UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21359
Exact Name of Registrant as Specified in Charter: MBIA Capital/Claymore
Managed Duration Investment Grade Municipal Fund
Address of Principal Executive Offices: 113 King Street, Armonk, NY 10504
Name and address of agent for service: Clifford D. Corso, c/o MBIA
113 King Street, Armonk, NY 10504
Copies to: Richard Walz
c/o MBIA
113 King Street,
Armonk, NY 10504
Registrant's telephone number, including area code: (914) 273-4545
Date of fiscal year end: July 31
Date of reporting period: August 1, 2004 - January 31, 2005
ITEM 1: Reports to Shareholders
Semi-Annual Report
January 31, 2005
MBIA Capital/Claymore Managed
Duration Investment Grade MZF
Municipal Fund
[LOGOS OMITTED]
NOT INSURED o NOT GUARANTEED o MAY LOSE VALUE
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Table of Contents
- --------------------------------------------------------------------------------
Shareholder Letter ............................ 1
Fund Summary .................................. 2
Portfolio of Investments ...................... 3
Statement of Assets and Liabilities ........... 10
Statement of Operations ....................... 11
Statement of Changes in Net Assets
Applicable to Common Shareholders .......... 12
Financial Highlights .......................... 13
Notes to Financial Statements ................. 14
Additional Information Regarding the
Fund's Trustees ............................ 20
Dividend Reinvestment Plan .................... 22
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Dear Shareholder:
I am pleased to provide you with the Semi-Annual Report to Shareholders of MBIA
Capital/Claymore Managed Duration Investment Grade Municipal Fund (the "Fund")
for the period ending January 31, 2005. At the end of the reporting period the
Fund's Net Asset Value per share was $14.71, up 6% from the Fund's fiscal year
end on July 31, 2004. On January 31, 2005 the Fund's closing stock price on the
New York Stock Exchange was $13.44 per share, representing an 8.6% discount to
Net Asset Value per share.
The Federal Reserve raised the Fed Funds rate four times during the 6 month
period covered by this report raising it from 1.25% to 2.25%. Oil prices peaked
during this same period above $50 a barrel before falling into the low $40's per
barrel. Employment growth in the U.S. for 2004 was the strongest since 1999 with
approximately 2.2 million new jobs created. The yield on the benchmark 10-year
Treasury note ended the period at 4.13%, down from a peak of 4.45% at the
beginning of the period, but well above the low yield of the period of 3.97% in
October of 2004. With short term interest rates trending higher, both the
Municipal and Treasury yield curves flattened dramatically during the period.
We continue to believe that investment grade municipal bonds represent a prudent
investment in the fixed income sector. Further, the Fund was and continues to be
structured using a hedging strategy to manage duration and to attempt to
minimize volatility in periods when long term interest rates rise. The Fund will
continue to seek out value in the investment grade municipal sector, focusing on
those bonds which we believe will be long term out-performers.
Sincerely,
/S/CLIFFORD D. CORSO
Clifford D. Corso
President, Chief Executive Officer
January 31, 2005
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. There is no guarantee that
the Fund's or any other investment techniques will be effective under all market
conditions.
1
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Fund Summary (Unaudited) JANUARY 31, 2005
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FUND INFORMATION
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Symbol on New York Stock Exchange: MZF
Initial Offering Date: August 27, 2003
Closing Market Price as of 1/31/05: $13.44
Net Asset Value as of 1/31/05: $14.71
Yield on Closing Market Price as
of 1/31/05: 6.25%
Current Monthly Distribution
Per Common Share1: $0.07
Current Annual Distribution
Per Common Share1: $0.84
Leverage as of 1/31/052: 37%
1 THE DISTRIBUTION IS NOT CONSTANT AND IS SUBJECT TO CHANGE.
2 AS A PERCENTAGE OF MANAGED ASSETS.
WEEKLY SHARE PRICE PERFORMANCE
- --------------------------------------------------------------------------------
[LINE CHART OMITTED, PLOT POINTS FOLLOWS]
DATE SHARE PRICE NAV
8/2/2004 13.2 13.89
8/3/2004 13.25 13.91
8/4/2004 13.24 13.85
8/5/2004 13.23 13.87
8/6/2004 13.3 14.08
8/9/2004 13.4 14.09
8/10/2004 13.31 14.07
8/11/2004 13.31 14.03
8/12/2004 13.16 14.03
8/13/2004 13.25 14.09
8/16/2004 13.2 14.06
8/17/2004 13.24 14.1
8/18/2004 13.25 14.13
8/19/2004 13.3 14.14
8/20/2004 13.34 14.15
8/23/2004 13.39 14.13
8/24/2004 13.45 14.11
8/25/2004 13.42 14.14
8/26/2004 13.35 14.16
8/27/2004 13.3 14.15
8/30/2004 13.38 14.17
8/31/2004 13.49 14.21
9/1/2004 13.37 14.21
9/2/2004 13.42 14.24
9/3/2004 13.33 14.1
9/7/2004 13.4 14.11
9/8/2004 13.28 14.14
9/9/2004 13.34 14.17
9/10/2004 13.36 14.22
9/13/2004 13.37 14.22
9/14/2004 13.33 14.25
9/15/2004 13.37 14.27
9/16/2004 13.42 14.32
9/17/2004 13.51 14.3
9/20/2004 13.5 14.33
9/21/2004 13.47 14.33
9/22/2004 13.47 14.4
9/23/2004 13.56 14.46
9/24/2004 13.51 14.46
9/27/2004 13.5 14.48
9/28/2004 13.43 14.49
9/29/2004 13.45 14.44
9/30/2004 13.45 14.37
10/1/2004 13.43 14.29
10/4/2004 13.39 14.28
10/5/2004 13.47 14.29
10/6/2004 13.46 14.23
10/7/2004 13.48 14.23
10/8/2004 13.57 14.31
10/11/2004 13.57 14.32
10/12/2004 13.6 14.37
10/13/2004 13.49 14.41
10/14/2004 13.49 14.44
10/15/2004 13.58 14.43
10/18/2004 13.54 14.43
10/19/2004 13.63 14.45
10/20/2004 13.54 14.52
10/21/2004 13.55 14.55
10/22/2004 13.57 14.55
10/25/2004 13.55 14.59
10/26/2004 13.58 14.59
10/27/2004 13.59 14.55
10/28/2004 13.64 14.54
10/29/2004 13.67 14.53
11/1/2004 13.71 14.5
11/2/2004 13.68 14.49
11/3/2004 13.68 14.5
11/4/2004 13.65 14.43
11/5/2004 13.53 14.31
11/8/2004 13.3 14.27
11/9/2004 13.18 14.28
11/10/2004 13.18 14.25
11/11/2004 13.09 14.25
11/12/2004 13.16 14.28
11/15/2004 13.14 14.28
11/16/2004 13.17 14.28
11/17/2004 13.2 14.33
11/18/2004 13.12 14.36
11/19/2004 13.07 14.31
11/22/2004 13.06 14.3
11/23/2004 13.14 14.33
11/24/2004 13.08 14.33
11/26/2004 13.07 14.35
11/29/2004 12.99 14.27
11/30/2004 13 14.26
12/1/2004 12.91 14.25
12/2/2004 12.92 14.25
12/3/2004 13.13 14.35
12/6/2004 12.96 14.3
12/7/2004 12.9 14.31
12/8/2004 12.99 14.38
12/9/2004 12.96 14.41
12/10/2004 12.99 14.43
12/13/2004 13.05 14.46
12/14/2004 12.98 14.46
12/15/2004 13 14.54
12/16/2004 12.96 14.5
12/17/2004 12.98 14.47
12/20/2004 12.97 14.48
12/21/2004 12.94 14.49
12/22/2004 12.86 14.5
12/23/2004 12.88 14.49
12/27/2004 12.81 14.46
12/28/2004 12.8 14.43
12/29/2004 12.82 14.44
12/30/2004 12.97 14.49
12/31/2004 12.94 14.49
1/3/2005 12.84 14.53
1/4/2005 13.02 14.5
1/5/2005 13.03 14.5
1/6/2005 13.04 14.45
1/7/2005 13.09 14.47
1/10/2005 13.18 14.48
1/11/2005 13.24 14.5
1/12/2005 13.18 14.5
1/13/2005 13.2 14.55
1/14/2005 13.2 14.54
1/18/2005 13.2 14.54
1/19/2005 13.3 14.54
1/20/2005 13.35 14.56
1/21/2005 13.37 14.6
1/24/2005 13.39 14.62
1/25/2005 13.31 14.6
1/26/2005 13.35 14.6
1/27/2005 13.38 14.62
1/28/2005 13.39 14.7
1/31/2005 13.44 14.71
SECTOR CONCENTRATION (AS OF 01/31/05)(1)
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[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
HOSPITAL (23.8%)
GENERAL OBLIGATION (14.8%)
TRANSPORTATION (11.8%)
REVENUE (10.5%)
IDR/IDB (8.3%)
PORT/AIRPORT/MARINA (6.9%)
ELECTRIC POWER (6.1%)
LEASE (5.2%)
HOUSING (5.1%)
OTHER (7.5%)
CREDIT QUALITY* (AS OF 01/31/05)(1)
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[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
AAA (30.0%)
AA (12.0%)
A (40.0%)
BBB (18.0%)
* BASED ON RATING PROVIDED BY STANDARD &POOR'S RATING
GROUP OR OTHER EQUIVALENT RATING.
STATE ALLOCATIONS (AS OF 01/31/05)(1)
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New York (21.4%)
California (19.4%)
Puerto Rico (8.5%)
Ohio (6.0%)
Colorado (5.8%)
Florida (4.8%)
Texas (4.7%)
Missouri (3.5%)
Nevada (3.2%)
All Other States (22.7%)
MATURITY BREAKDOWN (AS OF 01/31/05)(1)
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[PIE CHART OMITTED, PLOT POINTS FOLLOWS]
0-10 YEARS (2.7%)
10-15 YEARS (9.2%)
15-20 YEARS (41.9%)
20-25 YEARS (37.3%)
25 + YEARS (8.9%)
(1) PERCENTAGES CALCULATED BASED ON TOTAL MUNICIPAL BONDS AND NOTES.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
2
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited) JANUARY 31, 2005
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RATING PRINCIPAL OPTIONAL CALL VALUE
STATE (S&P)* AMOUNT (000) DESCRIPTION PROVISIONS** (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES -- 153.25%
- ---------------------------------------------------------------------------------------------------------------------------
ALABAMA -- 0.78%
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BBB $ 845 Courtland, AL Ind. Dev. Brd.
Environ. Imp. Rev.,
Ser. B, 6.25%, 08/01/25 08/01/13 @ 100 $ 910,107
--------------
- ---------------------------------------------------------------------------------------------------------------------------
CALIFORNIA -- 30.33%
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AAA 4,000 California Infra. & Econ.
Dev. Rev., Bay Area Toll Brdgs.,
5.00%, 07/01/26 (FGIC) 07/01/13 @ 100 4,236,280
A 2,500 California General Obligation,
5.50%, 04/01/30 04/01/14 @100 2,725,025
BBB+ 4,000 California Dept. of Water Res.
Power Supply Rev., Ser. A,
5.125%, 05/01/19 05/01/12 @ 101 4,299,920
A 6,000 California Var. Purpose General
Obligation, 5.125%,11/01/24 11/01/13 @ 100 6,361,680
A- 5,000 California Public Works Brd.
Dept. Mental Health Lease Rev.,
5.00%, 06/01/24 06/01/14 @ 100 5,219,400
A- 2,500 Chula Vista, CA Ind. Dev. Rev.,
5.50%, 12/01/21 06/02/14 @ 102 2,662,650
A- 2,750 Golden State Tobbaco
Settlement Rev., Ser. B,
5.375%, 06/01/28 06/01/10 @ 100 2,872,485
AAA 4,000 Port of Oakland, CA Rev.,
Ser. L, 5.00%, 11/01/22 (FGIC) 11/01/12 @ 100 4,212,160
AAA 2,500 San Diego, CA Unified
School Dist., Ser. D,
5.25%, 07/01/25 (FGIC)
Subject to Crossover
Refunding 07/01/12 @ 101 2,806,525
--------------
35,396,125
--------------
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COLORADO -- 9.15%
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AA 4,500 Colorado Health Facs.
Auth. Rev., 5.25%, 09/01/21 09/01/11 @ 100 4,779,585
AAA 4,750 Colorado Dept. of Trans. Rev.,
Ser. 940, 8.22%,
6/15/13 (FGIC), 144A No Call Provisions 5,896,223
--------------
10,675,808
--------------
See notes to financial statements
3
www.mbiaclaymore.com
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
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RATING PRINCIPAL OPTIONAL CALL VALUE
STATE (S&P)* AMOUNT (000) DESCRIPTION PROVISIONS** (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 2.62%
- ---------------------------------------------------------------------------------------------------------------------------
AAA 3,000 Metropolitan Washington,
D.C. Airport,
Ser. B, 5.00%, 10/01/34 10/01/14 @ 100 3,059,700
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Florida -- 7.57%
- ---------------------------------------------------------------------------------------------------------------------------
A $2,500 Highlands Co., FL Health Facs.
Auth. Rev., Ser. B, 5.25%,
11/15/23 11/15/12 @ 100 $ 2,605,125
A 3,000 Highlands Co., FL Health Facs.
Auth. Rev., Ser. D,
5.875%, 11/15/29 11/15/13 @ 100 3,282,660
AA- 2,750 South Broward Co., FL Hosp.
Dist. Rev., 5.60%, 05/01/27 05/01/12 @ 101 2,946,158
--------------
8,833,943
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Illinois -- 2.71%
- ---------------------------------------------------------------------------------------------------------------------------
A 3,000 Illinois Dev. Fin. Auth. Hosp.
Rev., 5.65%, 11/15/24 11/15/09 @ 101 3,159,090
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Louisiana -- 0.88%
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BBB 1,000 Desoto Parish, LA Environ.
Imp. Rev., Ser. A,
5.85%, 11/01/27 11/01/13 @ 100 1,032,350
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Massachusetts -- 4.64%
- ---------------------------------------------------------------------------------------------------------------------------
AAA 5,000 Massachusetts Special Oblig.
Dedicated Tax Rev.,
5.25%, 01/01/26 (FGIC) 01/01/14 @ 100 5,413,800
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Michigan -- 2.14%
- ---------------------------------------------------------------------------------------------------------------------------
BBB+ 2,000 Michigan Strategic Fund Ltd.
Oblig. Rev. Ref.,
Dedicated Tax Rev.,
Ser. C, 5.45% 09/01/29 09/01/11 @ 100 2,094,320
A-1+ 400 University of Michigan
Dedicated Tax Rev.,
Ref-Hosp., Ser. A,
Dedicated Tax Rev.,
VRDN, 1.90%, 12/01/19 No Call Provisions 400,000
--------------
2,494,320
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Missouri -- 5.48%
- ---------------------------------------------------------------------------------------------------------------------------
AAA 6,000 Missouri Health & Educ.
Facs. Auth. Rev., Ser. A,
5.25%, 06/01/28 (AMBAC) 06/01/11 @ 101 6,389,220
--------------
See notes to financial statements
4
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
- --------------------------------------------------------------------------------
RATING PRINCIPAL OPTIONAL CALL VALUE
STATE (S&P)* AMOUNT (000) DESCRIPTION PROVISIONS** (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
NEVADA -- 4.96%
- ---------------------------------------------------------------------------------------------------------------------------
BBB+ $5,410 Henderson, NV Health
Care Fac. Rev., Ser. A,
5.625%, 07/01/24 07/01/14 @100 $ 5,791,080
--------------
AAA 4,000 New Jersey -- 3.98%
New Jersey Trans. Trust Fund
Auth. Rev., Ser. C,
5.50%, 06/15/24
Prerefunded, 6/15/13
@ 100 4,638,640
--------------
- ---------------------------------------------------------------------------------------------------------------------------
New York -- 33.54%%
- ---------------------------------------------------------------------------------------------------------------------------
A 5,000 New York -- 33.54%
New York, NY Gen. Oblig.,
Ser. J, 5.00%, 05/15/23 05/15/14 @ 100 5,253,550
A- 4,600 Long Island, NY Power Auth.
Rev., Ser. A, 5.10%, 09/01/29 09/01/14 @ 100 4,816,338
AA- 4,000 Metropolitan Trans. Auth.
Rev., Ser. A, 5.125%, 01/01/24 07/01/12 @ 100 4,241,240
A+ 3,650 New York Muni. Bond
Bank Agy. Special School
Purpose Rev., Ser. C,
5.25%, 12/01/22 06/01/13 @ 100 3,943,387
A 1,500 New York Dorm. Auth.
Lease Rev., Ser. A,
5.375%, 05/15/22 05/15/13 @ 100 1,627,590
A 2,500 New York Dorm. Auth.
Lease Rev., Ser. A,
5.375%, 05/15/23 05/15/13 @ 100 2,710,825
A3 1,500 New York Dorm. Auth. Rev.,
North Shore Long Island
Jewish Group,
5.375%, 05/01/23 05/01/13 @ 100 1,591,590
AA- 4,000 New York Tobacco Settlement
Funding Corp., Ser. A1,
5.50%, 06/01/19 06/01/13 @ 100 4,457,160
AAA 5,000 Port Auth. NY and NJ - Cons.
127th Rev., 5.20%,
12/15/26 (AMBAC) 06/15/12 @ 101 5,324,350
A 5,000 Suffolk Co., NY Ind. Dev.
Agy. Rev., 5.25%, 06/01/27 06/01/13 @ 100 5,187,350
--------------
39,153,380
--------------
See notes to financial statements
5
www.mbiaclaymore.com
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
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RATING PRINCIPAL OPTIONAL CALL VALUE
STATE (S&P)* AMOUNT (000) DESCRIPTION PROVISIONS** (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
NORTH CAROLINA -- 3.59%
- ---------------------------------------------------------------------------------------------------------------------------
BBB $1,000 North Carolina Eastern Muni.
Power Agy. Sys. Rev. Ref.,
Ser. D, 5.125%, 01/01/23 01/01/13 @ 100 $ 1,033,110
BBB 1,000 North Carolina Eastern Muni.
Power Agy. Sys. Rev. Ref.,
Ser. D, 5.125%, 01/01/26 01/01/13 @ 100 1,027,770
AAA 2,065 North Carolina Housing
Fin. Agy. Rev., Ser. 14A,
5.35%, 01/01/22 (AMBAC) 07/01/11 @ 100 2,125,794
--------------
4,186,674
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Ohio -- 9.40%
- ---------------------------------------------------------------------------------------------------------------------------
A+ 3,000 Cuyahoga Co., OH Rev. Ref.,
Ser. A, 6.00%, 01/01/20 07/01/13 @ 100 3,415,650
AA- 5,000 Lorain Co., OH Hosp.
Rev. Ref., Ser. A,
5.25%, 10/01/33 10/01/11 @ 101 5,168,300
AAA 2,250 Toledo, OH City School Dist.
Facs. Imp. Gen. Oblig.,
5.00%, 12/01/25 (FSA) 12/01/13 @ 100 2,390,040
--------------
10,973,990
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Pennsylvania -- 2.11%
- ---------------------------------------------------------------------------------------------------------------------------
BBB 2,340 Pennsylvania Higher
Educ. Facs. Auth. Rev.,
5.25%, 05/01/23 05/01/13 @ 100 2,457,959
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Puerto Rico -- 13.31%
- ---------------------------------------------------------------------------------------------------------------------------
A- 5,000 Puerto Rico Hwy. & Trans.
Auth. Rev., 5.00%, 07/01/28 07/01/13 @ 100 5,201,700
A 1,500 Puerto Rico Hwy. & Trans.
Auth. Rev., Ser. J,
5.50%, 07/01/24 07/01/14 @ 100 1,662,540
A- 3,000 Puerto Rico Pub. Imp.
Gen. Oblig., Ser. A,
5.00%, 07/01/27 07/01/13 @ 100 3,125,280
A- 5,000 Puerto Rico Pub. Bldgs.
Auth. Rev., Ser. I,
5.50%, 07/01/25 07/01/14 @ 100 5,545,950
--------------
15,535,470
--------------
See notes to financial statements
6
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
- --------------------------------------------------------------------------------
RATING PRINCIPAL OPTIONAL CALL VALUE
STATE (S&P)* AMOUNT (000) DESCRIPTION PROVISIONS** (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
SOUTH CAROLINA -- 3.18%
- ---------------------------------------------------------------------------------------------------------------------------
AAA $2,500 Florence Co., SC Hosp. Rev.,
Ser. A, 5.25%, 11/01/27 (FSA) 11/01/14 @100 $ 2,707,975
BBB 1,000 Georgetown Co.,
SC Environ. Imp. Rev. Ser. A,
5.30%, 03/01/28 03/01/14 @100 1,004,960
--------------
3,712,935
--------------
- ---------------------------------------------------------------------------------------------------------------------------
South Dakota -- 1.06%
- ---------------------------------------------------------------------------------------------------------------------------
A+ 1,200 South Dakota St. Hlth. &
Edl. Fac., 5.25%, 11/01/34 11/01/14 @ 100 1,235,892
--------------
- ---------------------------------------------------------------------------------------------------------------------------
Texas -- 7.39%
- ---------------------------------------------------------------------------------------------------------------------------
AAA 4,000 Eagle Mtn. & Saginaw, TX
Indep. School Dist.,
Ser. A, 5.25%, 08/15/23
(PSF-GTD) 08/15/13 @ 100 4,361,440
Aaa 2,000 Bexar County Texas Housing
Finance, 5.20%, 10/20/34 10/20/14 @ 100 2,019,740
BBB 2,000 Sabine River, TX Poll. Cntl.
Auth. Rev. Ref., Ser. B,
6.15%, 08/01/22 08/01/13 @ 101 2,247,080
--------------
8,628,260
--------------
- ---------------------------------------------------------------------------------------------------------------------------
West Virginia -- 4.43%
- ---------------------------------------------------------------------------------------------------------------------------
AAA 5,000 West Virginia Housing
Dev. Fund Rev., Ser. D,
5.20%, 11/01/21 05/01/11 @ 100 5,166,350
--------------
Total Municipal Bonds & Notes
(Cost $167,772,106) - 153.25% 178,845,093
--------------
PERPETUAL PREFERRED SHARES -- 3.53%
- ---------------------------------------------------------------------------------------------------------------------------
RATING REDEMPTION VALUE
(MOODY) VALUE (000) DESCRIPTION (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
A3 $2,000 CharterMac Equity Trust,
Ser. A-4, 5.75%, 4/30/15
(remarketing), 144A $ 2,109,060
A3 2,000 GMAC Municipal Mortgage Trust,
Ser. A1-3, 5.30%, 10/31/39,
(10/31/19 remarketing) 144A 2,007,960
--------------
Total Perpetual Preferred Shares
(Cost $4,000,000)-- 3.53% 4,117,020
--------------
See notes to financial statements
7
www.mbiaclaymore.com
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
- --------------------------------------------------------------------------------
NOTIONAL EXPIRATION VALUE
COUNTERPARTY AMOUNT (000) DESCRIPTION DATE (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------------------
SWAPTIONS (1) -- 1.16%
- ---------------------------------------------------------------------------------------------------------------------------
AIG $ 6,700 Option on a pay fixed/receive
floating rate interest rate swap
terminating on 03/03/25 (pay
fixed rate of 5.83% and receive
three-month LIBOR rate with
a quarterly reset) 03/03/05 $ 7
Goldman Sachs 40,000 Option on a pay fixed/receive
floating rate interest rate swap
terminating on 05/04/25 (pay
fixed rate of 5.40% and receive
BMA rate with a weekly reset) 05/04/05 1,000
Goldman Sachs 10,000 Option on a pay fixed/receive
floating rate interest
rate swap terminating on 09/03/25
(pay fixed rate of 6.30% and receive
three-month LIBOR rate with a
quarterly reset) 09/03/05 12,000
Goldman Sachs 7,000 Option on a pay fixed/receive floating
rate interest rate swap terminating on
09/03/28 (pay fixed rate of 6.50% and
receive three-month LIBOR rate with a
quarterly reset) 09/03/08 132,000
Goldman Sachs 85,000 Option on a pay fixed/receive
floating rate interest rate swap
terminating on 09/03/28 (pay
fixed rate of 5.20% and receive
BMA rate with a weekly reset) 09/03/08 1,204,000
--------------
Total Swaptions
(Cost $6,887,100)-- 1.16% 1,349,007
--------------
See notes to financial statements
8
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio of Investments (Unaudited)-- (continued) JANUARY 31, 2005
- --------------------------------------------------------------------------------
VALUE
(NOTE 1)
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $178,659,206)-- 157.94% $184,311,120
Other assets less liabilities-- 1.57% 1,833,284
Preferred Shares, at Redemption Value -- (59.51)% (2) (69,450,000)
----------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS-- 100.00% (3) $116,694,404
================
* FOR SECURITIES NOT RATED BY STANDARD & POOR'S RATING GROUP, THE RATING BY
MOODY'S INVESTORS SERVICES, INC. OR FITCH RATINGS IS PROVIDED.
** DATE AND PRICE OF THE EARLIEST OPTIONAL CALL OR REDEMPTION. THERE MAY BE
OTHER CALL PROVISIONS AT VARYING PRICES AT LATER DATES.
(1) NON-INCOME PRODUCING SECURITIES.
(2) PREFERRED SHARES AS PERCENTAGE OF MANAGED ASSETS IS 37.31%.
(3) PORTFOLIO PERCENTAGES ARE CALCULATED BASED ON NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS.
GLOSSARY:
AMBAC -- INSURED BY AMBAC ASSURANCE CORPORATION.
BMA -- BOND MARKET ASSOCIATION
FGIC -- INSURED BY FINANCIAL GUARANTY INSURANCE CO.
FSA -- INSURED BY FINANCIAL SECURITY ASSURANCE, INC.
LIBOR -- LONDON INTER-BANK OFFERING RATE
PSF-GTD -- GUARANTEED BY PUBLIC SCHOOL FUND
VRDN -- VARIABLE RATE DEMAND NOTES ARE INSTRUMENTS WHOSE INTEREST RATES CHANGE
ON A SPECIFIED DATE (SUCH AS A COUPON DATE OR INTEREST PAYMENT DATE) AND/OR
WHOSE INTEREST RATES VARY WITH CHANGES IN A DESIGNATED BASE RATE (SUCH AS THE
PRIME INTEREST RATE).
144A -- SECURITY WAS PURCHASED PURSUANT TO RULE 144A UNDER THE SECURITIES ACT
OF 1933 AND MAY NOT BE RESOLD SUBJECT TO THAT RULE EXCEPT TO QUALIFIED
INSTITUTIONAL BUYERS. AT THE END OF THE PERIOD, SECURITIES AMOUNTED TO 8.58% OF
NET ASSETS.
See notes to financial statements
9
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Statement of Assets and Liabilities
JANUARY 31, 2005 (UNAUDITED)
ASSETS:
Investment in securities, at value
(amortized cost $178,659,206) ................................ $184,311,120
Cash ........................................................... 52,805
Interest receivable ............................................ 1,900,088
Other assets ................................................... 65,245
------------
Total Assets ................................................. 186,329,258
------------
LIABILITIES:
Dividends payable to preferred shareholders .................... 71,729
Due to affiliates .............................................. 93,608
Accrued expenses payable ....................................... 19,517
------------
Total Liabilities ............................................ 184,854
------------
PREFERRED SHARES:
($25,000 net asset and liquidation value
per share applicable to 2,778 shares authorized,
issued and outstanding) ...................................... 69,450,000
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS:
(equivalent to $14.71 per share based on
7,935,591 common shares issued and outstanding;
unlimited number of common shares authorized) ................ $116,694,404
============
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSISTED OF:
Common shares of beneficial interest,
par value $0.001 per share ................................... $ 7,936
Paid-in capital in excess of par ............................... 112,471,277
Undistributed net investment income ............................ 439,767
Accumulated net realized loss on investments ................... (1,876,490)
Net unrealized appreciation on investments ..................... 5,651,914
------------
NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS ............................................ $116,694,404
============
See notes to financial statements
10
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Statement of Operations
FOR THE PERIOD AUGUST 1, 2004 THROUGH JANUARY 31, 2005 (UNAUDITED)
INVESTMENT INCOME:
Interest ............................................. $ 4,521,148
------------
EXPENSES:
Investment advisory fees .......................... $359,953
Servicing agent fees .............................. 239,969
Auction agent fees and commissions ................ 117,513
Administration and accounting fees ................ 92,295
Legal fees and expenses ........................... 38,603
Audit fees ........................................ 36,944
Insurance expense ................................. 21,142
Miscellaneous ..................................... 20,495
Trustees' fees .................................... 18,155
Transfer agent fees ............................... 16,921
Custodian fees .................................... 9,602
Reports to shareholders ........................... 9,197
-----------
Total expenses (before waivers) ................... 980,789
Less investment advisory fees waived ........... (83,066)
Less servicing agent fees waived ............... (55,377)
-----------
Net expenses (after waivers) ................... 842,346
-----------
Net Investment Income ................................ 3,678,802
------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain from
security transactions .......................... 29,902
Net change in unrealized appreciation
of investments ................................. 6,997,801
------------
Net realized and unrealized gain (loss)
on investments ................................. 7,027,703
------------
DIVIDENDS ON PREFERRED SHARES FROM
NET INVESTMENT INCOME ............................. (455,107)
------------
NET INCREASE IN NET ASSETS APPLICABLE
TO COMMON SHAREHOLDERS RESULTING
FROM INVESTMENT OPERATIONS ........................ $10,251,398
============
See notes to financial statements
11
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Statement of Changes in Net Assets Applicable to
Common Shareholders (UNAUDITED)
FOR THE PERIOD FOR THE PERIOD
AUGUST 1, 2004 AUGUST 27, 2003*
THROUGH THROUGH
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
INVESTMENT OPERATIONS:
Net investment income .......................... $ 3,678,802 $6,133,166
Net realized gain/(loss) from security
transactions ................................ 29,902 (1,906,392)
Net change in unrealized appreciation/
(depreciation) of investments ............... 6,997,801 (1,345,888)
------------ -----------
Net increase in net assets resulting from
investment operations .................... 10,706,505 2,880,836
------------ -----------
DIVIDENDS ON PREFERRED SHARES FROM
NET INVESTMENT INCOME .......................... (455,107) (597,187)
------------ -----------
Net Increase in Net Assets Applicable to
Common Shareholders Resulting
from Investment Operations ..................... 10,251,398 2,283,649
------------ -----------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
NET INVESTMENT INCOME .......................... (3,332,948) (4,986,910)
------------ -----------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of common shares ........ -- 112,809,375
Preferred shares underwriting discount charged
to paid-in capital in excess of par ......... -- (694,500)
Common shares and preferred shares offering
costs charged to paid-in capital in excess
of par ...................................... -- (521,757)
Reinvestment of dividends ...................... -- 786,094
------------ -----------
Net increase in net assets applicable to
common shares from capital shares
transactions ............................. -- 112,379,212
------------ -----------
Net increase in net assets applicable to
common shares ............................... 6,918,450 109,675,951
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS:
Beginning of period ............................ 109,775,954 100,003
------------ -----------
End of period (including undistributed
net investment income of $439,767 and
$549,019 respectively) ...................... $116,694,404 $109,775,954
============ ============
* COMMENCEMENT OF INVESTMENT OPERATIONS.
See notes to financial statements
12
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Financial Highlights (Unaudited)
THE TABLE BELOW SETS FORTH FINANCIAL DATA FOR A COMMON SHARE OUTSTANDING
THROUGHOUT THE PERIODS PRESENTED.
FOR THE PERIOD FOR THE PERIOD
AUGUST 1, 2004 AUGUST 27, 2003*
THROUGH THROUGH
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................... $13.83 $ 14.33**
-------- --------
INVESTMENT OPERATIONS:
Net investment income .................................. 0.47 0.78
Net realized and unrealized gain (loss) on investments . 0.89 (0.42)
-------- --------
Total from investment operations .................... 1.36 0.36
-------- --------
DIVIDENDS ON PREFERRED SHARES FROM
NET INVESTMENT INCOME ............................... (0.06) (0.08)
-------- --------
Net increase in net assets applicable to common
shares resulting from investment operations ......... 1.30 0.28
-------- --------
DIVIDENDS TO COMMON SHAREHOLDERS FROM
NET INVESTMENT INCOME ............................... (0.42) (0.63)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Common share offering costs charged to paid-in
capital in excess of par ............................ -- (0.03)
Preferred shares offering costs/underwriting discount
charged to paid-in capital in excess of par ......... -- (0.12)
-------- --------
Total capital share transactions .................... -- (0.15)
-------- --------
Net asset value, end of period ......................... $14.71 $ 13.83
======== ========
Per share market value, end of period .................. $13.44 $ 13.11
======== ========
TOTAL INVESTMENT RETURN (1) ............................ 5.81% (8.62)%
RATIOS/SUPPLEMENTAL DATA
Ratios to average net assets: (3)
Expenses (net of fee waivers) ....................... 1.48% 1.34% (2)
Expenses (excluding fee waivers) .................... 1.72% 1.56% (2)
Net investment income ............................... 6.46% 5.85% (2)
Portfolio turnover rate ................................ 10% 129%
Net assets, end of period (in 000's) ................... $116,694 $109,776
Preferred shares asset coverage per share .............. 67,006 64,516
* COMMENCEMENT OF INVESTMENT OPERATIONS.
** INITIAL PUBLIC OFFERING PRICE OF $15.00 PER SHARE LESS UNDERWRITING DISCOUNT
OF $0.675 PER SHARE.
(1) CURRENT PERIOD RETURN ASSUMES AN INVESTMENT AT THE BEGINNING OF THE PERIOD
PRESENTED. DIVIDEND REINVESTMENT FOR NAV RETURNS IS USUALLY PERFORMED AT THE
NAV, NOT IN ACCORDANCE WITH THE DRIP PLAN. PRIOR, TOTAL INVESTMENT RETURN IS
CALCULATED ASSUMING A PURCHASE OF COMMON SHARES AT THE OFFERING PRICE OF
$15.00 ON AUGUST 27, 2003, AND A SALE AT THE MARKET PRICE ON THE LAST DAY OF
THE PERIOD REPORTED. DIVIDENDS AND DISTRIBUTIONS, IF ANY, ARE ASSUMED FOR
PURPOSES OF THIS CALCULATION TO BE REINVESTED AT PRICES OBTAINED UNDER THE
FUND'S DIVIDEND REINVESTMENT PLAN. TOTAL INVESTMENT RETURN DOES NOT REFLECT
BROKERAGE COMMISSIONS. THE TOTAL INVESTMENT RETURN, WHICH IS FOR LESS THAN A
FULL YEAR, IS NOT ANNUALIZED. PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE
RESULTS.
(2) ANNUALIZED
(3) CALCULATED ON THE BASIS OF INCOME AND EXPENSES APPLICABLE TO BOTH COMMON AND
PREFERRED SHARES RELATIVE TO AVERAGE NET ASSETS OF COMMON SHAREHOLDERS.
See notes to financial statements
13
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED)
NOTE 1 -- ORGANIZATION & ACCOUNTING POLICIES:
- --------------------------------------------------------------------------------
The MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund (the
"Fund") was organized as a Delaware statutory trust on May 20, 2003. The Fund is
registered as a diversified, closed-end management investment company under the
Investment Company Act of 1940, as amended. The Fund's investment objective is
to provide its common shareholders with high current income exempt from regular
Federal income tax while seeking to protect the value of the Fund's assets
during periods of interest rate volatility.
Prior to commencing operations on August 27, 2003, the Fund had no operations
other than matters relating to its organization and registration and the sale
and issuance of 6,981 common shares of beneficial interest to MBIA Capital
Management Corp.
The following is a summary of significant accounting policies followed by the
Fund.
SECURITIES VALUATION: The municipal bonds in which the Fund invests are traded
primarily in the over-the-counter markets. In determining net asset value, the
Fund uses the valuations of portfolio securities furnished by a pricing
service approved by the Board of Trustees. The pricing service typically
values portfolio securities at the bid price or the yield equivalent when
quotations are readily available. Municipal bonds for which quotations are not
readily available are valued at fair market value on a consistent basis as
determined by the pricing service using a matrix system to determine
valuations. The procedures of the pricing service and its valuations are
reviewed by the officers of the Fund under the general supervision of the
Board of Trustees. Positions in futures contracts, interest rate swaps and
options on interest rate swaps ("swaptions") are valued at closing prices for
such contracts established by the exchange or dealer market on which they are
traded, or if market quotations are not readily available, are valued at fair
value on a consistent basis using methods approved in good faith by the Board
of Trustees.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
accounted for on the trade date. Realized gains and losses on investments are
determined on the identified cost basis. Interest income and expenses are
accrued daily. All discounts/premiums are accreted/amortized for financial
reporting purposes as required.
SWAPTIONS: The Fund may engage in options transactions on interest rate swap
agreements, commonly referred to as swaptions. A swaption is an agreement
between two parties where one party purchases the right from the other party
14
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED) -- CONTINUED
to enter into an interest rate swap at a specified date and for a specified
"fixed rate" yield (or "exercise" yield). In a pay-fixed swaption, the holder
of the swaption has the right to enter into an interest rate swap as a payer
of fixed rate interest and receiver of variable rate interest, while the
writer of the swaption has the obligation to enter into the other side of the
interest rate swap. In a receive-fixed swaption, the holder of the swaption
has the right to enter into an interest rate swap as a receiver of fixed rate
interest and a payer of variable rate interest, while the writer has the
obligation to enter into the opposite side of the interest rate swap. The Fund
will enter into such transactions to attempt to hedge some or all of its
interest rate exposure in its holdings of municipal bonds. During the six
months ended January 31, 2005, the Fund purchased pay-fixed swaptions. Upon
the purchase of these pay-fixed swaptions by the Fund, the total purchase
price paid was recorded as an investment. The market valuation is determined
as set forth in the preceding securities valuation paragraph. When the
pay-fixed swaptions are exercised, the Fund has the right to enter into an
interest rate swap as a payer of fixed rate interest and receiver of variable
rate interest. When the pay-fixed swaptions reach their scheduled expiration
dates, the Fund will record a gain or loss depending on the difference between
the purchase price and the value of the swaptions on their exercise date.
FEDERAL INCOME TAXES: It is the Fund's intention to continue to qualify to be
treated as a regulated investment company under the Internal Revenue Code of
1986, as amended, and to distribute sufficient net income to shareholders to
qualify as such. For this reason and because substantially all of the Fund's
gross income consists of tax-exempt interest, no Federal income tax provision
is required.
DIVIDENDS AND DISTRIBUTIONS: The Fund intends to declare and pay dividends
from net investment income monthly to common shareholders. Distributions of
net realized capital gains, if any, will be paid at least annually. Dividends
and distributions to shareholders will be recorded on the ex-dividend date.
Dividends and distributions to preferred shareholders are accrued and
determined as described in Note 4.
USE OF ESTIMATES: The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates.
15
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED) -- CONTINUED
NOTE 2 -- AGREEMENTS:
- --------------------------------------------------------------------------------
Pursuant to an Investment Advisory Agreement (the "Advisory Agreement") between
MBIA Capital Management Corp. (the "Adviser") and the Fund, the Adviser is
responsible for the daily management of the Fund's Portfolio, which includes
buying and selling securities for the Fund, as well as investment research,
subject to the direction of the Fund's Board of Trustees. The Adviser is a
subsidiary of MBIA Asset Management LLC which, in turn, is a wholly-owned
subsidiary of MBIA Inc. The Advisory Agreement provides that the Fund shall pay
to the Adviser a monthly fee for its services at the annual rate of 0.39% of the
sum of the Fund's average daily net assets (including assets acquired from the
sale of any preferred shares), plus the proceeds of any outstanding borrowings
used for financial leverage (in total, the "Managed Assets"). The Adviser has
contractually agreed to waive a portion of the management fees it is entitled to
receive from the Fund at the annual rate of 0.09% of the Fund's average daily
Managed Assets from the commencement of the Fund's operations through September
1, 2008, and at the rate of 0.042% thereafter through September 1, 2009.
Pursuant to a Servicing Agreement, Claymore Securities, Inc. (the "Servicing
Agent") acts as servicing agent to the Fund. The Servicing Agent receives an
annual fee from the Fund, payable monthly in arrears, in an amount equal to
0.26% of the average daily value of the Fund's Managed Assets. The Servicing
Agent has contractually agreed to waive a portion of the servicing fee it is
entitled to receive from the Fund at the annual rate of 0.06% of the average
daily value of the Fund's Managed Assets from the commencement of the Fund's
operations through September 1, 2008, and at a rate of 0.028% thereafter through
September 1, 2009.
MBIA Municipal Investors Service Corporation ("MBIA-MISC"), a subsidiary
of MBIA Asset Management LLC, serves as Accounting Agent and Administrator to
the Fund pursuant to an Accounting Services and Administration Agreement with
the Fund. As Accounting Agent and Administrator, MBIA-MISC is responsible for
services such as financial reporting, compliance monitoring and corporate
management. MBIA-MISC is also responsible for maintaining the books and records
of the Fund's securities and cash. For these services, the Fund pays MBIA-MISC
an annual fee equal to 0.10% of the Fund's average daily Managed Assets up to
$250 million, 0.06% on the next $250 million of the Fund's average daily Managed
Assets, and 0.03% of the Fund's average daily Managed Assets in excess of $500
million with a minimum annual fee of $100,000.
Certain officers and/or trustees of the Fund are officers and/or directors of
the Adviser and the Servicing Agent.
16
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED) -- CONTINUED
NOTE 3 -- PORTFOLIO SECURITIES:
- --------------------------------------------------------------------------------
Purchases and sales of investment securities, excluding short-term investments,
for the period August 1, 2004 through January 31, 2005, aggregated $17,042,075
and $17,482,568, respectively.
The Federal income tax cost basis of the Fund's investments at January 31, 2005,
was $178,659,206 and net unrealized appreciation was $5,651,914, which consisted
of aggregate gross unrealized appreciation of $11,190,007 and aggregate gross
unrealized depreciation of $5,538,093.
NOTE 4 -- DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------
Distributions paid to common shareholders during the period ended July 31, 2004
were characterized as follows for tax purposes:
TAX-EXEMPT ORDINARY LONG-TERM
INCOME INCOME CAPITAL GAIN TOTAL DISTRIBUTIONS
---------- ------- ----------- -----------------
$4,986,303 $607 $-- $4,986,910
As of July 31, 2004, the components of net assets (excluding paid-in capital) on
a tax basis were as follows:
Current distributable tax-exempt income ................. $ 524,422
Plus: book/tax difference on accrued interest
of investment ........................................ 24,597
--------------
Undistributed tax-exempt income ......................... $ 549,019
==============
Tax basis capital loss carryover ........................ $ (8,249)
Less: current year post-October capital
loss deferral ........................................ (1,898,143)
--------------
Accumulated capital loss ................................ $(1,906,392)
==============
Unrealized appreciation/(depreciation) .................. $(1,345,888)
==============
The difference between book and tax basis undistributed ordinary income is due
to book/tax difference on accrued interest of investment. The cumulative timing
difference under tax basis accumulated capital loss is due to post-October
losses.
As of July 31, 2004, the Fund had a capital loss carryforward of $8,249
available to offset possible future capital gains, if any, until fully utilized
or until its expiration on July 31, 2012. Under the current tax law, capital
losses realized after October 31, may be deferred and treated as occurring on
the first
17
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED) -- CONTINUED
day of the following fiscal year. For the period ended July 31, 2004, the Fund
elected to defer losses occurring between November 1, 2003 and July 31, 2004 in
the amount of $1,898,143.
NOTE 5 -- CAPITAL:
- --------------------------------------------------------------------------------
There are an unlimited number of $.001 par value common shares of beneficial
interest authorized. Of the 7,935,591 common shares outstanding at January 31,
2005, the Adviser owned 6,981 shares. The Fund issued 7,100,000 common shares in
its initial public offering on August 27, 2003. These common shares were issued
at $15.00 per share before the underwriting discount of $0.675 per share. An
additional 600,000 common shares and 175,000 common shares were issued on
September 10, 2003 and October 10, 2003, respectively. These common shares were
also issued at $15.00 per share before the underwriting discount of $0.675 per
share. Organization expenses amounting to $31,465 were borne by the Adviser and
the Servicing Agent. Offering costs of $236,459 (representing $0.03 per common
share) were offset against proceeds of the offering and have been charged to
paid-in capital in excess of par of the common shares. MBIA Capital Management
Corp. and Claymore Securities, Inc. have agreed to pay all offering costs (other
than the sales load) exceeding $0.03 per common share of the Fund.
Transactions in common shares for the period from August 27, 2003 (commencement
of investment operations) through January 31, 2005, were as follows:
Common shares outstanding-- August 27, 2003... ................... 6,981
Common shares issued in connection with initial public offering .. 7,100,000
Underwriters' exercising the over-allotment option ............... 775,000
Reinvestment of dividends ........................................ 53,610
---------
Common shares outstanding-- July 31, 2004 ........................ 7,935,591
=========
Common shares outstanding-- January 31, 2005 ..................... 7,935,591
=========
On October 27, 2003 the Fund issued 1,389 shares of Auction Market Preferred
Shares, Series M7 and 1,389 shares of Auction Market Preferred Shares, Series
W28. The preferred shares have a liquidation value of $25,000 per share plus any
accumulated unpaid dividends. Underwriting discounts of $694,500 and offering
costs of $285,298 incurred in connection with the Fund's offering of preferred
shares have been charged to paid-in capital in excess of par of the common
shares. As of January 31, 2005, the Fund had 1,389 shares each of Auction Market
Preferred Shares, Series M7 and W28, outstanding.
18
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Notes to Financial Statements
JANUARY 31, 2005 (UNAUDITED) -- CONTINUED
Dividends on the preferred shares are cumulative at a rate that is set by
auction procedures. The dividend rate range on the preferred shares of the Fund
for the period August 1, 2004 through January 31, 2005, was as follows:
SERIES LOW HIGH AT 01/31/05
------ ---- ---- -----------
M7 1.10% 1.10% 1.10%
W28 1.50% 1.50% 1.50%
The Fund is subject to certain limitations and restrictions while preferred
shares are outstanding. Failure to comply with these limitations and
restrictions could preclude the Fund from declaring any dividends or
distributions to common shareholders or repurchasing common shares and/or could
trigger the mandatory redemption of preferred shares at their liquidation value
plus any accrued dividends. Preferred shares, which are entitled to one vote per
share, generally vote with the common shares but vote separately as a class to
elect two Trustees and on any matters affecting the rights of preferred shares.
NOTE 6 -- SUBSEQUENT DIVIDEND DECLARATIONS - COMMON SHAREHOLDERS:
- --------------------------------------------------------------------------------
The Fund has declared the following dividends to common shareholders:
RATE PER DECLARATION EX-DIVIDEND RECORD PAYABLE
SHARE DATE DATE DATE DATE
---------- ------------- ------------- ---------- -----------
$0.07 01/18/05 02/04/05 02/08/05 02/15/05
$0.07 02/15/05 03/04/05 03/08/05 03/15/05
$0.056 03/14/05 04/06/05 04/08/05 04/15/05
$0.056 03/14/05 05/04/05 05/06/05 05/16/05
$0.056 03/14/05 06/06/05 06/08/05 06/15/05
Subsequent to the report date, the Board of Trustees approved a reduction in the
monthly dividend to $0.056 per common share, effective with the April 2005
distribution.
19
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MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Additional Information Regarding the Fund's Trustees (Unaudited)
NAME,
ADDRESS*, TERM OF
AGE AND TERM OF OFFICE**
POSITION(S) AND LENGTH PRINCIPAL OCCUPATION DURING
HELD WITH OF TIME THE PAST FIVE YEARS AND OTHER DIRECTORSHIPS
REGISTRANT SERVED OTHER AFFILIATIONS HELD BY TRUSTEES
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Mark Jurish Since 2003 Founder and Chief Executive Officer of None
Age: 44 Larch Lane Advisors LLC. Prior to
Trustee forming Larch Lane, Mr. Jurish was
Managing Director at Paloma Partners, a
firm that he joined in 1988.
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2003 Principal of Ronald A. Nyberg, Ltd., a Trustee, Advent Claymore Convertible
Age: 51 law firm specializing in corporate law, Securities and Income Fund, Madison/
Trustee estate planning and business transactions Claymore Covered Call Fund, Western
from 2000-present. Formerly, Executive Asset/Claymore U.S. Treasury Inflation
Vice President, General Counsel and Protected Securities Fund, Western
Corporate Secretary of Van Kampen Asset/Claymore U.S. Treasury Inflation
Investments (1982-1999). Protected Securities Fund 2,
TS&W/ Claymore Tax-Advantaged Balanced
Fund, Dreman/Claymore Dividend & Income
Fund, Fiduciary/ Claymore MLP Opportunity
Fund and Advent/ Claymore Enhanced
Growth &Income Fund.
- ------------------------------------------------------------------------------------------------------------------------------------
Jerry S. Since 2003 Professor of Insurance and Risk Harleysville Group, Inc; Century Funds
Rosenbloom Management at the Wharton School
Age: 65 of the University of Pennsylvania
Trustee and Academic Director of the
Certified Employee Benefit Specialist
(CEBS) Program, co-sponsored by the
Wharton School and the International
Foundation of Employee Benefit Plans.
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Since 2003 Formerly, Vice President, Manager and Trustee, Advent Claymore Convertible
Toupin, Jr. Portfolio Manager of Nuveen Asset Securities and Income Fund, Madision/
Age: 46 Management (1998-1999), Vice Claymore Covered Call Fund, Western
Trustee President of Nuveen Investment Asset/Claymore U.S. Treasury Inflation
Advisory Corporation (1992-1999), Protected Securities Fund, Western
Vice President and Manager of Nuveen Asset/Claymore U.S. Treasury Inflation
Unit Investment Trusts (1991-1999), Protected Securities Fund 2, TS&W/
and Assistant Vice President and Claymore Tax-Advantaged Balanced Fund,
Portfolio Manager of Nuveen Unit Dreman/Claymore Dividend &Income Fund,
Investment Trusts (1998-1999), Fiduciary/Claymore MLP Opportunity Fund
each of John Nuveen & Company, and Advent/ Claymore Enhanced Growth
Inc. (1982-1999). and Income Fund.
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
* The business address of each Trustee is c/o MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund,
113 King Street, Armonk, New York 10504.
** The Trustees of each class shall be elected at an annual meeting of the shareholders or special meeting in lieu thereof
called for that purpose, and each Trustee elected shall hold office until his or her successor shall have been elected
and shall have qualified. The term of office of a Trustee shall terminate and a vacancy shall occur in the event of the
death, resignation, removal, bankruptcy, adjudicated incompetence or other incapacity to perform the duties of the
office, or removal, of a Trustee.
</FN>
20
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Additional Information Regarding the Fund's Trustees (Unaudited) -- continued
NAME,
ADDRESS*, TERM OF
AGE AND TERM OF OFFICE**
POSITION(S) AND LENGTH PRINCIPAL OCCUPATION DURING
HELD WITH OF TIME THE PAST FIVE YEARS AND OTHER DIRECTORSHIPS
REGISTRANT SERVED OTHER AFFILIATIONS HELD BY TRUSTEES
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Clifford D. Since 2003 President of MBIA Capital Management Corp. None
Corso and Chief Investment Officer, MBIA
Age: 42 Insurance Corp.; Vice President of the 1838
Trustee and Investment Advisors Funds
President
- ------------------------------------------------------------------------------------------------------------------------------------
Nicholas Since 2003 Senior Managing Director and General Trustee, Advent Claymore Convertible
Dalmaso Counsel of Claymore Advisors, LLC and Securities and Income Fund, Madison/
Age: 39 Claymore Securities, Inc. (2001-present). Claymore Covered Call Fund, Western
Trustee Formerly, Assistant General Counsel, Asset/Claymore U.S. Treasury Inflation
John Nuveen and Company, Inc. (1999-2001). Protected Securities Fund, Flaherty &
Former Vice President and Associate Crumrine/Claymore Preferred Securities &
General Counsel of Van Kampen Investments, Income Fund, Flaherty & Crumrine/Claymore
Inc. (1992-1999). Total Return Fund, Western Asset/Claymore
U.S. Treasury Inflation Protected Securities
Fund 2, TS&W/Claymore Tax-Advantaged
Balanced Fund, Dreman/ Claymore Dividend &
Income Fund, Fiduciary/Claymore MLP
Opportunity Fund, and Advent/Claymore Enhanced
Growth and Income Fund.
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
* The business address of each Trustee is c/o MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund,
113 King Street, Armonk, New York 10504.
** The Trustees of each class shall be elected at an annual meeting of the shareholders or special meeting in lieu thereof
called for that purpose, and each Trustee elected shall hold office until his or her successor shall have been elected
and shall have qualified. The term of office of a Trustee shall terminate and a vacancy shall occur in the event of
the death, resignation, removal, bankruptcy, adjudicated incompetence or other incapacity to perform the
duties of the office, or removal, of a Trustee.
</FN>
21
www.mbiaclaymore.com
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Dividend Reinvestment Plan (Unaudited)
Pursuant to the Fund's Automatic Dividend Reinvestment Plan (the "Plan"), unless
a shareholder is ineligible or elects otherwise, all dividend and capital gains
distributions are automatically reinvested by The Bank of New York ("BONY"), as
agent for shareholders in administering the Plan (the "Plan Agent"), in
additional common shares of the Fund. Shareholders whose shares are held in the
name of a broker or nominee should contact such broker or nominee to confirm
that they are eligible to participate in the Plan. Shareholders who are
ineligible or who elect not to participate in the Plan will receive all
dividends and distributions in cash paid by check mailed directly to the
shareholder of record (or, if the shares are held in street or other nominee
name, then to such nominee) by BONY, as dividend paying agent. Such shareholders
may elect not to participate in the Plan and to receive all distributions of
dividends and capital gains in cash by sending written instructions to BONY, as
dividend paying agent, at the address set forth below. Participation in the Plan
is completely voluntary and may be terminated or resumed at any time without
penalty by written notice if received by the Plan Agent not less than ten days
prior to any dividend record date; otherwise, such termination will be effective
with respect to any subsequently declared dividend or capital gains
distribution.
Whenever the Fund declares an ordinary income dividend or a capital gain
dividend (collectively referred to as "dividends") payable in cash,
non-participants in the Plan will receive cash, and participants in the Plan
will receive the equivalent in common shares. The shares are acquired by the
Plan Agent for the participant's account, depending upon the circumstances
described below, either (i) through receipt of additional unissued but
authorized common shares from the Fund ("newly issued shares") or (ii) by
purchase of outstanding common shares on the open market ("open-market
purchases") on the New York Stock Exchange or elsewhere. If, on the dividend
payment date, the market price per common share plus estimated brokerage
commissions is greater than the net asset value per common share (such condition
being referred to herein as "market premium"), the Plan Agent will invest the
dividend amount in newly issued shares on behalf of the participant. The number
of newly issued common shares to be credited to the participant's account will
be determined by dividing the dollar amount of the dividend by the net asset
value per share on the payment date, provided that, if the net asset value per
share is less than or equal to 95% of the market price per share on the payment
date, the dollar amount of the dividend will be divided by 95% of the market
price per share on the payment date. If on the dividend payment date the net
asset value per share is greater than the market value plus estimated brokerage
commissions (such condition being referred to herein as "market discount"), the
Plan Agent will invest the dividend amount in shares acquired on behalf of the
participant in open-market purchases.
22
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Dividend Reinvestment Plan (Unaudited) -- continued
If, before the Plan Agent has completed its open-market purchases, the market
price of the common shares exceeds the net asset value per share, the average
per share purchase price paid by the Plan Agent may exceed the net asset value
of the Fund's shares, resulting in the acquisition of fewer shares than if the
dividend had been paid in newly issued shares on the dividend payment date.
Because of the foregoing difficulty with respect to open-market purchases, the
Plan provides that if the Plan Agent is unable to invest the full dividend
amount in open-market purchases during the purchase period or if the market
discount shifts to a market premium during the purchase period, the Plan Agent
may cease making open-market purchases and may invest the uninvested portion of
the dividend amount in newly issued shares at the net asset value per share at
the close of business on the last purchase date; provided that, if the net asset
value per share is less than 95% of the market price per share on the payment
date, the dollar amount of the dividend will be divided by 95% of the market
price per share on the payment date.
The Plan Agent maintains all shareholders' accounts in the Plan and furnishes
written confirmation of all transactions in the account, including information
needed by shareholders for tax records. Shares in the account of each Plan
participant will be held by the Plan Agent in the name of the participant, and
each shareholder's proxy will include those shares purchased or received
pursuant to the Plan. The Plan Agent will forward all proxy solicitation
materials to participants and vote proxies for shares held pursuant to the Plan
in accordance with the instructions of the participants.
There will be no brokerage charges with respect to shares issued directly by the
Fund as a result of dividends or capital gains distributions payable either in
shares or in cash. However, each participant will pay a pro rata share of
brokerage commissions incurred with respect to the Plan Agent's open-market
purchases in connection with the reinvestment of dividends. The automatic
reinvestment of dividends and distributions will not relieve participants of any
Federal, state or local income tax that may be payable (or required to be
withheld) on such dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct
service charge to participants in the Plan; however, the Fund reserves the right
to amend the Plan to include a service charge payable by the participants. All
questions and correspondence concerning the Plan should be directed to the Plan
Agent at The Bank of New York, 101 Barclay Street, 20W, New York, New York 10286
or by phone at 800-701-8178.
23
www.mbiaclaymore.com
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
Portfolio Holdings (Unaudited)
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q. The Fund's Forms N-Q are available on the Securities and Exchange
Commission's website at http://www.sec.gov and may be reviewed and copied at the
Securities and Exchange Commission's Public Reference Room in Washington D.C.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. To obtain information on Form N-Q from the Fund, please
call (866) 819-5301.
Proxy Voting Policy (Unaudited)
The Fund has adopted the Adviser's proxy voting policies and procedures to
govern the voting of proxies relating to the voting securities of the Fund.
Information on how the Fund voted proxies relating to portfolio securities
during the 12 month period ended June 30, 2004 is available without charge, upon
request, by calling (866) 819-5301 and on the Securities and Exchange
Commission's website at http://www.sec.gov.
Notice to Shareholders (Unaudited)
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that the Fund may purchase at market prices
from time to time shares of its common stock in the open market.
24
[BLANK PAGE]
FUND INFORMATION
BOARD OF TRUSTEES
Clifford D. Corso
Nicholas Dalmaso
Mark Jurish
Ronald A. Nyberg
Jerry S. Rosenbloom
Ronald E. Toupin, Jr
OFFICERS
Clifford D. Corso
PRESIDENT
Susan Voltz
VICE PRESIDENT AND ASSISTANT SECRETARY
Leonard Chubinsky
SECRETARY AND GENERAL COUNSEL
Marc D. Morris
TREASURER
Richard J. Walz
CHIEF COMPLIANCE OFFICER
INVESTMENT ADVISOR
MBIA Capital Management Corp.
113 King Street
Armonk, New York 10504
ADMINISTRATOR
MBIA Municipal Investors
Service Corporation
113 King Street
Armonk, New York 10504
SERVICING AGENT
Claymore Securities, Inc.
Lisle, Illinois
CUSTODIAN, TRANSFER AGENT AND
AUCTION AGENT
The Bank of New York
New York, New York
LEGAL COUNSEL
Simpson Thacher & Bartlett LLP
New York, New York
QUESTIONS CONCERNING YOUR SHARES OF
MBIA CAPITAL/CLAYMORE MANAGED DURATION INVESTMENT GRADE MUNICIPAL FUND
o If your shares are held in a Brokerage Account, contact your Broker.
o If you have physical possession of your shares in certificate form, contact
the Fund's Transfer Agent:
The Bank of New York
101 Barclay Street
New York, New York 10286
800-701-8178
This report is sent to shareholders of MBIA Capital/Claymore Managed Duration
Investment Grade Municipal Fund for their information. It is not a Prospectus,
circular or representation intended for use in the purchase or sale of shares of
the Fund or of any securities mentioned in this report.
MBIA Capital Management Corp.
113 King Street [LOGO OMITTED
Armonk, New York 10504
ITEM 2: Code of Ethics
Not required for the semi-annual filing.
ITEM 3: Audit Committee Financial Expert
Not required for the semi-annual filing.
ITEM 4: Principal Accountant Fees and Services
Not required for the semi-annual filing.
ITEM 5: Audit Committee of Listed Registrant.
Not required for the semi-annual filing.
ITEM 6: Schedule of Investments.
Schedule is included as part of the report to shareholders filed under Item 1 of
this form.
ITEM 7: Disclosure of Proxy Voting Policies and Procedures for Closed-
End Management Investment Companies.
Not required for the semi-annual filing.
ITEM 8: Portfolio Managers of Closed-end Management Investment Companies
Not required for the semi-annual filing.
ITEM 9: Purchases of Equity Securities by Closed-End Management
Investment Company and Affiliated Purchasers
None.
ITEM 10: Submission of Matters to a Vote of Security Holders
No material change.
ITEM 11: CONTROLS AND PROCEDURES.
(a) The Registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded that the
Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of March 31,2005, based on their evaluation of
these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17
CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange
Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the Registrant's last fiscal half-year (the
Registrant's second fiscal half-year) that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
ITEM 12: EXHIBITS.
(a)(1) Not applicable.
(a)(2) Separate certification for each principal executive and
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Act(17CFR270.30a-2(a))pursuant to Section 302 of the Sarbanes-Oxley Act of
2002.
(a)(3) Not applicable.
(b) Certification of principal executive officer and principal
financial officer of the Registrant pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002.
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.
MBIA Capital/Claymore Managed Duration Investment Grade Municipal Fund
By: /s/ Clifford D. Corso
----------------------------
Clifford D. Corso, President
Date: April 8, 2005
Pursuant to the requirements of the Securities Exchange Act of the 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Clifford D. Corso
----------------------------------------------------------
Clifford D. Corso, President (Principal Executive Officer)
Date: April 8, 2005
By: /s/ Marc, D. Morris
--------------------------------------------------------
Marc, D. Morris, Treasurer (Principal Financial Officer)
Date: April 8, 2005