (a) | 7,340,000 | 8,213,900 |
Rhode Island, Project Revenue, Convention Center Authority, Series B, 5.25%, 5/15/2015 (a) | 22,000,000 | 23,490,500 |
Rhode Island, Water & Sewer Revenue, Clean Water Protection Agency, Revolving Fund, Series A, 5.4%, 10/1/2015 (a) | 2,000,000 | 2,156,380 |
| 37,753,613 | |
South Carolina 1.0% | ||
Lexington County, SC, Hospital & Healthcare Revenue, 5.5%, 11/1/2032 | 4,515,000 | 4,683,003 |
Piedmont, SC, Electric Revenue, Municipal Power Agency: |
|
|
ETM, 5.5%, 1/1/2012 (a) | 2,190,000 | 2,375,055 |
5.5%, 1/1/2012 (a) | 2,810,000 | 3,032,805 |
Series A, ETM, 6.5%, 1/1/2016 (a) | 430,000 | 509,774 |
South Carolina, Hospital & Healthcare Revenue, Jobs Economic Development Authority, Palmetto Health Alliance, Series A, Prerefunded, 7.375%, 12/15/2021 | 4,500,000 | 5,240,070 |
South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, Palmetto Health: |
|
|
Series C, Prerefunded, 7.0%, 8/1/2030 | 6,885,000 | 8,137,932 |
Series C, 7.0%, 8/1/2030 | 855,000 | 986,046 |
South Carolina, Piedmont Municipal Power Agency, Electric Revenue: |
|
|
Prerefunded, ETM, 6.75%, 1/1/2019 (a) | 1,460,000 | 1,808,794 |
6.75%, 1/1/2019 (a) | 2,065,000 | 2,524,359 |
South Carolina, Tobacco Settlement Revenue Management Authority, Series B, 6.0%, 5/15/2022 | 7,550,000 | 7,920,705 |
South Carolina, Transportation/Tolls Revenue, Transportation Infrastructure, Series A, 5.5%, 10/1/2018 (a) | 5,300,000 | 5,740,271 |
| 42,958,814 | |
Tennessee 0.8% | ||
Knox County, TN, Hospital & Healthcare Revenue, Sanders Alliance: |
|
|
5.75%, 1/1/2011 (a) | 15,405,000 | 16,596,731 |
5.75%, 1/1/2014 (a) | 2,000,000 | 2,207,660 |
6.25%, 1/1/2013 (a) | 4,000,000 | 4,491,640 |
7.25%, 1/1/2009 (a) | 3,750,000 | 4,061,663 |
Shelby County, TN, County General Obligation, Zero Coupon, 8/1/2014 | 4,965,000 | 3,512,489 |
| 30,870,183 | |
Texas 5.8% | ||
Abilene, TX, Senior Care Revenue, Sears Methodist Retirement, Health Facilities Development, Series A, 5.875%, 11/15/2018 | 3,250,000 | 3,318,738 |
Austin, TX, Project Revenue, Bergstrom Landhost Enterprises, Inc. Airport Hotel Project, Series A, 4.3875%, 4/1/2027 | 21,695,000 | 15,583,952 |
Austin, TX, School District General Obligation, Independent School District, 5.0%, 8/1/2015 | 2,000,000 | 2,130,300 |
Austin, TX, Water & Sewer Revenue, Utility Systems, Zero Coupon, 11/15/2012 (a) | 13,520,000 | 10,387,281 |
Boerne, TX, School District General Obligation Lease, Independent School District: |
|
|
Zero Coupon, 2/1/2014 | 2,785,000 | 2,008,821 |
Zero Coupon, 2/1/2016 | 3,285,000 | 2,132,096 |
Brownsville, TX, Electric Revenue, Utility Systems, 6.25%, 9/1/2010 (a) | 4,085,000 | 4,482,144 |
Cedar Hill, TX, School District General Obligation: |
|
|
Zero Coupon, 8/15/2009 | 1,500,000 | 1,309,440 |
Zero Coupon, 8/15/2010 | 3,130,000 | 2,567,852 |
Cypress and Fairbanks, TX, School District General Obligation, Cypress-Fairbanks Texas Independent School District: |
|
|
Series A, Zero Coupon, 2/15/2012 | 5,750,000 | 4,569,123 |
Series A, Zero Coupon, 2/15/2013 | 8,840,000 | 6,694,090 |
Series A, Zero Coupon, 2/15/2014 | 6,000,000 | 4,319,640 |
Dallas, TX, Single Family Housing Revenue, Zero Coupon, 10/1/2016 (a) | 1,335,000 | 466,983 |
Galveston County, TX, County General Obligation, 5.5%, 2/1/2014 (a) | 1,675,000 | 1,798,213 |
Galveston County, TX, County General Obligation, Justice Center and Public Safety Building, 5.5%, 2/1/2014 (a) | 2,235,000 | 2,399,407 |
Grapevine-Colleyville, TX, School District General Obligation, Zero Coupon, 8/15/2010 | 2,160,000 | 1,832,371 |
Harris County, TX, County General Obligation, Zero Coupon, 10/1/2017 (a) | 3,910,000 | 2,331,338 |
Harris County, TX, Hospital & Healthcare Revenue, Health Facilities Development Corp., Medical Center Project, 6.25%, 5/15/2010 (a) | 3,000,000 | 3,249,750 |
Hidalgo County, TX, Hospital & Healthcare Revenue, Health Services Mission Hospital, 6.875%, 8/15/2026 | 2,880,000 | 3,009,830 |
Houston, TX, Airport Revenue, Continental Airlines Project, Series C, AMT, 5.7%, 7/15/2029 | 2,000,000 | 1,728,580 |
Houston, TX, School District General Obligation, Series A, Zero Coupon, 2/15/2015 | 26,000,000 | 17,172,740 |
Houston, TX, Utility Systems Revenue: |
|
|
Series A, 5.25%, 5/15/2020 (a) | 8,000,000 | 8,535,040 |
Series A, 5.25%, 5/15/2021 (a) | 10,000,000 | 10,666,100 |
Series A, 5.25%, 5/15/2022 (a) | 30,000,000 | 31,983,600 |
Houston, TX, Water & Sewer Revenue: |
|
|
Series C, Zero Coupon, 12/1/2009 (a) | 14,750,000 | 12,867,162 |
Series C, Zero Coupon, 12/1/2010 (a) | 5,000,000 | 4,189,300 |
Series C, Zero Coupon, 12/1/2012 (a) | 4,350,000 | 3,331,752 |
Series A, 5.5%, 12/1/2016 (a) | 10,000,000 | 10,811,900 |
Prerefunded, 5.75%, 12/1/2015 (a) | 5,000,000 | 5,516,950 |
Lubbock, TX, Health Facilities Development Corp., Methodist Hospital: |
|
|
Series B, ETM, 5.6%, 12/1/2007 (a) | 2,415,000 | 2,484,141 |
Series B, ETM, 5.625%, 12/1/2008 (a) | 4,400,000 | 4,603,500 |
Northeast, TX, Hospital & Healthcare Revenue, Northeast Medical Center, 6.0%, 5/15/2010 (a) | 2,180,000 | 2,338,421 |
Northside, TX, General Obligation Independent School District: |
|
|
Prerefunded, 5.5%, 2/15/2014 | 1,420,000 | 1,525,250 |
5.5%, 2/15/2014 | 1,265,000 | 1,353,866 |
Texas, Electric Revenue: |
|
|
ETM, Zero Coupon, 9/1/2017 (a) | 120,000 | 72,394 |
Zero Coupon, 9/1/2017 (a) | 5,880,000 | 3,520,121 |
Texas, Electric Revenue, Municipal Power Agency, Zero Coupon, 9/1/2016 (a) | 18,300,000 | 11,558,829 |
Texas, Multi-Family Housing Revenue, Department Housing & Community Affairs, Series A, Prerefunded, 6.4%, 1/1/2027 | 3,350,000 | 3,469,260 |
Texas, Municipal Power Agency, ETM, Zero Coupon, 9/1/2016 (a) | 375,000 | 238,530 |
Texas, Other General Obligation, 7.0%, 9/15/2012 | 6,291,150 | 6,362,428 |
Texas, School District General Obligation, Community College District: |
|
|
5.5%, 8/15/2014 (a) | 3,145,000 | 3,410,941 |
5.5%, 8/15/2015 (a) | 3,435,000 | 3,725,464 |
5.5%, 8/15/2017 (a) | 4,060,000 | 4,388,007 |
Texas, Water & Sewer Revenue, Trinity River Authority, 5.5%, 2/1/2019 (a) | 1,000,000 | 1,093,200 |
Texas, Water & Sewer Revenue, Water Development Board, Series A, 5.625%, 7/15/2015 | 1,000,000 | 1,067,410 |
Travis County, TX, Health Facilities Development Corp., Retirement Facility Revenue, Querencia Barton Creek, Series C, 3.48%*, 11/15/2035, LaSalle Bank NA (b) | 1,000,000 | 1,000,000 |
Waxahachie, TX, School District General Obligation, Independent School District: |
|
|
Zero Coupon, 8/15/2012 | 4,120,000 | 3,200,746 |
Zero Coupon, 8/15/2013 | 2,060,000 | 1,524,688 |
| 238,331,689 | |
Utah 0.9% | ||
Provo, UT, Electric Revenue, Series A, ETM, 10.375%, 9/15/2015 (a) | 1,420,000 | 1,841,271 |
Salt Lake City, UT, Core City General Obligation, 5.75%, 6/15/2014 | 25,000 | 26,799 |
Salt Lake City, UT, Hospital & Healthcare Revenue, IHC Hospitals, Inc., 6.15%, 2/15/2012 | 1,500,000 | 1,643,520 |
Utah, Electric Revenue, Associated Municipal Power System: |
|
|
Zero Coupon, 7/1/2006 (a) | 5,895,000 | 5,877,374 |
Zero Coupon, 7/1/2007 (a) | 3,750,000 | 3,601,688 |
Utah, Electric Revenue, Intermountain Power Agency, Series A, ETM, 5.0%, 7/1/2012 (a) | 540,000 | 540,540 |
Utah, State General Obligation, Series A, 5.0%, 7/1/2016 | 20,000,000 | 21,533,600 |
| 35,064,792 | |
Vermont 0.3% | ||
Burlington, VT, Electric Revenue: |
|
|
5.375%, 7/1/2013 (a) | 4,800,000 | 5,175,936 |
5.375%, 7/1/2014 (a) | 5,055,000 | 5,448,077 |
| 10,624,013 | |
Virgin Islands 0.0% | ||
Virgin Islands, Sales & Special Tax Revenue, Public Finance Authority, Series A, 6.5%, 10/1/2024 | 1,500,000 | 1,643,430 |
Virginia 0.8% | ||
Fairfax County, VA, Hospital & Healthcare Revenue, Economic Development Authority, Greenspring Retirement Community, Series A, 7.25%, 10/1/2019 | 2,000,000 | 2,167,440 |
Fairfax County, VA, Hospital & Healthcare Revenue, Economic Development Finance Authority, Series A, 7.5%, 10/1/2029 | 7,100,000 | 7,707,121 |
Roanoke, VA, Hospital & Healthcare Revenue, Industrial Development Authority, Roanoke Memorial Hospital, Series B, 6.125%, 7/1/2017 (a) | 5,500,000 | 6,312,955 |
Virginia, State Public School Authority, School Financing 1997 Resolution, Series C, 5.0%, 8/1/2015 | 5,335,000 | 5,707,756 |
Virginia Beach, VA, Hospital & Healthcare Revenue, Development Authority Hospital Facility First Mortgage, 5.125%, 2/15/2018 (a) | 3,000,000 | 3,204,210 |
Winchester, VA, Hospital & Healthcare Revenue, Industrial Development Authority, 5.5%, 1/1/2015 (a) | 5,700,000 | 6,220,581 |
| 31,320,063 | |
Washington 3.1% | ||
Chelan County, WA, Electric Revenue, Public Utilities, Columbia River Rock, Zero Coupon, 6/1/2014 (a) | 12,685,000 | 8,946,096 |
Clark County, WA, Electric Revenue, Public Utilities District No. 001 Generating Systems, ETM, 6.0%, 1/1/2008 (a) | 2,200,000 | 2,276,186 |
Clark County, WA, General Obligation Hockinson School District No. 98: |
|
|
Prerefunded, 6.125%, 12/1/2011 (a) | 1,675,000 | 1,838,899 |
6.125%, 12/1/2011 (a) | 1,515,000 | 1,656,683 |
Clark County, WA, School District General Obligation, Zero Coupon, 12/1/2017 (a) | 6,725,000 | 3,978,107 |
King and Snohomish Counties, WA, School District General Obligation, No. 417 Northshore, 5.6%, 12/1/2010 (a) | 1,650,000 | 1,761,936 |
King County, WA, County General Obligation: |
|
|
Prerefunded, 6.625%, 12/1/2015 | 1,010,000 | 1,073,034 |
Series B, Prerefunded, 6.625%, 12/1/2015 | 8,835,000 | 9,386,392 |
Port Seattle, WA, Airport Revenue, Series B, AMT, 6.0%, 2/1/2014 (a) | 4,000,000 | 4,448,680 |
Seattle, WA, Airport Revenue, Series B, AMT, 6.0%, 2/1/2012 (a) | 1,765,000 | 1,931,987 |
Skagit County, WA, School District General Obligation, District No. 100 Burlington Edison, 5.625%, 12/1/2015 (a) | 4,925,000 | 5,317,325 |
Snohomish County, WA, School District General Obligation, 5.75%, 12/1/2011 (a) | 3,485,000 | 3,813,670 |
Snohomish County, WA, School District General Obligation, School District No. 006 Mukilteo, 6.5%, 12/1/2007 (a) | 3,325,000 | 3,460,860 |
Spokane County, WA, School District General Obligation, Series B, Zero Coupon, 12/1/2014 (a) | 2,500,000 | 1,725,925 |
Washington, Electric Revenue, Series A, 5.5%, 7/1/2017 (a) | 11,200,000 | 12,081,216 |
Washington, Electric Revenue, Public Power Supply System, Series A, 6.0%, 7/1/2007 (a) | 7,000,000 | 7,173,320 |
Washington, Electric Revenue, Public Power Supply System Nuclear Project # 2: |
|
|
ETM, 5.7%, 7/1/2008 (a) | 1,270,000 | 1,320,825 |
7.25%, 7/1/2006 | 415,000 | 416,287 |
Washington, Electric Revenue, Public Power Supply Systems: |
|
|
Series A, Zero Coupon, 7/1/2006 (a) | 1,380,000 | 1,375,874 |
Series B, Zero Coupon, 7/1/2006 (a) | 5,555,000 | 5,538,391 |
Series A, Zero Coupon, 7/1/2007 (a) | 4,375,000 | 4,190,156 |
Series A, Zero Coupon, 7/1/2010 (a) | 5,860,000 | 4,992,954 |
Series A, Zero Coupon, 7/1/2011 (a) | 4,200,000 | 3,437,532 |
Series B, 7.25%, 7/1/2009 (a) | 10,300,000 | 10,862,895 |
Washington, Hospital & Healthcare Revenue, HealthCare Facilities Authority: |
|
|
5.75%, 11/1/2007 (a) | 7,350,000 | 7,554,477 |
5.8%, 11/1/2008 (a) | 4,865,000 | 5,091,709 |
5.8%, 11/1/2009 (a) | 4,595,000 | 4,877,638 |
5.8%, 11/1/2010 (a) | 2,100,000 | 2,260,629 |
Washington, State General Obligation, Series 5, Zero Coupon, 1/1/2017 (a) | 4,535,000 | 2,802,494 |
| 125,592,177 | |
West Virginia 0.1% | ||
West Virginia, Hospital & Healthcare Revenue, Hospital Finance Authority, Charleston Medical Center, 6.75%, 9/1/2030 | 590,000 | 637,695 |
West Virginia, Hospital Finance Authority, Charleston Medical Center, Prerefunded, 6.75%, 9/1/2030 | 2,410,000 | 2,709,780 |
| 3,347,475 | |
Wisconsin 1.9% | ||
Milwaukee County, WI, Series A, Prerefunded, ETM, Zero Coupon, 12/1/2011 (a) | 220,000 | 177,034 |
Wisconsin, Hospital & Healthcare Revenue, Health & Education Facilities Authority: |
|
|
5.75%, 11/15/2007 (a) | 1,500,000 | 1,543,260 |
6.0%, 11/15/2008 (a) | 4,085,000 | 4,297,134 |
6.1%, 8/15/2008 (a) | 4,580,000 | 4,805,015 |
6.1%, 8/15/2009 (a) | 2,000,000 | 2,134,040 |
Series B, ETM, 6.25%, 1/1/2022 (a) | 4,800,000 | 5,457,360 |
Series C, 6.25%, 1/1/2022 (a) | 8,380,000 | 9,630,296 |
Series AA, 6.4%, 6/1/2008 (a) | 2,335,000 | 2,452,707 |
Series AA, 6.45%, 6/1/2009 (a) | 2,485,000 | 2,666,206 |
Series AA, 6.45%, 6/1/2010 (a) | 2,650,000 | 2,897,749 |
Series AA, 6.5%, 6/1/2011 (a) | 2,820,000 | 3,156,680 |
Series AA, 6.5%, 6/1/2012 (a) | 3,000,000 | 3,390,930 |
Wisconsin, Hospital & Healthcare Revenue, Health & Education Facilities Authority, Aurora Health Care, Inc.: |
|
|
Series A, 5.6%, 2/15/2029 | 17,800,000 | 18,437,062 |
6.875%, 4/15/2030 | 14,000,000 | 15,778,420 |
| 76,823,893 | |
Total Municipal Bonds and Notes (Cost $3,438,739,929) | 3,687,799,347 | |
| ||
Municipal Inverse Floating Rate Notes 15.8% | ||
California 1.9% | ||
California, State Department Water Resource, Power Supply Revenue, Series A, 5.375%, 5/1/2018 (a) (d) | 11,250,000 | 12,315,712 |
Trust: California, Electric Revenue, Department Water Supply, Series 309, 144A, 7.02%, 5/1/2018, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
California, State Economic Recovery, Series A, 5.0%, 7/1/2015 (a) (d) | 17,000,000 | 18,121,405 |
Trust: California, General Obligation, Economic Recovery Series R-278, 144A, 6.285%, 7/1/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
California, State Economic Recovery, Series A, 5.0%, 7/1/2015 (a) (d) | 11,955,000 | 12,907,455 |
Trust: California, General Obligation, Economic Recovery Series 926, 144A, 6.656%, 7/1/2015, Leverage Factor at purchase date: 2 to 1 |
|
|
Los Angeles, CA, Unified School District, Series A, 5.25%, 7/1/2020 (a) (d) | 2,750,000 | 2,948,747 |
Trust: Los Angeles, CA, Higher Education Revenue, Unified School District, RITES-PA 117, 144A, 6.74%, 1/1/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Los Angeles, CA, Unified School District, Series A, 5.25%, 7/1/2019 (a) (d) | 10,000,000 | 10,722,718 |
Trust: Los Angeles, CA, Higher Education Revenue, Unified School District, Series PA 117, 144A, 6.74%, 1/1/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Los Angeles County, CA, Districts Funding Authority Revenue, Capital Project, Series A, 5.0%, 10/1/2019 (d) | 20,000,000 | 20,927,400 |
Trust: Los Angeles, CA, State General Obligation, Sanitation Distribution Financing Authority Revenue, Rites-PA 826, 144A, 6.32%, 10/1/2021, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 77,943,437 | |
Colorado 0.3% | ||
Denver, CO, City & County, Airport Revenue, Series A, 6.0%, 11/15/2013 (a) (d) | 10,000,000 | 10,800,150 |
Trust: Denver, CO, Airport Revenue, RITES-PA 762, 144A, AMT, 8.272%, 11/15/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Connecticut 0.6% | ||
Connecticut, State Special Tax, Series B, 5.375%, 10/1/2014 (a) (d) | 16,780,000 | 17,972,974 |
Trust: Connecticut, Sales & Special Tax Revenue, Series II, 144A, 7.02%, 10/1/2014, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Connecticut, State Special Tax, Series B, 5.375%, 10/1/2015 (a) (d) | 4,000,000 | 4,284,380 |
Trust: Connecticut, Sales & Special Tax Revenue, Series II, 144A, 7.02%, 10/1/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Connecticut, State Special Tax, Series A, 5.375%, 10/1/2016 (a) (d) | 2,100,000 | 2,262,939 |
Trust: Connecticut, Sales & Special Tax Revenue, Series II, 144A, 7.02%, 10/1/2016, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Connecticut, State Special Tax, Series A, 5.375%, 10/1/2017 (a) (d) | 1,660,000 | 1,788,800 |
Trust: Connecticut, Sales & Special Tax Revenue, Series II, 144A, 7.02%, 10/1/2017, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 26,309,093 | |
District of Columbia 0.5% | ||
District of Columbia, Water & Sewer Authority, Public Utility Revenue, 6.0%, 10/1/2014 (a) (d) | 3,945,000 | 4,479,169 |
Trust: District of Columbia, Water & Sewer Revenue, Public Utility Revenue, Series 14, 144A, 8.23%, 10/1/2012, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
District of Columbia, Water & Sewer Authority, Public Utility Revenue, 6.0%, 10/1/2015 (a) (d) | 7,135,000 | 8,163,636 |
Trust: District of Columbia, Water & Sewer Revenue, Public Utility Revenue, Series 15, 144A, 8.23%, 10/1/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
District of Columbia, Water & Sewer Authority, Public Utility Revenue, 6.0%, 10/1/2016 (a) (d) | 5,500,000 | 6,334,652 |
Trust: District of Columbia, Water & Sewer Revenue, Public Utility Revenue, Series 16, 144A, 8.23%, 10/1/2014, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
District of Columbia, Water & Sewer Authority, Public Utility Revenue, 6.0%, 10/1/2013 (a) (d) | 2,420,000 | 2,731,890 |
Trust: District of Columbia, Water & Sewer Revenue, Public Utility Revenue, Series 13, 144A, 8.23%, 10/1/2016, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 21,709,347 | |
Florida 0.4% | ||
Lee County, FL, Airport Revenue, AMT, Series A, 6.0%, 10/1/2013 (a) (d) | 7,920,000 | 8,564,688 |
Trust: Lee County, FL, Airport Revenue, AMT, Series 14, 144A, 8.21%, 10/1/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Lee County, FL, Airport Revenue, AMT, Series A, 6.0%, 10/1/2020 (a) (d) | 2,820,000 | 3,040,806 |
Trust: Lee County, FL, Airport Revenue, AMT, Series 14, 144A, 8.21%, 10/1/2020, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Lee County, FL, Airport Revenue, AMT, Series A, 6.125%, 10/1/2015 (a) (d) | 3,000,000 | 3,265,785 |
Trust: Lee County, FL, Airport Revenue, AMT, Series 14, 144A, 8.46%, 10/1/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 14,871,279 | |
Georgia 0.3% | ||
Georgia, Municipal Electric Authority, Power Revenue, Series B, 6.375%, 1/1/2016 (a) (d) | 9,200,000 | 10,749,096 |
Trust: Georgia, Electric Revenue, RITES-PA 786, 9.051%, 1/1/2016, Leverage Factor at purchase date: 2 to 1 |
|
|
Illinois 1.4% | ||
Cook County, IL, Capital Improvement, 6.5%, 11/15/2013 (a) (d) | 21,220,000 | 24,565,863 |
Trust: Cook County, IL, County General Obligation, RITES-PA 591, 144A, 9.292%, 11/15/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Illinois, Regional Transportation Authority, Series A, 6.7%, 11/1/2021 (a) (d) | 25,800,000 | 31,384,023 |
Trust: Illinois, Transportation/Tolls Revenue, Regional Transportation Authority, RITES-PA 584, 9.692%, 11/1/2021, Leverage Factor at purchase date: 2 to 1 |
|
|
| 55,949,886 | |
Massachusetts 0.5% | ||
Massachusetts, State Development Finance Agency, Resource Recovery Revenue, Series A, 5.625%, 1/1/2015 (a) (d) | 4,000,000 | 4,336,460 |
Massachusetts, State Development Finance Agency, Resource Recovery Revenue, Series A, 5.625%, 1/1/2016 (a) (d) | 2,750,000 | 2,981,316 |
Trust: Massachusetts, State Development Finance Agency, Resource Recovery Revenue, Series 563, 144A, 7.53%, 1/1/2016, Leverage Factor at purchase date: 3 to 1 (a) |
|
|
Massachusetts, State General Obligation, Series C, 5.75%, 10/1/2015 (a) (d) | 12,190,000 | 13,128,265 |
Trust: Massachusetts, State General Obligation, RITES-PA 793, 144A, 7.836%, 10/1/2008, Leverage Factor at purchase date: 2 to 1 |
|
|
| 20,446,041 | |
Michigan 0.3% | ||
Michigan, State Building Authority Revenue, Facilities Program, Series I, 5.5%, 10/15/2014 (d) | 8,310,000 | 8,945,923 |
Trust: Michigan, State Agency General Obligation Lease, RITES-PA 889R, Series A, 144A, 7.321%, 4/15/2009, Leverage Factor at purchase date: 2 to 1 |
|
|
Michigan, State Building Authority Revenue, Facilities Program Series I, 5.5%, 10/15/2015 (d) | 5,000,000 | 5,382,625 |
Trust: Michigan, State Agency General Obligation Lease, Building Authority, RITES-PA 899R, Series B, 144A, 7.321%, 4/15/2009, Leverage Factor at purchase date: 2 to 1 |
|
|
| 14,328,548 | |
New Jersey 3.1% | ||
New Jersey, Highway Authority Revenue, Garden State Parkway, 5.5%, 1/1/2013 (a) (d) | 9,000,000 | 9,899,055 |
New Jersey, Highway Authority Revenue, Garden State Parkway, 5.5%, 1/1/2014 (a) (d) | 8,000,000 | 8,799,160 |
New Jersey, Highway Authority Revenue, Garden State Parkway, 5.5%, 1/1/2015 (a) (d) | 5,500,000 | 6,049,423 |
New Jersey, Highway Authority Revenue, Garden State Parkway, 5.5%, 1/1/2016 (a) (d) | 7,370,000 | 8,106,226 |
Trust: New Jersey, Highway Authority Revenue, Garden State Parkway, Series 247, ETM, 144A, 7.255%, 1/1/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
New Jersey, State Transportation Trust Fund Authority, Series A, 5.75%, 6/15/2016 (d) | 4,000,000 | 4,543,780 |
New Jersey, State Transportation Trust Fund Authority, Series A, 5.75%, 6/15/2017 (d) | 4,000,000 | 4,543,780 |
New Jersey, State Transportation Trust Fund Authority, Series A, 5.75%, 6/15/2018 (d) | 3,000,000 | 3,407,835 |
New Jersey, State Transportation Trust Fund Authority, Series A, 5.75%, 6/15/2020 (d) | 11,000,000 | 12,495,395 |
Trust: New Jersey, State Agency Revenue, Transportation Trust Fund Authority, Residual Certificates, Series 224, 144A, 7.77%, 6/15/2016, Leverage Factor at purchase date: 2 to 1 |
|
|
New Jersey, State Transportation Corporate Certificates, Series B, 6.0%, 9/15/2015 (a) (d) | 10,380,000 | 11,312,539 |
Trust: New Jersey, State Revenue Lease, Transportation Trust Fund Authority, RITES-PA 785, 144A, 8.321%, 9/15/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
New Jersey, State Turnpike Authority Revenue, Prerefunded, Series C, 6.5%, 1/1/2016 (a) (d) | 42,340,000 | 48,654,164 |
Trust: New Jersey, Transportation/Tolls Revenue, Turnpike Authority, RITES-PA 613, 144A, 9.301%, 1/1/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
New Jersey, State Turnpike Authority Revenue, Series C, 6.5%, 1/1/2016 (d) | 7,660,000 | 8,802,336 |
Trust: New Jersey, Transportation/Tolls Revenue, Turnpike Authority, RITES-PA 614, 144A, 9.301%, 1/1/2016, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 126,613,693 | |
New York 1.0% | ||
Monroe County, NY, Airport Authority Revenue, Greater Rochester International Airport, 5.75%, 1/1/2015 (a) (d) | 5,030,000 | 5,509,007 |
Trust: Monroe County, NY, Airport Revenue, AMT, RITES-PA 585B, 144A, 7.793%, 7/1/2011, Leverage Factor at purchase date: 2 to 1 |
|
|
Monroe County, NY, Airport Authority Revenue, Greater Rochester International Airport, 5.75%, 1/1/2014 (a) (d) | 4,010,000 | 4,378,639 |
Trust: Monroe County, NY, Airport Revenue, AMT, RITES-PA 585A, 144A, 7.796%, 1/1/2014, Leverage Factor at purchase date: 2 to 1 |
|
|
Monroe County, NY, Airport Authority Revenue, Greater Rochester International Airport, 5.75%, 1/1/2016 (a) (d) | 3,830,000 | 4,256,624 |
Trust: Monroe County, NY, Airport Revenue, AMT, RITES-PA 585C, 144A, 8.047%, 7/1/2012, Leverage Factor at purchase date: 2 to 1 |
|
|
New York, Metropolitan Transportation Authority Revenue, Series A, 5.5%, 11/15/2017 (a) (d) | 15,000,000 | 16,327,425 |
Trust: New York, Transportation/Tolls Revenue, Securities Trust Certificates, 144A, 7.32%, 11/15/2017, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
New York & New Jersey, Port Authority,Series 120, 5.75%, 10/15/2014 (a) (d) | 12,320,000 | 12,729,147 |
Trust: New York and New Jersey, Port Authority Revenue, Series II, AMT, 144A, 7.73%, 10/15/2007, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 43,200,842 | |
Pennsylvania 2.2% | ||
Allegheny County, PA, Airport Revenue, Pittsburg International Airport, Series A-1, AMT, 5.75%, 1/1/2010 (a) (d) | 6,000,000 | 6,339,870 |
Trust: Allegheny County, PA, Airport Revenue, AMT, RITES-PA 567A, 144A, 7.752%, 7/1/2007, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Allegheny County, PA, Airport Revenue, Pittsburg International Airport, Series A-1, AMT, 5.75%, 1/1/2011 (a) (d) | 3,000,000 | 3,205,455 |
Trust: Allegheny County, PA, Airport Revenue, AMT, RITES-PA 567B, 144A, 7.752%, 7/1/2008, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Allegheny County, PA, Airport Revenue, Pittsburg International Airport, Series A-1, AMT, 5.75%, 1/1/2013 (a) (d) | 6,320,000 | 6,857,295 |
Trust: Allegheny County, PA, Airport Revenue, AMT, RITES-PA 567C, 144A, 7.7612%, 1/1/2010, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Allegheny County, PA, Airport Revenue, Pittsburg International Airport, Series A-1, AMT, 5.75%, 1/1/2014 (a) (d) | 10,500,000 | 11,458,230 |
Trust: Allegheny County, PA, Airport Revenue, AMT, RITES-PA 567D, 144A, 7.752%, 1/1/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Delaware Valley, PA, Regional Financial Authority, Local Government Revenue, 5.75%, 7/1/2017 (d) | 25,000,000 | 27,771,875 |
Trust: Delaware Valley, PA, Core City General Obligation, Regional Financial Authority, RITES-PA 1028, 144A, 7.79%, 1/1/2014, Leverage Factor at purchase date: 2 to 1 |
|
|
Pennsylvania, Special Tax Revenue, Intergovernmental Cooperative Authority,Philadelphia Funding Program, 5.25%, 6/15/2013 (a) (d) | 4,450,000 | 4,625,686 |
Trust: Pennsylvania, Sales & Special Tax Revenue, Intergovernmental Cooperative Authority, 6.73%, 6/15/2013, Leverage Factor at purchase date: 2 to 1 |
|
|
Pennsylvania, Special Tax Revenue, Intergovernmental Cooperative Authority,Philadelphia Funding Program, 5.25%, 6/15/2014 (a) (d) | 5,000,000 | 5,197,400 |
Trust: Pennsylvania, Sales & Special Tax Revenue, Intergovernmental Cooperative Authority, 144A, 6.73%, 6/15/2014, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Pennsylvania, Special Tax Revenue, Intergovernmental Cooperative Authority,Philadelphia Funding Program, 5.25%, 6/15/2015 (a) (d) | 4,500,000 | 4,677,660 |
Trust: Pennsylvania, Sales & Special Tax Revenue, Intergovernmental Cooperative Authority, 144A, 6.73%, 6/15/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Pennsylvania, State General Obligation, Series 2, 5.5%, 5/1/2019 (a) (d) | 20,000,000 | 21,754,800 |
Trust: Pennsylvania, State General Obligation, 11.27%, 5/1/2019, Leverage Factor at purchase date: 4 to 1 |
|
|
| 91,888,271 | |
Puerto Rico 1.2% | ||
Puerto Rico Commonwealth, Public Improvements, Series A, 5.5%, 7/1/2021 (a) (d) | 6,000,000 | 6,753,570 |
Trust: Puerto Rico, Sales & Special Tax Revenue, RITES-PA 994RC, 144A, 7.361%, 7/1/2007, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Puerto Rico Commonwealth, Public Improvements, Series A, 5.5%, 7/1/2010 (a) (d) | 7,440,000 | 8,329,935 |
Trust: Puerto Rico, Sales & Special Tax Revenue, RITES-PA 944RA, 144A, 7.361%, 7/1/2015, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Puerto Rico Commonwealth, Public Improvements, Series A, 5.5%, 7/1/2019 (a) (d) | 22,650,000 | 25,359,280 |
Trust: Puerto Rico, Sales & Special Tax Revenue, RITES-PA 943R, 144A, 7.363%, 7/1/2019, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Puerto Rico Commonwealth, General Obligation, 6.0%, 7/1/2013 (a) (d) | 5,000,000 | 5,632,700 |
Trust: Puerto Rico, Sales & Special Tax Revenue, RITES-PA 620A, 144A, 8.341%, 7/1/2010, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Puerto Rico Commonwealth, General Obligation, 6.0%, 7/1/2016 (a) (d) | 2,000,000 | 2,315,670 |
Trust: Puerto Rico Commonwealth, General Obligation, RITES-PA 620C, 144A, 8.341%, 1/1/2013, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 48,391,155 | |
Tennessee 0.5% | ||
Knox County, TN, Health, Educational, & Housing Facilities, Hospital Revenue, Fort Sanders Alliance, 5.75%, 1/1/2012 (a) (d) | 17,880,000 | 19,468,549 |
Trust: Knox County, TN, Hospital & Healthcare Revenue, RITES-PA 750, 144A, 7.811%, 1/1/2012, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Texas 1.6% | ||
Texas, Dallas-Fort Worth International Airport Revenue, Series A, 5.5%, 11/1/2019 (a) (d) | 15,750,000 | 16,838,640 |
Texas, Dallas-Fort Worth International Airport Revenue, Series A, 5.5%, 11/1/2020 (a) (d) | 20,000,000 | 21,382,400 |
Trust: Dallas, TX, Airport Revenue, International Airport, Series 350, AMT, 144A, 7.225%, 5/1/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Dallas County, TX, Utility & Reclamation District, 5.25%, 2/15/2018 (a) (d) | 7,830,000 | 8,327,166 |
Trust: Dallas, TX, Core City General Obligation, RITES PA-1136, 144A, 6.74%, 2/15/2011, Leverage Factor at purchase date: 2 to 1 |
|
|
Dallas County, TX, Utility & Reclamation District, 5.25%, 2/15/2019 (a) (d) | 8,220,000 | 8,725,283 |
Trust: Dallas, TX, Core City General Obligation, RITES PA-1136, 6.74%, 2/15/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
Dallas, County TX, Utility & Reclamation District, 5.25%, 2/15/2020 (a) (d) | 10,250,000 | 10,850,702 |
Trust: Dallas, TX, Core City General Obligation, RITES PA-1136, 144A, 6.74%, 2/15/2011, Leverage Factor at purchase date: 2 to 1 (a) |
|
|
| 66,124,191 | |
Total Municipal Inverse Floating Rate Notes (Cost $614,724,315) | 648,793,578 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $4,053,464,244)+ | 105.7 | 4,336,592,925 |
Other Assets and Liabilities, Net | (5.7) | (232,876,540) |
Net Assets | 100.0 | 4,103,716,385 |
+ The cost for federal income tax purposes was $4,049,401,014. At May 31, 2006, net unrealized appreciation for all securities based on tax cost was $287,191,911. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $297,204,227 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $10,012,316.
(a) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Ambac Financial Group | 12.7 |
Bond Investors Guaranty Insurance Co. | 0.2 |
Financial Guaranty Insurance Company | 11.7 |
Financial Security Assurance Inc. | 9.6 |
MBIA Corp. | 30.1 |
XL Capital Assurance | 0.3 |
(c) All or a portion of these securities represent collateral held in connection with open interest rate swaps.
(d) Security forms part of the below tender option bond trust. Principal amount and value shown take into account the leverage factor.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
AMT: Subject to alternative minimum tax.
ETM: Bonds bearing the description ETM (escrow to maturity) are collateralized by US Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated.
Prerefunded: Bonds which are prerefunded are collateralized by US Treasury securities which are held in escrow and are used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date.
RITES: Residual Interest Tax Exempt Security
At May 31, 2006, open interest rate swaps were as follows:
Effective/ | Notional Amount ($) | Cash Flows Paid by the Fund | Cash Flows Received by the Fund | Unrealized Appreciation ($) |
8/16/2006 | 99,200,000+ | Fixed — 3.837% | Floating — BMA | 1,549,900 |
8/16/2006 | 67,600,000++ | Fixed — 3.838% | Floating — BMA | 1,051,467 |
8/16/2006 | 33,600,000+++ | Fixed — 3.839% | Floating — BMA | 520,280 |
8/23/2006 | 67,200,000+ | Fixed — 3.778% | Floating — BMA | 1,336,593 |
8/23/2006 | 68,000,000++++ | Fixed — 3.778% | Floating — BMA | 1,352,505 |
8/23/2006 | 67,700,000+++ | Fixed — 3.775% | Floating — BMA | 1,360,702 |
8/23/2006 | 63,600,000++++ | Fixed — 3.826% | Floating — BMA | 1,633,469 |
6/14/2006 | 62,700,000+++++ | Fixed — 4.872% | Floating — LIBOR | 4,393,759 |
10/12/2006 | 57,250,000++++ | Fixed — 4.321% | Floating — BMA | 705,848 |
Total unrealized appreciation on open interest rate swaps | 13,904,523 | |||
Counterparties: + Merrill Lynch, Pierce, Fennier & Smith, Inc. ++ JPMorgan Chase Bank +++ Citibank NA ++++ Lehman Brothers, Inc. +++++ Goldman Sachs & Co. BMA: Represents the Bond Market Association LIBOR: Represents the London InterBank Offered Rate |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of May 31, 2006 (as restated, see Note J) | |
Assets | |
Investments in securities, at value (cost $4,053,464,244) | $ 4,336,592,925 |
Cash | 60,302 |
Receivable for investments sold | 375,000 |
Interest receivable | 63,760,246 |
Receivable for Fund shares sold | 2,564,086 |
Unrealized appreciation on swaps | 13,904,523 |
Other assets | 89,942 |
Total assets | 4,417,347,024 |
Liabilities | |
Payable for investments purchased | 4,366,949 |
Payable for floating rate notes issued | 299,462,500 |
Distributions payable | 3,448,032 |
Payable for Fund shares redeemed | 3,225,688 |
Accrued management fee | 1,446,507 |
Other accrued expenses and payables | 1,680,963 |
Total liabilities | 313,630,639 |
Net assets, at value | $ 4,103,716,385 |
Net Assets | |
Net assets consist of: Undistributed net investment income | 341,707 |
Net unrealized appreciation (depreciation) on: Investments | 283,128,681 |
Interest rate swaps | 13,904,523 |
Accumulated net realized gain (loss) | 1,397,261 |
Paid-in capital | 3,804,944,213 |
Net assets, at value | $ 4,103,716,385 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of May 31, 2006 (continued) | |
Net Asset Value | |
Class A Net Asset Value and redemption price(a) per share ($1,949,412,641 ÷ 215,651,774 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.04 |
Maximum offering price per share (100 ÷ 95.5 of $9.04) | $ 9.47 |
Class B Net Asset Value, offering and redemption price(a) (subject to contingent deferred sales charge) per share ($26,038,589 ÷ 2,879,617 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.04 |
Class C Net Asset Value, offering and redemption price(a) (subject to contingent deferred sales charge) per share ($22,111,896 ÷ 2,446,000 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.04 |
Class AARP Net Asset Value, offering and redemption price(a) per share ($1,331,752,074 ÷ 147,151,016 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.05 |
Class S Net Asset Value, offering and redemption price(a) per share ($770,718,511 ÷ 85,171,611 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.05 |
Institutional Class Net Asset Value, offering and redemption price(a) per share ($3,682,674 ÷ 407,268 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized) | $ 9.04 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the year ended May 31, 2006 (as restated, see Note J) | |
Investment Income | |
Income: Interest | $ 233,222,459 |
Expenses: Management fee | 17,556,013 |
Services to shareholders | 2,656,354 |
Custodian and accounting fees | 444,113 |
Distribution service fees | 5,521,313 |
Auditing | 82,495 |
Legal | 120,923 |
Trustees' fees and expenses | 99,951 |
Reports to shareholders | 106,590 |
Interest expense and fees | 14,878,294 |
Registration fees | 89,800 |
Other | 963,801 |
Total expenses before expense reductions | 42,519,647 |
Expense reductions | (610,716) |
Total expenses after expense reductions | 41,908,931 |
Net investment income | 191,313,528 |
Realized and Unrealized Gain (Loss) on Investment Transactions | |
Net realized gain (loss) from: Investments | 9,141,903 |
Interest rate swaps | 22,347,505 |
Futures | (824,084) |
| 30,665,324 |
Net unrealized appreciation (depreciation) during the period on: Investments | (144,485,034) |
Interest rate swaps | 36,169,693 |
Futures | 1,047,948 |
| (107,267,393) |
Net gain (loss) on investment transactions | (76,602,069) |
Net increase (decrease) in net assets resulting from operations | $ 114,711,459 |
The accompanying notes are an integral part of the financial statements.
Statement of Cash Flows for the year ended May 31, 2006 | |
Cash Flows from Operating Activities: | |
Investment income received* | $ 222,706,424 |
Payment of operating expenses | (26,874,058) |
Payment of interest expense | (14,878,294) |
Proceeds from sales and maturities of investments | 1,477,886,059 |
Purchases of investments | (1,177,728,343) |
Cash provided (used) by operating activities | $ 481,111,788 |
Cash Flows from Financing Activities: | |
Net increase (decrease) in notes payable | $ (3,000,000) |
Proceeds from shares sold | 157,199,092 |
Cost of shares repurchased | (539,641,342) |
Distributions paid (net of reinvestment of distributions) | (73,485,294) |
Increase (decrease) in payable for floating notes issued | (23,750,000) |
Cash provided (used) by financing activities | (482,677,544) |
Increase (decrease) in cash | (1,565,756) |
Cash at beginning of period | 1,626,058 |
Cash at end of period | $ 60,302 |
Reconciliation of Net Increase (Decrease) in Net Assets Resulting from Operations to Cash Provided (Used) by Operating Activities: | |
Net increase (decrease) in net assets resulting from operations | $ 114,711,459 |
Net (increase) decrease in cost of investments | 253,449,279 |
Net (increase) decrease in unrealized appreciation (depreciation) on investments | 144,485,034 |
(Increase) decrease in unrealized appreciation on swaps | (13,904,523) |
(Increase) decrease in receivable for investments sold | 138,626 |
(Increase) decrease in interest receivable | 6,403,161 |
(Increase) decrease in other assets | 32,707 |
Increase (decrease) in payable for investments purchased | (1,840,364) |
Increase (decrease) in daily variation margin on open futures contracts | (255,000) |
(Increase) decrease in depreciation on swap contracts | (22,265,170) |
Increase (decrease) in other accrued expenses and payables | 156,579 |
Cash provided (used) by operating activities | $ 481,111,788 |
Non-Cash Financing Activities: | |
Reinvestment of distributions | $ 117,680,585 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Years Ended May 31, | |
2006 | 2005 | |
Operations: Net investment income | $ 191,313,528 | $ 209,433,621 |
Net realized gain (loss) on investment transactions | 30,665,324 | 7,437,681 |
Net unrealized appreciation (depreciation) during the period on investment transactions | (107,267,393) | 75,500,577 |
Net increase (decrease) in net assets resulting from operations | 114,711,459 | 292,371,879 |
Distributions to shareholders from: Net investment income: Class A | (89,129,780) | (98,510,879) |
Class B | (1,077,478) | (1,483,611) |
Class C | (817,619) | (885,908) |
Class AARP | (64,190,013) | (70,706,922) |
Class S | (34,904,229) | (38,615,741) |
Institutional Class | (73,786) | (9,180) |
From net realized gains: Class A | (336,119) | (349,421) |
Class B | (4,956) | (6,202) |
Class C | (3,721) | (3,568) |
Class AARP | (230,599) | (240,222) |
Class S | (124,567) | (129,975) |
Institutional Class | (242) | (34) |
Fund share transactions: Proceeds from shares sold | 158,763,783 | 188,116,203 |
Net assets acquired in tax free reorganization | — | 58,959,059 |
Reinvestment of distributions | 117,680,585 | 129,520,021 |
Cost of shares redeemed | (540,504,465) | (544,141,849) |
Redemption fees | 8,795 | 3,473 |
Net increase (decrease) in net assets from Fund share transactions | (264,051,302) | (167,543,093) |
Increase (decrease) in net assets | (340,232,952) | (86,112,877) |
Net assets at beginning of period | 4,443,949,337 | 4,530,062,214 |
Net assets at end of period (including undistributed net investment income of $341,707 and $675,408, respectively) | $ 4,103,716,385 | $ 4,443,949,337 |
The accompanying notes are an integral part of the financial statements.
Class A (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003 | 2002a |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.12 | $ 9.00 |
Income from investment operations: Net investment income | .40 | .42 | .43 | .42 | .42 |
Net realized and unrealized gain (loss) on investment transactions | (.16) | .16 | (.46) | .41 | .12 |
Total from investment operations | .24 | .58 | (.03) | .83 | .54 |
Less distributions from: Net investment income | (.40) | (.42) | (.43) | (.42) | (.42) |
Net realized gain on investment transactions | (.00)*** | (.00)*** | — | (.03) | — |
Total distributions | (.40) | (.42) | (.43) | (.45) | (.42) |
Redemption fees | .00*** | .00*** | — | — | — |
Net asset value, end of period | $ 9.04 | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.12 |
Total Return (%)b | 2.65c | 6.53 | (.31) | 9.41 | 5.94** |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 1,949 | 2,147 | 2,183 | 2,454 | 2,416 |
Ratio of expenses before expense reductions (including interest expense) (%) | 1.11d | .88d | .84d | .87d | .87d* |
Ratio of expenses after expense reductions (including interest expense) (%) | 1.09d | .88d | .84d | .87d | .87d* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | .74 | .74 | .75 | .75 | .77* |
Ratio of net investment income (%) | 4.38 | 4.56 | 4.61 | 4.66 | 4.74* |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 | 33 |
a For the period from June 11, 2001 (commencement of operations of Class A shares) to May 31, 2002. b Total return does not reflect the effect of any sales charges. c Total return would have been lower had certain expenses not been reduced. d As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Annualized ** Not annualized *** Amount is less than $.005. |
Class B (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003 | 2002a |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.11 | $ 9.00 |
Income from investment operations: Net investment income | .33 | .35 | .36 | .35 | .35 |
Net realized and unrealized gain (loss) on investment transactions | (.16) | .16 | (.46) | .42 | .11 |
Total from investment operations | .17 | .51 | (.10) | .77 | .46 |
Less distributions from: Net investment income | (.33) | (.35) | (.36) | (.35) | (.35) |
Net realized gain on investment transactions | (.00)*** | (.00)*** | — | (.03) | — |
Total distributions | (.33) | (.35) | (.36) | (.38) | (.35) |
Redemption fees | .00*** | .00*** | — | — | — |
Net asset value, end of period | $ 9.04 | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.11 |
Total Return (%)b | 1.88c | 5.70c | (1.07) | 8.52 | 5.15** |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 26 | 34 | 47 | 66 | 65 |
Ratio of expenses before expense reductions (including interest expense) (%) | 1.88d | 1.68d | 1.61d | 1.65d | 1.68d* |
Ratio of expenses after expense reductions (including interest expense) (%) | 1.84d | 1.67d | 1.61d | 1.65d | 1.68d* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | 1.49 | 1.53 | 1.52 | 1.53 | 1.58* |
Ratio of net investment income (%) | 3.63 | 3.77 | 3.84 | 3.88 | 3.93* |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 | 33 |
a For the period from June 11, 2001 (commencement of operations of Class B shares) to May 31, 2002. b Total return does not reflect the effect of any sales charges. c Total return would have been lower had certain expenses not been reduced. d As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Annualized ** Not annualized *** Amount is less than $.005. |
Class C (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003 | 2002a |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.11 | $ 9.00 |
Income from investment operations: Net investment income | .33 | .35 | .36 | .35 | .34 |
Net realized and unrealized gain (loss) on investment transactions | (.16) | .16 | (.46) | .42 | .11 |
Total from investment operations | .17 | .51 | (.10) | .77 | .45 |
Less distributions from: Net investment income | (.33) | (.35) | (.36) | (.35) | (.34) |
Net realized gain on investment transactions | (.00)*** | (.00)*** | — | (.03) | — |
Total distributions | (.33) | (.35) | (.36) | (.38) | (.34) |
Redemption fees | .00*** | .00*** | — | — | — |
Net asset value, end of period | $ 9.04 | $ 9.20 | $ 9.04 | $ 9.50 | $ 9.11 |
Total Return (%)b | 1.86c | 5.72 | (1.09) | 8.52 | 5.11** |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 22 | 24 | 25 | 24 | 14 |
Ratio of expenses before expense reductions (including interest expense) (%) | 1.88d | 1.65d | 1.63d | 1.68d | 1.69d* |
Ratio of expenses after expense reductions (including interest expense) (%) | 1.85d | 1.65d | 1.63d | 1.68d | 1.69d* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | 1.50 | 1.51 | 1.54 | 1.56 | 1.59* |
Ratio of net investment income (%) | 3.62 | 3.80 | 3.82 | 3.85 | 3.92* |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 | 33 |
a For the period from June 11, 2001 (commencement of operations of Class C shares) to May 31, 2002. b Total return does not reflect the effect of any sales charges. c Total return would have been lower had certain expenses not been reduced. d As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Annualized ** Not annualized *** Amount is less than $.005. |
Class AARP (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003 | 2002 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.21 | $ 9.05 | $ 9.50 | $ 9.12 | $ 8.95 |
Income (loss) from investment operations: Net investment income | .42 | .44 | .45 | .44 | .45 |
Net realized and unrealized gain (loss) on investment transactions | (.16) | .16 | (.45) | .41 | .17 |
Total from investment operations | .26 | .60 | — | .85 | .62 |
Less distributions from: Net investment income | (.42) | (.44) | (.45) | (.44) | (.45) |
Net realized gain on investment transactions | (.00)* | (.00)* | — | (.03) | — |
Total distributions | (.42) | (.44) | (.45) | (.47) | (.45) |
Redemption fees | .00* | .00* | — | — | — |
Net asset value, end of period | $ 9.05 | $ 9.21 | $ 9.05 | $ 9.50 | $ 9.12 |
Total Return (%) | 2.88a | 6.79 | (.01) | 9.61 | 6.92 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 1,332 | 1,450 | 1,477 | 1,585 | 1,502 |
Ratio of expenses before expense reductions (including interest expense) (%) | .87b | .65b | .65b | .68b | .67b* |
Ratio of expenses after expense reductions (including interest expense) (%) | .86b | .65b | .65b | .68b | .67b* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | .51 | .51 | .56 | .56 | .57* |
Ratio of net investment income (loss) (%) | 4.61 | 4.80 | 4.80 | 4.85 | 4.92 |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 | 33 |
a Total return would have been lower had certain expenses not been reduced. b As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Amount is less than $.005. |
Class S (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003 | 2002 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.21 | $ 9.05 | $ 9.50 | $ 9.12 | $ 8.95 |
Income from investment operations: Net investment income | .42 | .44 | .45 | .44 | .45 |
Net realized and unrealized gain (loss) on investment transactions | (.16) | .16 | (.45) | .41 | .17 |
Total from investment operations | .26 | .60 | — | .85 | .62 |
Less distributions from: Net investment income | (.42) | (.44) | (.45) | (.44) | (.45) |
Net realized gain on investment transactions | (.00)* | (.00)* | — | (.03) | — |
Total distributions | (.42) | (.44) | (.45) | (.47) | (.45) |
Redemption fees | .00* | .00* | — | — | — |
Net asset value, end of period | $ 9.05 | $ 9.21 | $ 9.05 | $ 9.50 | $ 9.12 |
Total Return (%) | 2.88 | 6.81 | (.01)a | 9.49 | 7.04 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 771 | 789 | 798 | 837 | 812 |
Ratio of expenses before expense reductions (including interest expense) (%) | .86b | .63b | .65b | .68b | .67b* |
Ratio of expenses after expense (including interest expense) (%) | .86b | .63b | .64b | .68b | .67b* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | .51 | .49 | .55 | .56 | .57* |
Ratio of net investment income (%) | 4.61 | 4.82 | 4.81 | 4.85 | 4.92 |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 | 33 |
a Total return would have been lower had certain expenses not been reduced. b As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Amount is less than $.005. |
Institutional Class (as restated, see Note J) Years Ended May 31, | 2006 | 2005 | 2004 | 2003a |
Selected Per Share Data | ||||
Net asset value, beginning of period | $ 9.21 | $ 9.05 | $ 9.50 | $ 9.33 |
Income from investment operations: Net investment income | .42 | .45 | .44 | .31 |
Net realized and unrealized gain (loss) on investment transactions | (.17) | .16 | (.45) | .20 |
Total from investment operations | .25 | .61 | (.01) | .51 |
Less distributions from: Net investment income | (.42) | (.45) | (.44) | (.31) |
Net realized gain on investment transactions | (.00)*** | (.00)*** | — | (.03) |
Total distributions | (.42) | (.45) | (.44) | (.34) |
Redemption fees | .00*** | .00*** | — | — |
Net asset value, end of period | $ 9.04 | $ 9.21 | $ 9.05 | $ 9.50 |
Total Return (%) | 2.82 | 6.86b | (.06)b | 5.94** |
Ratios to Average Net Assets and Supplemental Data | ||||
Net assets, end of period ($ millions) | 4 | .45 | .01 | .001 |
Ratio of expenses before expense reductions (including interest expense) (%) | .88c | .66c | .75c | .66c* |
Ratio of expenses after expense reductions (including interest expense) (%) | .88c | .63c | .63c | .66c* |
Ratio of expenses after expense reductions (excluding interest expense) (%) | .53 | .49 | .54 | .54* |
Ratio of net investment income (%) | 4.59 | 4.81 | 4.82 | 4.74* |
Portfolio turnover rate (%) | 28 | 31 | 24 | 22 |
a For the period from August 19, 2002 (commencement of operations of Institutional Class shares) to May 31, 2003. b Total returns would have been lower had certain expenses not been reduced. c As restated to reflect interest expense on short term floating rate notes issued in conjunction with inverse floating rate securities. * Annualized ** Not annualized *** Amount is less than $.005. |
(as restated, see Note J)
A. Significant Accounting Policies
DWS Managed Municipal Bond Fund (formerly Scudder Managed Municipal Bond Fund) (the "Fund") is a diversified series of DWS Municipal Trust (formerly Scudder Municipal Trust) (the "Trust") which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers multiple classes of shares which provide investors with different purchase options. Class A shares are offered to investors subject to an initial sales charge. Class B shares are offered without an initial sales charge but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions. Class B shares automatically convert to Class A shares six years after issuance. Class C shares are offered to investors without an initial sales charge but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions within one year of purchase. Class C shares do not convert into another class. Institutional Class shares are offered to a limited group of investors, are not subject to initial or contingent deferred sales charges and have lower ongoing expenses than other classes. Shares of Class AARP were designed for members of AARP (Please see Note C, under the caption Other Related Parties, and Note I). Class AARP and S shares are not subject to initial or contingent deferred sales charges. Class S shares are no longer be available to new investors except under certain circumstances. (Please refer to the Fund's Statement of Additional Information.)
Investment income, realized and unrealized gains and losses and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class such as distribution services fees, services to shareholders and certain other class-specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Debt securities are valued by independent pricing services approved by the Trustees of the Fund, whose valuations are intended to reflect the mean between the bid and asked prices. If the pricing services are unable to provide valuations, the securities are valued at the average of the means based on the most recent bid and asked quotations or evaluated prices obtained from two broker-dealers. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees.
Inverse Floaters. Inverse floating rate notes are debt instruments with a floating rate of interest that bears an inverse relationship to changes in short-term market interest rates. Investments in this type of instrument involve special risks as compared to investments in a fixed rate municipal security. The debt instrument in which the Fund may invest is a tender option bond trust (the "trust") which can be established by the Fund, a financial institution, or broker, consisting of underlying municipal obligations with intermediate to long maturities and a fixed interest rate. Other investors in the trust usually consist of money market fund investors receiving weekly floating interest rate payments who have put options with the financial institutions. The Fund may enter into shortfall and forbearance agreements by which a Fund agrees to reimburse the trust, in certain circumstances, for the difference between the liquidation value of the fixed rate municipal security held by the trust and the liquidation value of the floating rate notes. The Fund has the price risk of the underlying municipal obligations at the applicable leverage factor. Certain inverse floating rate securities held by the Fund have been created with bonds purchased by the Fund and subsequently transfered to the trust. These transactions are considered a form of financing for accounting purposes. As a result, the Fund includes the original transferred bond and a corresponding liability equal to the floating rate note issued. The Fund does not consider the Fund's investment in inverse floaters borrowing within the meaning of the Investment Company Act of 1940. Inverse floating rate notes exhibit added interest rate sensitivity compared to other bonds with a similar maturity. Moreover, since these securities are in a trust form, a sale may take longer to settle than the standard two days after the trade date.
The weighted average outstanding daily balance of the floating rate notes issued during the year ended May 31, 2006 was approximately $445,650,000, with a weighted average interest rate of 3.32%.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Fund may enter into futures contracts as a hedge against anticipated interest rate changes and for duration management, risk management and return enhancement purposes.
Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary an amount ("initial margin") equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value of the underlying security and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When entering into a closing transaction, the Fund will realize a gain or loss equal to the difference between the value of the futures contract to sell and the futures contract to buy. Futures contracts are valued at the most recent settlement price.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid secondary market will limit the Fund's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities hedged. When utilizing futures contracts to hedge, the Fund gives up the opportunity to profit from favorable price movements in the hedged positions during the term of the contract.
Swap Agreements. The Fund may enter into interest rate swap transactions to reduce the interest rate risk inherent in the Fund's underlying investments. The use of interest rate swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an interest rate swap, the Fund would agree to pay to the other party to the interest rate swap (which is known as the "counterparty") a fixed rate payment in exchange for the counterparty agreeing to pay to the Fund a variable rate payment, or the Fund would agree to receive from the counterparty a fixed rate payment in exchange for the counterparty agreeing to receive from the Fund a variable rate payment. The payment obligations would be based on the notional amount of the swap. Certain risks may arise when entering into swap transactions including counterparty default, liquidity or unfavorable changes in interest rates. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. The value of the swap is adjusted daily based upon a price supplied by the counterparty and the change in value is recorded as unrealized appreciation or depreciation.
When Issued/Delayed Delivery Securities. The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable and tax-exempt income to its shareholders. Accordingly, the Fund paid no federal income taxes and no federal income tax provision was required.
During the year ended May 31, 2006, the Fund utilized $11,426,000 of its prior year capital loss carryforward.
Distribution of Income and Gains. Net investment income of the Fund is declared as a daily dividend and is distributed to shareholders monthly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in futures contracts, securities sold at a loss and accretion of market discount on debt securities. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
At May 31, 2006, the Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed tax-exempt income | $ 3,523,349 |
Undistributed taxable income | $ 266,390 |
Undistributed long-term capital gains | $ 12,594,810 |
Net unrealized appreciation on investments | $ 287,191,911 |
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
| Years Ended May 31, | |
| 2006 | 2005 |
Distributions from tax-exempt income | $ 190,192,905 | $ 210,212,241 |
Distributions from short-term capital gains* | $ 700,204 | $ 729,422 |
Redemption Fees. The Fund imposes a redemption fee of 2% of the total redemption amount on the Fund shares redeemed or exchanged within 15 days of buying them, either by purchase or exchange. This fee is assessed and retained by the Fund for the benefit of the remaining shareholders. The redemption fee is accounted for as an addition to paid-in capital.
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on an accrual basis. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Statement of Cash Flows. Information of financial transactions which have been settled through the receipt and disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows represents the cash position in the Fund's custodian bank at May 31, 2006.
B. Purchases and Sales of Securities
During the year ended May 31, 2006, purchases and sales of investment securities (excluding short-term investments) aggregated $1,175,889,334 and $1,455,399,928, respectively.
C. Related Parties
Management Agreement. Under the Management Agreement with Deutsche Investment Management Americas Inc. ("DeIM" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund. In addition to portfolio management services, the Advisor provides certain administrative services in accordance with the Management Agreement. The management fee payable under the Management Agreement is equal to an annual rate of 0.45% of the first $250,000,000 of the Fund's average daily net assets, 0.43% of the next $750,000,000 of such net assets, 0.41% of the next $1,500,000,000 of such net assets, 0.40% of the next $2,500,000,000 of such net assets, 0.38% of the next $2,500,000,000 of such net assets, 0.36% of the next $2,500,000,000 of such net assets, 0.34% of the next $2,500,000,000 of such net assets and 0.32% of such net assets in excess of $12,500,000,000, computed and accrued daily and payable monthly. Accordingly, for the year ended May 31, 2006, the fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.41% of the Fund's average daily net assets.
Effective March 12, 2005 through September 30, 2008, the Advisor has contractually agreed to waive all or a portion of its management fee and reimburse or pay certain operating expenses of the Fund to the extent necessary to maintain the operating expenses of each class at 0.48%, 0.48%, 0.49%, 0.50%, 0.52% and 0.50% of average daily net assets for Class A, B, C, AARP, S and Institutional Class shares, respectively (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest, Rule 12b-1 distribution and/or service fees, trustees, and trustee counsel fees and organizational and offering expenses).
Service Provider Fees. DWS Scudder Investments Service Company ("DWS-SISC"), an affiliate of the Advisor, is the Fund's transfer agent, dividend-paying agent and shareholder service agent for Class A, B, C and Institutional Class shares of the Fund. DWS Scudder Service Corporation ("DWS-SSC"), a subsidiary of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for Class AARP and S shares of the Fund. Pursuant to a sub-transfer agency agreement among DWS-SISC, DWS-SSC and DST Systems, Inc. ("DST"), DWS-SISC and DWS-SSC have delegated certain transfer agent and dividend paying agent functions to DST. DWS-SISC and DWS-SSC compensate DST out of the shareholder servicing fee they receive from the Fund. For the year ended May 31, 2006, the amounts charged to the Fund by DWS-SISC and DWS-SSC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at May 31, 2006 |
Class A | $ 875,191 | $ 417,092 | $ 69,396 |
Class B | 18,341 | 11,565 | 3,128 |
Class C | 11,828 | 5,363 | 1,135 |
Class AARP | 789,680 | 130,814 | 115,220 |
Class S | 252,474 | — | 38,992 |
Institutional Class | 668 | — | 191 |
| $ 1,948,182 | $ 564,834 | $ 228,062 |
DWS Scudder Fund Accounting Corporation ("DWS-SFAC"), an affiliate of the Advisor, is responsible for computing the daily net asset value per share and maintaining the portfolio and general accounting records of the Fund. SFAC has retained State Street Bank and Trust Company to provide certain administrative, fund accounting and record-keeping services to the Fund. For the year ended May 31, 2006, the amount charged to the Fund by DWS-SFAC for accounting services aggregated $332,942, of which $29,867 is unpaid.
Distribution Service Agreement. Under the Distribution Service Agreement, in accordance with Rule 12b-1 under the 1940 Act, DWS Scudder Distributors, Inc. ("DWS-SDI"), a subsidiary of the Advisor, receives a fee ("Distribution Fee") of 0.75% of average daily net assets of Class B and C shares. Pursuant to the agreement, DWS-SDI enters into related selling group agreements with various firms at various rates for sales of Class B and C shares. For the year ended May 31, 2006, the Distribution Fee was as follows:
Distribution Fee | Total Aggregated | Unpaid at May 31, 2006 |
Class B | $ 224,591 | $ 17,739 |
Class C | 170,650 | 14,154 |
| $ 395,241 | $ 31,893 |
In addition, DWS-SDI provides information and administrative services ("Service Fee") to Class A, B and C shareholders at an annual rate of up to 0.25% of average daily net assets for each such class. DWS-SDI in turn has various agreements with financial services firms that provide these services and pays these fees based upon the assets of shareholder accounts the firms service. For the year ended May 31, 2006, the Service Fee was as follows:
Service Fee | Total Aggregated | Unpaid at May 31, 2006 | Annual Effective Rate |
Class A | 4,996,214 | 389,166 | .24% |
Class B | 73,934 | 2,874 | .25% |
Class C | 55,924 | 4,279 | .25% |
| $ 5,126,072 | $ 396,319 |
|
Underwriting Agreement and Contingent Deferred Sales Charge. DWS-SDI is the principal underwriter for the Fund. Underwriting commissions paid to DWS-SDI in connection with the distribution of Class A shares for the year ended May 31, 2006 aggregated $90,018.
In addition, DWS-SDI receives any contingent deferred sales charge ("CDSC") from Class B share redemptions occurring within six years of purchase and Class C share redemptions occurring within one year of purchase. There is no such charge upon redemption of any share appreciation or reinvested dividends. The CDSC is based on declining rates ranging from 4% to 1% for Class B and 1% for Class C, of the value of the shares redeemed. For the year ended May 31, 2006, the CDSC for Class B and C shares aggregated $82,962 and $2,869, respectively. A deferred sales charge of up to 0.85% is assessed on certain redemptions of Class A shares. For the year ended May 31, 2006, SDI received $9,801.
Typesetting and Filing Service Fees. Under an agreement with DeIM, the Advisor is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended May 31, 2006, the amount charged to the Fund by DeIM included in reports to shareholders aggregated $27,200, all of which $10,320 is unpaid.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregated annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each Fund in the Fund Complex for which he or she serves. In addition, the Lead Trustee of the Board and the Chairman of each committee of the Board receive additional compensation for their services. Payment of such fees and expenses is allocated among all such Funds described above in direct proportion to their relative net assets.
Other Related Parties. Through December 31, 2005, AARP through its affiliate, AARP Services, Inc., monitored and approved the AARP Investment Program from DWS Scudder, but did not act as an investment advisor or recommend specific mutual funds. The contractual relationship between DWS Scudder and AARP ended on December 31, 2005. As a result, the funds are no longer part of the AARP Investment Program and the AARP name and logo will be phased out in 2006. The funds will continue to be managed by Deutsche Asset Management and its affiliates. (Please see Note I.)
D. Expense Reductions
For the year ended May 31, 2006, the Advisor agreed to reimburse the Fund $44,402, which represents a portion of the fee savings expected to be realized by the Advisor related to the outsourcing by the Advisor of certain administrative services to an unaffiliated service provider.
In addition, the Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances were used to reduce a portion of the Fund's custodian expenses. During the year ended May 31, 2006, the custodian fee was reduced by $1,480 for custodian credits earned.
E. Line of Credit
The Fund and several other affiliated funds (the "Participants") share in a $750 million revolving credit facility administered by JPMorgan Chase Bank N.A. for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated, based upon net assets, among each of the Participants. Interest is calculated at the Federal Funds Rate plus 0.5 percent. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.
F. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Year Ended May 31, 2006 | Year Ended May 31, 2005 | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class A | 3,885,955 | $ 35,418,358 | 8,312,673 | $ 76,136,927 |
Class B | 92,277 | 841,426 | 178,711 | 1,648,009 |
Class C | 337,517 | 3,067,780 | 397,268 | 3,641,947 |
Class AARP | 3,803,351 | 34,746,898 | 5,039,288 | 46,272,489 |
Class S | 8,925,027 | 80,969,206 | 6,580,420 | 59,972,551 |
Institutional Class | 407,977 | 3,720,115 | 47,953 | 444,280 |
|
| $ 158,763,783 |
| $ 188,116,203 |
Shares issued in tax-free reorganization* | ||||
Class A | — | $ — | 5,980,222 | $ 54,599,429 |
Class B | — | — | 261,646 | 2,388,828 |
Class C | — | — | 215,860 | 1,970,802 |
|
| $ — |
| $ 58,959,059 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class A | 6,358,068 | $ 58,032,583 | 7,004,991 | $ 64,224,067 |
Class B | 67,738 | 618,608 | 98,169 | 899,952 |
Class C | 64,010 | 584,225 | 67,065 | 614,822 |
Class AARP | 4,232,888 | 38,680,159 | 4,618,657 | 42,395,350 |
Class S | 2,160,795 | 19,743,243 | 2,329,934 | 21,385,283 |
Institutional Class | 2,397 | 21,767 | 60 | 547 |
|
| $ 117,680,585 |
| $ 129,520,021 |
Shares redeemed | ||||
Class A | (27,866,712) | $ (254,164,213) | (29,582,562) | $ (270,878,349) |
Class B | (1,021,856) | (9,326,095) | (2,013,177) | (18,423,203) |
Class C | (569,050) | (5,184,157) | (787,261) | (7,207,277) |
Class AARP | (18,230,222) | (166,270,033) | (15,507,042) | (142,237,910) |
Class S | (11,523,067) | (105,083,415) | (11,497,799) | (105,393,916) |
Institutional Class | (52,195) | (476,552) | (122) | (1,194) |
|
| $ (540,504,465) |
| $ (544,141,849) |
Redemption fees | $ 8,795 |
| $ 3,473 | |
Net increase (decrease) | ||||
Class A | (17,622,689) | $ (160,712,683) | (8,284,676) | $ (75,917,570) |
Class B | (861,841) | (7,866,059) | (1,474,651) | (13,486,414) |
Class C | (167,523) | (1,532,134) | (107,068) | (979,706) |
Class AARP | (10,193,983) | (92,842,599) | (5,849,097) | (53,569,987) |
Class S | (437,245) | (4,363,157) | (2,587,445) | (24,033,049) |
Institutional Class | 358,179 | 3,265,330 | 47,891 | 443,633 |
|
| $ (264,051,302) |
| $ (167,543,093) |
G. Regulatory Matters and Litigation
Market Timing Related Regulatory and Litigation Matters. Since at least July 2003, federal, state and industry regulators have been conducting ongoing inquiries and investigations ("inquiries") into the mutual fund industry, and have requested information from numerous mutual fund companies, including DWS Scudder. The DWS funds' advisors have been cooperating in connection with these inquiries and are in discussions with the regulators concerning proposed settlements. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the DWS funds. These lawsuits, which previously have been reported in the press, involve purported class action and derivative lawsuits, making various allegations and naming as defendants various persons, including certain DWS funds, the funds' investment advisors and their affiliates, and certain individuals, including in some cases fund Trustees/Directors, officers, and other parties. Each DWS fund's investment advisor has agreed to indemnify the applicable DWS funds in connection with these lawsuits, or other lawsuits or regulatory actions that may be filed making allegations similar to these lawsuits regarding market timing, revenue sharing, fund valuation or other subjects arising from or related to the pending inquiries. It is not possible to determine with certainty what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors.
With respect to the lawsuits, based on currently available information, the funds' investment advisors believe the likelihood that the pending lawsuits will have a material adverse financial impact on a DWS fund is remote and such actions are not likely to materially affect their ability to perform under their investment management agreements with the DWS funds.
With respect to the regulatory matters, Deutsche Asset Management ("DeAM") has advised the funds as follows:
DeAM expects to reach final agreements with regulators in 2006 regarding allegations of improper trading in the DWS funds. DeAM expects that it will reach settlement agreements with the Securities and Exchange Commission, the New York Attorney General and the Illinois Secretary of State providing for payment of disgorgement, penalties, and investor education contributions totaling approximately $134 million. Approximately $127 million of this amount would be distributed to shareholders of the affected DWS funds in accordance with a distribution plan to be developed by an independent distribution consultant. DeAM does not believe that any of the DWS funds will be named as respondents or defendants in any proceedings. The funds' investment advisors do not believe these amounts will have a material adverse financial impact on them or materially affect their ability to perform under their investment management agreements with the DWS funds. The above-described amounts are not material to Deutsche Bank, and they have already been reserved.
Based on the settlement discussions thus far, DeAM believes that it will be able to reach a settlement with the regulators on a basis that is generally consistent with settlements reached by other advisors, taking into account the particular facts and circumstances of market timing at DeAM and at the legacy Scudder and Kemper organizations prior to their acquisition by DeAM in April 2002. Among the terms of the expected settled orders, DeAM would be subject to certain undertakings regarding the conduct of its business in the future, including maintaining existing management fee reductions for certain funds for a period of five years. DeAM expects that these settlements would resolve regulatory allegations that it violated certain provisions of federal and state securities laws (i) by entering into trading arrangements that permitted certain investors to engage in market timing in certain DWS funds and (ii) by failing more generally to take adequate measures to prevent market timing in the DWS funds, primarily during the 1999-2001 period. With respect to the trading arrangements, DeAM expects that the settlement documents will include allegations related to one legacy DeAM arrangement, as well as three legacy Scudder and six legacy Kemper arrangements. All of these trading arrangements originated in businesses that existed prior to the current DeAM organization, which came together in April 2002 as a result of the various mergers of the legacy Scudder, Kemper and Deutsche fund groups, and all of the arrangements were terminated prior to the start of the regulatory investigations that began in the summer of 2003. No current DeAM employee approved the trading arrangements.
There is no certainty that the final settlement documents will contain the foregoing terms and conditions. The independent Trustees/Directors of the DWS funds have carefully monitored these regulatory investigations with the assistance of independent legal counsel and independent economic consultants.
Other Regulatory Matters. DeAM is also engaged in settlement discussions with the Enforcement Staffs of the SEC and the NASD regarding DeAM's practices during 2001-2003 with respect to directing brokerage commissions for portfolio transactions by certain DWS funds to broker-dealers that sold shares in the DWS funds and provided enhanced marketing and distribution for shares in the DWS funds. In addition, DWS Scudder Distributors, Inc. is in settlement discussions with the Enforcement Staff of the NASD regarding DWS Scudder Distributors' payment of non-cash compensation to associated persons of NASD member firms, as well as DWS Scudder Distributors' procedures regarding non-cash compensation regarding entertainment provided to such associated persons.
H. Acquisition of Assets
On March 11, 2005, the Fund acquired all of the net assets of Scudder Florida Tax-Free Income Fund pursuant to a plan of reorganization approved by shareholders on February 24, 2005. The acquisition was accomplished by a tax-free exchange of 5,267,778 Class A shares, 230,924 Class B shares and 190,429 Class C shares of Scudder Florida Tax-Free Income Fund, respectively, for 5,980,222 Class A shares, 261,646 Class B shares and 215,860 Class C shares of DWS Managed Municipal Bond Fund, respectively, outstanding on March 11, 2005. Scudder Florida Tax-Free Income Fund's net assets at that date of $58,959,059, including $5,077,968 of net unrealized appreciation, were combined with those of the Fund. The aggregate net assets of the Fund immediately before the acquisition were $4,386,673,569. The combined net assets of the Fund immediately following the acquisition were $4,445,632,628.
I. Subsequent Event
On June 28, 2006, the Board of the Fund approved the conversion of the Class AARP shares of the Fund into the Class S shares of the Fund. This conversion was completed on July 14, 2006, and Class AARP shares are no longer offered.
J. Restatement of Financial Statements
DWS Managed Municipal Bond Fund's financial statements and related disclosures have been restated to conform the treatment of the Fund's investment in certain financial instruments to generally accepted accounting principles. The fund invests in tender option bond trusts (also referred to as Inverse Floaters) where the fund transfers a fixed rate bond to a trust that issued a floating rate security and an inverse floating rate security. In exchange for the bond transferred, the Fund receives the inverse floating rate security and cash from the trust equal to the par amount of the floating rate note issued. Previously, the Fund treated this transaction as a sale of the original bond and a purchase of the inverse floating rate security. Under Statement of Financial Accounting Standards No. 140 (FAS 140), the transfer of the bond is not considered a sale, but rather a form of financing for accounting purposes. As a result, the Fund restated its financial statements to include the original transferred bond, and the corresponding liability equal to the floating rate note issued. In addition, the restated financial statements reflect the interest earned on the original bond as well as reflecting the interest paid by the floating rate note and the inclusion of a statement of cash flows. The result of the restatement was an increase in assets and liabilities and corresponding increases in interest income and expenses. These changes did not impact the net asset value, net investment income or total return of the Fund. The following represents the previously reported information and the restated information:
Statement of Assets and Liabilities | Previously Reported | Restated |
Investments in securities, at value | $ 4,037,130,425 | $ 4,336,592,925 |
Total assets | 4,117,884,524 | 4,417,347,024 |
Payable for floating rate notes issued | — | 299,462,500 |
Total liabilities | 14,168,139 | 313,630,639 |
Net assets, at value | 4,103,716,385 | 4,103,716,685 |
Statement of Operations |
|
|
Interest income | $ 218,344,165 | $ 233,222,459 |
Interest expense | — | 14,878,294 |
Total expenses after expense reductions | 27,030,637 | 41,908,931 |
Net investment income | 191,313,528 | 191,313,528 |
Financial Highlights for the Years Ended May 31, 2006, 2005 and 2004 | ||||||
| 2006 | 2005 | 2004 | |||
| Previously Reported | Restated | Previously Reported | Restated | Previously Reported | Restated |
Class A Expense Ratios: Total Expenses | 0.74% | 1.09% | 0.74% | 0.88% | 0.75% | 0.84% |
Class B Expense Ratios: Total Expenses | 1.49% | 1.84% | 1.53% | 1.67% | 1.52% | 1.61% |
Class C Expense Ratios: Total Expenses | 1.50% | 1.85% | 1.51% | 1.65% | 1.54% | 1.63% |
Class AARP Expense Ratios: Total Expenses | 0.51% | 0.86% | 0.51% | 0.65% | 0.56% | 0.65% |
Class S Expense Ratios: Total Expenses | 0.51% | 0.86% | 0.49% | 0.63% | 0.55% | 0.64% |
Institutional Class Expense Ratios: Total Expenses | 0.53% | 0.88% | 0.49% | 0.63% | 0.54% | 0.63% |
Financial Highlights for the Years Ended May 31, 2003 and 2002 | ||||
| 2003 | 2002 | ||
| Previously Reported | Restated | Previously Reported | Restated |
Class A Expense Ratios: Total Expenses | 0.75% | 0.87% | 0.77% | 0.87% |
Class B Expense Ratios: Total Expenses | 1.53% | 1.65% | 1.58% | 1.68% |
Class C Expense Ratios: Total Expenses | 1.56% | 1.68% | 1.59% | 1.69% |
Class AARP Expense Ratios: Total Expenses | 0.56% | 0.68% | 0.57% | 0.67% |
Class S Expense Ratios: Total Expenses | 0.56% | 0.68% | 0.57% | 0.67% |
Institutional Class Expense Ratios: Total Expenses | 0.54% | 0.66% | N/A | N/A |
While the Statements of Assets and Liabilities as of May 31, 2005, 2004, 2003 and 2002 (not presented herein) have not been reissued to give effect to the restatement, the principal effects of the restatement would be to increase investments and payable for floating rate notes issued by corresponding amounts at each year, with no effect on previously reported net assets. The Statements of Operations for the years ended May 31, 2005, 2004, 2003 and 2002 (not presented herein) have not been reissued to give effect to the restatement, but the principal effects of the restatement would be to increase interest income and interest expense and fees by corresponding amounts each year, with no effect on the previously reported net increase in net assets resulting from operations.
Report of Independent Registered Public Accounting Firm
To the Trustees of DWS Municipal Trust and the Shareholders of DWS Managed Municipal Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations, of cash flows and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Managed Municipal Bond Fund (formerly Scudder Managed Municipal Bond Fund) (the "Fund") at May 31, 2006, and the results of its operations, its cash flows, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards 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 May 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
As discussed in Note J, the financial statements as of May 31, 2006 have been restated.
Boston, Massachusetts (February 26, 2007 as to the statement of cash flows and to the effects of the restatement discussed in Note J) | PricewaterhouseCoopers LLP |
Pursuant to Section 852 of the Internal Revenue Code, the Fund designates $13,854,000 as capital gains dividends for its year ended May 31, 2006, of which 100% represents 15% rate gains.
Of the dividends paid from net investment income for the taxable year ended May 31, 2006, 100% are designated as exempt interest dividends for federal income tax purposes.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
Additional information announced by Deutsche Asset Management regarding the terms of the expected settlements referred to in the Market Timing Related Regulatory and Litigation Matters and Other Regulatory Matters in the Notes to Financial Statements will be made available at www.dws-scudder.com/regulatory_settlements, which will also disclose the terms of any final settlement agreements once they are announced.
A Special Meeting of shareholders (the "Meeting") of DWS Managed Municipal Bond Fund (the "Fund") was held on May 5, 2006, at the offices of Deutsche Asset Management, 345 Park Avenue, New York, New York 10154. At the Meeting, the following matters were voted upon by the shareholders (the resulting votes are presented below).
I. Election of Trustees. ("Number of Votes" represents all funds that are series of DWS Municipal Trust.)
| Number of Votes: | |
| For | Withheld |
Henry P. Becton, Jr. | 398,427,388.794 | 14,910,286.909 |
Dawn-Marie Driscoll | 398,547,823.407 | 14,789,852.296 |
Keith R. Fox | 398,603,100.489 | 14,734,575.214 |
Kenneth C. Froewiss | 398,471,580.537 | 14,866,095.166 |
Martin J. Gruber | 398,241,707.878 | 15,095.967.825 |
Richard J. Herring | 398,413,658.458 | 14,924,017.245 |
Graham E. Jones | 398,277,770.609 | 15,059,905.094 |
Rebecca W. Rimel | 398,575,790.193 | 14,761,885.510 |
Philip Saunders, Jr. | 398,377,368.962 | 14,960,306.741 |
William N. Searcy, Jr. | 398,655,233.476 | 14,682,442.227 |
Jean Gleason Stromberg | 398,477,592.998 | 14,860,082.705 |
Carl W. Vogt | 397,959,556.604 | 15,378,119.099 |
Axel Schwarzer | 398,598,027.674 | 14,739,648.029 |
II-A. Approval of an Amended and Restated Investment Management Agreement.
Number of Votes: | |||
For | Against | Abstain | Broker Non-Votes* |
291,011,094.276 | 12,837,623.247 | 14,444,960.862 | 45,938,080.000 |
II-B. Approval of a Subadvisor Approval Policy.
Number of Votes: | |||
For | Against | Abstain | Broker Non-Votes* |
286,001,256.847 | 17,043,089.194 | 15,249,332.344 | 45,938,080.000 |
III. Approval of a Revised Fundamental Investment Restriction Regarding Commodities.
Number of Votes: | |||
For | Against | Abstain | Broker Non-Votes* |
288,724,934.484 | 13,894,191.881 | 15,674,552.020 | 45,938,080.000 |
IV-A. Approval of Amended and Restated Declaration of Trust. ("Number of Votes" represents all funds that are series of DWS Municipal Trust.)
Number of Votes: | |||
For | Against | Abstain | Broker Non-Votes* |
327,741,040.378 | 14,224,068.278 | 17,302,295.047 | 54,070,272.000 |
The Meeting was adjourned until a future date, at which time the following matter will be voted upon by the shareholders.
IV-B. Approval of Further Amendments to the Amended and Restated Declaration of Trust.
* Broker non-votes are proxies received by the Fund from brokers or nominees when the broker or nominee neither has received instructions from the beneficial owner or other persons entitled to vote nor has discretionary power to vote on a particular matter.The following table presents certain information regarding the Board Members and Officers of the Trust as of May 31, 2006. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Board Member is c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33904. The term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the Trust. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex.
Independent Board Members | ||
Name, Year of Birth, Position with the Fund and Length of Time Served | Business Experience and Directorships During the Past Five Years | Number of Funds in Fund Complex Overseen |
Henry P. Becton, Jr. (1943) Board Member since 1990 | President, WGBH Educational Foundation. Directorships: Becton Dickinson and Company (medical technology company); Belo Corporation (media company); Concord Academy; Boston Museum of Science; Public Radio International; DWS Global High Income Fund, Inc. (since October 2005); DWS Global Commodities Stock Fund, Inc. (since October 2005). Former Directorships: American Public Television; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service | 86 |
Dawn-Marie Driscoll (1946) Chairman since 2004 Board Member since 1987 | President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley College; formerly, Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Advisory Board, Center for Business Ethics, Bentley College; Member, Southwest Florida Community Foundation (charitable organization); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Former Directorships: Investment Company Institute. Former Memberships: Executive Committee of the Independent Directors Council of the Investment Company Institute | 88 |
Keith R. Fox (1954) Board Member since 1996 | Managing General Partner, Exeter Capital Partners (a series of private equity funds). Directorships: Progressive Holding Corporation (kitchen goods importer and distributor); Cloverleaf Transportation Inc. (trucking); Natural History, Inc. (magazine publisher); Box Top Media Inc. (advertising), DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005), and DWS RREEF Real Estate Fund II, Inc. (since April 2005) | 88 |
Kenneth C. Froewiss (1945) Board Member since 2005 | Clinical Professor of Finance, NYU Stern School of Business (1997-present); Director, DWS Global High Income Fund, Inc. (since 2001) and DWS Global Commodities Stock Fund, Inc. (since 2004); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996) | 86 |
Martin J. Gruber (1937) Board Member since 2006 | Nomura Professor of Finance, Leonard N. Stern School of Business, New York University (since September 1965); Director, Japan Equity Fund, Inc. (since January 1992), Thai Capital Fund, Inc. (since January 2000), Singapore Fund, Inc. (since January 2000), DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Formerly, Trustee, TIAA (pension funds) (January 1996-January 2000); Trustee, CREF and CREF Mutual Funds (January 2000-March 2005); Chairman, CREF and CREF Mutual Funds (February 2004-March 2005); and Director, S.G. Cowen Mutual Funds (January 1985-January 2001) | 88 |
Richard J. Herring (1946) Board Member since 2006 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Director, Lauder Institute of International Management Studies (since July 2000); Co-Director, Wharton Financial Institutions Center (since July 2000); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Formerly, Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000) | 88 |
Graham E. Jones (1933) Board Member since 2006 | Senior Vice President, BGK Realty, Inc. (commercial real estate) (since 1995); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Formerly, Trustee of various investment companies managed by Sun Capital Advisors, Inc. (1998-2005), Morgan Stanley Asset Management (1985-2001) and Weiss, Peck and Greer (1985-2005) | 88 |
Rebecca W. Rimel (1951) Board Member since 2006 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable foundation) (1994 to present); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to present); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001 to present); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Formerly, Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983 to 2004); Board Member, Investor Education (charitable organization) (2004-2005) | 88 |
Philip Saunders, Jr. (1935) Board Member since 2006 | Principal, Philip Saunders Associates (economic and financial consulting) (since November 1988); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005). Formerly, Director, Financial Industry Consulting, Wolf & Company (consulting) (1987-1988); President, John Hancock Home Mortgage Corporation (1984-1986); Senior Vice President of Treasury and Financial Services, John Hancock Mutual Life Insurance Company, Inc. (1982-1986) | 88 |
William N. Searcy, Jr. (1946) Board Member since 2006 | Private investor since October 2003; Trustee of seven open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998); Director, DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Formerly, Pension & Savings Trust Officer, Sprint Corporation1 (telecommunications) (November 1989-October 2003) | 88 |
Jean Gleason Stromberg (1943) Board Member since 1999 | Retired. Formerly, Consultant (1997-2001); Director, US Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; Service Source, Inc.; DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005), DWS RREEF Real Estate Fund, Inc. (since April 2005) and DWS RREEF Real Estate Fund II, Inc. (since April 2005). Former Directorships: Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996) | 88 |
Carl W. Vogt (1936) Board Member since 2002 | Senior Partner, Fulbright & Jaworski, L.L.P. (law firm); formerly, President (interim) of Williams College (1999-2000); President, certain funds in the Deutsche Asset Management Family of Funds (formerly, Flag Investors Family of Funds) (registered investment companies) (1999-2000). Directorships: Yellow Corporation (trucking); American Science & Engineering (x-ray detection equipment); ISI Family of Funds (registered investment companies, four funds overseen); National Railroad Passenger Corporation (Amtrak); DWS Global High Income Fund, Inc. (since October 2005), DWS Global Commodities Stock Fund, Inc. (since October 2005); formerly, Chairman and Member, National Transportation Safety Board | 86 |
Interested Board Member | ||
Name, Year of Birth, Position with the Fund and Length of Time Served | Name, Year of Birth, Position with the Fund and Length of Time Served | Number of Funds in Fund Complex Overseen |
Axel Schwarzer2 (1958) Board Member since 2006 | Managing Director4, Deutsche Asset Management; Head of Deutsche Asset Management Americas; CEO of DWS Scudder; formerly, board member of DWS Investments, Germany (1999-2005); formerly, Head of Sales and Product Management for the Retail and Private Banking Division of Deutsche Bank in Germany (1997-1999); formerly, various strategic and operational positions for Deutsche Bank Germany Retail and Private Banking Division in the field of investment funds, tax driven instruments and asset management for corporates (1989-1996) | 84 |
Officers3 | |
Name, Year of Birth, Position with the Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years and Other Directorships Held |
Michael G. Clark5,7 (1965) President, 2006-present | Managing Director4, Deutsche Asset Management (2006-present); President, The Central Europe and Russia Fund, Inc. (since June 2006), The European Equity Fund, Inc. (since June 2006), The New Germany Fund, Inc. (since June 2006), DWS Global High Income Fund, Inc. (since June 2006), DWS Global Commodities Stock Fund, Inc. (since June 2006), DWS RREEF Real Estate Fund, Inc. (since June 2006), DWS RREEF Real Estate Fund II, Inc. (since June 2006); formerly, Director of Fund Board Relations (2004-2006) and Director of Product Development (2000-2004), Merrill Lynch Investment Managers; Senior Vice President Operations, Merrill Lynch Asset Management (1997-2000) |
John Millette6 (1962) Vice President and Secretary, 1999-present | Director4, Deutsche Asset Management |
Paul H. Schubert5 (1963) Chief Financial Officer, 2004-present Treasurer, 2005-present | Managing Director4, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998) |
Patricia DeFilippis5 (1963) Assistant Secretary, 2005-present | Vice President, Deutsche Asset Management (since June 2005); formerly, Counsel, New York Life Investment Management LLC (2003-2005); legal associate, Lord, Abbett & Co. LLC (1998-2003) |
Elisa D. Metzger5 (1962) Assistant Secretary 2005-present | Director4, Deutsche Asset Management (since September 2005); formerly, Counsel, Morrison and Foerster LLP (1999-2005) |
Caroline Pearson6 (1962) Assistant Secretary, 1997-present | Managing Director4, Deutsche Asset Management |
Scott M. McHugh6 (1971) Assistant Treasurer, 2005-present | Director4, Deutsche Asset Management |
Kathleen Sullivan D'Eramo6 (1957) Assistant Treasurer, 2003-present | Director4, Deutsche Asset Management |
John Robbins5 (1966) Anti-Money Laundering Compliance Officer, 2005-present | Managing Director4, Deutsche Asset Management (since 2005); formerly, Chief Compliance Officer and Anti-Money Laundering Compliance Officer for GE Asset Management (1999-2005) |
Philip Gallo5 (1962) Chief Compliance Officer, 2004-present | Managing Director4, Deutsche Asset Management (2003-present); formerly, Co-Head of Goldman Sachs Asset Management Legal (1994-2003) |
A. Thomas Smith5 (1956) Chief Legal Officer, 2005-present | Managing Director4, Deutsche Asset Management (2004-present); formerly, General Counsel, Morgan Stanley and Van Kampen and Investments (1999-2004); Vice President and Associate General Counsel, New York Life Insurance Company (1994-1999); senior attorney, The Dreyfus Corporation (1991-1993); senior attorney, Willkie Farr & Gallagher (1989-1991); staff attorney, US Securities & Exchange Commission and the Illinois Securities Department (1986-1989) |
2 The mailing address of Axel Schwarzer is c/o Deutsche Investment Management Americas, Inc., 345 Park Avenue, New York, New York 10154. Mr. Schwarzer is an interested Board Member by virtue of his positions with Deutsche Asset Management.
3 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the funds.
4 Executive title, not a board directorship.
5 Address: 345 Park Avenue, New York, New York 10154.
6 Address: Two International Place, Boston, MA 02110.
7 Elected June 27, 2006.
The fund's Statement of Additional Information ("SAI") includes additional information about the Trustees. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: 1-800-621-1048.
For shareholders of Classes A, B, C and Institutional Class | |
Automated Information Lines | InvestorACCESS (800) 972-3060 Personalized account information, information on other DWS funds and services via touchtone telephone and for Classes A, B, and C only, the ability to exchange or redeem shares. |
Web Site | www.dws-scudder.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
For More Information | (800) 621-1048 To speak with a DWS Scudder service representative. |
Written Correspondence | DWS Scudder PO Box 219356Kansas City, MO 64121-9356 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site — www.dws-scudder.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at 1-800-621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
| Class A | Class B | Class C | Institutional Class |
Nasdaq Symbol | SMLAX | SMLBX | SMLCX | SMLIX |
CUSIP Number | 23337W-709 | 23337W-808 | 23337W-881 | 23337W-857 |
Fund Number | 466 | 666 | 766 | 544 |
For shareholders of Class AARP and Class S | |
Automated Information Lines | SAIL™ (800) 343-2890 |
| Personalized account information, the ability to exchange or redeem shares, and information on other DWS funds and services via touchtone telephone. |
Web Site | www.dws-scudder.com |
| View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
For More Information | (800) 728-3337 To speak with a DWS Scudder service representative. |
Written Correspondence | DWS Scudder PO Box 219669Kansas City, MO 64121-9669 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site — www.dws-scudder.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at 1-800-621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
| Class AARP | Class S |
Nasdaq Symbol | AMUBX | SCMBX |
Fund Number | 2166 | 2066 |
Notes
Notes
Notes
Notes
| ITEM 2. | CODE OF ETHICS. |
As of the end of the period, May 31, 2006, DWS Municipal Trust has a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Funds’ audit committee is comprised solely of trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Funds’ Board of Trustees has determined that there are several “audit committee financial experts” serving on the Funds’ audit committee. The Board has determined that Keith R Fox, the chair of the Funds’ audit committee, qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on its review of Mr. Fox’s pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
DWS MANAGED MUNICIPAL BOND FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
Fiscal Year | Audit Fees Billed to Fund | Audit-Related | Tax Fees Billed to Fund | All |
2006 | $86,700 | $0 | $0 | $0 |
2005 | $79,500 | $225 | $9,300 | $0 |
The above “Audit- Related Fees” were billed for agreed upon procedures performed and the above "Tax Fees" were billed for professional services rendered for tax return preparation.
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas, Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
Fiscal Year | Audit-Related | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All |
2006 | $45,200 | $197,605 | $0 |
2005 | $581,822 | $0 | $0 |
The “Audit-Related Fees” were billed for services in connection with the assessment of internal controls, agreed-upon procedures and additional related procedures and the above “Tax Fees” were billed in connection with consultation services and agreed-upon procedures.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.
Fiscal Year | Total (A) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) (B) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) (C) | Total of (A), (B) |
2006 | $0 | $197,605 | $15,000 | $212,605 |
2005 | $9,300 | $0 | $207,146 | $216,446 |
All other engagement fees were billed for services in connection with risk management, tax services and process improvement/integration initiatives for DeIM and other related entities that provide support for the operations of the fund.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
| Not Applicable |
| ITEM 6. | SCHEDULE OF INVESTMENTS |
| Not Applicable |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
| Not Applicable. |
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
The Committee on Independent Trustees/Directors selects and nominates Independent Trustees/Directors. Fund shareholders may submit nominees that will be considered by the committee when a Board vacancy occurs. Submissions should be mailed to: c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33910.
| ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
Management of the Registrant has determined that as of and prior to May 31, 2006, the Registrant had a material weakness in its internal control over financial reporting related to the review, analysis and determination of whether certain transfers of municipal securities qualified for sale accounting under the provisions of Statement of Financial Accounting Standards No. 140. Since May 31, 2006, but prior to the date of this filing, management has revised its internal control over financial reporting to improve the effectiveness of the controls to ensure that transactions in transfers of municipal securities are accounted for properly. As a result of this weakness, the statement of assets and liabilities, including the portfolio of investments as of May 31, 2006, the related statement of operations and statement of changes in net assets for the year then ended and the financial highlights for each of the five years in the period ended were restated in order to appropriately account for such transfers of securities as secured financings and report the related interest income and expense. However, there was no impact to the net asset value of the Registrant’s shares or the Registrant’s total return of any period.
Management notes that other investment companies investing in similar investments over the same time periods had been accounting for such investments in a similar manner as the Registrant. Accordingly, other investment companies are also concluding that there was a material weakness in their internal control over financial reporting for such investments.
(b) | There have been no changes in the Registrant's internal control over financial reporting that occurred during the Registrant’s last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. However, as discussed above, subsequent to May 31, 2006, the Registrant's internal control over financial reporting was enhanced. |
| ITEM 12. | EXHIBITS. |
(a)(1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a)(2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSR Item F
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.
Registrant: | DWS Managed Municipal Bond Fund, a series of DWS Municipal Trust |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | February 26, 2007 |
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.
Registrant: | DWS Managed Municipal Bond Fund, a series of DWS Municipal Trust |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | February 26, 2007 |
By: | /s/Paul Schubert |
| Paul Schubert |
Chief Financial Officer and Treasurer
Date: | February 26, 2007 |