N-CSR 1 mmb.htm ANNUAL REPORT 

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D. C. 20549

                                   FORM N-CSR

Investment Company Act file number 811-2671

                             SCUDDER MUNICIPAL TRUST
                        --------------------------------
               (Exact Name of Registrant as Specified in Charter)

                 Two International Place, Boston, MA 02110-4103
                 ----------------------------------------------
               (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:       05/31/05



ITEM 1.  REPORT TO STOCKHOLDERS


Scudder Managed
Municipal Bond Fund

 

 

 

 

Annual Report to Shareholders

 

May 31, 2005

 

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 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. 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.

Scudder Investments is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Investment Management Americas Inc., Deutsche Asset Management Inc., Deutsche Asset Management Investment Services Ltd., Deutsche Bank Trust Company Americas and Scudder Trust Company.

Fund shares are not FDIC-insured and are not deposits or other obligations of, or guaranteed by, any bank. Fund shares involve investment risk, including possible loss of principal.

Performance Summary May 31, 2005

 

Classes A, B, C and Institutional

All performance shown is historical, assumes reinvestment of all dividends and capital gains 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 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, shareholders redeeming shares held less than 15 days will have a lower total return due to the effect of the 2% short-term redemption fee.

Returns during the 10-year periods shown for Class A and C shares and all periods shown for Class B and 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 the Scudder 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. Class S shares are no longer available to new investors except under certain circumstances. (Please refer to the Fund's Statement of Additional Information.)

Average Annual Total Returns (Unadjusted for Sales Charge) as of 5/31/05

Scudder Managed Municipal Bond Fund

1-Year

3-Year

5-Year

10-Year

Class A

6.53%

5.13%

6.65%

5.73%

Class B

5.70%

4.30%

5.82%

4.91%

Class C

5.72%

4.31%

5.81%

4.89%

Lehman Brothers Municipal Bond Index+

7.96%

6.00%

7.30%

6.22%

Scudder Managed Municipal Bond Fund

1-Year

Life of Class*

Institutional Class

6.86%

4.54%

Lehman Brothers Municipal Bond Index+

7.96%

5.21%

Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.

* Institutional Class shares commenced operations on August 19, 2002. Index returns begin August 31, 2002.

 

 

Net Asset Value and Distribution Information

 

Class A

Class B

Class C

Institutional Class

Net Asset Value:

5/31/05

$ 9.20

$ 9.20

$ 9.20

$ 9.21

5/31/04

$ 9.04

$ 9.04

$ 9.04

$ 9.05

Distribution Information:

Twelve Months:

Income Dividends as of 5/31/05

$ .42

$ .35

$ .35

$ .45

Capital Gains as of 5/31/05

.002

.002

.002

.002

May Income Dividend

$ .0331

$ .0266

$ .0273

$ .0348

SEC 30-day Yield++ as of 5/31/05

3.28%

2.65%

2.70%

3.60%

Tax Equivalent Yield++ as of 5/31/05

5.05%

4.08%

4.15%

5.44%

Current Annualized Distribution Rate++ as of 5/31/05

4.24%

3.40%

3.50%

4.45%

++ The SEC yield is net investment income per share earned over the month ended May 31, 2005, shown as an annualized percentage of the maximum offering price per share on the last day of the period. The SEC yield is computed in accordance with a standardized method prescribed by the Securities and Exchange Commission. Tax equivalent yield is based on the Fund's yield and a marginal federal income tax rate of 35%. Current annualized distribution rate is the latest monthly dividend shown as a percentage of net asset value on May 31, 2005. Distribution rate simply measures the level of dividends and is not a complete measure of performance. The SEC yield would have been 3.45% for the Institutional Class, had certain expenses not been reduced. In addition, the current annualized distribution rate would have been 4.30% had certain expenses not been reduced. Yields and distribution rates are historical and will fluctuate.

Class A Lipper Rankings — General Municipal Debt Funds Category as of 5/31/05

Period

Rank

 

Number of Funds Tracked

Percentile Ranking

1-Year

184

of

281

66

3-Year

129

of

257

50

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)

[] Scudder Managed Municipal Bond Fund — Class A

[] Lehman Brothers Municipal Bond Index+

mmb_g10k1B0

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 5/31/05

Scudder Managed Municipal Bond Fund

1-Year

3-Year

5-Year

10-Year

Class A

Growth of $10,000

$10,174

$11,097

$13,178

$16,673

Average annual total return

1.74%

3.53%

5.67%

5.24%

Class B

Growth of $10,000

$10,270

$11,148

$13,169

$16,150

Average annual total return

2.70%

3.69%

5.66%

4.91%

Class C

Growth of $10,000

$10,572

$11,348

$13,261

$16,120

Average annual total return

5.72%

4.31%

5.81%

4.89%

Lehman Brothers Municipal Bond Index+

Growth of $10,000

$10,796

$11,911

$14,226

$18,284

Average annual total return

7.96%

6.00%

7.30%

6.22%

Scudder Managed Municipal Bond Fund

1-Year

Life of Class*

Institutional Class

Growth of $1,000,000

$1,068,600

$1,131,400

Average annual total return

6.86%

4.54%

Lehman Brothers Municipal Bond Index+

Growth of $1,000,000

$1,079,600

$1,149,800

Average annual total return

7.96%

5.21%

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 begin 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 dividends and capital gains 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 aarp.scudder.com (Class AARP) or myScudder.com (Class S) for the Fund's most recent month-end performance.

To discourage short-term trading, shareholders redeeming shares held less than 15 days will have a lower total return due to the effect of the 2% short-term redemption fee.

Returns and rankings during the 3-year, 5-year and 10-year periods shown for Class S 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 their inception on July 31, 2000 are derived from the historical performance of Class S shares of the Scudder 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 5/31/05

Scudder Managed Municipal Bond Fund

1-Year

3-Year

5-Year

10-Year

Class S

6.81%

5.35%

6.90%

5.96%

Class AARP

6.79%

5.38%

6.90%

5.96%

Lehman Brothers Municipal Bond Index+

7.96%

6.00%

7.30%

6.22%

Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.

 

 

Net Asset Value and Distribution Information

 

Class AARP

Class S

Net Asset Value:

5/31/05

$ 9.21

$ 9.21

5/31/04

$ 9.05

$ 9.05

Distribution Information:

Twelve Months:

Income Dividends as of 5/31/05

$ .44

$ .44

Capital Gains as of 5/31/05

.002

.002

May Income Dividend

$ .0350

$ .0358

SEC 30-day Yield++ as of 5/31/05

3.68%

3.78%

Tax Equivalent Yield++ as of 5/31/05

5.66%

5.82%

Current Annualized Distribution Rate++ as of 5/31/05

4.47%

4.58%

++ The SEC yield is net investment income per share earned over the month ended May 31, 2005, shown as an annualized percentage of the maximum offering price per share on the last day of the period. The SEC yield is computed in accordance with a standardized method prescribed by the Securities and Exchange Commission. Tax equivalent yield is based on the Fund's yield and a marginal federal income tax rate of 35%. Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value on May 31, 2005. Distribution rate simply measures the level of dividends and is not a complete measure of performance. Yields and distribution rates are historical and will fluctuate.

Class S Lipper Rankings — General Municipal Debt Funds Category as of 5/31/05

Period

Rank

 

Number of Funds Tracked

Percentile Ranking

1-Year

167

of

281

60

3-Year

107

of

257

41

5-Year

62

of

223

28

10-Year

15

of

144

11

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

[] Scudder Managed Municipal Bond Fund — Class S

[] Lehman Brothers Municipal Bond Index+

mmb_g10k1A0

Yearly periods ended May 31

Comparative Results as of 5/31/05

Scudder Managed Municipal Bond Fund

1-Year

3-Year

5-Year

10-Year

Class S

Growth of $10,000

$10,681

$11,692

$13,961

$17,837

Average annual total return

6.81%

5.35%

6.90%

5.96%

Class AARP

Growth of $10,000

$10,679

$11,703

$13,961

$17,842

Average annual total return

6.79%

5.38%

6.90%

5.96%

Lehman Brothers Municipal Bond Index+

Growth of $10,000

$10,796

$11,911

$14,226

$18,284

Average annual total return

7.96%

6.00%

7.30%

6.22%

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

 

mmb_top_margin2As 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, the Class B and Institutional Class shares limited these expenses; had it 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, 2005.

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.

Expenses and Value of a $1,000 Investment
for the six months ended May 31, 2005

Actual Fund Return

Class A

Class B

Class C

Class AARP

Class S

Institutional Class

Beginning Account Value 12/1/04

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

Ending Account Value 5/31/05

$ 1,030.60

$ 1,025.40

$ 1,026.60

$ 1,031.80

$ 1,032.00

$ 1,032.20

Expenses Paid per $1,000*

$ 3.59

$ 7.52

$ 7.43

$ 2.38

$ 2.18

$ 2.43

Hypothetical 5% Fund Return

Class A

Class B

Class C

Class AARP

Class S

Institutional Class

Beginning Account Value 12/1/04

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

$ 1,000.00

Ending Account Value 5/31/05

$ 1,021.39

$ 1,017.50

$ 1,017.60

$ 1,022.59

$ 1,022.79

$ 1,022.54

Expenses Paid per $1,000*

$ 3.58

$ 7.49

$ 7.39

$ 2.37

$ 2.17

$ 2.42

* Expenses are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.

Annualized Expense Ratios

Class A

Class B

Class C

Class AARP

Class S

Institutional Class

Scudder Managed Municipal Bond Fund

.71%

1.49%

1.47%

.47%

.43%

.48%

For more information, please refer to the Fund's prospectus.

Portfolio Management Review

 

mmb_top_margin1Scudder 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 Scudder 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.

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 19 years of investment industry experience.

Eleanor R. Brennan

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.

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 15 years of investment industry experience.

MS, Boston College.

mmb_top_margin0Philip G. Condon, Ashton P. Goodfield and Eleanor R. Brennan serve as co-lead portfolio managers of Scudder Managed Municipal Bond Fund. Matthew J. Caggiano is also a portfolio manager. In the following interview, Scudder's 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 fiscal year ended May 31, 2005?

A:  Municipal bonds and the broad bond market delivered strong results over the period. The municipal bond market, as measured by the Lehman Brothers Municipal Bond Index, delivered a total return of 7.96% for the 12 months ended May 31, 2005.1 The broad bond market, as measured by the Lehman Brothers Aggregate Bond Index, delivered a total return of 6.82% 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 dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.

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. The supply of new municipal bond issues was generally high during the fiscal period. As we entered 2005, municipal issuance was widely expected to fall off somewhat from the prior year's pace. However, supply remained strong as declining long-term interest rates spurred refunding of existing issues. These same low yields led to soft demand for municipal bonds among retail investors throughout the period. Nevertheless, overall demand was supported by strong interest from institutional investors, such as insurance companies and hedge funds.

During the fiscal period, the Federal Reserve Board (the Fed) increased the federal funds rate — the interbank overnight lending rate and a benchmark for market interest rates — from 1.00% to 3.00% in eight increments of 0.25%. This caused yields on shorter-term bonds, which are more 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. At the same time, long-term interest rates actually declined, as high oil prices and moderating growth kept expectations for inflation in check. This meant that long-term bond prices generally rose over the period.

The overall result of rising short-term yields and stable-to-declining long-term yields was that both the taxable and tax-free yield curves experienced significant flattening over the period.3 On the municipal bond curve, yields on two-year issues increased by 76 basis points while bonds with 30-year maturities experienced a yield decrease of 73 basis points, resulting in a total flattening of 149 basis points. (100 basis points equals one percentage point. See the accompanying graph for a depiction of municipal bond yield changes between the beginning and 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.

AAA Municipal bond yield curve (as of 5/31/04 and 5/31/05)

mmb_g10k190

Maturity

Source: Municipal Market Data

This chart is not intended to represent the yield of any Scudder fund.

Q:  How did Scudder Managed Municipal Bond Fund perform for the 12-month period ended May 31, 2005?

A:  Scudder Managed Municipal Bond Fund posted strong absolute results in the period but underperformed its benchmark and average Lipper peer. The fund's Class A shares delivered a total return of 6.53%, while its benchmark, the unmanaged Lehman Brothers Municipal Bond Index, returned 7.96%. The fund modestly underperformed its average peer in the Lipper General Municipal Debt Funds category, which gained 7.03%.4 (Returns are for Class A shares, 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 3 through 8 for the performance of other share classes and more complete performance information.)

4 The Lipper General Municipal Debt Funds category includes funds that invest primarily in municipal debt issues in the top four credit ratings. It is not possible to invest directly into a Lipper category.

Q:  How was the fund positioned, and how did this positioning contribute to its performance for the annual period ended May 31, 2005?

A:  We continue to monitor the municipal yield curve and position the fund's investments along the curve based upon where we believe the best total-return opportunities lie. At the same time, 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

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.

Strong individual credit selection helped the fund's performance for the period. In particular, our holdings of California general obligation bonds contributed positively to performance, as these bonds experienced a credit upgrade as well as tightening spreads. In addition, our exposure to tobacco-related and other lower-quality issues helped returns, as credit spreads generally tightened over the period. However, the fund overall was somewhat conservatively positioned with respect to the coupon, duration and credit quality of the bonds we held, and this caused our relative results to lag a bit. Generally, we had less exposure than our peers both to the long end of the yield curve and to bonds with lower relative credit quality, two areas that performed well during the period. This positioning reflects our assessment of the relative attractiveness from a risk/reward standpoint of different segments of the municipal market, and we believe it will help the fund deliver competitive results over time.

Looking ahead, we believe that municipal bond valuations relative to US government and agency debt are attractive all along the yield curve. We will continue to take a prudent approach to investing in the municipal bond market, while seeking to maintain an attractive dividend and minimize taxable capital gains distributions.

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.

Portfolio Summary May 31, 2005

 

Portfolio Composition

5/31/05

5/31/04

 

Revenue Bonds

57%

58%

General Obligation Bonds

23%

23%

US Government Secured

12%

10%

Lease Obligations

8%

9%

 

100%

100%

Quality

5/31/05

5/31/04

 

AAA

73%

72%

AA

8%

10%

A

6%

4%

BBB

7%

8%

Not Rated

6%

6%

 

100%

100%

Effective Maturity

5/31/05

5/31/04

 

0 < 5 years

24%

18%

5 < 10 years

53%

43%

10 < 15 years

18%

23%

Greater than 15 years

5%

16%

 

100%

100%

Weighted average effective maturity: 7.73 years and 10.22 years, respectively.

Top Five State Allocations (% of total Investment Portfolio)

5/31/05

5/31/04

 

California

18%

13%

Illinois

11%

13%

New Jersey

8%

7%

New York

7%

7%

Texas

7%

9%

 

 

Portfolio composition, quality, effective maturity and top five state allocations are subject to change.

The ratings of Moody's Investors Service, Inc. and Standard & Poor's Corporation represent these companies' 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.

For more complete details about the Fund's investment portfolio, see page 19. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to scudder.com on the 15th 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, 2005

mmb_accompanying_notes0

 

 

Principal Amount ($)

Value ($)

 

 

Municipal Bonds and Notes 90.7%

Alabama 0.1%

Phoenix County, AL, Industrial Development Revenue, Industrial Development Board, AMT, 6.35%, 5/15/2035

4,000,000

4,336,320

Alaska 0.5%

Anchorage, AK, Core City General Obligation, 5.5%,  7/1/2021 (b)

3,860,000

4,274,139

Anchorage, AK, Electric Revenue, 6.5%, 12/1/2015 (b)

5,000,000

6,217,850

Anchorage, AK, State General Obligation:

 

 

5.5%, 7/1/2019 (b)

2,500,000

2,798,725

5.5%, 7/1/2020 (b)

2,500,000

2,768,225

North Slope Borough, AK, County General Obligation Lease, Series B, Zero Coupon, 6/30/2011 (b)

5,000,000

4,014,850

20,073,789

Arizona 1.5%

Arizona, School District General Obligation, School Facilities Board Revenue:

 

 

Series B, 5.25%, 9/1/2017 (b)

6,500,000

7,349,420

5.5%, 7/1/2014

5,000,000

5,591,400

5.5%, 7/1/2015

3,000,000

3,349,620

5.5%, 7/1/2016

5,000,000

5,582,700

Arizona, Water & Sewer Revenue, Infrastructure Financing Authority:

 

 

Series A, Prerefunded, 5.375%, 10/1/2016

3,540,000

3,972,694

Series A, Prerefunded, 5.375%, 10/1/2017

2,280,000

2,558,685

Series A, Prerefunded, 5.375%, 10/1/2018

2,200,000

2,468,906

Mesa, AZ, Electric Revenue:

 

 

5.25%, 7/1/2016 (b)

7,500,000

8,574,525

5.25%, 7/1/2017 (b)

10,000,000

11,462,100

Phoenix, AZ, Transportation/Tolls Revenue, Series A, Zero Coupon, 7/1/2012 (b)

4,675,000

3,613,307

Phoenix, AZ, Water & Sewer Revenue, Civic Improvement Corp., Prerefunded, 6.0%, 7/1/2011 (b)

4,105,000

4,696,941

Scottsdale, AZ, General Obligation:

 

 

Prerefunded, 5.375%, 7/1/2014

380,000

428,146

Prerefunded, 5.375%, 7/1/2015

1,000,000

1,119,840

5.375%, 7/1/2015

1,635,000

1,821,341

Tucson, AZ, Water & Sewer Revenue, 5.5%, 7/1/2018 (b)

4,100,000

4,653,705

67,243,330

Arkansas 0.5%

Arkansas, University Revenues, University of Arkansas, UAMS Campus:

 

 

Series B, 5.0%, 11/1/2025 (b)

1,140,000

1,223,596

Series B, 5.0%, 11/1/2026 (b)

2,000,000

2,141,800

Jonesboro, AR, Hospital & Healthcare Revenue, Healthcare Facilities Authority, Bernard's Regional Medical Center, Series A, 5.8%, 7/1/2012 (b)

4,025,000

4,220,092

North Little Rock, AR, Electric Revenue, Series A, 6.5%, 7/1/2015 (b)

13,080,000

15,803,648

23,389,136

California 16.5%

Banning, CA, Water & Sewer Revenue, 1989 Water System Improvement Project, 8.0%, 1/1/2019 (b)

925,000

1,219,150

Banning, CA, Water & Sewer Revenue, Water System Reference & Improvement Project, 8.0%, 1/1/2019 (b)

985,000

1,221,952

California, Department of Water Resources Revenue:

 

 

Prerefunded, Series W, 5.5%, 12/1/2015

565,000

643,027

5.5%, 12/1/2015

2,825,000

3,177,475

California, Department of Water Resources Revenue, Central Valley Project, Series AC, 5.0%, 12/1/2027 (b)

9,000,000

9,621,090

California, Electric Revenue, Department of Water Resources and Power Supply:

 

 

Series A, 5.25%, 5/1/2020

2,000,000

2,174,380

Series A, 5.375%, 5/1/2021

5,000,000

5,473,500

Series A, 5.375%, 5/1/2022

10,665,000

11,661,324

Series A, 5.875%, 5/1/2016

20,000,000

22,741,800

California, Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue, Series A-1, 6.625%, 6/1/2040

27,545,000

29,778,624

California, Higher Education Revenue, 5.25%, 11/1/2020 (b)

6,315,000

7,004,093

California, Higher Education Revenue, Marymount University, Zero Coupon, 10/1/2014 (b)

1,000,000

696,370

California, Public Works Board, Lease Revenue, Department of Corrections, Series C, 5.0%, 6/1/2025

2,500,000

2,626,225

California, Public Works Board, Lease Revenue, Department of Mental Health:

 

 

Series A, 5.5%, 6/1/2021

5,275,000

5,878,671

Series A, 5.5%, 6/1/2022

1,400,000

1,556,856

California, Senior Care Revenue, Statewide Community Development Authority, California Lutheran Homes, ETM, 5.5%, 11/15/2008

2,250,000

2,355,570

California, Special Assessment Revenue, Golden State Tobacco Securitization Corp.:

 

 

Series B, 5.5%, 6/1/2043

9,950,000

10,677,942

Series B, 5.625%, 6/1/2038

37,265,000

40,643,445

Series 2003-A-1, 6.75%, 6/1/2039

47,520,000

51,917,025

California, State Agency General Obligation Lease, Series A, 6.3%, 12/1/2006 (b)

8,095,000

8,509,302

California, State General Obligation:

 

 

5.0%, 5/1/2015

10,450,000

11,552,371

5.0%, 6/1/2026

4,000,000

4,269,560

5.0%, 3/1/2029

13,595,000

14,436,802

5.0%, 6/1/2029 (b)

36,855,000

39,189,764

5.0%, 2/1/2031 (b)

26,975,000

28,348,567

5.0%, 4/1/2031 (b)

10,000,000

10,573,400

5.0%, 6/1/2031 (b)

32,365,000

34,337,000

5.0%, 12/1/2031 (b)

32,470,000

34,362,676

5.125%, 11/1/2024

5,000,000

5,345,000

5.25%, 2/1/2017

17,450,000

19,202,329

5.25%, 2/1/2027 (b)

4,790,000

5,170,230

6.25%, 10/1/2007 (b)

4,000,000

4,301,440

California, State Revenue Lease, Series A, 5.25%, 12/1/2020 (b)

22,040,000

24,048,505

California, State Revenue Lease, Public Works Board, Department of Corrections:

 

 

Series C, 5.5%, 6/1/2020

5,000,000

5,564,500

Series C, 5.5%, 6/1/2021

2,500,000

2,772,725

California, State University Revenue:

 

 

Series A, 5.0%, 11/1/2016 (b)

16,790,000

18,624,308

Series A, 5.125%, 5/15/2017 (b)

10,000,000

11,024,800

Series A, 5.25%, 11/1/2021 (b)

4,000,000

4,436,480

Fairfield-Suisun, CA, Unified School District General Obligation, Election 2002, 5.0%, 8/1/2024 (b)

3,840,000

4,121,395

Foothill, CA, Eastern Corridor Agency, Toll Road Revenue:

 

 

Series A, ETM, Zero Coupon, 1/1/2015

11,000,000

7,589,780

Series A, ETM, Zero Coupon, 1/1/2017

5,000,000

3,117,550

Foothill, CA, Transportation/Tolls Revenue, Eastern Corridor Agency:

 

 

Series A, ETM, Zero Coupon, 1/1/2018

21,890,000

12,958,661

Series A, Prerefunded, 6.0%, 1/1/2016

20,400,000

23,025,276

Series A, ETM, 7.05%, 1/1/2009

5,000,000

5,698,500

Series A, Prerefunded, 7.1%, 1/1/2011

4,000,000

4,766,120

Series A, Prerefunded, 7.1%, 1/1/2012

4,000,000

4,766,120

Series A, Prerefunded, 7.15%, 1/1/2014

6,250,000

7,460,313

La Quinta, CA, Financing Authority Local Agency Revenue, Series A, 5.0%, 9/1/2029 (b)

12,400,000

13,197,072

Los Angeles County, CA, County General Obligation Lease:

 

 

Zero Coupon, 9/1/2007

4,030,000

3,733,956

Zero Coupon, 9/1/2009

5,425,000

4,668,104

Los Angeles, CA, Airport Revenue, Regional Airports Improvement Corporation Lease, AMT, Series C, 7.5%*, 12/1/2024

2,500,000

2,619,575

Los Angeles, CA, School District General Obligation, Unified School District:

 

 

Series A, 5.0%, 7/1/2023 (b)

12,000,000

12,939,240

Series A, 5.0%, 7/1/2024 (b)

10,000,000

10,756,800

5.75%, 7/1/2015 (b)

2,000,000

2,361,780

5.75%, 7/1/2016 (b)

17,000,000

20,169,990

Los Angeles, CA, Union School District, Series A, 5.375%, 7/1/2018 (b)

16,575,000

18,585,050

Madera County, CA, Hospital & Healthcare Revenue, Valley Childrens Hospital, 6.5%, 3/15/2010 (b)

2,840,000

3,257,366

Murrieta Valley, CA, School District General Obligation, Unified School District, Series A, Zero Coupon, 9/1/2014 (b)

4,235,000

2,960,011

Oakland, CA, Special Assessment Revenue, Oakland Convention Centers, 5.5%, 10/1/2014 (b)

2,000,000

2,305,720

Roseville, CA, School District General Obligation, Junior High, Series B, Zero Coupon, 8/1/2015 (b)

1,000,000

663,240

San Diego, CA, School District General Obligation, Series A, Zero Coupon, 7/1/2014 (b)

3,420,000

2,408,022

San Diego, CA, Water & Sewer Revenue:

 

 

5.632%, 4/25/2007 (b)

6,300,000

6,626,655

5.681%, 4/22/2009 (b)

4,500,000

4,938,300

San Joaquin County, CA, County General Obligation Lease, Facilities Project, 5.5%, 11/15/2013 (b)

3,895,000

4,454,712

San Joaquin Hills, CA, Transportation/Tolls Revenue, Transportation Corridor Agency, Toll Road Revenue:

 

 

Series A, Zero Coupon, 1/15/2012 (b)

5,000,000

3,950,350

Series A, Zero Coupon, 1/15/2013 (b)

35,295,000

26,670,314

Series A, Zero Coupon, 1/15/2014 (b)

14,905,000

10,702,982

Ukiah, CA, School District General Obligation Lease, Zero Coupon, 8/1/2015 (b)

2,000,000

1,336,560

Vallejo City, CA, General Obligation, Unified School District, Series A, 5.9%, 2/1/2022 (b)

3,905,000

4,803,697

734,751,489

Colorado 2.5%

Colorado, E-470 Public Highway Authority Revenue, Series B, Zero Coupon, 9/1/2016 (b)

5,000,000

3,127,000

Colorado, Hospital & Healthcare Revenue, Portercare Adventist Health Project, 6.5%, 11/15/2031

3,000,000

3,343,950

Colorado, Senior Care Revenue, Covenant Retirement Communities Project, Health Facilities Authority:

 

 

6.75%, 12/1/2015

1,750,000

1,806,998

6.75%, 12/1/2025

4,150,000

4,279,646

Colorado, Transportation/Tolls Revenue:

 

 

Series B, Zero Coupon, 9/1/2014 (b)

11,295,000

7,795,018

Series B, Zero Coupon, 9/1/2015 (b)

21,500,000

14,143,345

Series B, Zero Coupon, 9/1/2017 (b)

8,000,000

4,748,320

Series B, Zero Coupon, 9/1/2018 (b)

20,560,000

11,591,728

Series B, Zero Coupon, 9/1/2019 (b)

36,500,000

19,543,560

Series B, Zero Coupon, 9/1/2020 (b)

7,000,000

3,556,420

Series B, Zero Coupon, 9/1/2034

15,200,000

2,087,416

Series A, 5.75%, 9/1/2014 (b)

14,700,000

17,214,876

Denver, CO, School District General Obligation, Series A, 6.5%, 12/1/2010

3,000,000

3,498,960

Douglas County, CO, School District General Obligation, 7.0%, 12/15/2013 (b)

2,500,000

3,138,475

Garfield Pitkin & Eagle Counties, CO, General Obligation School District No. 1, Series A, 5.0%, 12/15/2026 (b)

4,000,000

4,283,400

Mesa County, CO, Residual Revenue, EMT, Zero Coupon, 12/1/2011

11,435,000

9,066,354

113,225,466

Connecticut 0.9%

Connecticut, State General Obligation:

 

 

Series A, 5.375%, 4/15/2016

2,805,000

3,164,208

Series A, 5.375%, 4/15/2017

4,870,000

5,493,652

Prerefunded, Series A, 5.375%, 4/15/2018

4,000,000

4,512,240

Series A, 5.375%, 4/15/2019

10,075,000

11,365,205

Series C, 5.5%, 12/15/2014

5,000,000

5,803,650

Series C, 5.5%, 12/15/2015

5,000,000

5,825,550

Series B, 5.5%, 6/15/2018

1,000,000

1,137,770

Prerefunded, Series E, ETM, 6.0%, 3/15/2012

170,000

198,008

Greenwich, CT, Multi-Family Housing Revenue, 6.35%, 9/1/2027

2,640,000

2,701,723

40,202,006

District of Columbia 0.2%

District of Columbia, Core City General Obligation:

 

 

Series B3, 5.5%, 6/1/2012 (b)

1,050,000

1,183,759

Prerefunded, Series A1, ETM, 6.5%, 6/1/2010 (b)

1,095,000

1,267,211

District of Columbia, General Obligation, Series A1, 6.5%, 6/1/2010 (b)

1,175,000

1,350,510

District of Columbia, Water & Sewer Revenue, Public Utility Revenue, 5.5%, 10/1/2023 (b)

5,000,000

5,920,750

9,722,230

Florida 4.8%

Florida, Industrial Development Revenue, Capital Travel Agency, Seminole Tribe Convention, Series A, 10.0%, 10/1/2033

13,900,000

15,459,441

Florida, Municipal Loan Council Revenue, Series A, 5.25%, 5/1/2019 (b)

1,000,000

1,093,650

Florida, State Board of Public Education:

 

 

Series D, 5.375%, 6/1/2016

5,765,000

6,417,713

Series D, 5.375%, 6/1/2019

1,000,000

1,110,600

Florida, State Turnpike Authority Revenue, Department of Transportation, Series A, 5.0%, 7/1/2017 (b)

42,000,000

46,018,560

Florida, Village Center Community Development District, Utility Revenue, ETM, 6.0%, 11/1/2018 (b)

1,250,000

1,511,063

Florida, Water Pollution Control Financing Corp. Revenue, 5.5%, 1/15/2014

1,000,000

1,118,780

Fort Pierce, FL, Utilities Authority Revenue, Series B, Zero Coupon, 10/1/2018 (b)

2,000,000

1,149,060

Gainesville, FL, Utilities System Revenue, Series B, 6.5%, 10/1/2010

1,370,000

1,590,707

Highlands County, FL, Health Facilities Authority Revenue, Adventist Health Systems:

 

 

5.25%, 11/15/2020

1,000,000

1,040,290

5.25%, 11/15/2028

5,300,000

5,470,395

Highlands County, FL, Health Facilities Authority Revenue, Adventist Sunbelt, Series A, 6.0%, 11/15/2031

7,000,000

7,662,130

Hillsborough County, FL, Industrial Development Authority Revenue, University Community Hospital, 6.5%, 8/15/2019 (b)

1,000,000

1,252,330

Hillsborough County, FL, School District Sales Tax Revenue, Prerefunded, 5.375%, 10/1/2016 (b)

1,000,000

1,122,230

Jacksonville, FL, Health Facilities Authority:

 

 

Prerefunded, 11.5%, 10/1/2012

55,000

57,777

Prerefunded, ETM, 11.5%, 10/1/2012

85,000

129,091

Jacksonville, FL, Sales & Special Tax Revenue, Local Government:

 

 

5.5%, 10/1/2014 (b)

3,000,000

3,364,260

5.5%, 10/1/2015 (b)

4,730,000

5,492,902

5.5%, 10/1/2016 (b)

6,760,000

7,887,973

5.5%, 10/1/2018 (b)

6,470,000

7,600,762

Lee County, FL, Transportation Facilities, Series A, 5.0%, 10/1/2027 (b)

8,000,000

8,556,480

Leesburg, FL, Utilities Revenue, 5.0%, 10/1/2029 (b)

800,000

851,816

Melbourne, FL, Water & Sewer Revenue, ETM, Zero Coupon, 10/1/2016 (b)

1,350,000

857,007

Miami Beach, FL, Stormwater Revenue, 5.75%, 9/1/2017 (b)

725,000

816,604

Miami-Dade County, FL, Educational Facilities Authority Revenue, University of Miami, Series A, 5.0%, 4/1/2031 (b)

5,910,000

6,266,787

Miami-Dade County, FL, Sales & Special Tax Revenue:

 

 

Series A, Zero Coupon, 10/1/2014 (b)

2,195,000

1,435,837

Series A, Zero Coupon, 10/1/2022 (b)

7,000,000

2,881,270

Nassau County, FL, ICF/MR-Intercare Facilities Mentally Retarded Revenue, GF/Amelia Island Properties Project, Series A, 9.75%, 1/1/2023

935,000

946,136

Orange County, FL, Health Facilities Authority Revenue, Orlando Regional Healthcare System:

 

 

5.75%, 12/1/2032

1,000,000

1,077,180

Series A, 6.25%, 10/1/2018 (b)

500,000

615,645

Series C, 6.25%, 10/1/2021 (b)

6,000,000

7,528,560

Orange County, FL, Health Facilities Authority, Orlando Regional Facilities, Series A, ETM, 6.25%, 10/1/2016 (b)

2,830,000

3,515,228

Orange County, FL, Hospital & Healthcare Revenue, Health Facilities Authority, Orlando Regional Healthcare, Series A, 6.25%, 10/1/2016 (b)

1,170,000

1,418,414

Orlando & Orange County, FL, Expressway Authority Revenue, 6.5%, 7/1/2012 (b)

1,000,000

1,196,090

Orlando, FL, Electric Revenue, Community Utilities, 6.75%, 10/1/2017

6,500,000

8,029,125

Orlando, FL, Special Assessment Revenue, Conroy Road Interchange Project, Series A, 5.8%, 5/1/2026

500,000

506,035

Palm Beach County, FL, Airport Revenue:

 

 

5.75%, 10/1/2012 (b)

5,000,000

5,741,000

5.75%, 10/1/2013 (b)

5,000,000

5,787,250

Palm Beach County, FL, Airport System Revenue, 5.75%, 10/1/2014 (b)

1,000,000

1,167,800

Palm Beach County, FL, Criminal Justice Facilities Revenue, 7.2%, 6/1/2015 (b)

110,000

142,988

Pembroke Pines, FL, Public Improvement Revenue, Series A, 5.0%, 10/1/2029 (b)

1,755,000

1,868,671

Pinellas County, FL, Health Facilities Authority Revenue, Hospital Facilities, Bayfront Projects, 2.99%*, 7/1/2034, SunTrust Bank (c)

1,410,000

1,410,000

Riviera Beach, FL, Utility Special District, Water & Sewer Revenue, 5.0%, 10/1/2029 (b)

3,995,000

4,253,756

Sunrise, FL, Water & Sewer Revenue, Utility Systems, 5.5%, 10/1/2018 (b)

12,500,000

14,520,875

Tallahassee, FL, Energy System Revenue:

 

 

Series A, 5.25%, 10/1/2014 (b)

1,000,000

1,133,580

5.5%, 10/1/2016 (b)

1,005,000

1,168,644

Tampa, FL, Bay Water Utility Systems Revenue, Prerefunded, 5.625%, 10/1/2013 (b)

1,850,000

2,102,414

Tampa, FL, Occupational License Tax, Series A, 5.375%, 10/1/2017 (b)

1,000,000

1,116,530

Tampa, FL, Sales Tax Revenue, Series A, 5.375%, 10/1/2017 (b)

500,000

556,980

Tampa, FL, Sports Authority Revenue, Sales Tax-Tampa Bay Arena Project, 5.75%, 10/1/2020 (b)

2,075,000

2,508,052

Tampa, FL, Utility Tax Revenue, Zero Coupon, 10/1/2014 (b) (e)

3,165,000

2,199,992

Westchase, FL, Community Development District, Special Assessment Revenue, 5.8%, 5/1/2012 (b)

2,965,000

3,100,500

211,826,960

Georgia 1.4%

Atlanta, GA, Airport Revenue AMT:

 

 

Series B, 5.75%, 1/1/2010 (b)

4,240,000

4,650,941

Series B, 5.75%, 1/1/2011 (b)

1,590,000

1,750,590

Series C, 6.0%, 1/1/2011 (b)

7,375,000

8,193,920

Atlanta, GA, Water & Sewer Revenue, Series A, 5.5%, 11/1/2019 (b)

13,000,000

15,332,070

Cobb County, GA, Hospital & Healthcare Revenue, Series A, 5.625%, 4/1/2011 (b)

2,305,000

2,540,479

Fulton County, GA, Single Family Housing Revenue:

 

 

Series A, AMT, 6.55%, 3/1/2018

20,000

20,169

Series A, AMT, 6.6%, 3/1/2028

260,000

263,146

Georgia, Municipal Electric Authority Power Revenue:

 

 

Series 2005-Y, Prerefunded, 6.4%, 1/1/2013 (b)

35,000

40,791

Series 2005-Y, 6.4%, 1/1/2013 (b)

3,270,000

3,822,662

Series Y, Prerefunded, ETM, 6.4%, 1/1/2013 (b)

195,000

228,616

Series V, 6.5%, 1/1/2012 (b)

5,000,000

5,691,600

Series X, 6.5%, 1/1/2012 (b)

3,500,000

3,964,695

Series W, 6.6%, 1/1/2018 (b)

11,270,000

13,859,959

Georgia, Water & Sewer Revenue, Municipal Electric Authority Power Revenue, Series W, ETM, 6.6%, 1/1/2018 (b)

200,000

247,424

Macon-Bibb County, GA, Hospital & Healthcare Revenue, Series C, 5.25%, 8/1/2011 (b)

3,000,000

3,326,880

63,933,942

Hawaii 0.0%

Hawaii, State General Obligation, Series CU, Prerefunded, 5.875%, 10/1/2014 (b)

1,500,000

1,701,120

Illinois 9.9%

Chicago, IL, Core City General Obligation:

 

 

City Colleges, Zero Coupon, 1/1/2017 (b)

20,000,000

12,287,600

Series B, 5.0%, 1/1/2011 (b)

1,620,000

1,764,941

Series B, 5.125%, 1/1/2015 (b)

9,550,000

10,588,085

Series A, 5.375%, 1/1/2013 (b)

15,410,000

17,052,244

6.25%, 1/1/2011 (b)

3,000,000

3,391,320

Chicago, IL, Sales & Special Tax Revenue, 5.375%, 1/1/2014 (b)

5,000,000

5,652,150

Chicago, IL, School District General Obligation Lease, Board of Education:

 

 

Series A, 6.0%, 1/1/2016 (b)

11,025,000

13,159,219

Series A, 6.0%, 1/1/2020 (b)

46,340,000

55,885,577

Series A, 6.25%, 1/1/2009 (b)

6,735,000

7,459,888

Series A, 6.25%, 1/1/2015 (b)

28,725,000

33,851,838

Chicago, IL, School District General Obligation Lease, Public Housing Revenue, Series A, 5.25%, 12/1/2011 (b)

9,705,000

10,787,787

Chicago, IL, School District General Obligation, Board of Education:

 

 

Series B, Zero Coupon, 12/1/2009 (b)

7,615,000

6,568,318

Series A, Zero Coupon, 12/1/2014 (b)

2,000,000

1,367,880

6.0%, 12/1/2016 (b)

5,000,000

5,323,050

Chicago, IL, School District Revenue Lease, Board of Education, 6.25%, 12/1/2011 (b)

1,600,000

1,867,280

Chicago, IL, Water & Sewer Revenue:

 

 

Zero Coupon, 11/1/2012 (b)

6,350,000

4,781,867

Zero Coupon, 11/1/2018 (b)

5,165,000

2,895,706

5.375%, 1/1/2013 (b)

3,215,000

3,614,496

Cook & Du Page Counties, IL, School District General Obligation, Zero Coupon, 12/1/2009 (b)

2,860,000

2,461,430

Cook County, IL, County General Obligation, 6.5%, 11/15/2014 (b)

18,560,000

22,757,344

Hoffman Estates, IL, Sales & Special Tax Revenue, Tax Increment Revenue:

 

 

Zero Coupon, 5/15/2006

4,500,000

4,331,250

Zero Coupon, 5/15/2007

15,460,000

14,306,375

Illinois, Airport Revenue, Metropolitan Pier and Exposition Authority, Series A, Zero Coupon, 6/15/2011 (b)

895,000

722,462

Illinois, Health Facilities Authority, ETM, 7.0%, 2/15/2009

2,950,000

3,193,316

Illinois, Higher Education Revenue, Zero Coupon, 4/1/2015 (b)

3,300,000

2,220,471

Illinois, Development Finance Authority, Hospital & Healthcare Revenue, Adventist Health System:

 

 

5.5%, 11/15/2020

10,000,000

10,562,300

5.5%, 11/15/2029

5,475,000

5,708,399

Illinois, Development Finance Authority, Pollution Control Revenue, 5.85%, 1/15/2014 (b)

5,000,000

5,786,350

Illinois, Development Finance Authority, Sales & Special Tax Revenue, 7.5%, 11/15/2013

1,250,000

1,279,638

Illinois, Hospital & Healthcare Revenue, Health Facilities Authority:

 

 

5.2%, 9/1/2012

1,000,000

1,046,990

6.0%, 8/15/2007 (b)

1,460,000

1,549,834

6.0%, 8/15/2009 (b)

1,640,000

1,814,840

6.25%, 8/15/2013 (b)

3,400,000

3,935,806

Series A, 6.25%, 1/1/2015 (b)

17,000,000

19,563,260

6.4%, 6/1/2008 (b)

1,350,000

1,474,538

Illinois, Metropolitan Pier and Exposition Authority, Series A, ETM, Zero Coupon, 6/15/2011 (b)

2,900,000

2,342,330

Illinois, Project Revenue, Zero Coupon, 1/1/2014 (b)

17,975,000

12,794,785

Illinois, Project Revenue, Metropolitan Pier and Exposition Authority, Zero Coupon, 6/15/2016 (b)

10,000,000

6,382,000

Illinois, Sales & Special Tax Revenue:

 

 

6.25%, 12/15/2011 (b)

3,000,000

3,426,990

6.25%, 12/15/2020 (b)

6,975,000

8,589,224

Series A, 6.5%, 12/15/2007 (b)

4,765,000

5,175,409

Series A, 6.5%, 12/15/2008 (b)

5,255,000

5,862,268

Series P, 6.5%, 6/15/2013

2,100,000

2,442,006

Illinois, Sales & Special Tax Revenue, Metropolitan Pier and Exposition Authority, Zero Coupon, 6/15/2013 (b)

7,565,000

5,564,133

Illinois, Special Assessment Revenue, Metropolitan Pier and Exposition Authority, Series A, Zero Coupon, 12/15/2018 (b)

6,660,000

3,768,761

Illinois, State General Obligation, 5.5%, 5/1/2016 (b)

2,500,000

2,885,250

Illinois, Water & Sewer Revenue, Northwest Suburban Municipal Joint Action Water Agency, 6.45%, 5/1/2007 (b)

2,575,000

2,742,272

Joliet, IL, Higher Education Revenue, College Assistance Corp., North Campus Extension Center Project, 6.7%, 9/1/2012 (b)

2,500,000

2,855,400

Kane Cook & Du Page County, IL, School District General Obligation:

 

 

Series B, Zero Coupon, 1/1/2011 (b)

1,040,000

850,751

Series B, Zero Coupon, 1/1/2012 (b)

1,300,000

1,012,687

Series B, Zero Coupon, 1/1/2013 (b)

4,595,000

3,410,501

Kane County, IL, School District General Obligation, Aurora West Side, Series A, 6.5%, 2/1/2010 (b)

1,775,000

2,026,127

Lake Cook Kane & McHenry Counties, IL, School District General Obligation, 6.3%, 12/1/2017 (b)

1,885,000

2,335,779

Lake County, IL, Higher Education Revenue, District No. 117:

 

 

Series B, Zero Coupon, 12/1/2013 (b)

5,880,000

4,192,969

Series B, Zero Coupon, 12/1/2014 (b)

5,985,000

4,064,533

Northern, IL, Higher Education Revenue, University, Auxiliary Facilities System:

 

 

Zero Coupon, 10/1/2005 (b)

1,865,000

1,847,879

Zero Coupon, 10/1/2007 (b)

1,865,000

1,735,420

Oak Lawn, IL, Water & Sewer Revenue:

 

 

Zero Coupon, 10/1/2005 (b)

1,295,000

1,282,710

Zero Coupon, 10/1/2006 (b)

1,295,000

1,242,229

Rosemont, IL, Capital Appreciation Tax:

 

 

ETM, Series 3, Zero Coupon, 12/1/2005

5,575,000

5,497,730

Series 3, Zero Coupon, 12/1/2005 (b)

1,485,000

1,464,552

ETM, Series 3, Zero Coupon, 12/1/2007

2,100,000

1,947,771

Series 3, Zero Coupon, 12/1/2007 (b)

555,000

514,008

Rosemont, IL, Other General Obligation, Tax Increment, Zero Coupon, 12/1/2005 (b)

4,455,000

4,393,655

Skokie, IL, Other General Obligation, Park District, Series B, Zero Coupon, 12/1/2011 (b)

3,000,000

2,372,520

University Park, IL, Sales & Special Tax Revenue, Governors Gateway Industrial Park, 8.5%, 12/1/2011

1,800,000

1,839,528

Will County, IL, Community Unit School District No. 201-U, ETM, Zero Coupon, 12/15/2006 (b)

3,725,000

3,562,478

Will County, IL, County General Obligation:

 

 

Series B, Zero Coupon, 12/1/2011 (b)

4,145,000

3,265,473

Series B, Zero Coupon, 12/1/2012 (b)

2,480,000

1,859,975

Series B, Zero Coupon, 12/1/2013 (b)

12,030,000

8,600,728

Series B, Zero Coupon, 12/1/2014 (b)

10,255,000

6,983,860

Will County, IL, School District General Obligation, Community Unit School District No. 365-U, Series B, Zero Coupon, 11/1/2015 (b)

8,000,000

5,220,480

Winnebago County, IL, School District General Obligation, District No. 122 Harlem-Loves, 6.55%, 6/1/2010 (b)

1,825,000

2,101,962

439,470,982

Indiana 1.5%

Indiana, Electric Revenue, Municipal Power Agency:

 

 

Series B, 5.5%, 1/1/2016 (b)

10,160,000

11,621,719

Series B, 6.0%, 1/1/2012 (b)

1,750,000

2,016,875

Indiana, Health Facilities Financing Authority, ETM, 6.0%, 7/1/2010 (b)

1,035,000

1,169,157

Indiana, Higher Education Revenue, Series H, Zero Coupon, 8/1/2006 (b)

6,000,000

5,800,500

Indiana, Hospital & Healthcare Revenue, Health Facilities Finance Authority, Greenwood Village South Project, 5.625%, 5/15/2028

2,100,000

2,141,706

Indiana, Hospital & Healthcare Revenue, Health Facilities Financing Authority:

 

 

Series D, 5.75%, 11/15/2012

4,660,000

5,097,621

Prerefunded, ETM, 6.0%, 7/1/2005 (b)

1,535,000

1,539,037

ETM, 6.0%, 7/1/2005 (b)

485,000

486,256

Prerefunded, ETM, 6.0%, 7/1/2006 (b)

1,630,000

1,683,187

ETM, 6.0%, 7/1/2006 (b)

515,000

531,557

Prerefunded, ETM, 6.0%, 7/1/2007 (b)

1,725,000

1,830,328

ETM, 6.0%, 7/1/2007 (b)

545,000

577,428

Prerefunded, ETM, 6.0%, 7/1/2008 (b)

945,000

1,027,725

ETM, 6.0%, 7/1/2008 (b)

300,000

325,386

Prerefunded, ETM, 6.0%, 7/1/2009 (b)

980,000

1,087,986

ETM, 6.0%, 7/1/2009 (b)

310,000

342,845

ETM, 6.0%, 7/1/2010 (b)

325,000

365,586

Prerefunded, ETM, 6.0%, 7/1/2011 (b)

1,100,000

1,258,862

ETM, 6.0%, 7/1/2011 (b)

345,000

394,621

Prerefunded, ETM, 6.0%, 7/1/2012 (b)

1,165,000

1,349,839

ETM, 6.0%, 7/1/2012 (b)

370,000

426,821

Prerefunded, ETM, 6.0%, 7/1/2013 (b)

1,230,000

1,440,576

ETM, 6.0%, 7/1/2013 (b)

390,000

455,126

Prerefunded, ETM, 6.0%, 7/1/2014 (b)

1,310,000

1,548,918

ETM, 6.0%, 7/1/2014 (b)

410,000

483,209

Prerefunded, ETM, 6.0%, 7/1/2015 (b)

1,385,000

1,652,942

ETM, 6.0%, 7/1/2015 (b)

440,000

519,227

Prerefunded, ETM, 6.0%, 7/1/2016 (b)

1,470,000

1,771,350

ETM, 6.0%, 7/1/2016 (b)

465,000

551,485

Prerefunded, ETM, 6.0%, 7/1/2017 (b)

1,560,000

1,890,860

ETM, 6.0%, 7/1/2017 (b)

490,000

584,982

Prerefunded, ETM, 6.0%, 7/1/2018 (b)

1,655,000

2,015,112

ETM, 6.0%, 7/1/2018 (b)

520,000

622,471

Indiana, Transportation/Tolls Revenue, Series A, 7.25%, 6/1/2015

3,120,000

3,907,675

Indiana, Transportation/Tolls Revenue, Transportation Authority:

 

 

Series A, 5.75%, 6/1/2012 (b)

4,550,000

5,221,171

Prerefunded, Series A, ETM, 7.25%, 6/1/2015

880,000

1,046,179

Indiana, Transportation/Tolls Revenue, Transportation Finance Authority, Prerefunded, Series A, 5.75%, 6/1/2012 (b)

450,000

509,872

Merrillville, IN, School District Revenue Lease, Multiple School Building Corp., First Mortgage, Zero Coupon, 1/15/2011 (b)

4,000,000

3,274,400

68,570,597

Iowa 0.4%

Iowa, Project Revenue:

 

 

5.5%, 2/15/2015 (b)

10,530,000

12,137,404

5.5%, 2/15/2016 (b)

6,645,000

7,703,549

19,840,953

Kansas 0.8%

Johnson County, KS, School District General Obligation, Series B, 5.5%, 9/1/2015 (b)

1,860,000

2,161,952

Kansas, Pollution Control Revenue, Development Financing Authority:

 

 

Series II, 5.5%, 5/1/2014

2,000,000

2,307,700

Series II, 5.5%, 11/1/2015

1,000,000

1,158,330

Series II, 5.5%, 11/1/2017

1,000,000

1,171,880

Kansas, Transportation/Tolls Revenue, Development Financing Authority, Series A, Prerefunded, 5.75%, 9/1/2013

8,235,000

9,278,045

Kansas City, KS, Electric Revenue, Utility Systems Revenue, Zero Coupon, 9/1/2006 (b)

1,375,000

1,326,985

Overland Park, KS, Industrial Development Revenue, Series A, 7.375%, 1/1/2032

12,000,000

13,165,440

Saline County, KS, Unified School District No. 305, Salina:

 

 

Prerefunded, 5.5%, 9/1/2017 (b)

2,465,000

2,750,447

5.5%, 9/1/2017 (b)

775,000

861,661

34,182,440

Kentucky 2.1%

Kentucky, Hospital & Healthcare Revenue, Norton Healthcare Inc., Economic Development Finance Authority:

 

 

Series C, Step-up Coupon, 0% to 10/1/2005, 5.6% to 10/1/2012 (b)

13,670,000

15,148,821

Series C, Step-up Coupon, 0% to 10/1/2005, 5.7% to 10/1/2013 (b)

8,245,000

9,249,323

Series C, Step-up Coupon, 0% to 10/1/2005, 5.8% to 10/1/2014 (b)

5,130,000

5,794,130

Series C, Step-up Coupon, 0% to 10/1/2005, 5.8% to 10/1/2015 (b)

5,235,000

5,870,058

Series C, Step-up Coupon, 0% to 10/1/2005, 5.9% to 10/1/2016 (b)

6,500,000

7,278,700

Kentucky, Project Revenue:

 

 

5.5%, 8/1/2017 (b)

6,770,000

7,907,699

5.5%, 8/1/2018 (b)

5,000,000

5,865,400

5.5%, 8/1/2019 (b)

6,870,000

8,086,127

5.5%, 8/1/2020 (b)

4,320,000

5,108,227

Kentucky, State Agency Revenue Lease, Property and Buildings Project No. 69:

 

 

Series A, Prerefunded, 5.375%, 8/1/2016 (b)

2,905,000

3,255,052

Series A, 5.375%, 8/1/2016 (b)

2,095,000

2,312,545

Kentucky, State Agency Revenue Lease, Property and Buildings Project No. 71:

 

 

5.5%, 8/1/2014

4,250,000

4,883,378

5.5%, 8/1/2015

4,000,000

4,606,000

Kentucky, State Revenue Lease, Property and Buildings Project No. 68, Prerefunded, 5.75%, 10/1/2015

5,375,000

6,062,946

91,428,406

Louisiana 0.4%

Jefferson, LA, Sales & Special Tax Revenue:

 

 

5.75%, 12/1/2015 (b)

2,335,000

2,673,131

5.75%, 12/1/2016 (b)

2,465,000

2,821,957

5.75%, 12/1/2017 (b)

2,610,000

2,984,274

5.75%, 12/1/2018 (b)

2,760,000

3,151,865

Louisiana, Public Facilities Authority, Centenary College Louisiana Project:

 

 

Prerefunded, 5.75%, 2/1/2012

1,000,000

1,079,750

Prerefunded, 5.9%, 2/1/2017

1,000,000

1,083,570

New Orleans, LA, Other General Obligation, Zero Coupon, 9/1/2005 (b)

2,500,000

2,482,925

Orleans, LA, Sales & Special Tax Revenue, Levee, District Improvement Project, 5.95%, 11/1/2014 (b)

1,370,000

1,431,910

17,709,382

Maine 0.1%

Maine, Transportation/Tolls Revenue, Turnpike Authority, 5.625%, 7/1/2017 (b)

4,350,000

4,901,058

Maryland 1.3%

Baltimore, MD, Sales & Special Tax Revenue, Series A, 5.9%, 7/1/2012 (b)

3,100,000

3,580,965

Maryland, Hospital & Healthcare Revenue, University of Maryland Medical System, 6.75%, 7/1/2030

4,000,000

4,515,280

Maryland, Project Revenue, Economic Development Corp., Chesapeake Bay, Series B, 7.75%, 12/1/2031

37,000,000

39,206,680

Northeast, MD, Resource Recovery Revenue, Waste Disposal Authority:

 

 

7.2%, 1/1/2006 (b)

4,940,000

5,007,431

7.2%, 1/1/2007 (b)

3,390,000

3,436,104

55,746,460

Massachusetts 5.0%

Massachusetts, Airport Revenue, Port Authority, AMT, Series B, 5.5%, 7/1/2012 (b)

3,025,000

3,265,699

Massachusetts, Airport Revenue, Port Authority, Delta Air Lines, Inc. Project, AMT, Series A, 5.5%, 1/1/2017 (b)

4,000,000

4,264,320

Massachusetts, Higher Education Revenue, Massachusetts Institute of Technology, 5.5%, 7/1/2022

9,000,000

10,802,070

Massachusetts, Higher Education Revenue, Building Authority Project:

 

 

Series 2, 5.5%, 11/1/2017 (b)

1,105,000

1,220,318

Series 2, 5.5%, 11/1/2018 (b)

1,400,000

1,544,648

Massachusetts, Higher Education Revenue, College Building Authority Project, Series A, 7.5%, 5/1/2014

5,500,000

7,005,130

Massachusetts, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Massachusetts General, Hospital, Series F, 6.25%, 7/1/2012 (b)

1,000,000

1,113,750

Massachusetts, Industrial Development Revenue, Development Finance Agency, Series A, 7.1%, 7/1/2032

4,950,000

5,006,628

Massachusetts, Port Authority Revenue, ETM, 13.0%, 7/1/2013

1,265,000

1,792,619

Massachusetts, Port Authority Revenue, AMT, Delta Air Lines, Inc. Project, Series A, 5.5%, 1/1/2018 (b)

5,000,000

5,304,850

Massachusetts, Project Revenue, 9.2%, 12/15/2031

17,000,000

19,656,760

Massachusetts, Project Revenue, Health & Educational Facilities Authority, Series B, 9.15%, 12/15/2023

3,000,000

3,479,460

Massachusetts, Sales & Special Tax Revenue, Federal Highway Grant, Series A, Zero Coupon, 12/15/2014

27,680,000

18,958,862

Massachusetts, State General Obligation, College Building Authority Project, Series A, 7.5%, 5/1/2010

4,110,000

4,896,613

Massachusetts, State General Obligation, Consolidated Loan:

 

 

Series D, 5.5%, 11/1/2018 (b)

4,000,000

4,688,680

Series D, 5.5%, 11/1/2019 (b)

7,500,000

8,818,050

Series D, 5.5%, 11/1/2020 (b)

2,000,000

2,361,700

Massachusetts, State General Obligation, Bay Transportation Authority:

 

 

Series A, 5.875%, 3/1/2015

10,075,000

11,785,030

Series B, 6.2%, 3/1/2016

17,450,000

20,828,669

Massachusetts, Transportation/Tolls Revenue, Turnpike Authority, Series C, Zero Coupon, 1/1/2018 (b)

10,000,000

5,883,600

Massachusetts, Water & Sewer Revenue, Water Authority:

 

 

Series J, 5.5%, 8/1/2020 (b)

34,315,000

40,576,115

Series J, 5.5%, 8/1/2021 (b)

5,685,000

6,733,939

Massachusetts, Water & Sewer Revenue, Water Resource Authority:

 

 

Series C, 6.0%, 12/1/2011

10,000,000

11,411,000

Series A, 6.5%, 7/15/2009

2,625,000

2,970,923

Series A, 6.5%, 7/15/2019

13,710,000

16,878,792

221,248,225

Michigan 1.7%

Detroit, MI, Core City General Obligation, Series B, 6.0%, 4/1/2016 (b)

2,865,000

3,254,984

Detroit, MI, School District General Obligation:

 

 

Series C, 5.25%, 5/1/2014 (b)

1,000,000

1,127,470

Series A, 5.5%, 5/1/2015 (b)

6,675,000

7,473,397

Series A, 5.5%, 5/1/2017 (b)

3,295,000

3,684,831

Detroit, MI, State General Obligation:

 

 

Series A-1, 5.375%, 4/1/2016 (b)

2,760,000

3,055,679

Series A-1, 5.375%, 4/1/2018 (b)

3,000,000

3,314,220

Detroit, MI, Water & Sewer Revenue, Series A, Zero Coupon, 7/1/2015 (b)

8,710,000

5,807,741

Grand Rapids, MI, Water & Sewer Revenue, Water Supply, 5.75%, 1/1/2016 (b)

2,955,000

3,306,142

Michigan, Electric Revenue, Series A, 5.25%, 1/1/2018 (b)

11,000,000

12,482,910

Michigan, Hospital & Healthcare Revenue, Hospital Finance Authority, Gratiot Community Hospital, 6.1%, 10/1/2007

1,225,000

1,272,763

Michigan, Sales & Special Tax Revenue, State Trunk Line:

 

 

Series A, 5.5%, 11/1/2014 (b)

4,055,000

4,565,727

Series A, Prerefunded, 5.5%, 11/1/2016 (b)

9,545,000

10,747,193

Series A, 5.5%, 11/1/2017

7,000,000

8,203,160

Michigan, State General Obligation, 5.5%, 12/1/2015

5,875,000

6,842,730

Tawas City, MI, Hospital Finance Authority, St. Joseph Health Services, Series A, ETM, 5.6%, 2/15/2013

1,910,000

2,048,284

77,187,231

Minnesota 0.3%

New Hope, MN, Hospital & Healthcare Revenue, Masonic Home North Ridge, 5.9%, 3/1/2019

1,335,000

1,399,374

University of Minnesota, Higher Education Revenue:

 

 

Series A, 5.75%, 7/1/2017

3,240,000

3,870,115

Series A, 5.75%, 7/1/2018

6,760,000

8,112,744

13,382,233

Mississippi 0.2%

Jones County, MS, Hospital & Healthcare Revenue, South Central Regional Medical Center, 5.5%, 12/1/2017

1,375,000

1,394,058

Mississippi, State General Obligation, 5.5%, 12/1/2015

6,000,000

6,994,020

8,388,078

Missouri 1.4%

Missouri, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Washington University, Series A, 5.5%, 6/15/2016

11,400,000

13,318,848

Missouri, Senior Care Revenue, Health & Educational Facilities Authority, 5.75%, 2/1/2017

3,250,000

3,395,210

Missouri, Transportation/Tolls Revenue:

 

 

Series A, 5.625%, 2/1/2014

2,000,000

2,249,220

Series A, 5.625%, 2/1/2016

3,125,000

3,477,406

Missouri, Water & Sewer Revenue, Environmental Improvement and Energy Resource Authority:

 

 

Series B, 5.5%, 7/1/2014

3,000,000

3,472,170

Series B, 5.5%, 7/1/2015

3,500,000

4,059,650

Series B, 5.5%, 7/1/2016

5,065,000

5,895,103

St. Louis, MO, Airport Revenue, Series A, 5.625%, 7/1/2017 (b)

6,000,000

6,687,780

St. Louis, MO, Industrial Development Authority Revenue, Convention Center Hotel, Zero Coupon, 7/15/2016 (b)

6,895,000

4,352,193

St. Louis, MO, Industrial Development Authority Revenue, St. Louis Convention Center, AMT:

 

 

Series A, 6.875%, 12/15/2020

2,500,000

1,905,675

Series A, 7.25%, 12/15/2035

5,000,000

3,785,750

St. Louis, MO, Special Assessment Revenue, Scullin Redevelopment Area, Series A, 10.0%, 8/1/2010

5,140,000

5,868,184

St. Louis, MO, State General Obligation Lease, Industrial Development Authority, Convention Center Hotel, Zero Coupon, 7/15/2015 (b)

4,200,000

2,785,062

61,252,251

Montana 0.1%

Montana, Higher Education Revenue, Series F, 6.0%, 5/15/2019 (b)

5,000,000

5,703,650

Nebraska 0.3%

Omaha, NE, Core City General Obligation, Series A, ETM, 6.5%, 12/1/2018

1,000,000

1,289,860

Omaha, NE, Public Power District, Electric Revenue, Series B, ETM, 6.2%, 2/1/2017

4,700,000

5,653,724

Omaha, NE, School District General Obligation, ETM:

 

 

Series A, 6.5%, 12/1/2015

1,480,000

1,860,656

Series A, 6.5%, 12/1/2016

1,000,000

1,270,580

Series A, 6.5%, 12/1/2017

4,000,000

5,124,400

15,199,220

Nevada 0.9%

Clark County, NV, Airport Revenue, Airport Jet Aviation Fuel, AMT:

 

 

Series C, 5.375%, 7/1/2018 (b)

1,500,000

1,628,580

Series C, 5.375%, 7/1/2019 (b)

1,100,000

1,193,500

Series C, 5.375%, 7/1/2020 (b)

1,100,000

1,191,927

Henderson, NV, Hospital & Healthcare Revenue, Catholic Healthcare West, 5.375%, 7/1/2026

15,000,000

15,456,000

Las Vegas, NV, Transportation/Tolls Revenue, Monorail Department Business and Industry:

 

 

Zero Coupon, 1/1/2013 (b)

5,000,000

3,696,800

7.375%, 1/1/2040

15,000,000

15,727,050

38,893,857

New Hampshire 0.2%

New Hampshire, Senior Care Revenue, Havenwood Heritage Heights, 7.35%, 1/1/2018

2,500,000

2,578,850

New Hampshire, Senior Care Revenue, Higher Education Revenue, Havenwood Heritage Heights, 7.45%, 1/1/2025

4,000,000

4,126,160

6,705,010

New Jersey 5.9%

Atlantic City, NJ, School District General Obligation, Board of Education, 6.1%, 12/1/2014 (b)

4,500,000

5,417,685

New Jersey, Economic Development Authority Revenue, Cigarette Tax:

 

 

5.5%, 6/15/2031

3,000,000

3,162,600

5.75%, 6/15/2034

2,455,000

2,630,852

New Jersey, Economic Development Authority Revenue, Motor Vehicle Surplus Revenue:

 

 

Series A, 5.0%, 7/1/2022 (b)

7,140,000

7,693,207

Series A, 5.0%, 7/1/2023 (b)

8,845,000

9,509,348

New Jersey, Economic Development Authority Revenue, School Facilities Construction, Series I, 5.0%, 9/1/2027 (b)

4,000,000

4,471,080

New Jersey, Economic Development Authority, Special Facilities Revenue, Continental Airlines, Inc. Project, AMT, 6.4%, 9/15/2023

7,500,000

6,573,900

New Jersey, Garden State Preservation Trust, Open Space & Farm Land, Series 2005-A, 5.8%, 11/1/2023 (b) (d)

5,000,000

5,698,300

New Jersey, Highway Authority Revenue, Garden State Parkway, ETM, 6.5%, 1/1/2011

2,656,000

2,906,248

New Jersey, Industrial Development Revenue, Economic Development Authority, Harrogate, Inc., Series A, 5.875%, 12/1/2026

1,000,000

1,029,400

New Jersey, Resource Recovery Revenue, Tobacco Settlement Financing Corp., 5.75%, 6/1/2032

9,245,000

9,359,083

New Jersey, Senior Care Revenue, Economic Development Authority, United Methodist Homes, 5.5%, 7/1/2019

4,000,000

4,003,320

New Jersey, Special Assessment Revenue, 6.75%, 6/1/2039

35,480,000

38,642,687

New Jersey, State Agency General Obligation Lease, Transportation Trust Fund Authority, Series A, 5.625%, 6/15/2014

3,555,000

4,078,687

New Jersey, State General Obligation:

 

 

5.25%, 7/1/2016

5,000,000

5,677,300

Series H, 5.25%, 7/1/2017

14,665,000

16,686,717

New Jersey, Tobacco Settlement Filing Corp., 6.25%, 6/1/2043

28,000,000

28,951,160

New Jersey, Transportation Trust Fund Authority, Transportation System, Series C, 5.5%, 6/15/2023

15,000,000

17,198,100

New Jersey, Transportation/Tolls Revenue:

 

 

Series C, 5.5%, 12/15/2015 (b)

5,000,000

5,782,800

Series A, 144A, 5.75%, 6/15/2017

8,000,000

9,406,800

New Jersey, Transportation/Tolls Revenue, Federal Transportation Administration Grants, Series B, 5.75%, 9/15/2013 (b)

11,000,000

12,405,580

New Jersey, Turnpike Authority, Turnpike Revenue:

 

 

Series C, Prerefunded, ETM, 6.5%, 1/1/2016 (b)

38,720,000

46,892,243

Series C, 6.5%, 1/1/2016 (b)

10,750,000

13,095,758

261,272,855

New Mexico 0.2%

Albuquerque, NM, Hospital & Healthcare Revenue, Southwest Community Health Services, Prerefunded, 10.125%, 8/1/2012

3,135,000

3,637,948

New Mexico, Single Family Housing Revenue, Mortgage Finance Authority, Series E2, AMT, 6.8%, 3/1/2031

4,445,000

4,719,434

8,357,382

New York 6.8%

Nassau County, NY, Sales & Special Tax Revenue, Interim Finance Authority:

 

 

Series A, Prerefunded, 5.75%, 11/15/2015

3,060,000

3,468,173

Series A, Prerefunded, 5.75%, 11/15/2016 (b)

4,250,000

4,816,908

New York, Core City General Obligation, 5.875%, 2/15/2019

385,000

397,574

New York, Electric Revenue, ETM, Zero Coupon, 6/1/2009 (b)

2,050,000

1,817,305

New York, Higher Education Revenue, 5.75%, 7/1/2013

10,000,000

11,352,600

New York, Higher Education Revenue, Dormitory Authority:

 

 

Series B, 5.25%, 5/15/2019 (b)

11,860,000

13,549,813

Series F, Prerefunded, 5.375%, 7/1/2007

465,000

488,817

Series F, 5.375%, 7/1/2007

1,535,000

1,605,364

New York, Higher Education Revenue, Dormitory Authority, City University:

 

 

Series A, 5.625%, 7/1/2016 (b)

5,075,000

5,923,743

Series B, 6.0%, 7/1/2014 (b)

7,000,000

8,348,410

New York, Sales & Special Tax Revenue, Thruway Authority, Series A, 5.5%, 3/15/2018

5,000,000

5,591,350

New York, School District General Obligation, Dormitory Authority, City University, Series A, 5.5%, 5/15/2019

1,500,000

1,742,835

New York, Senior Care Revenue, Dormitory Authority, City University, Series A, 5.25%, 5/15/2021

2,000,000

2,280,260

New York, Senior Care Revenue, Metropolitan Transportation Authority, Series O, ETM, 5.75%, 7/1/2013 (b)

6,775,000

7,673,771

New York, Series J, Prerefunded, 5.875%, 2/15/2019

3,015,000

3,124,836

New York, State Agency General Obligation Lease, Dormitory Authority, City University:

 

 

Prerefunded, 5.25%, 5/15/2017 (b)

3,500,000

3,886,155

Series D, ETM, 7.0%, 7/1/2009 (b)

2,985,000

3,200,248

Series C, 7.5%, 7/1/2010 (b)

5,750,000

6,424,245

New York, State Agency General Obligation Lease, Metropolitan Transportation Authority, Series A, ETM, 6.0%, 4/1/2020 (b)

5,000,000

6,138,850

New York, State Agency General Obligation Lease, Urban Development Authority, Correctional Facilities, Series A, 6.5%, 1/1/2011 (b)

4,500,000

5,247,360

New York, State Agency General Obligation Lease, Urban Development Corp., 5.7%, 4/1/2020

3,600,000

4,263,948

New York, State Environmental Facilities, State Personal Income Tax Revenue, Series A, 5.0%, 12/15/2023 (b)

2,450,000

2,641,664

New York, State General Obligation Lease, Urban Development Corp., State Facilities, 5.6%, 4/1/2015

4,655,000

5,329,510

New York, State General Obligation, Tobacco Settlement Financing Corp.:

 

 

Series A-1, 5.25%, 6/1/2022 (b)

2,600,000

2,827,136

Series A-1, 5.5%, 6/1/2019

6,850,000

7,669,397

New York, Transportation/Tolls Revenue, Metropolitan Transportation Authority:

 

 

Series C, Prerefunded, 5.125%, 7/1/2013 (b)

5,000,000

5,568,742

5.5%, 11/15/2018 (b)

5,000,000

5,642,400

New York, Transportation/Tolls Revenue, Transportation Authority:

 

 

Series E, 5.5%, 11/15/2020 (b)

3,750,000

4,175,887

Series E, 5.5%, 11/15/2021 (b)

6,000,000

6,681,420

New York, Transportation/Tolls Revenue, Triborough Bridge and Tunnel Authority, Series Y, ETM, 5.5%, 1/1/2017

5,050,000

5,859,566

New York, Water & Sewer Revenue, Environmental Facilities Corp., State Water Pollution Control, Series E, 6.875%, 6/15/2014

4,560,000

4,609,385

New York and New Jersey, Port Authority Revenue:

 

 

AMT, 6.0%, 7/1/2013

6,555,000

6,800,222

AMT, 6.0%, 7/1/2015

2,500,000

2,601,450

AMT, Series 4, 7.0%, 10/1/2007

1,100,000

1,159,807

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

 

 

Series C, 5.0%, 6/15/2027 (b)

12,065,000

12,945,866

Series B, 5.0%, 6/15/2028 (b)

16,000,000

17,094,560

New York, NY, City Industrial Development Agency Revenue, Liberty-7, World Trade Center, Series A, 6.25%, 3/1/2015

10,000,000

10,294,500

New York, NY, Core City General Obligation:

 

 

Series G, Zero Coupon, 8/1/2009 (b)

4,995,000

4,380,965

Series F, 5.25%, 8/1/2016

5,000,000

5,387,000

Series C, 5.375%, 11/15/2017 (b)

5,000,000

5,323,650

Series A, 5.75%, 8/1/2016

6,350,000

7,113,778

Series G, 6.75%, 2/1/2009

2,000,000

2,243,540

New York, NY, General Obligation:

 

 

Series M, 5.0%, 4/1/2016 (b)

4,620,000

5,093,042

Series M, 5.0%, 4/1/2017 (b)

9,675,000

10,607,283

Series G, 5.0%, 12/1/2023

8,000,000

8,487,440

Prerefunded, Series A, 6.5%, 5/15/2012

6,215,000

7,255,764

Series A, 6.5%, 5/15/2012

785,000

894,617

Prerefunded, Series E, ETM, 7.0%, 12/1/2007 (b)

1,385,000

1,385,000

New York, NY, State General Obligation, Series A, 5.25%, 3/15/2015

2,500,000

2,758,425

New York, NY, Water & Sewer Revenue, Municipal Water Financial Authority, Series A, 5.375%, 6/15/2019

25,000,000

27,778,250

Suffolk County, NY, Water & Sewer Revenue, Industrial Development Agency, 6.0%, 2/1/2007 (b)

8,000,000

8,400,560

300,353,391

North Carolina 1.3%

Charlotte, NC, Core City General Obligation, 5.5%, 8/1/2018

4,165,000

4,677,587

Charlotte, NC, Water & Sewer Revenue:

 

 

5.5%, 6/1/2014

3,105,000

3,514,456

5.5%, 6/1/2017

3,255,000

3,653,184

North Carolina, Electric Revenue, 5.25%, 1/1/2020 (b)

4,000,000

4,376,160

North Carolina, Electric Revenue, Catawba Municipal Power Agency, 6.0%, 1/1/2011 (b)

8,235,000

9,380,324

North Carolina, Electric Revenue, Eastern Municipal Power Agency:

 

 

6.0%, 1/1/2018 (b)

8,775,000

10,588,617

Series B, 6.0%, 1/1/2022 (b)

18,775,000

23,074,663

59,264,991

Ohio 2.3%

Akron, OH, Higher Education Revenue, Prerefunded, 5.75%, 1/1/2013 (b)

2,365,000

2,657,267

Akron, OH, Project Revenue, Economic Development, 6.0%, 12/1/2012 (b)

1,000,000

1,153,970

Avon, OH, School District General Obligation, 6.5%, 12/1/2015 (b)

940,000

1,173,609

Batavia, OH, Local School District, Prerefunded, 7.0%, 12/1/2014 (b)

500,000

520,410

Beavercreek, OH, School District General Obligation, Local School District, 6.6%, 12/1/2015 (b)

1,500,000

1,851,180

Big Walnut, OH, School District General Obligation, Local School District, Zero Coupon, 12/1/2012 (b)

420,000

315,785

Cincinnati, OH, Higher Education Revenue, General Receipts:

 

 

Series T, 5.5%, 6/1/2012

1,280,000

1,445,606

Series A, 5.75%, 6/1/2015 (b)

2,000,000

2,292,720

Series A, 5.75%, 6/1/2016 (b)

1,500,000

1,719,540

Cincinnati, OH, Water & Sewer Revenue, 5.5%, 12/1/2017

1,000,000

1,108,420

Cleveland, OH, Electric Revenue, Public Power Systems Revenue, Series 1, 6.0%, 11/15/2011 (b)

1,050,000

1,215,459

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

1,001,700

Cleveland, OH, Water & Sewer Revenue, Series J, 5.375%, 1/1/2016 (b)

2,000,000

2,214,400

Cleveland-Cuyahoga County, OH, Port Authority Revenue, AMT, ETM, 6.0%, 3/1/2007

1,590,000

1,649,641

Cuyahoga County, OH, County General Obligation, 5.65%, 5/15/2018

500,000

590,840

Cuyahoga County, OH, County General Obligation Lease, 5.0%, 12/1/2020

1,000,000

1,094,080

Cuyahoga County, OH, Multi-Family Housing Revenue, Dale Bridge Apartments, AMT, 6.5%, 10/20/2020

1,000,000

1,025,970

Dublin, OH, School District General Obligation, Zero Coupon, 12/1/2011 (b)

1,095,000

871,510

Fayette County, OH, School District General Obligation, Rattlesnake Improvement Area Project, 5.9%, 12/1/2013

90,000

96,623

Finneytown, OH, Other General Obligation, Local School District, 6.2%, 12/1/2017 (b)

320,000

394,669

Franklin County, OH, Hospital & Healthcare Revenue, Presbyterian Services:

 

 

5.25%, 7/1/2008

500,000

522,595

5.5% , 7/1/2017

1,000,000

1,034,390

Franklin County, OH, School District General Obligation, 6.5%, 12/1/2013

500,000

595,400

Green Springs, OH, Senior Care Revenue, Hospital & Healthcare Facilities Revenue, Series A, 7.0%, 5/15/2014

4,300,000

4,081,001

Green Springs, OH, Senior Care Revenue, St. Francis Health Care Center Project, Series A, 7.125%, 5/15/2025

4,405,000

3,904,196

Hilliard, OH, School District General Obligation, Series A, Zero Coupon, 12/1/2012 (b)

1,655,000

1,251,511

Huber Heights, OH, Water & Sewer Revenue, Zero Coupon, 12/1/2012 (b)

1,005,000

760,986

Liberty Benton, OH, School District General Obligation, Zero Coupon, 12/1/2014 (b)

570,000

388,615

Liberty, OH, School District General Obligation, Zero Coupon, 12/1/2012 (b)

255,000

192,800

Lorain County, OH, Hospital Revenue, Series A, Prerefunded, 5.9%, 12/15/2008

820,000

830,906

Lorain County, OH, Lakeland Community Hospital, Inc., ETM, 6.5%, 11/15/2012

790,000

803,714

Lucas County, OH, Hospital & Healthcare Revenue, Presbyterian:

 

 

Series A, 6.625%, 7/1/2014

2,000,000

2,096,080

Series A, 6.75%, 7/1/2020

2,000,000

2,094,060

Miami County, OH, Hospital & Healthcare Revenue, Upper Valley Medical Center, Series C, 6.25%, 5/15/2013

1,000,000

1,041,060

Napoleon, OH, Hospital & Healthcare Revenue, Lutheran Orphans Home, 6.875%, 8/1/2023

350,000

357,882

North Olmstead, OH, Other General Obligation, 6.2%, 12/1/2011 (b)

2,000,000

2,273,060

Ohio, Higher Education Revenue, Series A, 6.5%, 7/1/2008

2,325,000

2,561,801

Ohio, Higher Education Revenue, Case Western Reserve University:

 

 

6.0%, 10/1/2014

1,000,000

1,187,460

Series B, 6.5%, 10/1/2020

2,250,000

2,827,035

Ohio, Higher Education Revenue, General Receipts:

 

 

Series A, 6.0%, 12/1/2016

1,000,000

1,121,350

Series A, 6.0%, 12/1/2017

1,060,000

1,188,631

Ohio, Higher Education Revenue, University of Findlay Project, 6.125%, 9/1/2016

400,000

409,724

Ohio, Higher Education Revenue, University of Ohio, General Receipts, 5.75%, 6/1/2016 (b)

1,250,000

1,401,638

Ohio, Higher Education Revenue, Xavier University, 6.0%, 5/15/2011 (b)

240,000

257,909

Ohio, Mortgage Revenue, Single Family Housing Finance Agency, Prerefunded, Zero Coupon, 1/15/2015 (b)

7,875,000

4,898,145

Ohio, School District General Obligation, 6.0%, 12/1/2019 (b)

475,000

572,104

Ohio, State Agency Revenue Lease, Administrative Building Funds Project:

 

 

Series A, 5.5%, 10/1/2015 (b)

4,370,000

4,863,723

Series A, 5.5%, 10/1/2016 (b)

3,790,000

4,218,194

Series A, 5.5%, 10/1/2018 (b)

3,695,000

4,103,593

Ohio, State Agency Revenue Lease, Building Authority, Juvenile Correctional Facility, Series A, 5.5%, 4/1/2016

3,665,000

4,057,705

Ohio, State General Obligation, 6.0%, 8/1/2010

1,000,000

1,135,370

Ohio, State General Obligation Lease, Higher Education Revenue, Series B, Prerefunded, 5.625%, 5/1/2015

1,000,000

1,115,850

Ohio, Transportation/Tolls Revenue, Series A, 5.5%, 2/15/2017 (b)

6,925,000

8,067,833

Ohio, Water & Sewer Revenue, Bay Shore Project, AMT, Series A, 5.875%, 9/1/2020

4,050,000

4,087,179

South Euclid Lyndhurst, OH, School District General Obligation, 6.4%, 12/1/2018 (b)

535,000

572,744

Springboro, OH, School District General Obligation, Community City School District, 6.0%, 12/1/2011 (b)

500,000

560,140

Toledo, OH, Other General Obligation, Macys Project, AMT, Series A, 6.35%, 12/1/2025 (b)

1,000,000

1,093,500

Tuscarawas Valley, OH, School District General Obligation, Prerefunded, 6.6%, 12/1/2015 (b)

365,000

379,180

Wayne, OH, School District General Obligation:

 

 

6.45%, 12/1/2011 (b)

155,000

177,281

6.6%, 12/1/2016 (b)

200,000

251,462

Willoughby, OH, Senior Care Revenue, Industrial Development Revenue, Series A, 6.875%, 7/1/2016

2,825,000

2,885,540

Wooster, OH, School District General Obligation, Zero Coupon, 12/1/2013 (b)

930,000

670,456

101,287,202

Oklahoma 0.9%

Oklahoma, Hospital & Healthcare Revenue, Valley View Hospital Authority:

 

 

5.75%, 8/15/2006

1,275,000

1,314,193

6.0%, 8/15/2014

2,695,000

2,811,640

Oklahoma, Water & Sewer Revenue, McGee Creek Authority, 6.0%, 1/1/2023 (b)

23,125,000

28,393,337

Tulsa, OK, Hospital & Healthcare Revenue, Industrial Development Authority, Zero Coupon, 12/1/2006 (b)

6,430,000

6,157,304

38,676,474

Oregon 0.4%

Chemeketa, OR, School District General Obligation, ETM, 5.5%, 6/1/2015 (b)

2,600,000

3,022,474

Oregon, Transportation/Tolls Revenue:

 

 

5.75%, 11/15/2015

1,435,000

1,622,569

5.75%, 11/15/2016

3,140,000

3,550,429

Portland, OR, Sewer System Revenue, Series B, 5.0%, 6/1/2017 (b)

10,000,000

11,065,200

19,260,672

Pennsylvania 2.7%

Allegheny County, PA, Airport Revenue, Pittsburgh International Airport, AMT, Series A, 5.75%, 1/1/2013 (b)

3,080,000

3,439,067

Allegheny County, PA, Port Authority Revenue:

 

 

5.5%, 3/1/2015 (b)

2,000,000

2,229,500

5.5%, 3/1/2016 (b)

1,000,000

1,114,750

5.5%, 3/1/2017 (b)

1,000,000

1,113,640

Berks County, PA, Hospital & Healthcare Revenue, Municipal Authority, Reading Hospital & Medical Center Project, 5.7%, 10/1/2014 (b)

1,000,000

1,157,430

Bucks County, PA, Water & Sewer Authority Revenue, ETM, 6.375%, 12/1/2008

240,000

250,656

Delaware County, PA, Senior Care Revenue, Hospital & Healthcare Revenue, White Horse Village, Series A, 6.6%, 7/1/2006

1,000,000

1,015,830

Erie County, PA, Industrial Development Revenue, Pollution Control, Series A, 5.3%, 4/1/2012

1,000,000

1,079,790

Exter Township, PA, School District General Obligation, Zero Coupon, 5/15/2017 (b)

3,700,000

2,253,707

Indiana County, PA, Pollution Control Revenue, Industrial Development Authority, 5.35%, 11/1/2010 (b)

1,000,000

1,109,000

Latrobe, PA, Higher Education Revenue, Industrial Development Authority, 5.375%, 5/1/2013

1,000,000

1,090,360

Mckean County, PA, Hospital & Healthcare Revenue, Bradford Hospital Project, 5.95%, 10/1/2008

2,305,000

2,354,972

New Castle, PA, Hospital & Healthcare Revenue, Area Hospital Authority, Jameson Memorial Hospital, 6.0%, 7/1/2010 (b)

845,000

950,524

Pennsylvania, Core City General Obligation, Regional Finance Authority Local Government, 5.75%, 7/1/2032

28,000,000

33,214,720

Pennsylvania, Higher Education Revenue, Ursinus College, Prerefunded:

 

 

5.85%, 1/1/2017

1,475,000

1,569,415

5.9%, 1/1/2027

3,400,000

3,620,252

Pennsylvania, Hospital & Healthcare Revenue, Economic Development Financing Authority, UPMC Health System, Series A, 6.0%, 1/15/2031

7,340,000

8,160,318

Pennsylvania, Sales & Special Tax Revenue, Convention Center Authority:

 

 

Series A, ETM, 6.0%, 9/1/2019 (b)

2,200,000

2,692,580

Series A, 6.7%, 9/1/2014

3,750,000

3,834,375

Series A, 6.75%, 9/1/2019

8,775,000

8,972,086

Pennsylvania, State Agency Revenue Lease, Industrial Development Authority, Economic Development, 5.8%, 7/1/2008 (b)

4,875,000

5,277,139

Pennsylvania, State General Obligation, 6.25%, 7/1/2010

1,000,000

1,145,800

Pennsylvania, State Turnpike Commission, Oil Franchise Tax Revenue, Series B, 5.0%, 12/1/2031 (b)

7,105,000

7,520,856

Pennsylvania, Transportation/Tolls Revenue, 5.25%, 7/1/2019

2,000,000

2,251,260

Pennsylvania, Transportation/Tolls Revenue, Community Turnpike, Series S, 5.625%, 6/1/2014

3,750,000

4,261,125

Pennsylvania, Water & Sewer Revenue, 5.25%, 11/1/2014 (b)

1,750,000

1,982,120

Philadelphia, PA, Industrial Development Authority Revenue, Doubletree Commercial Development, Series A, 6.5%*, 10/1/2027

1,000,000

1,033,510

Philadelphia, PA, Water & Sewer Revenue, 6.25%, 8/1/2010 (b)

1,000,000

1,145,160

Pittsburgh, PA, Core City General Obligation, Series A, 5.5%, 9/1/2014 (b)

1,500,000

1,672,800

Pittsburgh, PA, Water & Sewer System, ETM, 7.25%, 9/1/2014 (b)

150,000

177,879

Westmoreland County, PA, Hospital & Healthcare Revenue, Industrial Development Authority, 5.375%, 7/1/2011 (b)

7,300,000

7,899,622

Westmoreland County, PA, Project Revenue, Zero Coupon, 8/15/2017 (b)

6,230,000

3,751,083

119,341,326

Puerto Rico 0.3%

Puerto Rico, Electric Revenue, 5.375%, 7/1/2018 (b)

8,710,000

10,118,581

Puerto Rico Commonwealth, General Obligation, 6.25%, 7/1/2013 (b)

1,850,000

2,224,921

Puerto Rico Commonwealth, General Obligation, Public Building Authority, Series A, ETM, 6.25%, 7/1/2013 (b)

1,000,000

1,201,880

13,545,382

Rhode Island 0.9%

Rhode Island, Economic Protection Corp., Special Obligation:

 

 

Series B, ETM, 5.8%, 8/1/2011 (b)

1,025,000

1,171,913

Series B, ETM, 5.8%, 8/1/2012 (b)

2,500,000

2,896,225

Series B, ETM, 5.8%, 8/1/2013 (b)

7,340,000

8,579,800

Rhode Island, Project Revenue, Convention Center Authority, Series B, 5.25%, 5/15/2015 (b)

22,000,000

24,561,460

Rhode Island, Water & Sewer Revenue, Clean Water Protection Agency, Revolving Fund, Series A, 5.4%, 10/1/2015 (b)

2,000,000

2,259,400

39,468,798

South Carolina 1.0%

Lexington County, SC, Hospital & Healthcare Revenue, 5.5%, 11/1/2032

4,515,000

4,784,455

Piedmont, SC, Electric Revenue, Municipal Power Agency:

 

 

ETM, 5.5%, 1/1/2012 (b)

2,190,000

2,477,788

5.5%, 1/1/2012 (b)

2,810,000

3,145,711

Series A, ETM, 6.5%, 1/1/2016 (b)

430,000

536,128

South Carolina, Hospital & Healthcare Revenue, Jobs Economic Development Authority, Palmetto Health Alliance:

 

 

Series C, 7.0%, 8/1/2030

7,740,000

8,980,103

Series A, Prerefunded, 7.375%, 12/15/2021

4,500,000

5,520,825

South Carolina, Piedmont Municipal Power Agency, Electric Revenue:

 

 

Prerefunded, ETM, 6.75%, 1/1/2019 (b)

1,460,000

1,909,082

6.75%, 1/1/2019 (b)

2,065,000

2,641,775

South Carolina, Tobacco Settlement Revenue Management Authority, Series B, 6.0%, 5/15/2022

7,550,000

7,737,013

South Carolina, Transportation/Tolls Revenue, Transportation Infrastructure, Series A, 5.5%, 10/1/2018 (b)

5,300,000

5,892,434

43,625,314

Tennessee 0.7%

Knox County, TN, Hospital & Healthcare Revenue, Fort Sanders Alliance:

 

 

5.75%, 1/1/2011 (b)

15,405,000

17,289,648

5.75%, 1/1/2014 (b)

2,000,000

2,305,440

6.25%, 1/1/2013 (b)

4,000,000

4,709,480

7.25%, 1/1/2009 (b)

3,750,000

4,263,600

Shelby County, TN, County General Obligation, Zero Coupon, 8/1/2014

4,965,000

3,461,201

32,029,369

Texas 5.8%

Abilene, TX, Senior Care Revenue, Sears Methodist Retirement, Health Facilities Development, Series A, 5.875%, 11/15/2018

3,250,000

3,306,680

Austin, TX, Project Revenue, Bergstrom Landhost Enterprises, Inc. Airport Hotel Project, Series A, 6.75%, 4/1/2027

21,745,000

10,301,694

Austin, TX, School District General Obligation, Independent School District, 5.0%, 8/1/2015

2,000,000

2,226,080

Austin, TX, Water & Sewer Revenue, Utility Systems, Zero Coupon, 11/15/2012 (b)

13,520,000

10,204,085

Boerne, TX, School District General Obligation Lease, Independent School District:

 

 

Zero Coupon, 2/1/2014

2,785,000

1,975,846

Zero Coupon, 2/1/2016

3,285,000

2,110,777

Brownsville, TX, Electric Revenue, Utility Systems, 6.25%, 9/1/2010 (b)

4,085,000

4,672,913

Cedar Hill, TX, School District General Obligation:

 

 

Zero Coupon, 8/15/2009

1,500,000

1,267,485

Zero Coupon, 8/15/2010

3,130,000

2,488,381

Cypress and Fairbanks, TX, School District General Obligation, Cypress-Fairbanks Texas Independent School District:

 

 

Series A, Zero Coupon, 2/15/2012

5,750,000

4,476,087

Series A, Zero Coupon, 2/15/2013

8,840,000

6,569,358

Series A, Zero Coupon, 2/15/2014

6,000,000

4,257,480

Dallas, TX, Single Family Housing Revenue, Zero Coupon, 10/1/2016 (b)

1,595,000

504,275

Galveston County, TX, County General Obligation, 5.5%, 2/1/2014 (b)

1,675,000

1,872,667

Galveston County, TX, County General Obligation, Justice Center and Public Safety Building, 5.5%, 2/1/2014 (b)

2,235,000

2,498,752

Grapevine-Colleyville, TX, School District General Obligation, Zero Coupon, 8/15/2010

2,160,000

1,805,846

Harris County, TX, County General Obligation, Zero Coupon, 10/1/2017 (b)

3,910,000

2,327,662

Harris County, TX, Health Facilities Development Corp. Revenue, The Methodist System, Series B, 2.98%*, 12/1/2032

5,000,000

5,000,000

Harris County, TX, Hospital & Healthcare Revenue, Health Facilities Development Corp., Medical Center Project, 6.25%, 5/15/2010 (b)

3,000,000

3,396,780

Hidalgo County, TX, Hospital & Healthcare Revenue, Health Services Mission Hospital, 6.875%, 8/15/2026

2,880,000

3,142,858

Houston, TX, Airport Revenue, Continental Airlines Project, AMT, Series C, 5.7%, 7/15/2029

2,000,000

1,508,900

Houston, TX, School District General Obligation, Series A, Zero Coupon, 2/15/2015

26,000,000

16,361,800

Houston, TX, Transportation/Tolls Revenue, Special Facilities, Continental Airlines, Inc., AMT, Series E, 6.75%, 7/1/2029

3,100,000

2,789,504

Houston, TX, Utility Systems Revenue:

 

 

Series A, 5.25%, 5/15/2020 (b)

8,000,000

8,793,760

Series A, 5.25%, 5/15/2021 (b)

10,000,000

10,952,600

Series A, 5.25%, 5/15/2022 (b)

30,000,000

32,763,300

Houston, TX, Water & Sewer Revenue:

 

 

Series C, Zero Coupon, 12/1/2009 (b)

14,750,000

12,739,575

Series C, Zero Coupon, 12/1/2010 (b)

5,000,000

4,139,600

Series C, Zero Coupon, 12/1/2012 (b)

4,350,000

3,277,377

Series A, 5.5%, 12/1/2016 (b)

10,000,000

11,146,400

Prerefunded, 5.75%, 12/1/2015 (b)

5,000,000

5,794,350

Series B, Prerefunded, 5.75%, 12/1/2016 (b)

4,500,000

5,214,915

Lubbock, TX, Health Facilities Development Corp., Methodist Hospital:

 

 

Series B, ETM, 5.6%, 12/1/2007 (b)

2,415,000

2,570,260

Series B, ETM, 5.625%, 12/1/2008 (b)

4,400,000

4,786,848

Montgomery County, TX Prerefunded, ETM, Zero Coupon, 9/1/2005 (b)

685,000

680,287

Montgomery County, TX, County General Obligation Lease, Zero Coupon, 9/1/2005 (b)

2,790,000

2,770,777

Northeast, TX, Hospital & Healthcare Revenue, Northeast Medical Center, 6.0%, 5/15/2010 (b)

2,180,000

2,444,696

Northside, TX, General Obligation Independent School District:

 

 

Prerefunded, 5.5%, 2/15/2014

1,420,000

1,588,227

5.5%, 2/15/2014

1,265,000

1,405,466

Texas, Electric Revenue:

 

 

ETM, Zero Coupon, 9/1/2017 (b)

120,000

71,946

Zero Coupon, 9/1/2017 (b)

5,880,000

3,512,712

Texas, Electric Revenue, Municipal Power Agency, Zero Coupon, 9/1/2016 (b)

18,300,000

11,502,831

Texas, Multi-Family Housing Revenue, Department Housing & Community Affairs, Series A, Prerefunded, 6.4%, 1/1/2027

3,350,000

3,591,100

Texas, Municipal Power Agency, ETM, Zero Coupon, 9/1/2016 (b)

375,000

236,498

Texas, Other General Obligation, 7.0%, 9/15/2012

6,932,504

7,099,161

Texas, School District General Obligation, Community College District:

 

 

5.5%, 8/15/2014 (b)

3,145,000

3,548,346

5.5%, 8/15/2015 (b)

3,435,000

3,853,898

5.5%, 8/15/2017 (b)

4,060,000

4,546,916

Texas, Water & Sewer Revenue, Trinity River Authority:

 

 

5.5%, 2/1/2019 (b)

1,000,000

1,112,800

5.5%, 2/1/2022 (b)

4,725,000

5,257,980

Texas, Water & Sewer Revenue, Water Development Board Revenue, Series A, 5.625%, 7/15/2015

1,000,000

1,107,460

Waxahachie, TX, School District General Obligation, Independent School District:

 

 

Zero Coupon, 8/15/2012

4,120,000

3,137,216

Zero Coupon, 8/15/2013

2,060,000

1,497,558

256,210,770

Utah 0.3%

Provo, UT, Electric Revenue, Series A, ETM, 10.375%, 9/15/2015 (b)

1,500,000

2,049,480

Salt Lake City, UT, Core City General Obligation, 5.75%, 6/15/2014

25,000

27,948

Salt Lake City, UT, Hospital & Healthcare Revenue, IHC Hospitals, Inc., 6.15%, 2/15/2012

1,500,000

1,718,895

Utah, Electric Revenue, Associated Municipal Power System:

 

 

Zero Coupon, 7/1/2006 (b)

5,895,000

5,714,554

Zero Coupon, 7/1/2007 (b)

3,750,000

3,517,913

Utah, Electric Revenue, Intermountain Power Agency, Series A, ETM, 5.0%, 7/1/2012 (b)

540,000

540,988

13,569,778

Vermont 0.2%

Burlington, VT, Electric Revenue:

 

 

5.375%, 7/1/2013 (b)

4,800,000

5,406,624

5.375%, 7/1/2014 (b)

5,055,000

5,693,851

11,100,475

Virgin Islands 0.0%

Virgin Islands, Sales & Special Tax Revenue, Public Finance Authority, Series A, 6.5%, 10/1/2024

1,500,000

1,709,925

Virginia 0.6%

Fairfax County, VA, Hospital & Healthcare Revenue, Economic Development Authority, Greenspring Retirement Community, Series A, 7.25%, 10/1/2019

2,000,000

2,120,960

Fairfax County, VA, Hospital & Healthcare Revenue, Economic Development Finance Authority, Series A, 7.5%, 10/1/2029

7,100,000

7,582,090

Roanoke, VA, Hospital & Healthcare Revenue, Industrial Development Authority, Roanoke Memorial Hospital, Series B, 6.125%, 7/1/2017 (b)

5,500,000

6,640,425

Virginia Beach, VA, Hospital & Healthcare Revenue, Development Authority Hospital Facility First Mortgage, 5.125%, 2/15/2018 (b)

3,000,000

3,350,910

Winchester, VA, Hospital & Healthcare Revenue, Industrial Development Authority, 5.5%, 1/1/2015 (b)

5,700,000

6,476,967

26,171,352

Washington 3.0%

Chelan County, WA, Electric Revenue, Public Utilities, Columbia River Rock, Zero Coupon, 6/1/2014 (b)

12,685,000

8,793,369

Clark County, WA, Electric Revenue, Public Utilities District No. 001 Generating Systems, ETM, 6.0%, 1/1/2008 (b)

2,200,000

2,360,270

Clark County, WA, General Obligation Hockinson School District No. 98:

 

 

Prerefunded, 6.125%, 12/1/2011 (b)

1,675,000

1,924,391

6.125%, 12/1/2011 (b)

1,515,000

1,726,463

Clark County, WA, School District General Obligation, Zero Coupon, 12/1/2017 (b)

6,725,000

3,970,642

King and Snohomish Counties, WA, School District General Obligation, No. 417 Northshore, 5.6%, 12/1/2010 (b)

1,650,000

1,833,760

King County, WA, County General Obligation, Series B, Prerefunded, 6.625%, 12/1/2015

8,835,000

9,779,638

King County, WA, County General Obligation, Prerefunded, 6.625%, 12/1/2015

1,010,000

1,117,989

Port Seattle, WA, Airport Revenue, AMT, Series B, 6.0%, 2/1/2014 (b)

4,000,000

4,613,120

Seattle, WA, Airport Revenue, AMT, Series B, 6.0%, 2/1/2012 (b)

1,765,000

2,001,228

Skagit County, WA, School District General Obligation, District No. 100 Burlington Edison, 5.625%, 12/1/2015 (b)

4,925,000

5,494,872

Snohomish County, WA, School District General Obligation, 5.75%, 12/1/2011 (b)

3,485,000

3,974,921

Snohomish County, WA, School District General Obligation, School District No. 006 Mukilteo, 6.5%, 12/1/2007 (b)

3,325,000

3,607,293

Spokane County, WA, School District General Obligation, Series B, Zero Coupon, 12/1/2014 (b)

2,500,000

1,708,900

Washington, Electric Revenue, Series A, 5.5%, 7/1/2017 (b)

11,200,000

12,439,840

Washington, Electric Revenue, Public Power Supply System, Series A, 6.0%, 7/1/2007 (b)

7,000,000

7,430,290

Washington, Electric Revenue, Public Power Supply System Nuclear Project #2:

 

 

ETM, 5.7%, 7/1/2008 (b)

1,270,000

1,370,813

7.25%, 7/1/2006

415,000

433,841

Washington, Electric Revenue, Public Power Supply Systems:

 

 

Series A, Zero Coupon, 7/1/2005 (b)

4,125,000

4,115,430

Series A, Zero Coupon, 7/1/2006 (b)

1,380,000

1,337,192

Series B, Zero Coupon, 7/1/2006 (b)

5,555,000

5,383,851

Series A, Zero Coupon, 7/1/2007 (b)

4,375,000

4,102,218

Series A, Zero Coupon, 7/1/2010 (b)

5,860,000

4,905,113

Series A, Zero Coupon, 7/1/2011 (b)

4,200,000

3,386,586

Series B, 7.25%, 7/1/2009 (b)

10,300,000

11,342,463

Washington, Hospital & Healthcare Revenue, Healthcare Facilities Authority:

 

 

5.75%, 11/1/2007 (b)

7,350,000

7,811,727

5.8%, 11/1/2008 (b)

4,865,000

5,283,147

5.8%, 11/1/2009 (b)

4,595,000

5,073,937

5.8%, 11/1/2010 (b)

2,100,000

2,355,738

Washington, State General Obligation, Series 5, Zero Coupon, 1/1/2017 (b)

4,535,000

2,786,213

132,465,255

West Virginia 0.1%

West Virginia, Hospital & Healthcare Revenue, Hospital Finance Authority, Charleston Medical Center, 6.75%, 9/1/2030

590,000

654,558

West Virginia, Hospital Finance Authority, Charleston Medical Center, Prerefunded, 6.75%, 9/1/2030

2,410,000

2,845,174

3,499,732

Wisconsin 1.8%

Milwaukee County, WI, Series A, ETM, Prerefunded, Zero Coupon, 12/1/2011 (b)

220,000

174,429

Wisconsin, Hospital & Healthcare Revenue, Health & Education Facilities Authority:

 

 

5.75%, 11/15/2007 (b)

1,500,000

1,596,375

6.0%, 11/15/2008 (b)

4,085,000

4,466,090

6.1%, 8/15/2008 (b)

4,580,000

4,994,490

6.1%, 8/15/2009 (b)

2,000,000

2,224,340

Series B, ETM, 6.25%, 1/1/2022 (b)

4,970,000

5,908,137

Series C, 6.25%, 1/1/2022 (b)

8,680,000

10,447,075

Series AA, 6.4%, 6/1/2008 (b)

2,335,000

2,553,906

Series AA, 6.45%, 6/1/2009 (b)

2,485,000

2,785,983

Series AA, 6.45%, 6/1/2010 (b)

2,650,000

3,029,904

Series AA, 6.5%, 6/1/2011 (b)

2,820,000

3,304,730

Series AA, 6.5%, 6/1/2012 (b)

3,000,000

3,547,950

Wisconsin, Hospital & Healthcare Revenue, Health & Education Facilities Authority, Aurora Health Care, Inc.:

 

 

Series A, 5.6%, 2/15/2029

17,800,000

18,429,942

6.875%, 4/15/2030

14,000,000

16,109,520

79,572,871

Total Municipal Bonds and Notes (Cost $3,659,821,226)

4,030,999,135

 

Municipal Inverse Floating Rate Notes 8.6%

California 1.0%

California, Electric Revenue, Department Water Supply, Inverse Floater, Series 309, 144A, 7.53%, 5/1/2018 (b)

5,625,000

6,965,944

California, General Obligation, Economic Recovery:

 

 

Inverse Floater, Series R-278, 6.795%, 7/1/2015 (b)

8,500,000

10,308,715

Inverse Floater, Series 926, 7.136%, 7/1/2015

5,977,500

7,459,920

Los Angeles, CA, Higher Education Revenue, Unified School District, Inverse Floater:

 

 

Rites-PA 117, 144A, 7.27%, 1/1/2011 (b)

1,375,000

1,680,525

Series PA 117, 144A, 7.27%, 7/1/2019 (b)

5,000,000

6,111,000

Los Angeles, CA, State General Obligation, Sanitation Distribution Financing Authority Revenue, Inverse Floater, Rites-PA 826, 144A, 6.8%, 10/1/2021 (b)

10,000,000

11,796,700

44,322,804

Colorado 0.1%

Denver, CO, Airport Revenue, Inverse Floater, Rites-PA 762, AMT, 8.765%, 11/15/2013 (b)

5,000,000

6,097,500

Connecticut 0.3%

Connecticut, Sales & Special Tax Revenue:

 

 

Series II, Inverse Floater, 144A, 7.52%, 10/1/2014 (b)

8,390,000

10,298,641

Series II, Inverse Floater, 144A, 7.52%, 10/1/2015 (b)

2,000,000

2,428,520

Series II, Inverse Floater, 144A, 7.52%, 10/1/2016 (b)

1,050,000

1,306,672

Series II, Inverse Floater, 144A, 7.52%, 10/1/2017 (b)

830,000

1,032,894

15,066,727

District of Columbia 0.3%

District of Columbia, Water & Sewer Revenue, Public Utility Revenue:

 

 

Series 14, Inverse Floater, 144A, 8.74%, 10/1/2012 (b)

1,970,000

2,718,640

Series 15, Inverse Floater, 144A, 8.74%, 10/1/2013 (b)

3,565,000

5,043,227

Series 16, Inverse Floater, 144A, 8.74%, 10/1/2014 (b)

2,750,000

3,937,725

Series 13, Inverse Floater, 144A, 8.74%, 10/1/2016 (b)

1,210,000

1,643,906

13,343,498

Florida 0.2%

Lee County, FL, Airport Revenue, AMT:

 

 

Series 14, Inverse Floater, 144A, 8.72%, 10/1/2013 (b)

3,960,000

4,879,472

Series 14, Inverse Floater, 144A, 8.72%, 10/1/2020 (b)

1,410,000

1,734,935

Series 14, Inverse Floater, 144A, 8.97%, 10/1/2015 (b)

1,500,000

1,879,125

8,493,532

Georgia 0.2%

Georgia, Electric Revenue, Inverse Floater, Rites-PA 786, 144A, 9.554%, 1/1/2016

4,600,000

6,706,892

Illinois 0.8%

Cook County, IL, County General Obligation, Inverse Floater, Rites-PA 591, 144A, 9.804%, 11/15/2013 (b)

10,610,000

15,083,812

Illinois, Transportation/Tolls Revenue, Regional Transportation Authority, Inverse Floater, Rites-PA 584, 144A, 10.2044%, 11/1/2021

12,900,000

20,122,710

35,206,522

Massachusetts 0.3%

Massachusetts, Resource Recovery Revenue, Development Finance Agency, Resource Recovery, Series 563, Inverse Floater, 144A, 8.03%, 1/1/2016 (b)

3,375,000

4,137,480

Massachusetts, State General Obligation, Inverse Floater, Rites-PA 793, 144A, 8.339%, 10/1/2008

6,095,000

7,559,811

11,697,291

Michigan 0.2%

Michigan, State Agency General Obligation Lease, Building Authority, Inverse Floater, Series B, 144A, 7.824%, 4/15/2009

2,500,000

3,067,450

Michigan, State Agency General Obligation Lease, Inverse Floater, Rites-PA 889R, Series A, 144A, 7.824%, 4/15/2009

4,155,000

5,137,824

8,205,274

New Jersey 1.7%

New Jersey, Highway Authority Revenue, Garden State Parkway, Inverse Floater, Series 247, ETM, 144A, 7.785%, 1/1/2013 (b)

14,935,000

19,467,773

New Jersey, State Agency Revenue, Transportation Trust Fund Authority, Residual Certificates, Inverse Floater, Series 224, 144A, 8.260%, 6/15/2016

11,000,000

14,980,900

New Jersey, State Revenue Lease, Transportation Trust Fund Authority, Inverse Floater, Rites-PA 785, 144A, 8.824%, 9/15/2015 (b)

5,190,000

6,642,006

New Jersey, Transportation/Tolls Revenue, Turnpike Authority:

 

 

Inverse Floater, Rites-PA 613, 144A, 9.804%, 1/1/2011 (b)

21,170,000

30,408,165

Inverse Floater, Rites-PA 614, 144A, 9.804%, 1/1/2016 (b)

3,830,000

5,501,335

77,000,179

New York 0.6%

Monroe County, NY, Airport Revenue:

 

 

Inverse Floater, Rites-PA 585B, AMT, 144A, 8.296%, 7/1/2011

2,515,000

3,203,406

Inverse Floater, Rites-PA 585A, AMT, 144A, 8.299%, 1/1/2014

2,005,000

2,540,034

Inverse Floater, Rites-PA 585C, AMT, 144A, 8.8550%, 7/1/2012

1,915,000

2,520,600

New York, Tobacco Settlement Financing Corp., Inverse Floater, Series RR-II-R-365, 43.915%, 6/1/2011

1,250,000

3,434,000

New York, Transportation/Tolls Revenue, Securities Trust Certificates, Inverse Floater, 144A, 7.82%, 11/15/2017 (b)

7,500,000

9,448,200

New York and New Jersey, Port Authority Revenue, Inverse Floater, AMT, Series II, 144A, 8.23%, 10/15/2007 (b)

6,160,000

6,954,763

28,101,003

Pennsylvania 1.1%

Allegheny County, PA, Airport Revenue, AMT:

 

 

Inverse Floater, Rites-PA 567A, 144A, 8.245%, 1/1/2010 (b)

3,000,000

3,544,350

Inverse Floater, Rites-PA 567B, 144A, 8.245%, 1/1/2011 (b)

1,500,000

1,806,765

Inverse Floater, Rites-PA 567D, 144A, 8.245%, 1/1/2014 (b)

5,250,000

6,545,070

Inverse Floater, Rites-PA 567C, 144A, 8.254%, 1/1/2013 (b)

3,160,000

3,896,817

Delaware Valley, PA, Core City General Obligation, Regional Financial Authority, Inverse Floater, Rites-PA 1028, 144A, 8.23%, 1/1/2014

12,500,000

16,593,625

Pennsylvania, Sales & Special Tax Revenue, Intergovernmental Cooperative Authority:

 

 

Inverse Floater, 144A, 7.25%, 6/15/2013

2,225,000

2,556,481

Inverse Floater, 144A, 7.25%, 6/15/2014 (b)

2,500,000

2,866,550

Inverse Floater, 144A, 7.25%, 6/15/2015 (b)

2,250,000

2,577,465

Pennsylvania, State General Obligation, Inverse Floater, 144A, 12.83%, 5/1/2019

5,000,000

7,724,500

48,111,623

Puerto Rico 0.7%

Puerto Rico, Sales & Special Tax Revenue:

 

 

Inverse Floater, Rites-PA 994RC, 144A, 7.854%, 7/1/2007 (b)

3,000,000

4,166,670

Inverse Floater, Rites-PA 944RA, 144A, 7.854%, 7/1/2015 (b)

3,720,000

5,111,726

Inverse Floater, Rites-PA 943R, 144A, 7.856%, 7/1/2019

11,325,000

15,561,909

Inverse Floater, Rites-PA 620A, 144A, 8.834%, 7/1/2013 (b)

2,500,000

3,433,275

Puerto Rico Commonwealth, General Obligation, Rites-PA 620C, 144A, 9.16%, 7/1/2016 (b)

1,000,000

1,434,410

29,707,990

Tennessee 0.3%

Knox County, TN, Hospital & Healthcare Revenue, Inverse Floater, Rites-PA 750, 8.324%, 1/1/2012 (b)

8,940,000

11,342,893

Texas 0.8%

Dallas, TX, Airport Revenue, International Airport, Inverse Floater, Series 350, AMT, 144A, 7.735%, 5/1/2011 (b)

17,875,000

21,299,135

Dallas, TX, Core City General Obligation, Inverse Floater:

 

 

Series PA-1136, 144A, 7.26%, 2/15/2018

3,915,000

4,655,875

Series PA-1136, 7.26%, 2/15/2019 (b)

4,110,000

4,876,309

Series PA-1136, 144A, 7.26%, 2/15/2020 (b)

5,125,000

6,080,556

36,911,875

Total Municipal Inverse Floating Rate Notes (Cost $323,879,797)

380,315,603

 

% of Net Assets

Value ($)

 

 

Total Investment Portfolio (Cost $3,983,701,023) (a)

99.3

4,411,314,738

Other Assets and Liabilities, Net

0.7

32,634,599

Net Assets

100.0

4,443,949,337

* Variable rate demand notes are securities whose interest rates are periodically reset at market levels. These securities are often payable on demand and are shown at their current rate as of May 31, 2005.

(a) The cost for federal income tax purposes was $3,978,196,467. At May 31, 2005, net unrealized appreciation for all securities based on tax cost was $433,118,271. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $448,087,119 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $14,968,848.

(b) Bond is insured by one of these companies:

Insurance Coverage

As a % of Total Investment Portfolio

Ambac Financial Group

14.2

Bond Investors Guaranty Insurance Co.

0.2

Financial Guaranty Insurance Company

10.0

Financial Security Assurance Inc.

9.5

MBIA Corp.

28.4

XL Capital Assurance

0.2

(c) Security incorporates a letter of credit from a major bank.

(d) When issued or forward delivery security (see Notes to Financial Statements).

(e) At May 31, 2005, this security, in part or in whole, has been segregated to cover initial margin requirements for open future contracts.

AMT: Subject to alternative minimum tax.

ETM: Bonds bearing the description ETM (escrowed 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.

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transaction exempt from registration, normally to qualified institutional buyers.

At May 31, 2005, open futures contracts sold were as follows:

Futures

Expiration Date

Contracts

Aggregated Face Value ($)

Value ($)

Unrealized Depreciation ($)

10 Year Interest Rate Swap

6/13/2005

408

44,890,302

45,938,250

(1,047,948)

At May 31, 2005, open interest rate swaps were as follows:

Effective/ Expiration Dates

Notional Amount ($)

Cash Flows Paid by the Fund

Cash Flows Received by

the Fund

Net Unrealized Depreciation ($)

6/7/2005

12/7/2014

43,000,000++++

Fixed — 4.772%

Floating — LIBOR

(1,208,300)

6/8/2005

12/8/2014

21,500,000++++

Fixed — 4.750%

Floating — LIBOR

(567,600)

6/9/2005

12/9/2014

43,000,000+++++

Fixed — 4.647%

Floating — LIBOR

(812,700)

6/14/2005

12/14/2014

83,500,000+++

Fixed — 4.655%

Floating — LIBOR

(1,611,550)

6/16/2005

12/14/2014

43,000,000+++++

Fixed — 4.710%

Floating — LIBOR

(1,006,200)

6/16/2005

12/16/2014

43,000,000++

Fixed — 4.702%

Floating — LIBOR

(980,400)

7/20/2005

1/20/2017

77,500,000+

Fixed — 4.838%

Floating — LIBOR

(2,270,750)

7/27/2005

1/26/2017

76,000,000+++

Fixed — 4.792%

Floating — LIBOR

(1,884,800)

7/28/2005

1/27/2017

75,500,000++++

Fixed — 4.788%

Floating — LIBOR

(1,827,100)

7/28/2005

1/27/2017

7,500,000+++++

Fixed — 4.788%

Floating — LIBOR

(181,500)

7/28/2005

1/27/2015

30,000,000++

Fixed — 4.680%

Floating — LIBOR

(579,000)

8/23/2005

2/22/2015

68,500,000++

Fixed — 4.763%

Floating — LIBOR

(1,691,950)

8/25/2005

2/25/2015

60,250,000+++

Fixed — 4.764%

Floating — LIBOR

(1,494,200)

10/12/2005

4/12/2017

79,000,000++++

Fixed — 3.962%

Floating — BMA

(2,709,700)

10/18/2005

4/18/2017

78,600,000+

Fixed — 3.909%

Floating — BMA

(2,326,560)

11/3/2005

5/3/2017

26,800,000++

Fixed — 4.802%

Floating — LIBOR

(600,320)

11/25/2005

5/24/2017

52,300,000++

Fixed — 4.667%

Floating — LIBOR

(512,540)

Total net unrealized depreciation on open interest rate swaps

(22,265,170)

Counterparties:

+ JPMorgan Chase Bank

++ Lehman Brothers, Inc.

+++ Goldman, Sachs & Co.

++++ Citibank NA

+++++ Morgan Stanley

BMA: Represents the Bond Market Association

LIBOR: Represents the London InterBank Offered Rate

The accompanying notes are an integral part of the financial statements.

Financial Statements

 

Statement of Assets and Liabilities as of May 31, 2005

Assets

Investments in securities, at value (cost $3,983,701,023)

$ 4,411,314,738

Cash

1,626,058

Receivable for investments sold

513,626

Interest receivable

70,163,407

Receivable for Fund shares sold

999,395

Other assets

122,649

Total assets

4,484,739,873

Liabilities

Notes payable

3,000,000

Payable for investments purchased

1,047,813

Net unrealized depreciation on interest rate swaps

22,265,170

Payable for when-issued and forward delivery securities

5,159,500

Dividends payable

3,720,802

Payable for Fund shares redeemed

2,371,360

Payable for daily variation margin on open futures contracts

255,000

Accrued management fee

1,526,113

Other accrued expenses and payables

1,444,778

Total liabilities

40,790,536

Net assets, at value

$ 4,443,949,337

Net Assets

Net assets consist of:

Undistributed net investment income

675,408

Net unrealized appreciation (depreciation) on:

Investments

427,613,715

Interest rate swaps

(22,265,170)

Futures

(1,047,948)

Accumulated net realized gain (loss)

(27,895,076)

Paid-in capital

4,066,868,408

Net assets, at value

$ 4,443,949,337

The accompanying notes are an integral part of the financial statements.

 

 

Statement of Assets and Liabilities as of May 31, 2005 (continued)

Net Asset Value

Class A

Net Asset Value and redemption price(a) per share ($2,146,701,031 ÷ 233,274,463 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.20

Maximum offering price per share (100 ÷ 95.50 of $9.20)

$ 9.63

Class B

Net Asset Value, offering and redemption price(a) (subject to contingent deferred sales charge) per share ($34,439,715 ÷ 3,741,458 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.20

Class C

Net Asset Value, offering and redemption price(a) (subject to contingent deferred sales charge) per share ($24,051,268 ÷ 2,613,523 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.20

Class AARP

Net Asset Value, offering and redemption price(a) per share ($1,449,672,270 ÷ 157,344,999 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.21

Class S

Net Asset Value, offering and redemption price(a) per share ($788,633,073÷ 85,608,856 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.21

Institutional Class

Net Asset Value, offering and redemption price(a) per share ($451,980 ÷ 49,089 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)

$ 9.21

(a) Redemption price per share for shareholders held less than 15 days is equal to net asset value less a 2% redemption fee.

The accompanying notes are an integral part of the financial statements.

 

 

Statement of Operations for the year ended May 31, 2005

Investment Income

Income:

Interest

$ 237,789,117

Expenses:

Management fee

18,461,244

Services to shareholders

2,731,582

Custodian and accounting fees

429,857

Distribution service fees

5,984,284

Auditing

91,016

Legal

71,126

Trustees' fees and expenses

127,270

Reports to shareholders

157,600

Registration fees

65,944

Other

272,201

Total expenses, before expense reductions

28,392,124

Expense reductions

(36,628)

Total expenses, after expense reductions

28,355,496

Net investment income

209,433,621

Realized and Unrealized Gain (Loss) on Investment Transactions

Net realized gain (loss) from:

Investments

50,735,648

Interest rate swaps

(45,558,690)

Futures

2,260,723

 

7,437,681

Net unrealized appreciation (depreciation) during the period on:

Investments

125,105,198

Interest rate swaps

(35,808,820)

Futures

(13,795,801)

 

75,500,577

Net gain (loss) on investment transactions

82,938,258

Net increase (decrease) in net assets resulting from operations

$ 292,371,879

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,

2005

2004

Operations:

Net investment income

$ 209,433,621

$ 222,880,336

Net realized gain (loss) on investment transactions

7,437,681

41,460,592

Net unrealized appreciation (depreciation) during the period on investment transactions

75,500,577

(273,049,188)

Net increase (decrease) in net assets resulting from operations

292,371,879

(8,708,260)

Distributions to shareholders from:

Net investment income:

Class A

(98,510,879)

(108,020,716)

Class B

(1,483,611)

(2,212,792)

Class C

(885,908)

(954,543)

Class AARP

(70,706,922)

(74,381,714)

Class S

(38,615,741)

(38,467,931)

Institutional Class

(9,180)

(399)

From net realized gains:

Class A

(349,421)

—

Class B

(6,202)

—

Class C

(3,568)

—

Class AARP

(240,222)

—

Class S

(129,975)

—

Institutional Class

(34)

—

Fund share transactions:

Proceeds from shares sold

188,116,203

290,687,353

Net assets acquired in tax free reorganization

58,959,059

—

Reinvestment of distributions

129,520,021

138,120,196

Cost of shares redeemed

(544,141,849)

(633,333,522)

Redemption fees

3,473

—

Net increase (decrease) in net assets from Fund share transactions

(167,543,093)

(204,525,973)

Increase (decrease) in net assets

(86,112,877)

(437,272,328)

Net assets at beginning of period

4,530,062,214

4,967,334,542

Net assets at end of period (including undistributed net investment income of $675,408 and $2,630,505, respectively)

$ 4,443,949,337

$ 4,530,062,214

The accompanying notes are an integral part of the financial statements.

Financial Highlights

 

Class A

Years Ended May 31,

2005

2004

2003

2002a

Selected Per Share Data

Net asset value, beginning of period

$ 9.04

$ 9.50

$ 9.12

$ 9.00

Income from investment operations:

Net investment income

.42

.43

.42

.42

Net realized and unrealized gain (loss) on investment transactions

.16

(.46)

.41

.12

Total from investment operations

.58

(.03)

.83

.54

Less distributions from:

Net investment income

(.42)

(.43)

(.42)

(.42)

Net realized gain on investment transactions

(.00)***

—

(.03)

—

Total distributions

(.42)

(.43)

(.45)

(.42)

Redemption fees

.00***

—

—

—

Net asset value, end of period

$ 9.20

$ 9.04

$ 9.50

$ 9.12

Total Return (%)b

6.53

(.31)

9.41

5.94**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

2,147

2,183

2,454

2,416

Ratio of expenses (%)

.74

.75

.75

.77*

Ratio of net investment income (%)

4.56

4.61

4.66

4.74*

Portfolio turnover rate (%)

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.

* Annualized

** Not annualized

*** Amount is less than $.005.

 

Class B

Years Ended May 31,

2005

2004

2003

2002a

Selected Per Share Data

Net asset value, beginning of period

$ 9.04

$ 9.50

$ 9.11

$ 9.00

Income from investment operations:

Net investment income

.35

.36

.35

.35

Net realized and unrealized gain (loss) on investment transactions

.16

(.46)

.42

.11

Total from investment operations

.51

(.10)

.77

.46

Less distributions from:

Net investment income

(.35)

(.36)

(.35)

(.35)

Net realized gain on investment transactions

(.00)***

—

(.03)

—

Total distributions

(.35)

(.36)

(.38)

(.35)

Redemption fees

.00***

—

—

—

Net asset value, end of period

$ 9.20

$ 9.04

$ 9.50

$ 9.11

Total Return (%)b

5.70c

(1.07)

8.52

5.15**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

34

47

66

65

Ratio of expenses, before expense reductions (%)

1.54

1.52

1.53

1.58*

Ratio of expenses, after expense reductions (%)

1.53

1.52

1.53

1.58*

Ratio of net investment income (%)

3.77

3.84

3.88

3.93*

Portfolio turnover rate (%)

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.

* Annualized

** Not annualized

*** Amount is less than $.005.

 

Class C

Years Ended May 31,

2005

2004

2003

2002a

Selected Per Share Data

Net asset value, beginning of period

$ 9.04

$ 9.50

$ 9.11

$ 9.00

Income from investment operations:

Net investment income

.35

.36

.35

.34

Net realized and unrealized gain (loss) on investment transactions

.16

(.46)

.42

.11

Total from investment operations

.51

(.10)

.77

.45

Less distributions from:

Net investment income

(.35)

(.36)

(.35)

(.34)

Net realized gain on investment transactions

(.00)***

—

(.03)

—

Total distributions

(.35)

(.36)

(.38)

(.34)

Redemption fees

.00***

—

—

—

Net asset value, end of period

$ 9.20

$ 9.04

$ 9.50

$ 9.11

Total Return (%)b

5.72

(1.09)

8.52

5.11**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

24

25

24

14

Ratio of expenses (%)

1.51

1.54

1.56

1.59*

Ratio of net investment income (%)

3.80

3.82

3.85

3.92*

Portfolio turnover rate (%)

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.

* Annualized

** Not annualized

*** Amount is less than $.005.

 

Class AARP

Years Ended May 31,

2005

2004

2003

2002a

2001b

Selected Per Share Data

Net asset value, beginning of period

$ 9.05

$ 9.50

$ 9.12

$ 8.95

$ 8.69

Income from investment operations:

Net investment income

.44

.45

.44

.45

.37

Net realized and unrealized gain (loss) on investment transactions

.16

(.45)

.41

.17

.26

Total from investment operations

.60

—

.85

.62

.63

Less distributions from:

Net investment income

(.44)

(.45)

(.44)

(.45)

(.37)

Net realized gain on investment transactions

(.00)***

—

(.03)

—

—

Total distributions

(.44)

(.45)

(.47)

(.45)

(.37)

Redemption fees

.00***

—

—

—

—

Net asset value, end of period

$ 9.21

$ 9.05

$ 9.50

$ 9.12

$ 8.95

Total Return (%)

6.79

(.01)

9.61

6.92

7.35**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

1,450

1,477

1,585

1,502

1,470

Ratio of expenses (%)

.51

.56

.56

.57

.64c*

Ratio of net investment income (%)

4.80

4.80

4.85

4.92

4.92*

Portfolio turnover rate (%)

31

24

22

33

11

a As required, effective June 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended May 31, 2002, was to increase net investment income per share by $.004, decrease net realized and unrealized gain (loss) per share by $.004, and increase the ratio of net investment income to average net assets from 4.88% to 4.92%. Per share data and ratios for periods prior to June 1, 2001, have not been restated to reflect this change in presentation.

b For the period from July 31, 2000 (commencement of operations of Class AARP shares) to May 31, 2001.

c The ratio of operating expenses includes a one-time reduction in connection with a fund complex reorganization. The ratio without this reduction was .65%.

* Annualized

** Not annualized

*** Amount is less than $.005.

 

Class S

Years Ended May 31,

2005

2004

2003

2002a

2001

Selected Per Share Data

Net asset value, beginning of period

$ 9.05

$ 9.50

$ 9.12

$ 8.95

$ 8.43

Income from investment operations:

Net investment income

.44

.45

.44

.45

.44

Net realized and unrealized gain (loss) on investment transactions

.16

(.45)

.41

.17

.52

Total from investment operations

.60

—

.85

.62

.96

Less distributions from:

Net investment income

(.44)

(.45)

(.44)

(.45)

(.44)

Net realized gains on investment transactions

(.00)***

—

(.03)

—

—

Total distributions

(.44)

(.45)

(.47)

(.45)

(.44)

Redemption fees

.00***

—

—

—

—

Net asset value, end of period

$ 9.21

$ 9.05

$ 9.50

$ 9.12

$ 8.95

Total Return (%)

6.81

(.01)b

9.49

7.04

11.55

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

789

798

837

812

814

Ratio of expenses, before expense reductions (%)

.49

.56

.56

.57

.65

Ratio of expenses, after expense reductions (%)

.49

.55

.56

.57

.65

Ratio of net investment income (%)

4.82

4.81

4.85

4.92

4.96

Portfolio turnover rate (%)

31

24

22

33

11

a As required, effective June 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended May 31, 2002, was to increase net investment income per share by $.004, decrease net realized and unrealized gain (loss) per share by $.004, and increase the ratio of net investment income to average net assets from 4.88% to 4.92%. Per share data and ratios for periods prior to June 1, 2001, have not been restated to reflect this change in presentation.

b Total return would have been lower had certain expenses not been reduced.

*** Amount is less than $.005.

 

Institutional Class

Years Ended May 31,

2005

2004

2003a

Selected Per Share Data

Net asset value, beginning of period

$ 9.05

$ 9.50

$ 9.33

Income from investment operations:

Net investment income

.45

.44

.31

Net realized and unrealized gain (loss) on investment transactions

.16

(.45)

.20

Total from investment operations

.61

(.01)

.51

Less distributions from:

Net investment income

(.45)

(.44)

(.31)

Net realized gain on investment transactions

(.00)***

—

(.03)

Total distributions

(.45)

(.44)

(.34)

Redemption fees

.00***

—

—

Net asset value, end of period

$ 9.21

$ 9.05

$ 9.50

Total Return (%)

6.86b

(.06)b

5.94**

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

.45

.01

.001

Ratio of expenses, before expense reductions (%)

.52

.66

.54*

Ratio of expenses, after expense reductions (%)

.49

.54

.54*

Ratio of net investment income (%)

4.81

4.82

4.74*

Portfolio turnover rate (%)

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.

* Annualized

** Not annualized

*** Amount is less than $.005.

Notes to Financial Statements  

 

A. Significant Accounting Policies

Scudder Managed Municipal Bond Fund (the "Fund") is a diversified series of 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 are designed for members of AARP. 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 derivative 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 derivative debt instrument in which the Fund invests is a tender option bond trust (the "trust") established by a financial institution or broker consisting of underlying municipal obligations with relatively 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 has the price risk of the underlying municipal obligations at the applicable leverage factors that can range from 2 to 19 times. 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.

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.

Forward Commitment Agreements. A Municipal Market Data ("MMD") forward commitment agreement is a commitment to pay or receive at the termination date the spread between a fixed rate and a spot rate on the MMD AAA yield curve. Risks may arise upon entering into these agreements from the potential inability of counterparties to meet the terms of their agreement and from unanticipated changes in the interest rates on which the agreement is based. The Fund also bears the risk of limited liquidity prior to the termination. MMD forward commitments are valued daily and the change in value is recorded by the Fund as unrealized appreciation or depreciation on forward commitments. Upon the termination date, a cash payment is made based on the spread between the fixed rate and the spot rate and the Fund will realize a gain or loss based upon the cash payment received or paid.

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 that is intended to approximate the Fund's variable rate payment obligation. 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.

At May 31, 2005, the Fund had a net tax basis capital loss carryforward of approximately $11,426,000 which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until May 31, 2007 ($18,000), May 31, 2008 ($714,000), May 31, 2009 ($1,486,000), May 31, 2011 ($2,661,000) and May 31, 2013 ($6,547,000), the respective expiration dates, whichever occurs first, subject to certain limitations under Sections 382-384 of the Internal Revenue Code.

In addition, from November 1, 2004 through May 31, 2005, the Fund incurred approximately $ 6,457,000 of net realized capital losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising in the fiscal year ending May 31, 2006.

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, 2005, the Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:

Undistributed tax-exempt income

$ 3,750,512

Undistributed taxable income

$ 645,697

Capital loss carryforwards

$ (11,426,000)

Net unrealized appreciation on investments

$ 433,118,271

In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:

 

Years Ended May 31,

 

2005

2004

Distributions from tax-exempt income

$ 210,212,241

$ 224,038,095

Distributions from short-term capital gains*

$ 729,422

$ —

* For tax purposes short-term capital gains distributions are considered taxable income distributions.

Redemption Fees. Effective February 1, 2005, 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.

B. Purchases and Sales of Securities

During the year ended May 31, 2005, purchases and sales of investment securities (excluding short-term investments) aggregated $1,398,099,535 and $1,638,098,728, 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 0.450% of the first $250,000,000 of the Fund's average daily net assets, 0.430% of the next $750,000,000 of such net assets, 0.410% of the next $1,500,000,000 of such net assets, 0.400% of the next $2,500,000,000 of such net assets, 0.380% of the next $2,500,000,000 of such net assets, 0.360% of the next $2,500,000,000 of such net assets, 0.340% of the next $2,500,000,000 of such net assets and 0.320% 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, 2005, 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 October 1, 2003 through March 11, 2005, the Advisor 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 0.74% of average daily net assets for Class A, B, C, AARP and S shares and 0.54% of average daily net assets for Institutional Class shares (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest, Rule 12b-1 distribution and/or service fees, trustee and trustee counsel fees and organizational and offering expenses).

In addition, for the period from 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. Scudder Investments Service Company ("SISC"), an affiliate of the Advisor, is the Fund's transfer, dividend-paying agent and shareholder service agent for Class A, B, C and Institutional Class shares of the Fund. Scudder Service Corporation ("SSC"), a subsidiary of the Advisor, is the transfer, dividend-paying agent and shareholder service agent for Class AARP and S shares of the Fund. Pursuant to a sub-transfer agency agreement among SISC, SSC and DST Systems, Inc. ("DST"), SISC and SSC have delegated certain transfer agent and dividend paying agent functions to DST. SISC and SSC compensate DST out of the shareholder servicing fee it receives from the Fund. For the year ended May 31, 2005, the amounts charged to the Fund by SISC and SSC were as follows:

Services to Shareholders

Total Aggregated

Waived

Unpaid at May 31, 2005

Class A

$ 944,415

$ —

$ 229,821

Class B

29,842

1,244

8,527

Class C

12,881

—

3,123

Class AARP

893,555

—

221,517

Class S

276,770

—

69,064

Institutional Class

201

58

—

 

$ 2,157,664

$ 1,302

$ 532,052

Scudder Fund Accounting Corporation ("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, 2005, the amount charged to the Fund by SFAC for accounting services aggregated $288,859, of which $29,234 is unpaid at May 31, 2005.

Distribution Service Agreement. Under the Distribution Service Agreement, in accordance with Rule 12b-1 under the 1940 Act, Scudder Distributors, Inc. ("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, 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, 2005, the Distribution Fee was as follows:

Distribution Fee

Total Aggregated

Unpaid at May 31, 2005

Class B

$ 294,253

$ 23,059

Class C

174,649

15,422

 

$ 468,902

$ 38,481

In addition, 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. 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, 2005, the Service Fee was as follows:

Service Fee

Total Aggregated

Unpaid at May 31, 2005

Annual Effective Rate

Class A

$ 5,359,908

$ 341,256

.25%

Class B

97,575

3,752

.25%

Class C

57,899

4,241

.25%

 

$ 5,515,382

$ 349,249

 

Underwriting Agreement and Contingent Deferred Sales Charge. SDI is the principal underwriter for the Fund. Underwriting commissions paid to SDI in connection with the distribution of Class A shares for the year ended May 31, 2005 aggregated $111,911.

In addition, 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, 2005, the CDSC for Class B and C shares aggregated $91,216 and $1,535, respectively. A deferred sales charge of up to 1% is assessed on certain redemptions of Class A shares. For the year ended May 31, 2005, SDI received $21,003.

Typesetting and Filing Fees. Under an agreement with Deutsche Investment Management Americas Inc. ("DeIM"), an indirect, wholly owned subsidiary of Deutsche Bank AG, DeIM is compensated for providing typesetting and regulatory filing services to the Fund. For the year ended May 31, 2005, the amount charged to the Fund by DeIM included in the reports to shareholders aggregated $8,880, of which $4,440 is unpaid at May 31, 2005.

Trustees' Fees and Expenses. The Fund pays each Trustee not affiliated with the Advisor retainer fees plus specified amounts for attended board and committee meetings.

Other Related Parties. AARP through its affiliate, AARP Services, Inc., monitors and oversees the AARP Investment Program from Scudder Investments, but does not act as an investment advisor or recommend specific mutual funds. DeIM has agreed to pay a fee to AARP and/or its affiliates in return for the use of the AARP trademark and services relating to investments by AARP members in AARP Class shares of the Fund. This fee is calculated on a daily basis as a percentage of the combined net assets of the AARP classes of all funds managed by DeIM. The fee rates, which decrease as the aggregate net assets of the AARP classes become larger, are as follows: 0.07% for the first $6 billion of net assets, 0.06% for the next $10 billion and 0.05% thereafter. These amounts are used for the general purposes of AARP and its members.

Insurance Brokerage Commissions. The Fund paid insurance premiums to an unaffiliated insurance broker in 2002 and 2003. This broker in turn paid a portion of its commissions to an affiliate of the Advisor, which performed certain insurance brokerage services for the broker. The Advisor has reimbursed the Fund for the portion of commissions (plus interest) paid to the affiliate of the Advisor attributable to the premiums paid by the Fund. The amounts for 2002 and 2003 were $1,879 and $1,524, respectively.

D. Expense Reductions

For the year ended May 31, 2005, the Advisor agreed to reimburse the Fund $34,806, 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, 2005, the custodian fee was reduced by $520 for custodian credits earned.

E. Line of Credit

The Fund and several other affiliated funds (the "Participants") share in a $1.1 billion revolving credit facility administered by J.P. Morgan Chase Bank 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, 2005

Year Ended
May 31, 2004

 

Shares

Dollars

Shares

Dollars

Shares sold

Class A

8,312,673

$ 76,136,927

11,328,721

$ 105,163,655

Class B

178,711

1,648,009

652,877

6,064,662

Class C

397,268

3,641,947

871,962

8,128,463

Class AARP

5,039,288

46,272,489

9,016,415

83,878,443

Class S

6,580,420

59,972,551

9,563,708

87,441,130

Institutional Class

47,953

444,280

1,207

11,000

 

 

$ 188,116,203

 

$ 290,687,353

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

7,004,991

$ 64,224,067

7,466,250

$ 69,214,164

Class B

98,169

899,952

139,824

1,296,531

Class C

67,065

614,822

66,535

616,824

Class AARP

4,618,657

42,395,350

4,769,906

44,269,503

Class S

2,329,934

21,385,283

2,447,995

22,722,786

Institutional Class

60

547

41

388

 

 

$ 129,520,021

 

$ 138,120,196

Shares redeemed

Class A

(29,582,562)

$ (270,878,349)

(35,635,755)

$ (330,327,638)

Class B

(2,013,177)

(18,423,203)

(2,546,171)

(23,614,015)

Class C

(787,261)

(7,207,277)

(755,319)

(6,973,133)

Class AARP

(15,507,042)

(142,237,910)

(17,480,475)

(161,892,618)

Class S

(11,497,799)

(105,393,916)

(11,927,263)

(110,524,616)

Institutional Class

(122)

(1,194)

(161)

(1,502)

 

 

$ (544,141,849)

 

$ (633,333,522)

Redemption fees

$ 3,473

 

$ —

Net increase (decrease)

Class A

(8,284,676)

$ (75,917,570)

(16,840,784)

$ (155,949,819)

Class B

(1,474,651)

(13,486,414)

(1,753,470)

(16,252,822)

Class C

(107,068)

(979,706)

183,178

1,772,154

Class AARP

(5,849,097)

(53,569,987)

(3,694,154)

(33,744,672)

Class S

(2,587,445)

(24,033,049)

84,440

(360,700)

Institutional Class

47,891

443,633

1,087

9,886

 

 

$ (167,543,093)

 

$ (204,525,973)

* On March 11, 2005, the Florida Tax-Free Fund was acquired by the Fund through a tax-free reorganization.

G. Regulatory Matters and Litigation

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 Scudder Investments. It is not possible to determine what the outcome of these inquiries will be or what the effect, if any, would be on the funds or their advisors. Publicity about mutual fund practices arising from these industry-wide inquiries serves as the general basis of a number of private lawsuits against the Scudder 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 Scudder funds, the funds' investment advisors and their affiliates, certain individuals, including in some cases fund Trustees/Directors, officers, and other parties. Each Scudder fund's investment advisor has agreed to indemnify the applicable Scudder 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. 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 Scudder fund is remote and such actions are not likely to materially affect their ability to perform under their investment management agreements with the Scudder funds.

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 Scudder 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.

Report of Independent Registered Public Accounting Firm

 

To the Trustees of Scudder Municipal Trust and the Shareholders of Scudder Managed Municipal Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Scudder Managed Municipal Bond Fund (the "Fund") at May 31, 2005, and the results of its operations, 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, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

Boston, Massachusetts
July 26, 2005

PricewaterhouseCoopers LLP

Tax Information (Unaudited)

 

Of the dividends paid from net investment income for the taxable year ended May 31, 2005, 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 1-800-SCUDDER.

Trustees and Officers

 

The following table presents certain information regarding the Trustees and Officers of the fund as of May 31, 2005. Each individual's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each individual 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 Trustee is c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33904. Unless otherwise indicated, the address of each Officer is Two International Place, Boston, Massachusetts 02110. The term of office for each Trustee is until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of a successor, or until such Trustee sooner dies, resigns, retires or is removed as provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Trustee will hold office for an indeterminate period. The Trustees of the Fund may also serve in similar capacities with other funds in the fund complex.

Independent Trustees

Name, Year of Birth, Position(s) Held with the Fund and Length of Time Served1

Principal Occupation(s) During Past 5 Years and
Other Directorships Held

Number of Funds in Fund Complex Overseen

Dawn-Marie Driscoll (1946)

Chairman, 2004-present

Trustee, 1987-present

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: CRS Technology (technology service company); Advisory Board, Center for Business Ethics, Bentley College; Board of Governors, Investment Company Institute; former Chairman, ICI Directors Services Committee

42

Henry P. Becton, Jr. (1943)

Trustee, 1990-present

President, WGBH Educational Foundation. Directorships: Becton Dickinson and Company (medical technology company); The A.H. Belo Company (media company); Concord Academy; Boston Museum of Science; Public Radio International. Former Directorships: American Public Television; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service

42

Keith R. Fox (1954)

Trustee, 1996-present

Managing Partner, Exeter Capital Partners (private equity funds). Directorships: Facts on File (school and library publisher); Progressive Holding Corporation (kitchen importer and distributor); Cloverleaf Transportation Inc. (trucking); K-Media, Inc. (broadcasting); Natural History, Inc. (magazine publisher); National Association of Small Business Investment Companies (trade association)

42

Jean Gleason Stromberg (1943)

Trustee, 1999-present

Retired. Formerly, Consultant (1997-2001); Director, US General Accounting Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; Service Source, Inc.

42

Carl W. Vogt (1936)

Trustee, 2002-present

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, 4 funds overseen); National Railroad Passenger Corporation (Amtrak); formerly, Chairman and Member, National Transportation Safety Board

42

Officers2

Name, Year of Birth, Position(s) Held with the Fund and Length of Time Served1

Principal Occupation(s) During Past 5 Years and
Other Directorships Held

Julian F. Sluyters4 (1960)

President and Chief Executive Officer, 2004-present

Managing Director3, Deutsche Asset Management (since May 2004); President and Chief Executive Officer of The Germany Fund, Inc., The New Germany Fund, Inc., The Central Europe and Russia Fund, Inc., The Brazil Fund, Inc., The Korea Fund, Inc., Scudder Global High Income Fund, Inc. and Scudder New Asia Fund, Inc. (since May 2004); President and Chief Executive Officer, UBS Fund Services (2001-2003); Chief Administrative Officer (1998-2001) and Senior Vice President and Director of Mutual Fund Operations (1991-1998) UBS Global Asset Management

John Millette (1962)

Vice President and Secretary, 1999-present

Director3, Deutsche Asset Management

Kenneth Murphy (1963)

Vice President, 2002-present

Vice President, Deutsche Asset Management (2000-present); formerly, Director, John Hancock Signature Services (1992-2000)

Paul H. Schubert4 (1963)

Chief Financial Officer, 2004-present

Managing Director3, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds at UBS Global Asset Management (1994-2004)

Charles A. Rizzo (1957)

Treasurer, 2002-present

Managing Director3, Deutsche Asset Management (since April 2004); formerly, Director, Deutsche Asset Management (April 2000-March 2004); Vice President and Department Head, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Senior Manager, Coopers & Lybrand L.L.P. (now PricewaterhouseCoopers LLP) (1993-1998)

Lisa Hertz4 (1970)

Assistant Secretary, 2003-present

Vice President3, Deutsche Asset Management

Daniel O. Hirsch5 (1954)

Assistant Secretary, 2002-present

Consultant. Formerly, Managing Director, Deutsche Asset Management (2002-2005); Director, Deutsche Asset Management (1999-2002), Principal, BT Alex. Brown Incorporated (now Deutsche Bank Securities Inc.) (1998-1999); Assistant General Counsel, United States Securities and Exchange Commission (1993-1998); Director, Deutsche Global Funds Ltd. (2002-2004)

Caroline Pearson (1962)

Assistant Secretary, 1997-present

Managing Director3, Deutsche Asset Management

Scott M. McHugh (1971)

Assistant Treasurer, 2005-present

Director3, Deutsche Asset Management

Kathleen Sullivan D'Eramo (1957)

Assistant Treasurer, 2003-present

Director3, Deutsche Asset Management

Philip Gallo4 (1962)

Chief Compliance Officer, 2004-present

Managing Director3, Deutsche Asset Management (2003-present); formerly, Co-Head of Goldman Sachs Asset Management Legal (1994-2003)

1 Length of time served represents the date that each Trustee was first elected to the common board of Trustees which oversees a number of investment companies, including the fund, managed by the Advisor. For the Officers of the fund, the length of time served represents the date that each Officer was first elected to serve as an Officer of any fund overseen by the aforementioned common board of Trustees.

2 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.

3 Executive title, not a board directorship.

4 Address: 345 Park Avenue, New York, New York 10154.

5 Address: One South Street, Baltimore, Maryland 21202.

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-SCUDDER.

Account Management Resources

 

For shareholders of Classes A, B, C and Institutional

Automated Information Lines

ScudderACCESS (800) 972-3060

Personalized account information, information on other Scudder funds and services via touchtone telephone and for Classes A, B, and C only, the ability to exchange or redeem shares.

Web Site

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 Scudder funds, subscription to fund updates by e-mail, retirement planning information, and more.

For More Information

(800) 621-1048

To speak with a Scudder service representative.

Written Correspondence

Scudder Investments

PO Box 219356
Kansas 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 — scudder.com (type "proxy voting" in the search field) — 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 (800) 621-1048.

Principal Underwriter

If you have questions, comments or complaints, contact:

Scudder Distributors, Inc.

222 South Riverside Plaza
Chicago, IL 60606-5808

(800) 621-1148

 

Class A

Class B

Class C

Institutional Class

Nasdaq Symbol

SMLAX

SMLBX

SMLCX

SMLIX

CUSIP Number

811170-802

811170-885

811170-877

81118T-204

Fund Number

466

666

766

544

 

 

For shareholders of Class AARP and Class S

 

AARP Investment Program Shareholders

Scudder Class S Shareholders

Automated Information Lines

Easy-Access Line

(800) 631-4636

SAILTM

(800) 343-2890

 

Personalized account information, the ability to exchange or redeem shares, and information on other Scudder funds and services via touchtone telephone.

Web Sites

aarp.scudder.com

myScudder.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 Scudder funds, subscription to fund updates by e-mail, retirement planning information, and more.

For More Information

(800) 253-2277

To speak with an AARP Investment Program service representative

(800) SCUDDER

To speak with a Scudder service representative.

Written Correspondence

AARP Investment Program from Scudder Investments

PO Box 219735
Kansas City, MO 64121-9735

Scudder Investments

PO Box 219669
Kansas 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 sites — aarp.scudder.com or myScudder.com (type "proxy voting" in the search field) — 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 your service representative.

Principal Underwriter

If you have questions, comments or complaints, contact:

Scudder Distributors, Inc.

222 South Riverside Plaza
Chicago, IL 60606-5808

(800) 621-1148

 

Class AARP

Class S

Nasdaq Symbol

AMUBX

SCMBX

Fund Number

166

066

Notes

 

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Notes

 

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Notes

 

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ITEM 2.         CODE OF ETHICS.

As of the end of the period, May 31, 2005, Scudder Municipal Trust has adopted
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. In accordance with New York Stock
Exchange requirements, the Board believes that all members of the Funds' audit
committee are financially literate, as such qualification is interpreted by the
Board in its business judgment, and that at least one member of the audit
committee has accounting or related financial management expertise.

ITEM 4.         PRINCIPAL ACCOUNTANT FEES AND SERVICES.

                       SCUDDER 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. For engagements with PWC entered
into on or after May 6, 2003, 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       Audit-Related       Tax Fees        All  Other
   Ended      Fees Billed     Fees Billed        Billed to      Fees Billed
  May 31,       to Fund         to Fund            Fund           to Fund
--------------------------------------------------------------------------------
2005           $79,500            $225            $9,300             $0
--------------------------------------------------------------------------------
2004           $74,250            $185            $8,900             $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
compliance and 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.

--------------------------------------------------------------------------------
              Audit-Related            Tax Fees             All Other
Fiscal         Fees Billed to          Billed to           Fees Billed
 Year          Adviser and            Adviser and         to Adviser and
 Ended        Affiliated Fund        Affiliated Fund      Affiliated Fund
May 31,      Service Providers      Service Providers    Service Providers
--------------------------------------------------------------------------------
2005           $581,822                 $0                    $0
--------------------------------------------------------------------------------
2004           $542,483                 $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.







                               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. For engagements entered into on or
after May 6, 2003, 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.

--------------------------------------------------------------------------------
                                Total
                             Non-Audit
                            Fees billed
                             to Adviser
                                and
                             Affiliated
                            Fund Service             Total
                             Providers             Non-Audit
                            (engagements          Fees billed
                              related             to Adviser
              Total        directly to the      and Affiliated
            Non-Audit      operations and        Fund Service
Fiscal        Fees            financial           Providers
 Year        Billed          reporting            (all other         Total of
 Ended       to Fund        of the Fund)         engagements)        (A), (B)
May 31,        (A)               (B)                  (C)             and (C)
--------------------------------------------------------------------------------
2005          $9,300              $0              $207,146           $216,446
--------------------------------------------------------------------------------
2004          $8,900              $0             $1,681,369         $1,690,269
--------------------------------------------------------------------------------

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 also 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.

(b) There have been no changes in the registrant's internal control over
financial reporting that occurred during the registrant's last half-year (the
registrant's second fiscal half-year in the case of the annual report) that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal controls over financial reporting.

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:                         Scudder Managed Municipal Bond Fund, a
                                    series of Scudder Municipal Trust


By:                                 /s/ Julian Sluyters
                                    ---------------------------
                                    Julian Sluyters
                                    Chief Executive Officer

Date:                               August 2, 2005


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:                         Scudder Managed Municipal Bond Fund, a
                                    series of Scudder Municipal Trust


By:                                 /s/ Julian Sluyters
                                    ---------------------------
                                    Julian Sluyters
                                    Chief Executive Officer

Date:                               August 2, 2005



By:                                 /s/ Paul Schubert
                                    ---------------------------
                                    Paul Schubert
                                    Chief Financial Officer

Date:                               August 2, 2005