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

FORM N-CSRS

Investment Company Act file number:  811-02671

 
DWS Municipal Trust
 (Exact Name of Registrant as Specified in Charter)

345 Park Avenue
New York, NY 10154-0004
 (Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (212) 250-3220

Paul Schubert
60 Wall Street
New York, NY 10005
 (Name and Address of Agent for Service)

Date of fiscal year end:
5/31
   
Date of reporting period:
11/30/2012

ITEM 1.
REPORT TO STOCKHOLDERS
   
 
NOVEMBER 30, 2012
Semiannual Report
to Shareholders
 
DWS Managed Municipal Bond Fund
 
Contents
4 Performance Summary
8 Portfolio Management Team
9 Portfolio Summary
10 Investment Portfolio
41 Statement of Assets and Liabilities
43 Statement of Operations
44 Statement of Cash Flows
45 Statement of Changes in Net Assets
46 Financial Highlights
51 Notes to Financial Statements
61 Information About Your Fund's Expenses
63 Investment Management Agreement Approval
68 Summary of Management Fee Evaluation by Independent Fee Consultant
72 Account Management Resources
74 Privacy Statement
 
This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or 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 summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.
 
Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Investments in lower-quality ("junk bonds") and non-rated securities present greater risk of loss than investments in higher-quality securities. The fund invests in inverse floaters, which are derivatives that involve leverage and could magnify the fund's gains or losses. Although the fund seeks income that is federally tax-free, a portion of the fund's distributions may be subject to federal, state and local taxes, including the alternative minimum tax. See the prospectus for details.
 
DWS Investments is part of the Asset & Wealth Management division of Deutsche Bank AG.
 
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
 
Performance Summary November 30, 2012 (Unaudited)
Average Annual Total Returns as of 11/30/12
Unadjusted for Sales Charge
6-Month ‡
1-Year
3-Year
5-Year
10-Year
Class A
5.93%
14.09%
7.95%
6.56%
5.42%
Class B
5.45%
13.11%
7.01%
5.69%
4.59%
Class C
5.53%
13.22%
7.13%
5.76%
4.62%
Barclays Municipal Bond Index †
4.18%
10.17%
7.13%
6.23%
5.45%
Adjusted for the Maximum Sales Charge
         
Class A (max 2.75% load)
3.02%
10.95%
6.95%
5.97%
5.13%
Class B (max 4.00% CDSC)
1.45%
10.11%
6.43%
5.53%
4.59%
Class C (max 1.00% CDSC)
4.53%
13.22%
7.13%
5.76%
4.62%
Barclays Municipal Bond Index †
4.18%
10.17%
7.13%
6.23%
5.45%
No Sales Charges
         
Class S
6.02%
14.27%
8.10%
6.76%
5.65%
Institutional Class
6.06%
14.36%
8.18%
6.83%
5.69%
Barclays Municipal Bond Index †
4.18%
10.17%
7.13%
6.23%
5.45%
 
‡ Total returns shown for periods less than one year are not annualized.
 
Average Annual Total Returns as of 9/30/12 (most recent calendar quarter end)
Unadjusted for Sales Charge
1-Year
3-Year
5-Year
10-Year
Class A
10.89%
6.04%
6.14%
4.81%
Class B
9.95%
5.12%
5.28%
4.00%
Class C
10.05%
5.23%
5.34%
4.02%
Barclays Municipal Bond Index †
8.32%
5.99%
6.06%
5.03%
Adjusted for the Maximum Sales Charge
       
Class A (max 2.75% load)
7.84%
5.06%
5.55%
4.52%
Class B (max 4.00% CDSC)
6.95%
4.52%
5.11%
4.00%
Class C (max 1.00% CDSC)
10.05%
5.23%
5.34%
4.02%
Barclays Municipal Bond Index †
8.32%
5.99%
6.06%
5.03%
No Sales Charges
       
Class S
11.06%
6.19%
6.32%
5.04%
Institutional Class
11.17%
6.31%
6.41%
5.07%
Barclays Municipal Bond Index †
8.32%
5.99%
6.06%
5.03%
 
Performance in the Average Annual Total Returns table(s) above and the Growth of an Assumed $10,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit www.dws-investments.com for the Fund's most recent month-end performance. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had.
 
The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated October 1, 2012 are 0.82%, 1.63%, 1.59%, 0.64% and 0.56% for Class A, Class B, Class C, Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.
 
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
 
Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
A portion of the Fund's distributions may be subject to federal, state and local taxes and the alternative minimum tax.
 
Growth of an Assumed $10,000 Investment (Adjusted for Maximum Sales Charge)
Yearly periods ended November 30
 
The Fund's growth of an assumed $10,000 investment is adjusted for the maximum sales charge of 2.75%. This results in a net initial investment of $9,725.
 
The growth of $10,000 is cumulative.
 
Performance of other share classes will vary based on the sales charges and the fee structure of those classes.
 
† The Barclays 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.
 
Net Asset Value and Distribution Information
 
   
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
Net Asset Value:
11/30/12
  $ 9.76     $ 9.76     $ 9.76     $ 9.77     $ 9.76  
5/31/12
  $ 9.40     $ 9.40     $ 9.40     $ 9.41     $ 9.40  
Distribution Information:
Six Months as of 11/30/12:
Income Dividends
  $ .19     $ .15     $ .16     $ .20     $ .20  
November Income Dividend
  $ .0316     $ .0246     $ .0254     $ .0330     $ .0330  
SEC 30-day Yield †† as of 11/30/12
    1.74 %     0.94 %     1.02 %     1.97 %     1.96 %
Tax Equivalent Yield †† as of 11/30/12
    2.68 %     1.45 %     1.57 %     3.03 %     3.02 %
Current Annualized Distribution Rate †† as of 11/30/12
    3.89 %     3.02 %     3.12 %     4.05 %     4.06 %
 
†† The SEC yield is net investment income per share earned over the month ended November 30, 2012, 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 November 30, 2012. Distribution rate simply measures the level of dividends and is not a complete measure of performance. Yields and distribution rates are historical, not guaranteed, and will fluctuate.
 
Morningstar Rankings — Municipal National Long Funds Category as of 11/30/12
Period
Rank
 
Number of Fund Classes Tracked
Percentile Ranking (%)
Class A
1-Year
71
of
234
30
3-Year
91
of
216
42
5-Year
34
of
200
17
10-Year
41
of
170
24
Class B
1-Year
107
of
234
46
3-Year
178
of
216
82
5-Year
122
of
200
61
10-Year
123
of
170
72
Class C
1-Year
104
of
234
44
3-Year
171
of
216
79
5-Year
113
of
200
56
10-Year
122
of
170
71
Class S
1-Year
68
of
234
29
3-Year
86
of
216
40
5-Year
18
of
200
9
10-Year
25
of
170
15
Institutional Class
1-Year
63
of
234
27
3-Year
83
of
216
38
5-Year
16
of
200
8
10-Year
22
of
170
13
 
Source: Morningstar, 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, rankings might have been less favorable.
 
Portfolio Management Team
 
Philip G. Condon, Managing Director
 
Co-Lead Portfolio Manager of the fund. Joined the fund in 1990.
 
• Head of US Retail Fixed Income Funds.
 
• Joined Deutsche Asset Management in 1983.
 
• BA and MBA, University of Massachusetts at Amherst.
 
Ashton P. Goodfield, CFA, Managing Director
 
Co-Lead Portfolio Manager of the fund. Joined the fund in 1998.
 
• Joined Deutsche Asset Management in 1986.
 
• BA, Duke University.
 
Matthew J. Caggiano, CFA, Managing Director
 
Portfolio Manager of the fund. Joined the fund in 1999.
 
• Joined Deutsche Asset Management in 1989.
 
• BS, Pennsylvania State University; MS, Boston College.
 
Michael J. Generazo, Director
 
Portfolio Manager of the fund. Joined the fund in 2010.
 
• Joined Deutsche Asset Management in 1999.
 
• BS, Bryant College; MBA, Suffolk University.
 
Portfolio Summary (Unaudited)
 
 
Investment Portfolio as of November 30, 2012 (Unaudited)
   
Principal Amount ($)
   
Value ($)
 
       
Municipal Bonds and Notes 94.0%
 
Alabama 0.7%
 
Alabama, State Public School & College Authority, Capital Improvement, 5.0%, 12/1/2023
    35,000,000       41,504,750  
Alaska 0.2%
 
Alaska, State Industrial Development & Export Authority Revenue, Providence Health Services, Series A, 5.5%, 10/1/2041
    11,000,000       13,181,630  
Arizona 1.6%
 
Arizona, Salt Verde Financial Corp., Gas Revenue:
 
5.0%, 12/1/2032
    1,600,000       1,924,944  
5.0%, 12/1/2037
    8,405,000       10,143,490  
Arizona, State Health Facilities Authority Revenue, Banner Health System:
               
Series A, 5.0%, 1/1/2043
    7,000,000       8,048,950  
Series D, 5.375%, 1/1/2032
    12,000,000       13,598,040  
Arizona, Water Infrastructure Finance Authority Revenue, Water Quality, Series A, 5.0%, 10/1/2030
    6,250,000       7,837,812  
Phoenix, AZ, Civic Improvement Corp., Airport Revenue:
 
Series A, 5.0%, 7/1/2040
    22,775,000       25,935,487  
Series A, 5.25%, 7/1/2033
    20,885,000       24,445,475  
        91,934,198  
Arkansas 0.2%
 
North Little Rock, AR, Electric Revenue, Series A, ETM, 6.5%, 7/1/2015, INS: NATL
    8,335,000       9,052,644  
California 15.6%
 
Banning, CA, Water & Sewer Revenue, 1989 Water System Improvement Project, ETM, 8.0%, 1/1/2019, INS: AMBAC
    585,000       685,749  
Banning, CA, Water & Sewer Revenue, Water System Reference & Improvement Project, ETM, 8.0%, 1/1/2019, INS: AMBAC
    320,000       388,640  
California, Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area:
               
Series F-1, 5.5%, 4/1/2043
    13,000,000       15,237,690  
Series F-1, 5.625%, 4/1/2044
    11,500,000       13,715,935  
California, Educational Facilities Authority Revenue, University of Southern California, Series A, 5.0%, 10/1/2038
    6,925,000       8,216,928  
California, Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, Series A, 5.0%, 6/1/2045, INS: AGC
    10,275,000       10,870,128  
California, Health Facilities Financing Authority Revenue, Adventist Health System, Series A, 5.75%, 9/1/2039
    5,000,000       5,883,050  
California, Health Facilities Financing Authority Revenue, Catholic Healthcare West:
               
Series A, 6.0%, 7/1/2034
    10,000,000       12,082,600  
Series A, 6.0%, 7/1/2039
    7,500,000       9,041,775  
California, Infrastructure & Economic Development Bank Revenue, California Independent Systems Operator Corp., Series A, 6.25%, 2/1/2039
    7,800,000       8,558,706  
California, M-S-R Energy Authority, Series B, 7.0%, 11/1/2034
    15,315,000       22,642,155  
California, Port of Oakland, Series P, AMT, 5.0%, 5/1/2033
    7,590,000       8,756,659  
California, State General Obligation:
 
5.0%, 2/1/2032
    35,000,000       41,702,500  
5.0%, 9/1/2032
    10,000,000       11,239,200  
5.0%, 2/1/2033
    8,000,000       9,474,720  
5.25%, 4/1/2035
    15,340,000       18,485,160  
6.0%, 4/1/2038
    22,915,000       28,474,637  
6.25%, 11/1/2034
    20,655,000       26,224,414  
California, State General Obligation, Various Purposes:
 
5.0%, 6/1/2023, INS: AGMC
    25,000,000       29,366,750  
5.0%, 12/1/2031, INS: NATL
    1,045,000       1,102,883  
5.125%, 11/1/2024
    5,000,000       5,192,850  
5.25%, 9/1/2026
    18,765,000       22,993,693  
5.25%, 9/1/2030
    5,000,000       6,103,300  
5.25%, 10/1/2032
    25,000,000       30,364,250  
6.0%, 11/1/2039
    50,000,000       63,177,000  
6.5%, 4/1/2033
    58,440,000       75,159,684  
California, State Public Works Board, Lease Revenue, Capital Projects, Series I-1, 6.375%, 11/1/2034
    10,000,000       12,344,200  
California, State Public Works Board, Lease Revenue, Department of Corrections, Series C, Prerefunded, 5.5%, 6/1/2021
    2,500,000       2,631,425  
California, State Public Works Board, Lease Revenue, Department of General Services, Buildings 8 & 9, Series A, 6.125%, 4/1/2029
    2,000,000       2,466,500  
California, State Public Works Board, Lease Revenue, Department of Mental Health:
               
Series A, 5.5%, 6/1/2021
    5,275,000       5,656,646  
Series A, 5.5%, 6/1/2022
    1,400,000       1,488,872  
California, State Revenue Lease, Public Works Board, Department of Corrections:
               
Series C, 5.0%, 6/1/2025
    2,500,000       2,594,850  
Series C, Prerefunded, 5.5%, 6/1/2020
    5,000,000       5,262,850  
California, State University Revenue, Series A, 5.25%, 11/1/2038
    10,000,000       11,522,100  
California, Statewide Communities Development Authority Revenue, Kaiser Permanente, Kaiser Foundation Hospitals, Series A, 5.0%, 4/1/2042
    5,295,000       6,167,934  
East Bay, CA, Municipal Utility District, Wastewater Systems Revenue, Series A, 5.0%, 6/1/2037, INS: AMBAC
    13,085,000       15,074,313  
Foothill, CA, Eastern Corridor Agency, Toll Road Revenue:
 
Series A, ETM, Zero Coupon, 1/1/2015
    10,000,000       9,905,600  
Series A, ETM, Zero Coupon, 1/1/2017
    5,000,000       4,872,150  
Series A, ETM, Zero Coupon, 1/1/2018
    21,890,000       20,992,291  
Irvine, CA, Unified School District Special Tax, Community Facilities District, Series 1-B, 0.18%**, 9/1/2051, LOC: Bank of America NA
    2,500,000       2,500,000  
Los Angeles, CA, Community College District, Election of 2008, Series C, 5.25%, 8/1/2039
    12,000,000       15,018,360  
Los Angeles, CA, Department of Airports Revenue, Series A, 5.25%, 5/15/2039
    5,000,000       5,752,550  
Los Angeles, CA, Department of Airports Revenue, Los Angeles International Airport, Series A, 5.0%, 5/15/2040
    25,000,000       28,906,250  
Murrieta Valley, CA, School District General Obligation, Unified School District, Series A, Zero Coupon, 9/1/2014, INS: FGIC, NATL
    4,235,000       4,178,929  
Oakland, CA, Special Assessment Revenue, Oakland Convention Centers, 5.5%, 10/1/2014, INS: AMBAC
    2,000,000       2,103,620  
Orange County, CA, Airport Revenue:
 
Series A, 5.25%, 7/1/2039
    16,000,000       18,482,880  
Series B, 5.25%, 7/1/2039
    12,000,000       13,862,160  
Roseville, CA, School District General Obligation, Junior High, Series B, Zero Coupon, 8/1/2015, INS: FGIC, NATL
    1,000,000       977,610  
Sacramento, CA, Municipal Utility District, Electric Revenue:
 
Series U, 5.0%, 8/15/2026, INS: AGMC
    10,455,000       12,156,551  
Series U, 5.0%, 8/15/2028, INS: AGMC
    8,175,000       9,455,695  
San Diego County, CA, Regional Airport Authority Revenue, Series A, 5.0%, 7/1/2034
    7,000,000       7,930,720  
San Diego, CA, Community College District General Obligation, Election of 2002, 5.25%, 8/1/2033
    5,000,000       6,169,600  
San Diego, CA, Community College District, Election of 2006, 5.0%, 8/1/2036
    6,100,000       7,232,160  
San Diego, CA, School District General Obligation, Series A, Zero Coupon, 7/1/2014, INS: FGIC, NATL
    1,000,000       989,680  
San Francisco, CA, City & County Airports Commission, International Airport Revenue:
               
Series 32-G, 5.0%, 5/1/2026, INS: FGIC, NATL
    8,565,000       9,646,588  
Series F, 5.0%, 5/1/2035
    27,500,000       31,418,475  
Series E, 6.0%, 5/1/2039
    35,000,000       42,165,200  
San Francisco, CA, City & County Certificates of Participation, Multiple Capital Improvement Projects, Series A, 5.25%, 4/1/2031
    7,860,000       9,051,890  
San Joaquin County, CA, County General Obligation Lease, Facilities Project, 5.5%, 11/15/2013, INS: NATL
    1,390,000       1,422,401  
San Joaquin Hills, CA, Transportation/Tolls Revenue, Transportation Corridor Agency, Toll Road Revenue:
               
Series A, Zero Coupon, 1/15/2013, INS: NATL
    35,295,000       35,199,351  
Series A, Zero Coupon, 1/15/2014, INS: NATL
    14,905,000       14,482,890  
Walnut, CA, Energy Center Authority Revenue, Series A, 5.0%, 1/1/2040
    10,000,000       11,156,400  
        876,380,747  
Colorado 4.1%
 
Colorado, E-470 Public Highway Authority Revenue:
 
Series B, Zero Coupon, 9/1/2016, INS: NATL
    5,000,000       4,518,750  
Series A-1, 5.5%, 9/1/2024, INS: NATL
    4,000,000       4,378,880  
Colorado, Health Facilities Authority Revenue, Covenant Retirement Communities, Inc., 5.0%, 12/1/2035
    15,000,000       15,590,400  
Colorado, Public Energy Authority, Natural Gas Purchase Revenue, 6.5%, 11/15/2038, GTY: Merrill Lynch & Co., Inc.
    30,000,000       43,152,900  
Colorado, State Building Excellent Schools Today, Certificates of Participation, Series G, 5.0%, 3/15/2032
    8,630,000       10,098,912  
Colorado, Transportation/Tolls Revenue:
 
Series B, Zero Coupon, 9/1/2014, INS: NATL
    6,380,000       6,133,349  
Series B, Zero Coupon, 9/1/2015, INS: NATL
    17,120,000       15,994,703  
Series B, Zero Coupon, 9/1/2017, INS: NATL
    8,000,000       6,953,360  
Series B, Zero Coupon, 9/1/2018, INS: NATL
    20,560,000       17,132,854  
Series B, Zero Coupon, 9/1/2019, INS: NATL
    36,500,000       28,981,730  
Series B, Zero Coupon, 9/1/2020, INS: NATL
    7,000,000       5,270,160  
Series A, 5.75%, 9/1/2014, INS: NATL
    14,700,000       15,644,328  
Douglas County, CO, School District General Obligation, 7.0%, 12/15/2013, INS: NATL
    2,500,000       2,668,025  
University of Colorado, Enterprise Revenue, 5.25%, 6/1/2036
    11,500,000       13,992,510  
University of Colorado, Hospital Authority Revenue, Series A, 5.0%, 11/15/2042
    36,010,000       41,120,179  
        231,631,040  
Connecticut 1.2%
 
Connecticut, Harbor Point Infrastructure Improvement District, Special Obligation Revenue, Harbor Point Project, Series A, 7.875%, 4/1/2039
    13,000,000       15,028,520  
Connecticut, State Health & Educational Facilities Authority Revenue, Hartford Healthcare, Series A, 5.0%, 7/1/2041
    20,000,000       22,184,200  
Connecticut, State Health & Educational Facilities Authority Revenue, Stamford Hospital, Series J, 5.125%, 7/1/2035
    18,000,000       20,434,680  
Connecticut, State Health & Educational Facilities Authority Revenue, Yale University, Series V-2, 0.15%**, 7/1/2036
    7,620,000       7,620,000  
        65,267,400  
District of Columbia 0.8%
 
District of Columbia, Income Tax Secured Revenue, Series G, 5.0%, 12/1/2036
    27,475,000       33,043,083  
District of Columbia, National Public Radio Revenue, Series A, 5.0%, 4/1/2035
    5,000,000       5,680,350  
District of Columbia, Water & Sewer Revenue, Public Utility Revenue, 5.5%, 10/1/2023, INS: AGMC
    5,000,000       6,545,750  
        45,269,183  
Florida 5.6%
 
Broward County, FL, Airport Systems Revenue, Series Q-1, 5.0%, 10/1/2037
    39,000,000       45,257,160  
Clearwater, FL, Water & Sewer Revenue, Series A, 5.25%, 12/1/2039
    2,000,000       2,335,240  
Florida, Jacksonville Electric Authority, Water & Sewer Revenue, Series A, 5.0%, 10/1/2032
    5,000,000       5,991,350  
Florida, Village Center Community Development District, Utility Revenue, ETM, 6.0%, 11/1/2018, INS: FGIC
    1,250,000       1,493,938  
Fort Pierce, FL, Utilities Authority Revenue, Series B, Zero Coupon, 10/1/2018, INS: AMBAC
    2,000,000       1,775,040  
Hillsborough County, FL, Industrial Development Authority Revenue, University Community Hospital, ETM, 6.5%, 8/15/2019, INS: NATL
    1,000,000       1,238,060  
Lee County, FL, Airport Revenue, Series A, AMT, 5.375%, 10/1/2032
    1,750,000       1,985,935  
Marco Island, FL, Utility Systems Revenue:
 
Series A, 5.0%, 10/1/2034
    1,000,000       1,148,110  
Series A, 5.0%, 10/1/2040
    1,000,000       1,139,830  
Melbourne, FL, Water & Sewer Revenue, ETM, Zero Coupon, 10/1/2016, INS: FGIC
    1,350,000       1,314,644  
Miami-Dade County, FL, Aviation Revenue:
 
Series B, 5.0%, 10/1/2035, INS: AGMC
    15,000,000       17,244,300  
Series A, 5.5%, 10/1/2041
    30,000,000       34,996,500  
Miami-Dade County, FL, Aviation Revenue, Miami International Airport:
               
Series C, AMT, 5.25%, 10/1/2022, INS: AGMC
    20,000,000       22,533,800  
Series A-1, 5.375%, 10/1/2035
    1,000,000       1,170,800  
Series A-1, 5.375%, 10/1/2041
    19,290,000       22,540,751  
Miami-Dade County, FL, Double Barreled Aviation, 5.0%, 7/1/2041
    6,700,000       7,659,172  
Miami-Dade County, FL, Sales & Special Tax Revenue:
 
Series A, Zero Coupon, 10/1/2014, INS: NATL
    2,195,000       2,036,433  
Series A, Zero Coupon, 10/1/2022, INS: NATL
    7,000,000       4,168,430  
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2037
    16,500,000       19,223,655  
Miami-Dade County, FL, Water & Sewer Systems Revenue, 5.0%, 10/1/2034
    17,800,000       20,584,988  
North Brevard County, FL, Hospital District Revenue, Parrish Medical Center Project, 5.75%, 10/1/2043
    10,000,000       11,282,000  
Orange County, FL, Health Facilities Authority Revenue:
 
Series 2006-A, 6.25%, 10/1/2016, INS: NATL
    1,100,000       1,220,780  
Series 2006-A, ETM, 6.25%, 10/1/2016, INS: NATL
    70,000       80,964  
Orange County, FL, Health Facilities Authority Revenue, Orlando Regional Healthcare System:
               
Series B, 5.25%, 12/1/2029, INS: AGMC
    6,500,000       7,339,735  
Series A, 6.25%, 10/1/2018, INS: NATL
    500,000       616,955  
Series C, 6.25%, 10/1/2021, INS: NATL
    6,000,000       7,755,480  
Orange County, FL, Health Facilities Authority, Orlando Regional Facilities, Series A, ETM, 6.25%, 10/1/2016, INS: NATL
    2,830,000       3,273,263  
Orlando & Orange County, FL, Expressway Authority Revenue:
 
Series C, 5.0%, 7/1/2035
    16,215,000       18,571,850  
Series A, 5.0%, 7/1/2040
    11,895,000       13,511,055  
Palm Beach County, FL, Airport Systems Revenue:
 
5.75%, 10/1/2013, INS: NATL
    3,770,000       3,918,915  
5.75%, 10/1/2014, INS: NATL
    755,000       817,506  
Palm Beach County, FL, Criminal Justice Facilities Revenue, 7.2%, 6/1/2015, INS: FGIC, NATL
    110,000       125,819  
Port St. Lucie, FL, Utility System Revenue:
 
5.0%, 9/1/2035, INS: AGC
    2,600,000       3,037,970  
5.25%, 9/1/2035, INS: AGC
    3,000,000       3,546,030  
Sunrise, FL, Water & Sewer Revenue, Utility Systems, ETM, 5.5%, 10/1/2018, INS: AMBAC
    12,500,000       14,837,625  
Tallahassee, FL, Energy System Revenue, 5.5%, 10/1/2016, INS: AMBAC
    1,005,000       1,177,046  
Tampa, FL, Sports Authority Revenue, Sales Tax-Tampa Bay Arena Project, 5.75%, 10/1/2020, INS: NATL
    2,075,000       2,322,713  
Tampa, FL, Utility Tax Revenue, Zero Coupon, 10/1/2014, INS: AMBAC
    3,165,000       3,106,701  
        312,380,543  
Georgia 5.1%
 
Atlanta, GA, Airport Revenue:
 
Series A, 5.0%, 1/1/2035
    2,470,000       2,807,649  
Series B, 5.0%, 1/1/2037
    720,000       839,686  
Atlanta, GA, Metropolitan Rapid Transit Authority, Sales Tax Revenue, 5.0%, 7/1/2039
    5,000,000       5,882,400  
Atlanta, GA, Water & Sewer Revenue, Series A, 5.5%, 11/1/2019, INS: FGIC, NATL
    13,000,000       16,577,080  
Atlanta, GA, Water & Wastewater Revenue, Series B, 5.375%, 11/1/2039, INS: AGMC
    40,000,000       46,724,800  
Burke County, GA, Development Authority Pollution Control Revenue, Oglethorpe Power Corp. Vogtle Project:
               
Series A, 5.3%, 1/1/2033, INS: AGMC
    10,000,000       11,548,900  
Series B, 5.5%, 1/1/2033
    4,000,000       4,425,600  
Burke County, GA, Development Authority, Georgia Power Co., Plant Vogtle Project, AMT, 0.21%**, 11/1/2052
    11,000,000       11,000,000  
De Kalb County, GA, Water & Sewer Revenue:
 
Series A, 5.25%, 10/1/2032
    2,180,000       2,632,415  
Series A, 5.25%, 10/1/2033
    3,635,000       4,367,125  
Series A, 5.25%, 10/1/2036
    11,115,000       13,161,494  
Series A, 5.25%, 10/1/2041
    13,000,000       15,338,050  
Gainesville & Hall County, GA, Hospital Authority Revenue, Anticipation Certificates, Northeast Georgia Healthcare:
               
Series A, 5.375%, 2/15/2040
    8,225,000       9,331,263  
Series A, 5.5%, 2/15/2045
    20,000,000       22,890,800  
Georgia, Main Street Natural Gas, Inc., Gas Project Revenue:
 
Series A, 5.0%, 3/15/2019
    17,440,000       20,194,822  
Series B, 5.0%, 3/15/2019
    5,000,000       5,783,800  
Series A, 5.0%, 3/15/2020
    2,700,000       3,127,275  
Series B, 5.0%, 3/15/2020
    5,000,000       5,824,400  
Series A, 5.0%, 3/15/2022
    17,340,000       20,433,456  
Series A, 5.5%, 9/15/2023
    5,000,000       6,163,250  
Series A, 5.5%, 9/15/2024
    4,635,000       5,744,295  
Series A, 5.5%, 9/15/2027
    5,000,000       6,233,800  
Series A, 5.5%, 9/15/2028
    5,000,000       6,226,350  
Georgia, Medical Center Hospital Authority Revenue, Anticipation Certificates, Columbus Regional Healthcare Systems, 6.5%, 8/1/2038, INS: AGC
    18,700,000       22,136,125  
Georgia, Municipal Electric Authority Power Revenue:
 
Series 2005-Y, 6.4%, 1/1/2013, INS: AMBAC
    1,045,000       1,050,476  
Series Y, ETM, 6.4%, 1/1/2013, INS: AMBAC
    75,000       75,401  
Series W, 6.6%, 1/1/2018, INS: NATL
    11,035,000       12,204,710  
Georgia, State Municipal Electric Authority, Series GG, 5.0%, 1/1/2039
    5,695,000       6,666,282  
Georgia, Water & Sewer Revenue, Municipal Electric Authority Power Revenue, Series W, ETM, 6.6%, 1/1/2018, INS: NATL
    190,000       223,803  
        289,615,507  
Hawaii 0.7%
 
Hawaii, State Airports Systems Revenue, Series A, 5.0%, 7/1/2039
    16,800,000       19,058,088  
Hawaii, State Department of Budget & Finance, Special Purpose Revenue, Hawaiian Electric Co., Inc., 6.5%, 7/1/2039, GTY: Hawaiian Electric Co., Inc.
    6,000,000       7,108,500  
Honolulu City & County, HI, Wastewater Systems Revenue, Series A, 5.25%, 7/1/2036
    10,285,000       12,515,817  
        38,682,405  
Idaho 0.2%
 
Idaho, Health Facilities Authority Revenue, St. Luke's Regional Medical Center, 6.75%, 11/1/2037
    10,060,000       12,125,117  
Illinois 9.6%
 
Chicago, IL, Core City General Obligation, Zero Coupon, 1/1/2017, INS: FGIC, NATL
    20,000,000       18,524,000  
Chicago, IL, General Obligation:
 
Series B, 5.125%, 1/1/2015, INS: AMBAC
    1,470,000       1,565,183  
Series B, Prerefunded, 5.125%, 1/1/2015, INS: AMBAC
    490,000       515,480  
Series A, 5.25%, 1/1/2035
    10,125,000       11,690,730  
Series A, 5.375%, 1/1/2013, INS: NATL
    2,135,000       2,144,522  
Series A, ETM, 5.375%, 1/1/2013, INS: NATL
    3,470,000       3,485,476  
Chicago, IL, O'Hare International Airport Revenue:
 
Series A-2, AMT, 5.75%, 1/1/2019, INS: AGMC
    12,975,000       13,574,575  
Series C, 6.5%, 1/1/2041
    26,700,000       35,034,405  
Chicago, IL, O'Hare International Airport Revenue, Third Lien:
 
Series A, 5.75%, 1/1/2039
    13,650,000       16,496,025  
Series B, 6.0%, 1/1/2041
    25,000,000       31,608,000  
Chicago, IL, Sales & Special Tax Revenue, 5.375%, 1/1/2014, INS: AMBAC
    1,105,000       1,131,973  
Chicago, IL, School District General Obligation Lease, Board of Education:
               
Series A, 6.0%, 1/1/2016, INS: NATL
    11,025,000       12,657,803  
Series A, 6.0%, 1/1/2020, INS: NATL
    46,340,000       54,994,458  
Series A, 6.25%, 1/1/2015, INS: NATL
    22,180,000       23,268,594  
Chicago, IL, Water & Sewer Revenue, Zero Coupon, 11/1/2018, INS: AMBAC
    5,165,000       4,470,359  
Chicago, IL, Water Revenue, 5.0%, 11/1/2023, INS: AGMC
    10,000,000       12,075,400  
Cook County, IL, County General Obligation, 6.5%, 11/15/2014, INS: FGIC, NATL
    18,560,000       20,638,349  
Cook County, IL, Forest Preservation District, Series C, 5.0%, 12/15/2037
    3,155,000       3,673,745  
Illinois, Finance Authority Revenue, Advocate Health Care Network:
               
Series B, 5.375%, 4/1/2044
    5,500,000       6,185,905  
Series A, 5.5%, 4/1/2044
    5,500,000       6,238,595  
Series D, 6.5%, 11/1/2038
    4,085,000       5,035,702  
Illinois, Finance Authority Revenue, Elmhurst Memorial Healthcare, Series A, 5.625%, 1/1/2037
    8,000,000       8,874,000  
Illinois, Finance Authority Revenue, Memorial Health Systems:
 
5.5%, 4/1/2034
    12,100,000       13,717,528  
5.5%, 4/1/2039
    4,800,000       5,409,312  
Illinois, Finance Authority Revenue, Northwest Community Hospital, Series A, 5.5%, 7/1/2038
    22,990,000       25,606,032  
Illinois, Higher Education Revenue, Zero Coupon, 4/1/2015, INS: NATL
    3,300,000       3,220,239  
Illinois, Hospital & Healthcare Revenue, Health Facilities Authority:
               
6.25%, 8/15/2013, INS: NATL
    655,000       669,417  
Series A, 6.25%, 1/1/2015, INS: AMBAC
    5,050,000       5,297,854  
Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, McCormick Capital Appreciation:
               
Zero Coupon, 6/15/2013, INS: NATL
    4,045,000       4,023,885  
ETM, Zero Coupon, 6/15/2013, INS: NATL
    3,520,000       3,512,714  
Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, McCormick Place Expansion:
               
Series A, Zero Coupon, 6/15/2016, INS: FGIC, NATL
    7,035,000       6,568,650  
Series A, ETM, Zero Coupon, 6/15/2016, INS: FGIC, NATL
    2,965,000       2,866,325  
Illinois, Municipal Electric Agency Power Supply:
 
Series A, 5.25%, 2/1/2023, INS: FGIC, NATL
    3,500,000       4,054,295  
Series A, 5.25%, 2/1/2024, INS: FGIC, NATL
    2,500,000       2,895,925  
Illinois, Pollution Control Revenue, Development Finance Authority, 5.85%, 1/15/2014, INS: AMBAC
    5,000,000       5,241,700  
Illinois, Project Revenue, Zero Coupon, 1/1/2014, INS: AGMC
    17,975,000       17,707,532  
Illinois, Railsplitter Tobacco Settlement Authority, 6.0%, 6/1/2028
    17,315,000       21,341,603  
Illinois, Regional Transportation Authority:
 
Series B, 5.75%, 6/1/2033, INS: NATL
    7,000,000       9,623,530  
Series A, 6.7%, 11/1/2021, INS: FGIC, NATL
    23,910,000       29,024,349  
Illinois, Sales & Special Tax Revenue:
 
6.25%, 12/15/2020, INS: AMBAC
    6,380,000       7,300,187  
Series P, 6.5%, 6/15/2013
    405,000       416,615  
Illinois, Special Assessment Revenue, Metropolitan Pier and Exposition Authority, Series A, Zero Coupon, 12/15/2018, INS: NATL
    6,660,000       5,697,630  
Illinois, State Finance Authority Revenue, Ascension Health Credit Group:
               
Series A, 5.0%, 11/15/2032
    2,435,000       2,857,862  
Series A, 5.0%, 11/15/2037
    3,440,000       3,960,850  
Illinois, State Finance Authority Revenue, OSF Healthcare Systems, Series A, 5.0%, 5/15/2041
    13,155,000       14,647,961  
Kane Cook & Du Page Counties, IL, School District General Obligation, Series B, Zero Coupon, 1/1/2013, INS: AGMC
    1,095,000       1,094,474  
Lake Cook Kane & McHenry Counties, IL, School District General Obligation, 6.3%, 12/1/2017, INS: AGMC
    1,885,000       2,382,904  
Lake County, IL, Higher Education Revenue, District No. 117:
 
Series B, Zero Coupon, 12/1/2013, INS: FGIC, NATL
    5,880,000       5,792,153  
Series B, Zero Coupon, 12/1/2014, INS: FGIC, NATL
    5,985,000       5,766,907  
Springfield, IL, Water Revenue, 5.0%, 3/1/2037
    3,640,000       4,306,557  
Will County, IL, County General Obligation:
 
Series B, Zero Coupon, 12/1/2012, INS: FGIC, NATL
    2,480,000       2,479,975  
Series B, Zero Coupon, 12/1/2013, INS: FGIC, NATL
    12,030,000       11,977,429  
Series B, Zero Coupon, 12/1/2014, INS: FGIC, NATL
    10,255,000       10,122,198  
Will County, IL, School District General Obligation, Community Unit School District No. 365-U, Series B, ETM, Zero Coupon, 11/1/2015, INS: AGMC
    8,000,000       7,844,160  
        541,312,031  
Indiana 1.3%
 
Indiana, Electric Revenue, Municipal Power Agency, Series B, 5.5%, 1/1/2016, INS: NATL
    10,160,000       10,963,148  
Indiana, Finance Authority Hospital Revenue, Deaconess Hospital Obligation, Series A, 6.75%, 3/1/2039
    5,230,000       6,285,780  
Indiana, Hospital & Healthcare Revenue, Health Facilities Finance Authority, Greenwood Village South Project, 5.625%, 5/15/2028
    2,100,000       2,105,922  
Indiana, Hospital & Healthcare Revenue, Health Facilities Financing Authority:
               
ETM, 6.0%, 7/1/2013, INS: NATL
    1,620,000       1,671,470  
ETM, 6.0%, 7/1/2014, INS: NATL
    1,720,000       1,862,205  
ETM, 6.0%, 7/1/2015, INS: NATL
    1,825,000       2,068,845  
6.0%, 7/1/2016, INS: NATL
    465,000       523,971  
ETM, 6.0%, 7/1/2016, INS: NATL
    1,470,000       1,755,533  
6.0%, 7/1/2017, INS: NATL
    490,000       563,289  
ETM, 6.0%, 7/1/2017, INS: NATL
    1,560,000       1,940,094  
6.0%, 7/1/2018, INS: NATL
    520,000       611,213  
ETM, 6.0%, 7/1/2018, INS: NATL
    1,655,000       2,128,926  
Indiana, State Finance Authority Revenue, Community Foundation of Northwest Indiana, 5.0%, 3/1/2041
    14,145,000       15,720,329  
Indiana, State Finance Authority, Wastewater Utility Revenue, First Lien, Series A, 5.25%, 10/1/2038
    8,000,000       9,500,480  
Indiana, Transportation/Tolls Revenue, Series A, 7.25%, 6/1/2015
    1,960,000       2,129,912  
St. Joseph County, IN, Educational Facilities Revenue, Notre Dame du Lac Project, 5.0%, 3/1/2036
    10,000,000       11,632,200  
        71,463,317  
Kansas 0.5%
 
Kansas, Pollution Control Revenue, Development Financing Authority, Series II, 5.5%, 11/1/2017
    1,000,000       1,234,060  
Kansas, State Development Finance Authority Hospital Revenue, Adventist Health System:
               
Series A, 5.0%, 11/15/2032
    13,000,000       15,427,230  
Series A, 5.0%, 11/15/2034
    8,465,000       9,991,409  
Wichita, KS, Hospital Revenue, Facilities Improvement, Series III-A, 5.0%, 11/15/2034
    3,590,000       4,024,677  
        30,677,376  
Kentucky 1.5%
 
Kentucky, Economic Development Finance Authority, Health Systems Revenue, Norton Healthcare:
               
Series C, 5.7%, 10/1/2013, INS: NATL
    5,495,000       5,724,526  
Series C, ETM, 5.7%, 10/1/2013, INS: NATL
    2,750,000       2,865,692  
Series C, 5.8%, 10/1/2014, INS: NATL
    3,420,000       3,586,520  
Series C, Prerefunded, 5.8%, 10/1/2014, INS: NATL
    1,710,000       1,805,298  
Series C, 5.85%, 10/1/2015, INS: NATL
    3,490,000       3,656,822  
Series C, Prerefunded, 5.85%, 10/1/2015, INS: NATL
    1,745,000       1,842,982  
Series C, 5.9%, 10/1/2016, INS: NATL
    4,330,000       4,532,254  
Series C, Prerefunded, 5.9%, 10/1/2016, INS: NATL
    2,170,000       2,292,757  
Kentucky, Economic Development Finance Authority, Hospital Facilities Revenue, Owensboro Medical Health Systems, Series A, 6.5%, 3/1/2045
    11,000,000       13,391,950  
Kentucky, Economic Development Finance Authority, Louisville Arena Project Revenue, Series A-1, 6.0%, 12/1/2038, INS: AGC
    4,500,000       5,062,275  
Louisville & Jefferson County, KY, Metropolitan Government Health Systems Revenue, Norton Healthcare, Inc., 5.0%, 10/1/2030
    15,000,000       16,092,900  
Louisville & Jefferson County, KY, Metropolitan Government Revenue, Catholic Health Initiatives, Series A, 5.0%, 12/1/2035
    20,770,000       24,061,630  
        84,915,606  
Louisiana 0.6%
 
East Baton Rouge Parish, LA, Pollution Control Revenue, Exxon Mobil Project, 0.16%**, 3/1/2022
    1,200,000       1,200,000  
East Baton Rouge, LA, Sewer Commission Revenue, Series A, 5.25%, 2/1/2039
    10,000,000       11,880,400  
Louisiana, Public Facilities Authority, Hospital Revenue, Lafayette General Medical Center, 5.5%, 11/1/2040
    5,000,000       5,650,050  
Louisiana, St. John Baptist Parish Revenue, Marathon Oil Corp., Series A, 5.125%, 6/1/2037
    12,000,000       12,951,120  
        31,681,570  
Maine 0.2%
 
Maine, Health & Higher Educational Facilities Authority Revenue, Series A, 5.0%, 7/1/2040
    9,650,000       10,870,339  
Maryland 0.3%
 
Maryland, State Economic Development Corp. Revenue, Senior Lien Project, Chesapeake Bay:
               
Series A, 5.0%, 12/1/2016
    860,000       785,911  
Series A, 5.0%, 12/1/2031
    20,000,000       14,038,400  
Maryland, State Health & Higher Educational Facilities Authority Revenue, Anne Arundel Health Systems, Series A, 6.75%, 7/1/2039
    3,400,000       4,194,478  
        19,018,789  
Massachusetts 4.5%
 
Massachusetts, Bay Transportation Authority Revenue, Series B, 6.2%, 3/1/2016
    10,000,000       10,817,200  
Massachusetts, Higher Education Revenue, College Building Authority Project, Series A, 7.5%, 5/1/2014
    3,800,000       4,027,620  
Massachusetts, Industrial Development Revenue, Development Finance Agency, Series A, 7.1%, 7/1/2032
    4,310,000       4,312,845  
Massachusetts, Port Authority Revenue, ETM, 13.0%, 7/1/2013
    235,000       250,895  
Massachusetts, Project Revenue, Prerefunded, 9.2%, 12/15/2031, GTY: Harvard Pilgrim HealthCare, Inc.
    17,000,000       17,403,240  
Massachusetts, Project Revenue, Health & Educational Facilities Authority, Series B, Prerefunded, 9.15%, 12/15/2023, GTY: Harvard Pilgrim HealthCare, Inc.
    3,000,000       3,071,100  
Massachusetts, Sales & Special Tax Revenue, Federal Highway Grant, Series A, ETM, Zero Coupon, 12/15/2014
    27,680,000       27,419,808  
Massachusetts, State College Building Authority Revenue:
 
Series B, 5.0%, 5/1/2037
    4,500,000       5,382,540  
Series B, 5.0%, 5/1/2043
    4,125,000       4,915,020  
Massachusetts, State Department of Transportation, Metropolitan Highway Systems Revenue, Series B, 5.0%, 1/1/2032
    28,800,000       33,256,224  
Massachusetts, State Development Finance Agency Revenue, Linden Ponds, Inc. Facility:
               
Series B, 11/15/2056*
    314,524       1,667  
Series A-2, 5.5%, 11/15/2046
    63,235       40,285  
Series A-1, 6.25%, 11/15/2031
    1,182,967       952,300  
Massachusetts, State Development Finance Agency Revenue, Partners Healthcare System, Inc.:
               
Series K-1, 0.15%**, 7/1/2046, SPA: Wells Fargo Bank NA
    1,000,000       1,000,000  
Series L, 5.0%, 7/1/2036
    13,680,000       15,956,762  
Massachusetts, State Development Finance Agency, Resource Recovery Revenue, SEMASS Partnership:
               
Series A, 5.625%, 1/1/2015, INS: NATL
    4,000,000       4,018,240  
Series A, 5.625%, 1/1/2016, INS: NATL
    2,750,000       2,762,540  
Massachusetts, State General Obligation, Series A, 0.18%**, 3/1/2026, SPA: Wells Fargo Bank NA
    4,115,000       4,115,000  
Massachusetts, State Health & Educational Facilities Authority Revenue, Massachusetts Institute of Technology, Series K, 5.5%, 7/1/2022
    9,000,000       12,381,750  
Massachusetts, State Health & Educational Facilities Authority Revenue, Suffolk University, Series A, 5.75%, 7/1/2039
    14,285,000       16,273,044  
Massachusetts, State Port Authority Special Facilities Revenue, Delta Air Lines, Inc. Project:
               
Series A, AMT, 5.5%, 1/1/2014, INS: AMBAC
    3,000,000       3,006,960  
Series A, AMT, 5.5%, 1/1/2015, INS: AMBAC
    3,000,000       3,006,840  
Series A, AMT, 5.5%, 1/1/2016, INS: AMBAC
    3,000,000       3,006,690  
Massachusetts, State School Building Authority, Sales Tax Revenue, Series B, 5.25%, 10/15/2035
    12,000,000       14,832,360  
Massachusetts, State Water Resource Authority:
 
Series B, 5.0%, 8/1/2041
    5,500,000       6,506,775  
Series J, 5.5%, 8/1/2021, INS: AGMC
    5,685,000       7,572,249  
Massachusetts, Transportation/Tolls Revenue, Turnpike Authority, Series C, Zero Coupon, 1/1/2018, INS: NATL
    10,000,000       9,237,700  
Massachusetts, Water & Sewer Revenue, Water Authority, Series J, 5.5%, 8/1/2020, INS: AGMC
    14,315,000       18,766,679  
Massachusetts, Water & Sewer Revenue, Water Resource Authority, Series A, ETM, 6.5%, 7/15/2019 (a)
    13,710,000       16,380,160  
        250,674,493  
Michigan 2.6%
 
Detroit, MI, School District General Obligation, Series C, 5.25%, 5/1/2014, INS: FGIC
    1,000,000       1,060,360  
Detroit, MI, Sewer Disposal Revenue, Series B, 7.5%, 7/1/2033, INS: AGMC
    10,000,000       12,770,500  
Detroit, MI, State General Obligation:
 
Series A-1, 5.375%, 4/1/2016, INS: NATL
    2,760,000       2,721,774  
Series A-1, 5.375%, 4/1/2018, INS: NATL
    3,000,000       2,937,240  
Detroit, MI, Water & Sewer Revenue, Series A, Zero Coupon, 7/1/2015, INS: FGIC, NATL
    8,710,000       8,183,655  
Detroit, MI, Water Supply Systems Revenue, Series A, 5.75%, 7/1/2037
    11,410,000       12,968,378  
Michigan, State Building Authority Revenue, Facilities Program:
               
Series H, 5.125%, 10/15/2033
    9,755,000       11,128,114  
Series I, 6.0%, 10/15/2038
    9,000,000       10,949,670  
Michigan, State Grant Anticipation Bonds, 5.25%, 9/15/2023, INS: AGMC
    7,500,000       8,576,100  
Michigan, State Hospital Finance Authority Revenue, MidMichigan Health Obligation Group, Series A, 6.125%, 6/1/2039
    4,000,000       4,737,400  
Michigan, State Hospital Finance Authority Revenue, Trinity Health, Series A, 6.5%, 12/1/2033
    10,000,000       12,358,100  
Michigan, State Hospital Finance Authority, Trinity Health Credit Group, Series C, 5.0%, 12/1/2034
    27,000,000       31,230,630  
Royal Oak, MI, Hospital Finance Authority Revenue, William Beaumont Hospital, 8.25%, 9/1/2039
    7,200,000       9,393,840  
Tawas City, MI, Hospital Finance Authority, St. Joseph Health Services, Series A, ETM, 5.6%, 2/15/2013
    290,000       291,351  
Wayne County, MI, Airport Authority Revenue, Detroit Metropolitan Airport:
               
Series A, 5.0%, 12/1/2037
    9,255,000       10,564,952  
Series A, 5.0%, 12/1/2042
    7,095,000       8,009,049  
        147,881,113  
Minnesota 0.5%
 
Minneapolis, MN, Health Care Systems Revenue, Fairview Health Services, Series A, 6.75%, 11/15/2032
    6,440,000       7,868,521  
Minnesota, Tobacco Securitization Authority, Tobacco Settlement Revenue, Series B, 5.25%, 3/1/2031
    9,000,000       10,134,090  
University of Minnesota, Higher Education Revenue:
 
Series A, ETM, 5.75%, 7/1/2017
    3,240,000       3,940,326  
Series A, ETM, 5.75%, 7/1/2018 (a)
    6,760,000       8,485,557  
        30,428,494  
Mississippi 0.8%
 
Mississippi, Development Bank Special Obligation, Department of Corrections, Series C, 5.25%, 8/1/2027
    13,890,000       16,471,040  
Mississippi, State Business Finance Commission, Gulf Opportunity Zone, Chevron U.S.A., Inc. Project:
               
Series A, 0.17%**, 12/1/2030, GTY: Chevron Corp.
    1,000,000       1,000,000  
Series E, 0.18%**, 12/1/2030, GTY: Chevron Corp.
    2,100,000       2,100,000  
Series H, 0.18%**, 11/1/2035, GTY: Chevron Corp.
    9,000,000       9,000,000  
Warren County, MS, Gulf Opportunity Zone, International Paper Co.:
               
Series A, 5.5%, 9/1/2031
    5,000,000       5,331,400  
Series A, 6.5%, 9/1/2032
    7,420,000       8,629,089  
        42,531,529  
Missouri 0.4%
 
Cape Girardeau County, MO, Industrial Development Authority, Health Care Facilities Revenue, St. Francis Medical Center, Series A, 5.75%, 6/1/2039
    2,150,000       2,468,888  
Missouri, State Health & Educational Facilities Authority Revenue, Lutheran Senior Services, Series C, 5.0%, 2/1/2042
    8,240,000       8,522,714  
St. Louis, MO, Industrial Development Authority Revenue, Convention Center Hotel, Zero Coupon, 7/15/2016, INS: AMBAC
    6,895,000       6,167,440  
St. Louis, MO, State General Obligation Lease, Industrial Development Authority, Convention Center Hotel, Zero Coupon, 7/15/2015, INS: AMBAC
    4,200,000       3,884,202  
        21,043,244  
Nebraska 0.1%
 
Omaha, NE, Public Power District Electric Revenue:
 
Series A, 5.5%, 2/1/2033
    1,000,000       1,177,240  
Series A, 5.5%, 2/1/2035
    1,000,000       1,177,240  
Series A, 5.5%, 2/1/2039
    1,000,000       1,177,240  
        3,531,720  
Nevada 0.3%
 
Clark County, NV, Airport Revenue, Series B, 5.125%, 7/1/2036
    5,000,000       5,706,150  
Las Vegas Monorail Co.:
 
Series B, Step-up Coupon, 3.0% to 12/31/15, 5.5% to 7/15/2055* (PIK)
    25,542       0  
Series A, 5.5%, 7/15/2019* (PIK)
    85,141       0  
Las Vegas Valley, NV, Water District, Series B, 5.0%, 6/1/2037
    9,110,000       10,759,548  
        16,465,698  
New Hampshire 0.2%
 
New Hampshire, Health & Education Facilities Authority Revenue, Wentworth-Douglas Hospital, Series A, 6.5%, 1/1/2031
    10,000,000       12,179,200  
New Jersey 3.1%
 
New Jersey, Economic Development Authority Revenue, Cigarette Tax:
               
Prerefunded, 5.5%, 6/15/2031
    3,000,000       3,239,580  
Prerefunded, 5.75%, 6/15/2034
    2,455,000       2,660,483  
New Jersey, Economic Development Authority Revenue, Motor Vehicle Surplus Revenue:
               
Series A, 5.0%, 7/1/2022, INS: NATL
    7,140,000       7,580,110  
Series A, 5.0%, 7/1/2023, INS: NATL
    8,845,000       9,390,206  
New Jersey, Garden State Preservation Trust, Open Space & Farm Land, Series 2005-A, Prerefunded, 5.8%, 11/1/2023, INS: AGMC
    5,000,000       5,772,600  
New Jersey, Industrial Development Revenue, Economic Development Authority, Harrogate, Inc., Series A, 5.875%, 12/1/2026
    1,000,000       1,000,860  
New Jersey, State Economic Development Authority Revenue, 5.0%, 6/15/2028
    1,050,000       1,216,036  
New Jersey, State Transportation Trust Fund Authority, Series A, 5.75%, 6/15/2020, INS: AMBAC
    11,000,000       14,058,440  
New Jersey, State Transportation Trust Fund Authority, Capital Appreciation, Transportation Systems:
               
Series A, Zero Coupon, 12/15/2026
    54,000,000       32,338,440  
Series A, Zero Coupon, 12/15/2028
    30,000,000       16,387,800  
New Jersey, State Transportation Trust Fund Authority, Transportation Systems:
               
Series B, 5.25%, 6/15/2036
    15,940,000       18,988,525  
Series B, 5.5%, 6/15/2031
    13,200,000       16,291,440  
Series A, 6.0%, 6/15/2035
    6,000,000       7,587,600  
Series A, 6.0%, 12/15/2038
    11,075,000       13,545,389  
Series A, Prerefunded, 6.0%, 12/15/2038
    5,925,000       7,770,874  
New Jersey, State Turnpike Authority Revenue:
 
Series A, 5.0%, 1/1/2035
    6,025,000       7,158,845  
Series E, 5.25%, 1/1/2040
    5,250,000       6,020,385  
Series C, 6.5%, 1/1/2016, INS: AMBAC
    785,000       914,439  
Series C, ETM, 6.5%, 1/1/2016, INS: AMBAC
    425,000       501,772  
Series C-2005, ETM, 6.5%, 1/1/2016, INS: AMBAC
    425,000       504,076  
        172,927,900  
New York 5.0%
 
New York, Higher Education Revenue, Dormitory Authority, Series B, 5.25%, 5/15/2019, INS: FGIC
    6,000,000       6,865,200  
New York, Higher Education Revenue, Dormitory Authority, City University, Series B, 6.0%, 7/1/2014, INS: FGIC
    2,415,000       2,527,781  
New York, Metropolitan Transportation Authority Revenue:
 
Series E, 5.0%, 11/15/2042
    10,140,000       11,860,251  
Series H, 5.0%, 11/15/2042
    12,250,000       14,328,212  
New York, School District General Obligation, Dormitory Authority, City University, Series A, 5.5%, 5/15/2019
    1,500,000       1,803,180  
New York, Senior Care Revenue, Dormitory Authority, City University, Series A, 5.25%, 5/15/2021
    2,000,000       2,580,100  
New York, State Agency General Obligation Lease, Urban Development Corp., 5.7%, 4/1/2020
    3,600,000       4,393,008  
New York, State Dormitory Authority, Personal Income Tax Revenue:
               
Series F, 5.0%, 2/15/2035
    5,000,000       6,021,500  
Series A, 5.0%, 3/15/2038 (a)
    8,750,000       10,492,387  
Series C, 5.0%, 3/15/2041
    10,000,000       11,742,700  
New York, State Energy Research & Development Authority, Consolidated Edison Co. of New York, Inc.:
               
Series A-1, 144A, 0.14%**, 5/1/2039, LOC: Mizuho Corporate Bank
    4,600,000       4,600,000  
Series A-2, 144A, 0.15%**, 5/1/2039, LOC: Mizuho Corporate Bank
    1,800,000       1,800,000  
New York, State General Obligation Lease, Urban Development Corp., State Facilities, 5.6%, 4/1/2015
    4,655,000       4,941,934  
New York, State General Obligation, Tobacco Settlement Financing Corp., Series A-1, 5.25%, 6/1/2022, INS: AMBAC
    12,600,000       12,901,770  
New York, State Liberty Development Corp. Revenue, World Trade Center Port Authority Construction, 5.25%, 12/15/2043
    40,000,000       47,621,600  
New York, State Thruway Authority Revenue, Series I, 5.0%, 1/1/2037
    9,370,000       11,058,755  
New York, State Thruway Authority, Second Generation Highway & Bridge Trust Funding Authority:
               
Series A, 5.0%, 4/1/2031
    5,250,000       6,383,003  
Series A, 5.0%, 4/1/2032
    4,000,000       4,833,480  
New York, Water & Sewer Revenue, Environmental Facilities Corp., State Water Pollution Control, Series E, 6.875%, 6/15/2014
    2,430,000       2,443,632  
New York City, NY, Municipal Water Finance Authority, Water & Sewer Revenue, Series FF-2, 5.0%, 6/15/2040
    2,270,000       2,667,500  
New York City, NY, Municipal Water Finance Authority, Water & Sewer Revenue, Second General Resolution:
               
Series DD-2, 0.14%**, 6/15/2043, SPA: Bank of New York Mellon Corp.
    8,400,000       8,400,000  
Series B, 0.18%**, 6/15/2032, SPA: California State Teacher's Retirement System
    6,000,000       6,000,000  
Series EE, 5.375%, 6/15/2043
    11,250,000       13,872,150  
New York City, NY, Municipal Water Finance Authority, Water & Sewer Systems Revenue, Second Generation-Fiscal 2008, Series BB-2, 0.18%**, 6/15/2035, SPA: Bank of America NA
    20,500,000       20,500,000  
New York City, NY, Transitional Finance Authority Revenue, Future Tax Secured, Series D-1, 5.0%, 11/1/2038
    10,000,000       11,956,600  
New York, NY, General Obligation:
 
Series D-1, 5.0%, 10/1/2033
    25,000,000       30,246,500  
Series D-1, 5.0%, 10/1/2034
    5,000,000       6,031,600  
Series I-1, 5.375%, 4/1/2036
    7,000,000       8,498,560  
Troy, NY, Capital Resource Corp. Revenue, Rensselaer Polytechnic Institute, Series A, 5.125%, 9/1/2040
    2,000,000       2,274,900  
        279,646,303  
North Carolina 1.3%
 
Charlotte, NC, Airport Revenue, Series A, 5.5%, 7/1/2034
    1,500,000       1,817,820  
Charlotte, NC, Core City General Obligation, 5.5%, 8/1/2018
    4,165,000       4,352,633  
North Carolina, Electric Revenue, 5.25%, 1/1/2020, INS: NATL
    4,000,000       4,016,880  
North Carolina, Electric Revenue, Eastern Municipal Power Agency:
               
6.0%, 1/1/2018, INS: AMBAC
    8,775,000       10,776,490  
Series B, 6.0%, 1/1/2022, INS: NATL
    18,775,000       24,903,348  
North Carolina, Medical Care Commission, Health Care Facilities Revenue, University Health System, Series D, 6.25%, 12/1/2033
    17,000,000       20,868,010  
North Carolina, Municipal Power Agency, No. 1 Catawba Electric Revenue, Series A, 5.0%, 1/1/2030
    5,410,000       6,236,702  
        72,971,883  
North Dakota 0.2%
 
Fargo, ND, Sanford Health Systems Revenue, 6.25%, 11/1/2031
    9,260,000       11,744,921  
Ohio 1.8%
 
Akron, OH, Project Revenue, Economic Development, ETM, 6.0%, 12/1/2012, INS: NATL
    350,000       350,056  
Avon, OH, School District General Obligation, 6.5%, 12/1/2015, INS: AMBAC
    940,000       1,090,494  
Beavercreek, OH, School District General Obligation, Local School District, 6.6%, 12/1/2015, INS: FGIC, NATL
    1,190,000       1,297,231  
Big Walnut, OH, School District General Obligation, Local School District, Zero Coupon, 12/1/2012, INS: AMBAC
    420,000       419,987  
Cleveland, OH, Airport Systems Revenue, Series A, 5.0%, 1/1/2030
    1,000,000       1,161,030  
Cleveland, OH, Sales & Special Tax Revenue, Urban Renewal Tax Increment, Rock & Roll Hall of Fame and Museum Project, 6.75%, 3/15/2018
    885,000       886,425  
Cuyahoga County, OH, Cleveland Clinic Health System Revenue, Series B3, 0.18%**, 1/1/2039, SPA: U.S. Bank NA
    3,705,000       3,705,000  
Cuyahoga County, OH, County General Obligation, 5.65%, 5/15/2018
    500,000       576,800  
Fayette County, OH, School District General Obligation, Rattlesnake Improvement Area Project, 5.9%, 12/1/2013
    5,000       5,000  
Finneytown, OH, Other General Obligation, Local School District, 6.2%, 12/1/2017, INS: FGIC, NATL
    320,000       368,125  
Franklin County, OH, School District General Obligation, 6.5%, 12/1/2013
    145,000       149,398  
Hancock County, OH, Hospital Revenue, Blanchard Valley Regional Health Center, 6.5%, 12/1/2030
    14,425,000       17,913,830  
Hilliard, OH, School District General Obligation, Series A, Zero Coupon, 12/1/2012, INS: FGIC, NATL
    1,655,000       1,654,983  
Huber Heights, OH, Water & Sewer Revenue, Zero Coupon, 12/1/2012, INS: NATL
    1,005,000       1,004,990  
Kent, OH, State University Revenues, General Receipts, Series A, 5.0%, 5/1/2037
    8,440,000       9,827,283  
Liberty Benton, OH, School District General Obligation, Zero Coupon, 12/1/2014, INS: AMBAC
    570,000       551,407  
Liberty, OH, School District General Obligation, Zero Coupon, 12/1/2012, INS: FGIC, NATL
    255,000       254,995  
Lucas County, OH, Hospital Revenue, Promedica Healthcare, Series A, 6.5%, 11/15/2037
    6,000,000       7,695,960  
Ohio, American Municipal Power, Inc. Revenue, Fremont Energy Center Project, Series B, 5.0%, 2/15/2037
    13,090,000       14,995,119  
Ohio, Higher Education Revenue, Case Western Reserve University:
               
6.0%, 10/1/2014
    1,000,000       1,096,420  
Series B, 6.5%, 10/1/2020
    2,250,000       2,776,005  
Ohio, School District General Obligation, 6.0%, 12/1/2019, INS: AMBAC
    475,000       562,623  
Ohio, State Higher Educational Facility Commission Revenue, Summa Health Systems Project:
               
Series 2010, 5.25%, 11/15/2035, INS: AGMC
    7,500,000       8,436,075  
Series 2010, 5.5%, 11/15/2030, INS: AGMC
    4,000,000       4,587,520  
Ohio, State Hospital Facility Revenue, Cleveland Clinic Health System, Series B, 5.5%, 1/1/2039
    13,600,000       15,628,984  
Toledo, OH, Other General Obligation, Macy's Project, Series A, AMT, 6.35%, 12/1/2025, INS: NATL
    1,000,000       1,002,920  
Wayne, OH, School District General Obligation, 6.6%, 12/1/2016, INS: AMBAC
    175,000       196,523  
Wooster, OH, School District General Obligation, Zero Coupon, 12/1/2013, INS: AGMC
    930,000       923,165  
        99,118,348  
Oklahoma 0.7%
 
Oklahoma, State Municipal Power Authority, Supply System Revenue, Series A, 6.0%, 1/1/2038
    8,625,000       10,255,470  
Oklahoma, Water & Sewer Revenue, McGee Creek Authority, 6.0%, 1/1/2023, INS: NATL
    23,125,000       27,124,931  
        37,380,401  
Oregon 0.0%
 
Yamhill County, OR, Hospital Authority Revenue, Friendsview Community, 0.19%**, 12/1/2034, LOC: U.S. Bank NA
    1,745,000       1,745,000  
Pennsylvania 2.9%
 
Allegheny County, PA, Airport Revenue, Pittsburgh International Airport:
               
Series A, AMT, 5.75%, 1/1/2013, INS: NATL
    9,400,000       9,432,242  
Series A-1, AMT, 5.75%, 1/1/2014, INS: NATL
    10,500,000       10,909,815  
Allegheny County, PA, Hospital Development Authority Revenue, University of Pittsburgh Medical, 5.625%, 8/15/2039
    11,800,000       13,556,902  
Berks County, PA, Hospital & Healthcare Revenue, Municipal Authority, Reading Hospital & Medical Center Project, 5.7%, 10/1/2014, INS: NATL
    370,000       386,931  
Exter Township, PA, School District General Obligation, Zero Coupon, 5/15/2017, INS: FGIC, NATL
    3,700,000       3,438,188  
Latrobe, PA, Higher Education Revenue, Industrial Development Authority, 5.375%, 5/1/2013
    220,000       224,202  
Montgomery County, PA, Industrial Development Authority, Acts Retirement-Life Communities, Inc., 0.19%**, 11/15/2029, INS: Radian, LOC: TD Bank NA
    7,000,000       7,000,000  
Pennsylvania, Central Bradford Progress Authority Revenue, Guthrie Healthcare System, 5.375%, 12/1/2041
    12,550,000       14,633,175  
Pennsylvania, Sales & Special Tax Revenue, Convention Center Authority, Series A, ETM, 6.0%, 9/1/2019, INS: FGIC
    2,200,000       2,868,338  
Pennsylvania, State Turnpike Commission Revenue, Series B, 5.75%, 6/1/2039
    32,000,000       37,338,560  
Pennsylvania, State Turnpike Commission Revenue, Capital Appreciation, Series E, Step-up Coupon, 0% to 12/1/2017, 6.375% to 12/1/2038
    40,000,000       40,445,200  
Pennsylvania, State Turnpike Commission Revenue, Motor License Fund, Series A, 6.0%, 12/1/2036
    3,000,000       3,778,380  
Pennsylvania, Water & Sewer Revenue, 5.25%, 11/1/2014, INS: NATL
    780,000       827,853  
Philadelphia, PA, Airport Revenue, Series A, 5.0%, 6/15/2035
    7,080,000       7,890,164  
Philadelphia, PA, Water & Wastewater Revenue:
 
Series A, 5.25%, 1/1/2032
    3,000,000       3,442,050  
Series A, 5.25%, 1/1/2036
    2,500,000       2,836,750  
Pittsburgh, PA, Core City General Obligation, Series A, 5.5%, 9/1/2014, INS: AMBAC
    555,000       577,544  
Pittsburgh, PA, Water & Sewer System, ETM, 7.25%, 9/1/2014, INS: FGIC
    40,000       43,072  
Westmoreland County, PA, Project Revenue, Zero Coupon, 8/15/2017, INS: NATL
    6,230,000       5,722,753  
        165,352,119  
Puerto Rico 2.0%
 
Puerto Rico, Sales Tax Financing Corp., Sales Tax Revenue:
 
Series A, 5.375%, 8/1/2039
    13,650,000       14,822,398  
Series A, 6.5%, 8/1/2044
    35,000,000       41,275,150  
Puerto Rico, Sales Tax Financing Corp., Sales Tax Revenue, Convertible Capital Appreciation, Series A, Step-up Coupon, 0% to 8/1/2016, 6.75% to 8/1/2032
    55,000,000       58,143,250  
        114,240,798  
Rhode Island 0.9%
 
Rhode Island, Health & Educational Building Corp., Higher Education Facility Revenue, Brown University, Series A, 5.0%, 9/1/2039 (a)
    13,000,000       15,348,060  
Rhode Island, Health & Educational Building Corp., Higher Education Facility Revenue, University of Rhode Island, Series A, 6.25%, 9/15/2034
    10,000,000       11,983,000  
Rhode Island, Project Revenue, Convention Center Authority, Series B, 5.25%, 5/15/2015, INS: NATL
    13,870,000       14,477,367  
Rhode Island, Tobacco Settlement Financing Corp., Series A, 6.125%, 6/1/2032
    7,750,000       7,901,125  
        49,709,552  
South Carolina 0.9%
 
Greenwood County, SC, Hospital Revenue, Self Regional Healthcare, 5.375%, 10/1/2039
    7,500,000       8,595,750  
South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, Palmetto Health Alliance:
               
5.75%, 8/1/2039
    1,910,000       2,184,925  
Series C, Prerefunded, 7.0%, 8/1/2030
    6,885,000       7,192,346  
South Carolina, Piedmont Municipal Power Agency, Electric Revenue:
               
Series A, ETM, 6.5%, 1/1/2016, INS: FGIC
    430,000       508,110  
6.75%, 1/1/2019, INS: FGIC, NATL
    2,065,000       2,693,999  
ETM, 6.75%, 1/1/2019, INS: FGIC
    1,460,000       1,954,984  
South Carolina, State Ports Authority Revenue, 5.25%, 7/1/2040
    10,195,000       11,781,954  
South Carolina, State Public Service Authority Revenue, Santee Cooper:
               
Series E, 5.0%, 1/1/2040
    10,000,000       11,624,600  
Series A, 5.375%, 1/1/2028
    2,500,000       3,031,450  
        49,568,118  
South Dakota 0.1%
 
South Dakota, State Health & Educational Facilities Authority Revenue, Sanford Health, 5.5%, 11/1/2040
    3,000,000       3,426,150  
South Dakota, State Health & Educational Facilities Authority, Regional Health, 0.19%**, 9/1/2027, LOC: U.S. Bank NA
    2,200,000       2,200,000  
        5,626,150  
Tennessee 0.9%
 
Jackson, TN, Hospital Revenue, Jackson-Madison Project:
 
5.5%, 4/1/2033
    3,000,000       3,438,000  
5.625%, 4/1/2038
    4,550,000       5,232,682  
5.75%, 4/1/2041
    8,675,000       10,044,349  
Knox County, TN, Hospital & Healthcare Revenue, Sanders Alliance:
               
5.75%, 1/1/2014, INS: NATL
    2,000,000       2,108,740  
6.25%, 1/1/2013, INS: NATL
    4,000,000       4,018,840  
Shelby County, TN, General Obligation:
 
Zero Coupon, 8/1/2014
    4,920,000       4,875,277  
ETM, Zero Coupon, 8/1/2014
    45,000       44,657  
Sullivan County, TN, Health, Educational & Housing Facilities Board, Hospital Revenue, Wellmont Health Systems Project, Series C, 5.25%, 9/1/2036
    10,000,000       10,684,300  
Tennessee, Energy Acquisition Corp., Gas Revenue:
 
Series A, 5.25%, 9/1/2019
    7,000,000       8,232,490  
Series A, 5.25%, 9/1/2021
    2,000,000       2,384,040  
        51,063,375  
Texas 10.3%
 
Abilene, TX, Senior Care Revenue, Sears Methodist Retirement, Health Facilities Development, Series A, 5.875%, 11/15/2018
    2,274,000       1,628,730  
Austin, TX, Austin-Bergstrom Landhost Enterprises, Inc., Airport Hotel Project, Series A, 3.375%, 4/1/2027 (b)
    21,335,000       10,578,746  
Cypress and Fairbanks, TX, School District General Obligation, Cypress-Fairbanks Texas Independent School District:
               
Series A, Zero Coupon, 2/15/2013
    4,840,000       4,837,580  
Series A, Zero Coupon, 2/15/2014
    6,000,000       5,972,400  
Dallas, TX, Waterworks & Sewer Systems Revenue, 5.0%, 10/1/2037
    4,600,000       5,366,682  
Harris County, TX, County General Obligation, Zero Coupon, 10/1/2017, INS: NATL
    3,910,000       3,714,774  
Harris County, TX, Health Facilities Development Corp., Hospital Revenue, Memorial Hermann Healthcare System, Series B, 7.25%, 12/1/2035
    5,000,000       6,349,750  
Harris County, TX, Port Houston Authority, Series D-1, 5.0%, 10/1/2035
    18,290,000       22,783,670  
Houston, TX, Airport Systems Revenue:
 
Series B, 5.0%, 7/1/2027, INS: FGIC, NATL
    21,030,000       24,144,122  
Series B, 5.0%, 7/1/2032
    3,510,000       4,160,052  
Series A, 5.5%, 7/1/2039
    10,000,000       11,838,100  
Houston, TX, Higher Education Finance Corp. Revenue, Rice University Project, Series A, 5.0%, 5/15/2040
    11,185,000       13,222,795  
Houston, TX, Utility Systems Revenue, First Lien, Series D, 5.0%, 11/15/2036
    7,000,000       8,362,620  
Houston, TX, Water & Sewer Revenue, Series C, Zero Coupon, 12/1/2012, INS: AMBAC
    4,350,000       4,349,957  
North Texas, Tollway Authority Revenue:
 
Series C, 5.25%, 1/1/2044
    20,000,000       22,314,800  
First Tier, Series A, 5.625%, 1/1/2033
    6,500,000       7,580,885  
Second Tier, Series F, 5.75%, 1/1/2033
    12,210,000       13,865,798  
Second Tier, Series F, 5.75%, 1/1/2038
    16,500,000       18,621,075  
First Tier, 6.0%, 1/1/2043
    30,000,000       36,120,000  
North Texas, Tollway Authority Revenue, Special Project Systems:
               
Series D, 5.0%, 9/1/2032
    8,000,000       9,545,920  
Series A, 6.0%, 9/1/2041
    6,675,000       8,546,470  
Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Scott & White Healthcare, 5.625%, 8/15/2035
    10,000,000       11,745,200  
Tarrant County, TX, Cultural Education Facilities Finance Corp., State Health Resources, 5.0%, 11/15/2040
    19,325,000       21,860,440  
Texas, Dallas/Fort Worth International Airport Revenue:
 
Series B, 5.0%, 11/1/2035
    11,470,000       13,272,969  
Series D, 5.0%, 11/1/2035
    24,425,000       27,965,404  
Series D, AMT, 5.0%, 11/1/2038
    19,355,000       21,633,083  
Series A, 5.25%, 11/1/2038
    20,000,000       23,219,400  
Series A, AMT, 5.5%, 11/1/2019, INS: NATL
    20,000,000       20,829,600  
Texas, Electric Revenue:
 
Zero Coupon, 9/1/2017, INS: NATL
    5,880,000       5,494,448  
ETM, Zero Coupon, 9/1/2017, INS: NATL
    120,000       115,668  
Texas, Electric Revenue, Municipal Power Agency, Zero Coupon, 9/1/2016, INS: NATL
    18,300,000       17,539,086  
Texas, Grapevine-Colleyville Independent School District Building:
               
5.0%, 8/15/2034
    6,080,000       7,371,270  
5.0%, 8/15/2035
    6,130,000       7,394,313  
5.0%, 8/15/2036
    3,350,000       4,029,246  
Texas, Lower Colorado River Authority Revenue, Series A, 5.0%, 5/15/2036 (c)
    12,000,000       13,993,200  
Texas, Lower Colorado River Authority, Transmission Contract Revenue, LCRA Transmission Services, 5.0%, 5/15/2040
    20,000,000       22,805,600  
Texas, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue:
               
Series B, 0.96%***, 12/15/2026
    19,800,000       16,360,344  
Series D, 6.25%, 12/15/2026
    20,000,000       26,540,000  
Texas, Municipal Power Agency, ETM, Zero Coupon, 9/1/2016, INS: NATL
    375,000       366,416  
Texas, SA Energy Acquisition Public Facility Corp., Gas Supply Revenue:
               
5.5%, 8/1/2021
    5,575,000       6,655,658  
5.5%, 8/1/2025
    2,750,000       3,320,158  
Texas, Southwest Higher Education Authority, Inc., Southern Methodist University Project, 5.0%, 10/1/2035
    2,400,000       2,855,520  
Texas, State Municipal Gas Acquisition & Supply Corp. III, Gas Supply Revenue:
               
5.0%, 12/15/2030 (c)
    2,250,000       2,510,438  
5.0%, 12/15/2031 (c)
    4,500,000       5,000,850  
5.0%, 12/15/2032 (c)
    4,500,000       4,988,925  
Texas, State Technical University Revenue, Series A, 5.0%, 8/15/2037
    5,400,000       6,448,032  
Texas, State Transportation Commission, Turnpike Systems Revenue, Third Lien, Series A, 5.0%, 8/15/2041
    38,425,000       43,623,518  
        581,843,712  
Utah 0.0%
 
Provo, UT, Electric Revenue, Series A, ETM, 10.375%, 9/15/2015, INS: AMBAC
    580,000       668,462  
Salt Lake City, UT, Core City General Obligation, 5.75%, 6/15/2014
    25,000       25,117  
        693,579  
Virginia 0.4%
 
Roanoke, VA, Hospital & Healthcare Revenue, Industrial Development Authority, Roanoke Memorial Hospital, Series B, ETM, 6.125%, 7/1/2017, INS: NATL
    5,500,000       6,381,430  
Virginia Beach, VA, Hospital & Healthcare Revenue, Development Authority Hospital Facility First Mortgage, 5.125%, 2/15/2018, INS: AMBAC
    3,000,000       3,561,030  
Washington County, VA, Industrial Development Authority, Hospital Facility Revenue, Mountain States Health Alliance, Series C, 7.75%, 7/1/2038
    7,760,000       9,788,852  
Winchester, VA, Hospital & Healthcare Revenue, Industrial Development Authority, 5.5%, 1/1/2015, INS: AMBAC
    3,610,000       3,771,259  
        23,502,571  
Washington 2.6%
 
Chelan County, WA, Electric Revenue, Public Utilities, Columbia River Rock, Zero Coupon, 6/1/2014, INS: NATL
    12,685,000       12,525,296  
Clark County, WA, School District General Obligation, Zero Coupon, 12/1/2017, INS: FGIC, NATL
    6,725,000       6,199,172  
Port of Seattle, WA, Airport Revenue:
 
Series A, 5.0%, 8/1/2031
    2,000,000       2,426,100  
Series A, 5.0%, 8/1/2032
    2,500,000       3,015,925  
Series B, AMT, 6.0%, 2/1/2014, INS: NATL
    4,000,000       4,248,680  
Washington, State General Obligation:
 
Series 5, Zero Coupon, 1/1/2017, INS: FGIC, NATL
    4,535,000       4,347,704  
Series B, 5.0%, 2/1/2033
    5,000,000       6,026,950  
Series 2011A, 5.0%, 8/1/2033
    20,000,000       24,815,800  
Series A, 5.0%, 8/1/2035
    12,190,000       14,651,649  
Washington, State Health Care Facilities Authority Revenue, Series C, 5.375%, 8/15/2028, INS: Radian
    5,240,000       5,671,095  
Washington, State Health Care Facilities Authority Revenue, Virginia Mason Medical Center, Series A, 6.125%, 8/15/2037
    7,035,000       7,860,557  
Washington, State Health Care Facilities Authority, Multicare Health Systems, Series D, 0.18%**, 8/15/2041, LOC: Barclays Bank PLC
    7,000,000       7,000,000  
Washington, State Health Care Facilities Authority, Swedish Health Services, Series A, Prerefunded, 6.75%, 11/15/2041
    12,175,000       17,484,274  
Washington, State Motor Vehicle Tax-Senior 520, Corridor Toll Program:
               
Series C, 5.0%, 6/1/2032
    7,725,000       9,437,555  
Series C, 5.0%, 6/1/2033
    6,000,000       7,278,180  
Series C, 5.0%, 6/1/2041
    11,000,000       12,979,340  
        145,968,277  
Wisconsin 1.4%
 
Milwaukee County, WI, Airport Revenue, Series A, 5.0%, 12/1/2034
    7,000,000       7,852,530  
Wisconsin, Hospital & Healthcare Revenue, Health & Education Facilities Authority:
               
Series B, ETM, 6.25%, 1/1/2022, INS: AMBAC
    3,510,000       4,334,745  
Series C, ETM, 6.25%, 1/1/2022, INS: AMBAC
    6,135,000       7,637,829  
Wisconsin, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Aurora Health Care, Inc., 6.875%, 4/15/2030
    14,000,000       14,206,500  
Wisconsin, State Health & Educational Facilities Authority Revenue, Froedtert Health, Inc., Series A, 5.0%, 4/1/2042
    11,040,000       12,740,381  
Wisconsin, State Health & Educational Facilities Authority Revenue, Ministry Health Care, Inc., Series C, 5.0%, 8/15/2032
    6,940,000       7,922,218  
Wisconsin, State Health & Educational Facilities Authority Revenue, Prohealth Care, Inc. Obligation Group, 6.625%, 2/15/2039
    7,335,000       8,796,059  
Wisconsin, State Health & Educational Facilities Authority Revenue, SSM Health Care Corp., Series A, 5.25%, 6/1/2034
    2,000,000       2,292,360  
Wisconsin, State Health & Educational Facilities Authority Revenue, Thedacare, Inc., Series A, 5.5%, 12/15/2038
    13,235,000       14,949,065  
        80,731,687  
Wyoming 0.1%
 
Sweetwater County, WY, Pollution Control Revenue, Pacificorp Project, Series B, 0.18%**, 1/1/2014, LOC: Barclays Bank PLC
    7,000,000       7,000,000  
Total Municipal Bonds and Notes (Cost $4,603,770,845)
      5,292,534,377  
   
Municipal Inverse Floating Rate Notes (d) 11.8%
 
California 2.5%
 
California, San Francisco Bay Area Toll Authority, Toll Bridge Revenue, Series F, 5.0%, 4/1/2031 (e)
    10,700,000       12,488,284  
Trust: California, Bay Area Toll Authority, Toll Bridge Revenue, Series 1962-4, 144A, 13.588%, 4/1/2014, Leverage Factor at purchase date: 3 to 1
               
California, State Department of Water Resources Revenue, Central Valley Project, Series AE, 5.0%, 12/1/2023 (e)
    5,236,056       6,370,466  
California, State Department of Water Resources Revenue, Central Valley Project, Series AE, 5.0%, 12/1/2024 (e)
    3,742,268       4,553,043  
California, State Department of Water Resources Revenue, Central Valley Project, Series AE, 5.0%, 12/1/2025 (e)
    3,118,557       3,794,202  
Trust: California, State Department of Water Resources Revenue, Series 2705, 144A, 12.778%, 12/1/2023, Leverage Factor at purchase date: 3 to 1
               
California, University of California Revenues, Series O, 5.25%, 5/15/2039 (e)
    15,620,000       18,686,362  
Trust: California, University of California Revenues, Series 3368-2, 144A, 18.84%, 11/15/2016, Leverage Factor at purchase date: 4 to 1
               
Los Angeles, CA, Waste Water System Revenue, Series A, 5.375%, 6/1/2039 (e)
    30,000,000       36,642,300  
Trust: Los Angeles, CA, Series 3371-2, 144A, 19.34%, 12/1/2016, Leverage Factor at purchase date: 4 to 1
               
Los Angeles, CA, Community College District, Election of 2008, Series A, 6.0%, 8/1/2033 (e)
    30,000,000       38,416,200  
Trust: Los Angeles, CA, Community College District, Series R-11728, 144A, 27.32%, 8/1/2033, Leverage Factor at purchase date: 5 to 1
               
San Francisco, CA, Bay Area Rapid Transportation District, Election of 2004, Series B, 5.0%, 8/1/2032 (e)
    14,997,001       17,272,351  
Trust: San Francisco, CA, Bay Area Rapid Transportation District, Series 3161, 144A, 13.537%, 8/1/2015, Leverage Factor at purchase date: 3 to 1
               
        138,223,208  
District of Columbia 0.5%
 
District of Columbia, Income Tax Revenue, Series A, 5.5%, 12/1/2030 (e)
    22,000,000       28,140,200  
Trust: District of Columbia, Series 3369, 144A, 19.84%, 6/1/2017, Leverage Factor at purchase date: 4 to 1
               
Florida 1.3%
 
Florida, State Turnpike Authority Revenue, Department of Transportation, Series A, 5.0%, 7/1/2021 (e)
    30,130,000       35,143,925  
Trust: Florida, State Turnpike Authority Revenue, Series 2514, 144A, 43.331%, 7/1/2015, Leverage Factor at purchase date: 10 to 1
               
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2023, INS: AGMC (e)
    3,740,000       4,369,944  
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2024, INS: AGMC (e)
    3,915,000       4,574,420  
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2025, INS: AGMC (e)
    4,122,500       4,816,870  
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2026, INS: AGMC (e)
    4,317,500       5,044,714  
Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.0%, 7/1/2032, INS: AGMC (e)
    16,470,000       19,244,110  
Trust: Miami-Dade County, FL, Series 2008-1160, 144A, 9.251%, 1/1/2016, Leverage Factor at purchase date: 2 to 1
               
        73,193,983  
Louisiana 0.2%
 
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2033 (e)
    3,023,487       3,609,388  
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2034 (e)
    3,300,848       3,940,498  
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2035 (e)
    3,663,166       4,373,028  
Trust: Louisiana, State Gas & Fuels Tax Revenue, Series 3806, 144A, 9.298%, 5/1/2018, Leverage Factor at purchase date: 2 to 1
               
        11,922,914  
Massachusetts 1.6%
 
Massachusetts, State Development Finance Agency Revenue, Harvard University, Series B-2, 5.25%, 2/1/2034 (e)
    20,000,000       24,884,600  
Trust: Massachusetts, State Development Finance Agency Revenue, Harvard University, Series 4691, 144A, 9.97%, 1/17/2019, Leverage Factor at purchase date: 2 to 1
               
Massachusetts, State General Obligation, Series A, 5.0%, 8/1/2027 (e)
    7,825,000       9,270,820  
Massachusetts, State General Obligation, Series A, 5.0%, 8/1/2033 (e)
    3,000,000       3,554,308  
Massachusetts, State General Obligation, Series A, 5.0%, 8/1/2038 (e)
    2,750,000       3,258,116  
Trust: Massachusetts, State General Obligation, Series 2008-1203, 144A, 14.838%, 8/1/2038, Leverage Factor at purchase date: 3 to 1
               
Massachusetts, State General Obligation, Series C, 5.0%, 8/1/2026, INS: AGMC (e)
    20,000,000       23,396,200  
Trust: Massachusetts, State General Obligation, Series 2022-1, 144A, 42.98%, 8/1/2015, Leverage Factor at purchase date: 10 to 1
               
Massachusetts, State General Obligation, Series C, 5.0%, 8/1/2027, INS: AGMC (e)
    20,000,000       23,396,200  
Trust: Massachusetts, State General Obligation, Series 2022-2, 144A, 42.98%, 8/1/2015, Leverage Factor at purchase date: 10 to 1
               
        87,760,244  
Nevada 1.3%
 
Clark County, NV, General Obligation, 5.0%, 6/1/2028 (e)
    6,252,645       7,336,603  
Clark County, NV, General Obligation, 5.0%, 6/1/2029 (e)
    6,565,277       7,703,433  
Clark County, NV, General Obligation, 5.0%, 6/1/2030 (e)
    6,372,122       7,476,792  
Trust: Clark County, NV, General Obligation, Series 3158, 144A, 13.533%, 6/1/2016, Leverage Factor at purchase date: 3 to 1
               
Clark County, NV, School District, Series C, 5.0%, 6/15/2021 (e)
    16,118,519       18,748,094  
Clark County, NV, School District, Series C, 5.0%, 6/15/2022 (e)
    16,841,398       19,588,904  
Clark County, NV, School District, Series C, 5.0%, 6/15/2023 (e)
    10,876,807       12,651,248  
Trust: Clark County, NV, School Improvements, Series 2008-1153, 144A, 9.251%, 6/15/2015, Leverage Factor at purchase date: 2 to 1
               
        73,505,074  
New York 1.0%
 
New York, State Dormitory Authority Revenues, Columbia University, 5.0%, 7/1/2038 (e)
    27,925,000       33,039,138  
Trust: New York, State Dormitory Authority Revenues, Secondary Issues, Series R-11722-1, 144A, 17.981%, 7/1/2016, Leverage Factor at purchase date: 4 to 1
               
New York, NY, General Obligation, Series C-1, 5.0%, 10/1/2024, INS: AGMC (e)
    19,425,000       23,103,342  
Trust: New York, NY, Series 2008-1131, 144A, 9.222%, 10/1/2015, Leverage Factor at purchase date: 2 to 1
               
        56,142,480  
North Carolina 0.4%
 
North Carolina, Capital Facilities Finance Agency Revenue, Duke University Project, Series B, 5.0%, 10/1/2038, INS: AGMC (e)
    20,000,000       24,221,000  
Trust: North Carolina, Capital Facilities Finance Agency Revenue, Duke University Project, Series 3333, 144A, 17.81%, 10/1/2016, Leverage Factor at purchase date: 4 to 1
               
Ohio 0.7%
 
Columbus, OH, General Obligation, Series A, 5.0%, 9/1/2021 (e)
    8,725,000       10,507,579  
Columbus, OH, General Obligation, Series A, 5.0%, 9/1/2022 (e)
    8,725,000       10,507,578  
Trust: Columbus, OH, General Obligation, Series 2365, 144A, 17.89%, 9/1/2015, Leverage Factor at purchase date: 4 to 1
               
Ohio, State Higher Educational Facilities Community Revenue, Cleveland Clinic Health, Series A, 5.125%, 1/1/2028 (e)
    6,032,233       6,809,351  
Ohio, State Higher Educational Facilities Community Revenue, Cleveland Clinic Health, Series A, 5.25%, 1/1/2033 (e)
    10,287,087       11,612,346  
Trust: Ohio, State Higher Educational Revenue, Series 3139, 144A, 14.399%, 1/1/2016, Leverage Factor at purchase date: 3 to 1
               
        39,436,854  
Tennessee 1.3%
 
Nashville & Davidson County, TN, Metropolitan Government, 5.0%, 1/1/2026 (e)
    20,800,000       24,502,608  
Trust: Nashville & Davidson County, TN, Metropolitan Government, Series 2631-2, 144A, 17.9%, 1/1/2016, Leverage Factor at purchase date: 4 to 1
               
Nashville & Davidson County, TN, Metropolitan Government, 5.0%, 1/1/2028 (e)
    21,610,075       25,177,531  
Trust: Nashville & Davidson County, TN, Metropolitan Government, Series 2631-4, 144A, 17.908%, 1/1/2016, Leverage Factor at purchase date: 4 to 1
               
Nashville & Davidson County, TN, Metropolitan Government, 5.0%, 1/1/2027 (e)
    21,793,305       25,673,923  
Trust: Nashville & Davidson County, TN, Metropolitan Government, Series 2631-3, 144A, 17.895%, 1/1/2016, Leverage Factor at purchase date: 4 to 1
               
        75,354,062  
Texas 1.0%
 
Dallas, TX, Water Works & Sewer Systems Revenue, 5.0%, 10/1/2035 (e)
    10,000,000       11,819,500  
Trust: Dallas, TX, Water Works & Sewer Systems Revenue, Series 3742, 144A, 9.3%, 4/1/2018, Leverage Factor at purchase date: 2 to 1
               
Harris County, TX, Flood Control District, Series A, 5.0%, 10/1/2034 (e)
    5,500,000       6,530,920  
Trust: Texas, Puttable Floating Option Tax Exempt Receipts, Series 4692, 144A, 9.44%, 10/1/2018, Leverage Factor at purchase date: 2 to 1
               
San Antonio, TX, Electric & Gas Revenue, 5.0%, 2/1/2022 (e)
    3,000,000       3,514,243  
San Antonio, TX, Electric & Gas Revenue, 5.0%, 2/1/2027 (e)
    7,425,000       8,697,751  
San Antonio, TX, Electric & Gas Revenue, 5.0%, 2/1/2028 (e)
    6,540,000       7,661,049  
San Antonio, TX, Electric & Gas Revenue, 5.0%, 2/1/2029 (e)
    7,000,000       8,199,899  
Trust: San Antonio, TX, Series 2008-1150, 144A, 9.252%, 8/1/2015, Leverage Factor at purchase date: 2 to 1
               
Texas, Water Development Board Revenue, Series B, 5.25%, 7/15/2026 (e)
    10,000,000       11,834,000  
Trust: Texas, Water Development Board, Series 2008-1173, 144A, 18.66%, 7/15/2015, Leverage Factor at purchase date: 4 to 1
               
        58,257,362  
Total Municipal Inverse Floating Rate Notes (Cost $568,004,799)
      666,157,381  
 

   
% of Net Assets
   
Value ($)
 
       
Total Investment Portfolio (Cost $5,171,775,644) †
    105.8       5,958,691,758  
Other Assets and Liabilities, Net
    (5.8 )     (328,294,967 )
Net Assets
    100.0       5,630,396,791  
 
The following table represents bonds that are in default:
Security
 
Coupon
 
Maturity Date
 
Principal Amount ($)
   
Cost ($)
   
Value ($)
 
Austin, TX, Austin-Bergstrom Landhost Enterprises, Inc., Airport Hotel Project, Series A (b)
    3.375 %
4/1/2027
    21,335,000       21,336,699       10,578,746  
 
* Non-income producing security.
 
** Variable rate demand notes are securities whose interest rates are reset periodically at market levels. These securities are often payable on demand and are shown at their current rates as of November 30, 2012.
 
*** Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of November 30, 2012.
 
† The cost for federal income tax purposes was $4,779,689,907. At November 30, 2012, net unrealized appreciation for all securities based on tax cost was $795,866,035. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $815,918,023 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $20,051,988.
 
(a) At November 30, 2012, this security has been pledged, in whole or in part, as collateral for open interest rate swaps.
 
(b) Partial interest paying security. The rate shown represents 50% of the original coupon rate.
 
(c) When-issued security.
 
(d) Securities represent the underlying municipal obligations of inverse floating rate obligations held by the Fund.
 
(e) Security forms part of the below tender option bond trust. Principal Amount and Value shown take into account the leverage factor.
 
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
AGC: Assured Guaranty Corp.
 
AGMC: Assured Guaranty Municipal Corp.
 
AMBAC: Ambac Financial Group, Inc.
 
AMT: Subject to alternative minimum tax.
 
ETM: Bonds bearing the description ETM (escrow to maturity) are collateralized usually by U.S. Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated.
 
FGIC: Financial Guaranty Insurance Co.
 
GTY: Guaranty Agreement
 
INS: Insured
 
LOC: Letter of Credit
 
NATL: National Public Finance Guarantee Corp.
 
PIK: Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
 
Prerefunded: Bonds which are prerefunded are collateralized usually by U.S. Treasury securities which are held in escrow and used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date.
 
Radian: Radian Asset Assurance, Inc.
 
SPA: Standby Bond Purchase Agreement
 
At November 30, 2012, open interest rate swap contracts were as follows:
Effective/
Expiration Date
 
Notional Amount ($)
 
Cash Flows Paid by the Fund
Cash Flows Received by the Fund
 
Value ($)
   
Upfront Payments Paid/ (Received) ($)
   
Unrealized Appreciation ($)
 
7/31/2013
7/31/2032
    10,450,000 1
Fixed — 2.303%
Floating — LIBOR
    259,261       —       259,261  
 
Counterparty:
 
1 Barclays Bank PLC
 
LIBOR: London Interbank Offered Rate
 
For information on the Fund's policy and additional disclosures regarding interest rate swap contracts, please refer to Note B in the accompanying Notes to Financial Statements.
 
Fair Value Measurements
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
The following is a summary of the inputs used as of November 30, 2012 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
 
Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Municipal Investments (f)
  $ —     $ 5,958,691,758     $ 0     $ 5,958,691,758  
Derivatives (g)
Interest Rate Swaps
    —       259,261       —       259,261  
Total
  $ —     $ 5,958,951,019     $ 0     $ 5,958,951,019  
 
There have been no transfers between fair value measurement levels during the period ended November 30, 2012.
 
(f) See Investment Portfolio for additional detailed categorizations.
 
(g) Derivatives include unrealized appreciation (depreciation) on open interest rate swap contracts.
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities
as of November 30, 2012 (Unaudited)
 
Assets
 
Investments in securities, at value (cost $5,171,775,644)
  $ 5,958,691,758  
Cash
    55,813  
Receivable for investments sold
    4,845,000  
Receivable for Fund shares sold
    14,488,529  
Interest receivable
    71,949,221  
Unrealized appreciation on swap contracts
    259,261  
Other assets
    184,603  
Total assets
    6,050,474,185  
Liabilities
 
Payable for investments purchased — when-issued securities
    26,165,193  
Payable for Fund shares redeemed
    3,386,595  
Payable for floating rate notes issued
    383,135,816  
Distributions payable
    2,525,799  
Accrued management fee
    1,461,157  
Accrued Trustees' fees
    17,470  
Other accrued expenses and payables
    3,385,364  
Total liabilities
    420,077,394  
Net assets, at value
  $ 5,630,396,791  
Net Assets Consist of
 
Undistributed net investment income
    4,605,707  
Net unrealized appreciation (depreciation) on:
Investments
    786,916,114  
Swap contracts
    259,261  
Accumulated net realized gain (loss)
    (101,499,031 )
Paid-in capital
    4,940,114,740  
Net assets, at value
  $ 5,630,396,791  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities as of November 30, 2012 (Unaudited) (continued)
 
Net Asset Value
 
Class A
Net Asset Value and redemption price per share ($2,398,014,020 ÷ 245,709,926 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 9.76  
Maximum offering price per share (100 ÷ 97.25 of $9.76)
  $ 10.04  
Class B
Net Asset Value, offering and redemption price (subject to contingent deferred sales charge) per share ($3,342,489 ÷ 342,422 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 9.76  
Class C
Net Asset Value, offering and redemption price (subject to contingent deferred sales charge) per share ($303,292,993 ÷ 31,077,048 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 9.76  
Class S
Net Asset Value, offering and redemption price   per share ($2,735,787,631 ÷ 279,939,741 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 9.77  
Institutional Class
Net Asset Value, offering and redemption price   per share ($189,959,658 ÷ 19,456,001 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 9.76  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Operations
for the six months ended November 30, 2012 (Unaudited)
 
Investment Income
 
Income:
Interest
  $ 129,091,252  
Expenses:
Management fee
    8,566,310  
Administration fee
    2,648,900  
Services to shareholders
    2,558,645  
Distribution and service fees
    4,021,086  
Custodian fee
    25,376  
Professional fees
    74,237  
Reports to shareholders
    81,740  
Registration fees
    105,957  
Trustees' fees and expenses
    98,210  
Interest expense and fees on floating rate notes issued
    1,364,192  
Other
    102,356  
Total expenses
    19,647,009  
Net investment income
    109,444,243  
Realized and Unrealized Gain (Loss)
 
Net realized gain (loss) from:
Investments
    (10,394,123 )
Swap contracts
    (9,778,999 )
      (20,173,122 )
Change in net unrealized appreciation (depreciation) on:
Investments
    203,920,849  
Swap contracts
    17,961,788  
      221,882,637  
Net gain (loss)
    201,709,515  
Net increase (decrease) in net assets resulting from operations
  $ 311,153,758  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Cash Flows
for the six months ended November 30, 2012 (Unaudited)
 
Increase (Decrease) in Cash:
Cash Flows from Operating Activities
 
Net increase (decrease) in net assets resulting from operations
  $ 311,153,758  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) by operating activities:
Purchases of long-term investments
    (1,156,172,708 )
Net amortization of premium/ (accretion of discount)
    (10,363,587 )
Proceeds from sales and maturities of long-term investments
    796,824,314  
(Increase) decrease in interest receivable
    (2,892,124 )
(Increase) decrease in other assets
    (66,812 )
(Increase) decrease in receivable for investments sold
    (2,575,000 )
Increase (decrease) in payable for investments purchased — when-issued securities
    19,472,431  
Increase (decrease) in other accrued expenses and payables
    475,825  
Change in unrealized (appreciation) depreciation on investments
    (203,920,849 )
Change in unrealized (appreciation) depreciation on swaps contracts
    (17,961,788 )
Net realized (gain) loss from investments
    10,394,123  
Cash provided (used) by operating activities
  $ (255,632,417 )
Cash Flows from Financing Activities
 
Proceeds from shares sold
    616,375,345  
Payments for shares redeemed
    (328,834,397 )
Distributions paid (net of reinvestment of distributions)
    (31,916,282 )
Cash provided (used) by financing activities
    255,624,666  
Increase (decrease) in cash
    (7,751 )
Cash at beginning of period
    63,564  
Cash at end of period
  $ 55,813  
Supplemental Disclosure of Non-Cash Financing Activities
 
Reinvestment of distributions
  $ 77,329,380  
Interest expense and fees on floating rate notes issued
    (1,364,192 )
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets
 
Six Months Ended November 30, 2012 (Unaudited)
   
Year Ended May 31, 2012
 
Operations:
Net investment income
  $ 109,444,243     $ 214,225,675  
Net realized gain (loss)
    (20,173,122 )     (53,935,626 )
Change in net unrealized appreciation (depreciation)
    221,882,637       351,915,990  
Net increase (decrease) in net assets resulting from operations
    311,153,758       512,206,039  
Distributions to shareholders from:
Net investment income:
Class A
    (45,256,067 )     (88,251,470 )
Class B
    (51,336 )     (135,652 )
Class C
    (4,323,076 )     (6,706,011 )
Class S
    (54,811,437 )     (112,146,159 )
Institutional Class
    (3,460,163 )     (4,210,985 )
Net realized gains:
Class A
    —       (473,931 )
Class B
    —       (888 )
Class C
    —       (43,010 )
Class S
    —       (582,403 )
Institutional Class
    —       (24,028 )
Total distributions
    (107,902,079 )     (212,574,537 )
Fund share transactions:
Proceeds from shares sold
    621,995,251       1,001,083,822  
Reinvestment of distributions
    77,329,380       142,962,372  
Payments for shares redeemed
    (328,357,333 )     (706,492,889 )
Net increase (decrease) in net assets from Fund share transactions
    370,967,298       437,553,305  
Increase (decrease) in net assets
    574,218,977       737,184,807  
Net assets at beginning of period
    5,056,177,814       4,318,993,007  
Net assets at end of period (including undistributed net investment income of $4,605,707 and $3,063,543, respectively)
  $ 5,630,396,791     $ 5,056,177,814  
 
The accompanying notes are an integral part of the financial statements.
 
Financial Highlights
         
Years Ended May 31,
 
Class A
 
Six Months Ended 11/30/12 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.85     $ 8.99  
Income from investment operations:
Net investment income
    .19       .41       .42       .43       .41       .40  
Net realized and unrealized gain (loss)
    .36       .58       (.26 )     .41       (.14 )     (.13 )
Total from investment operations
    .55       .99       .16       .84       .27       .27  
Less distributions from:
Net investment income
    (.19 )     (.41 )     (.42 )     (.43 )     (.41 )     (.40 )
Net realized gains
    —       . (.00) ***     (.00 ) ***     (.01 )     (.03 )     (.01 )
Total distributions
    (.19 )     (.41 )     (.42 )     (.44 )     (.44 )     (.41 )
Net asset value, end of period
  $ 9.76     $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.85  
Total Return (%) a
    5.93 **     11.48       1.88       9.80       3.38 b     3.08 b
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    2,398       2,149       1,833       1,881       1,627       1,745  
Ratio of expenses before expense reductions (including interest expense) (%) c
    .79 *     .82       .83       .81       1.11       1.16  
Ratio of expenses after expense reductions (including interest expense) (%) c
    .79 *     .82       .83       .81       1.10       1.14  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .74 *     .76       .75       .74       .74       .73  
Ratio of net investment income (%)
    4.08 *     4.54       4.86       4.86       4.95       4.52  
Portfolio turnover rate (%)
    16 **     27       24       37       77       55  
a Total return does not reflect the effect of any sales charges.
b Total return would have been lower had certain expenses not been reduced.
c Interest expense represents interest and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities. Interest income from such transactions is included in income from investment operations.
* Annualized
** Not annualized
*** Amount is less than $.005.
 
 

         
Years Ended May 31,
 
Class B
 
Six Months Ended 11/30/12 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.86     $ 8.99  
Income from investment operations:
Net investment income
    .15       .33       .35       .35       .34       .34  
Net realized and unrealized gain (loss)
    .36       .58       (.26 )     .41       (.15 )     (.13 )
Total from investment operations
    .51       .91       .09       .76       .19       .21  
Less distributions from:
Net investment income
    (.15 )     (.33 )     (.35 )     (.35 )     (.34 )     (.33 )
Net realized gains
    —       (.00 ) ***     (.00 ) ***     (.01 )     (.03 )     (.01 )
Total distributions
    (.15 )     (.33 )     (.35 )     (.36 )     (.37 )     (.34 )
Net asset value, end of period
  $ 9.76     $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.86  
Total Return (%) a
    5.45 **     10.57       1.05       8.90       2.45 b     2.42 b
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    3       3       4       6       7       12  
Ratio of expenses before expense reductions (including interest expense) (%) c
    1.70 *     1.63       1.64       1.64       1.92       1.98  
Ratio of expenses after expense reductions (including interest expense) (%) c
    1.70 *     1.63       1.64       1.64       1.89       1.89  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    1.65 *     1.57       1.56       1.57       1.53       1.48  
Ratio of net investment income (%)
    3.17 *     3.74       4.04       4.03       4.16       3.77  
Portfolio turnover rate (%)
    16 **     27       24       37       77       55  
a Total return does not reflect the effect of any sales charges.
b Total return would have been lower had certain expenses not been reduced.
c Interest expense represents interest and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities. Interest income from such transactions is included in income from investment operations.
* Annualized
** Not annualized
*** Amount is less than $.005.
 
 

         
Years Ended May 31,
 
Class C
 
Six Months Ended 11/30/12 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.40     $ 8.81     $ 9.08     $ 8.68     $ 8.85     $ 8.99  
Income from investment operations:
Net investment income
    .16       .34       .35       .36       .34       .34  
Net realized and unrealized gain (loss)
    .36       .59       (.27 )     .41       (.14 )     (.13 )
Total from investment operations
    .52       .93       .08       .77       .20       .21  
Less distributions from:
Net investment income
    (.16 )     (.34 )     (.35 )     (.36 )     (.34 )     (.34 )
Net realized gains
    —       (.00 ) ***     (.00 ) ***     (.01 )     (.03 )     (.01 )
Total distributions
    (.16 )     (.34 )     (.35 )     (.37 )     (.37 )     (.35 )
Net asset value, end of period
  $ 9.76     $ 9.40     $ 8.81     $ 9.08     $ 8.68     $ 8.85  
Total Return (%) a
    5.53 **     10.77       .98       8.98       2.61 b     2.32 b
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    303       237       143       121       59       32  
Ratio of expenses before expense reductions (including interest expense) (%) c
    1.57 *     1.59       1.61       1.60       1.88       1.92  
Ratio of expenses after expense reductions (including interest expense) (%) c
    1.57 *     1.59       1.61       1.60       1.87       1.90  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    1.52 *     1.53       1.53       1.53       1.52       1.49  
Ratio of net investment income (%)
    3.30 *     3.76       4.08       4.07       4.18       3.76  
Portfolio turnover rate (%)
    16 **     27       24       37       77       55  
a Total return does not reflect the effect of any sales charges.
b Total return would have been lower had certain expenses not been reduced.
c Interest expense represents interest and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities. Interest income from such transactions is included in income from investment operations.
* Annualized
** Not annualized
*** Amount is less than $.005.
 
 

         
Years Ended May 31,
 
Class S
 
Six Months Ended 11/30/12 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.41     $ 8.83     $ 9.09     $ 8.69     $ 8.87     $ 9.00  
Income from investment operations:
Net investment income
    .20       .42       .44       .44       .43       .42  
Net realized and unrealized gain (loss)
    .36       .58       (.26 )     .41       (.15 )     (.12 )
Total from investment operations
    .56       1.00       .18       .85       .28       .30  
Less distributions from:
Net investment income
    (.20 )     (.42 )     (.44 )     (.44 )     (.43 )     (.42 )
Net realized gains
    —       (.00 ) ***     (.00 ) ***     (.01 )     (.03 )     (.01 )
Total distributions
    (.20 )     (.42 )     (.44 )     (.45 )     (.46 )     (.43 )
Net asset value, end of period
  $ 9.77     $ 9.41     $ 8.83     $ 9.09     $ 8.69     $ 8.87  
Total Return (%)
    6.02 **     11.67       2.07       10.00       3.48 a     3.42 a
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    2,736       2,549       2,301       2,081       1,818       1,873  
Ratio of expenses before expense reductions (including interest expense) (%) b
    .62 *     .64       .64       .62       .90       .95  
Ratio of expenses after expense reductions (including interest expense) (%) b
    .62 *     .64       .64       .62       .89       .93  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .57 *     .58       .56       .55       .54       .52  
Ratio of net investment income (%)
    4.25 *     4.72       5.05       5.05       5.16       4.74  
Portfolio turnover rate (%)
    16 **     27       24       37       77       55  
a Total return would have been lower had certain expenses not been reduced.
b Interest expense represents interest and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities. Interest income from such transactions is included in income from investment operations.
* Annualized
** Not annualized
*** Amount is less than $.005.
 
 

         
Years Ended May 31,
 
Institutional
Class
 
Six Months Ended 11/30/12 (Unaudited)
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.85     $ 8.99  
Income from investment operations:
Net investment income
    .20       .43       .44       .45       .43       .43  
Net realized and unrealized gain (loss)
    .36       .58       (.26 )     .41       (.14 )     (.13 )
Total from investment operations
    .56       1.01       .18       .86       .29       .30  
Less distributions from:
Net investment income
    (.20 )     (.43 )     (.44 )     (.45 )     (.43 )     (.43 )
Net realized gains
    —       (.00 ) ***     (.00 ) ***     (.01 )     (.03 )     (.01 )
Total distributions
    (.20 )     (.43 )     (.44 )     (.46 )     (.46 )     (.44 )
Net asset value, end of period
  $ 9.76     $ 9.40     $ 8.82     $ 9.08     $ 8.68     $ 8.85  
Total Return (%)
    6.06 **     11.79       2.13       10.09       3.61 a     3.35  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    190       117       38       36       6       5  
Ratio of expenses before expense reductions (including interest expense) (%) b
    .56 *     .56       .59       .57       .90       .90  
Ratio of expenses after expense reductions (including interest expense) (%) b
    .56 *     .56       .59       .57       .89       .90  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .51 *     .50       .51       .50       .54       .49  
Ratio of net investment income (%)
    4.32 *     4.78       5.09       5.09       5.16       4.77  
Portfolio turnover rate (%)
    16 **     27       24       37       77       55  
a Total returns would have been lower had certain expenses not been reduced.
b Interest expense represents interest and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities. Interest income from such transactions is included in income from investment operations.
* Annualized
** Not annualized
*** Amount is less than $.005.
 
 
Notes to Financial Statements (Unaudited)
 
A. Organization and Significant Accounting Policies
 
DWS Managed Municipal Bond Fund (the "Fund") is a diversified series of DWS 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 of the Fund are closed to new purchases, except exchanges or the reinvestment of dividends or other distributions. Class B shares were offered to investors without an initial sales charge and 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 automatically 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. Class S shares are not subject to initial or contingent deferred sales charges and are generally not available to new investors except under certain circumstances.
 
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 and 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.
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
Municipal debt securities are valued at prices supplied by independent pricing services approved by the Fund's Board, 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 mean of the most recent bid and asked quotations or evaluated prices, as applicable, obtained from one or more 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. These securities are generally categorized as Level 2.
 
Swap contracts are valued daily based upon prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer. Swap contracts are generally categorized as Level 2.
 
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 Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities; the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
 
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
 
New Accounting Pronouncement. In December 2011, Accounting Standards Update 2011-11 (ASU 2011-11), Disclosures about Offsetting Assets and Liabilities, was issued and is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2011-11 is intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. Management is currently evaluating the application of ASU 2011-11 and its impact, if any, on the Fund's financial statements.
 
Inverse Floaters. The Fund invests in inverse floaters. Inverse floaters are debt instruments with a weekly floating rate of interest that bears an inverse relationship to changes in the short-term interest rate market. Inverse floaters are created by depositing a fixed-rate municipal bond into a special purpose trust (the "Trust"). In turn the Trust issues a short-term floating rate note and an inverse floater. The income stream from the underlying bond in the Trust is divided between the floating rate note and the inverse floater. The income provided by the inverse floater bears an inverse relationship with the short-term rate paid to the floating rate note holder. The short-term floating rate note is issued in a face amount equal to some fraction of the underlying bond's par amount and is paid to a third party, usually a tax-exempt money market fund, at rates that generally reset weekly. The inverse floater earns all of the interest from the underlying fixed-rate bond less the amount of interest paid on the floating rate note and the expenses of the Trust. The inverse floater represents an investment in the underlying bond on a leveraged basis; the Fund bears all of the price risk of the underlying bond in the Trust and receives all the benefits from any potential appreciation of the underlying bond's value. The floating rate notes issued by the Trust are valued at cost, which approximates fair value.
 
By holding the inverse floater, the Fund has the right to collapse the Trust by causing the holders of the floating rate instrument to tender their notes at par and have the broker transfer the underlying bond to the Fund. The floating rate note holder can also elect to tender the note for redemption at par at each reset date. The Fund accounts for these transactions as a form of secured borrowing, by reflecting the value of the underlying bond in the investments of the Fund and the amount owed to the floating rate note holder as a liability under the caption "Payable for floating rate notes issued" in the Statement of Assets and Liabilities. Income earned on the underlying bond is included in interest income, and interest paid on the floaters and the expenses of the Trust are included in "Interest expense and fees on floating rate notes issued" in the Statement of Operations.
 
The Fund may enter into shortfall and forbearance agreements by which the Fund agrees to reimburse the Trust, in certain circumstances, for the difference between the liquidation value of the underlying bond held by the Trust and the liquidation value of the floating rate notes plus any shortfalls in interest cash flows. This could potentially expose the Fund to losses in excess of the value of the Fund's inverse floater investments. In addition, the value of inverse floaters may decrease significantly when interest rates increase. The market for inverse floaters may be more volatile and less liquid than other municipal bonds of comparable maturity. The Trust could be terminated outside of the Fund's control, resulting in a reduction of leverage and disposal of portfolio investments at inopportune times and prices. Investments in inverse floaters generally involve greater risk than in an investment in fixed-rate bonds.
 
The weighted average outstanding daily balance of the floating rate notes issued during the six months ended November 30, 2012 was $383,135,816, with a weighted average interest rate of 0.71%.
 
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 transaction 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. At the time the Fund enters into a purchase 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 transaction 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.
 
Under the Regulated Investment Company Modernization Act of 2010, net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long-term. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
 
At May 31, 2012, the Fund had net tax basis capital loss carryforwards of approximately $83,294,000, including $1,746,000 of pre-enactment losses which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until May 31, 2019, the expiration date, whichever occurs first, and approximately $81,548,000 of post-enactment short-term losses which may be applied against realized net taxable capital gains indefinitely.
 
The Fund has reviewed the tax positions for the open tax years as of May 31, 2012 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
 
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 gain 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 swap contracts, certain 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.
 
The tax character of current year distributions will be determined at the end of the current fiscal year.
 
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 based upon the relative net assets or other appropriate measures.
 
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 transactions are reported on trade date. Interest income is recorded on the 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, with the exception of securities in default of principal.
 
Statement of Cash Flows. Information on financial transactions which have been settled through the receipt and disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows represents the cash position at the Fund's custodian bank at November 30, 2012.
 
B. Derivative Instruments
 
Interest Rate Swap Contracts. For the six months ended November 30, 2012, the Fund invested into interest rate swap contracts to manage the duration of the Investment Portfolio. 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 agrees to pay to the other party to the interest rate swap (which is known as the "counterparty") a fixed rate payment in exchange for the counterparty agreeing to pay to the Fund a variable rate payment, or the Fund agrees to receive from the counterparty a fixed rate payment in exchange for the counterparty agreeing to receive from the Fund a variable rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). The payment obligations are 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. In connection with these agreements, securities and or cash may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default. The maximum counterparty credit risk is the net present value of the cash flows to be received from or paid to the counterparty over the term of the interest rate swap contract, to the extent that this amount is beneficial to the Fund, in addition to any related collateral posted to the counterparty by the Fund. This risk may be partially reduced by a master netting arrangement between the Fund and the counterparty. The Fund generally intends, but is not obligated, to terminate its interest rate swaps before the effective date. Payments received or made 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 a Board approved pricing vendor and the change in value is recorded as unrealized appreciation or depreciation. An upfront payment, if any, made by the Fund is recorded as an asset in the Statement of Assets and Liabilities. An upfront payment, if any, received by the Fund is recorded as a liability in the Statement of Assets and Liabilities. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations.
 
A summary of the open interest rate swap contracts as of November 30, 2012, is included in a table following the Fund's Investment Portfolio. For the six months ended November 30, 2012, the investment in interest rate swap contracts had a total notional amount generally indicative of a range from $10,450,000 to $255,950,000.
 
The following tables summarize the value of the Fund's derivative instruments held as of November 30, 2012 and the related location in the accompanying Statements of Assets and Liabilities presented by the primary underlying risk exposure:
Asset Derivative
 
Swap Contracts
 
Interest Rate Contracts (a)
  $ 259,261  
 
The above derivative is located in the following Statement of Assets and Liabilities account:
 
(a) Unrealized appreciation on swap contracts
 
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the period ended November 30, 2012 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss)
 
Swap Contracts
 
Interest Rate Contracts (a)
  $ (9,778,999 )
 
The above derivative is located in the following Statement of Operations account:
 
(a) Net realized gain (loss) from swap contracts
 
Change in Net Unrealized Appreciation (Depreciation)
 
Swap Contracts
 
Interest Rate Contracts (a)
  $ 17,961,788  
 
The above derivative is located in the following Statement of Operations account:
 
(a) Change in net unrealized appreciation (depreciation) on swap contracts
 
C. Purchases and Sales of Securities
 
During the six months ended November 30, 2012, purchases and sales of investment securities (excluding short-term investments) aggregated $1,156,172,708 and $796,824,314, respectively.
 
D. Related Parties
 
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" 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.
 
Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
First $250 million of the Fund's average daily net assets
    .365 %
Next $750 million of such net assets
    .345 %
Next $1.5 billion of such net assets
    .325 %
Next $2.5 billion of such net assets
    .315 %
Next $2.5 billion of such net assets
    .295 %
Next $2.5 billion of such net assets
    .275 %
Next $2.5 billion of such net assets
    .255 %
Over $12.5 billion of such net assets
    .235 %
 
For the six months ended November 30, 2012, the fee pursuant to the Investment Management Agreement was equivalent to an annualized effective rate of 0.32% of the Fund's average daily net assets.
 
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor a fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the six months ended November 30, 2012, the Administration Fee was $2,648,900, of which $453,515 is unpaid.
 
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent of the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended November 30, 2012, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders
 
Total Aggregated
   
Unpaid at November 30, 2012
 
Class A
  $ 161,955     $ 81,638  
Class B
    732       409  
Class C
    12,017       5,145  
Class S
    363,377       186,930  
Institutional Class
    2,562       1,156  
    $ 540,643     $ 275,278  
 
Distribution and Service Fees. Under the Fund's Class B and Class C 12b-1 Plans, DWS Investments Distributors, Inc. ("DIDI"), an affiliate of the Advisor, receives a fee ("Distribution Fee") of 0.75% of average daily net assets of Class B and C shares. In accordance with the Fund's Underwriting and Distribution Services Agreement, DIDI enters into related selling group agreements with various firms at various rates for sales of Class B and C shares. For the six months ended November 30, 2012, the Distribution Fee was as follows:
Distribution Fee
 
Total Aggregated
   
Unpaid at November 30, 2012
 
Class B
  $ 12,370     $ 2,040  
Class C
    999,575       179,979  
    $ 1,011,945     $ 182,019  
 
In addition, DIDI provides information and administrative services for a fee ("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. DIDI 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 six months ended November 30, 2012, the Service Fee was as follows:
Service Fee
 
Total Aggregated
   
Unpaid at November 30, 2012
   
Annualized Effective Rate
 
Class A
  $ 2,672,149     $ 979,515       .24 %
Class B
    4,078       1,435       .25 %
Class C
    332,914       120,085       .25 %
    $ 3,009,141     $ 1,101,035          
 
Underwriting Agreement and Contingent Deferred Sales Charge. DIDI is the principal underwriter for the Fund. Underwriting commissions paid to DIDI in connection with the distribution of Class A shares for the six months ended November 30, 2012 aggregated $160,513.
 
In addition, DIDI 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 six months ended November 30, 2012, the CDSC for Class B and C shares aggregated $1,215 and $28,179, respectively. A deferred sales charge of up to 0.50% is assessed on certain redemptions of Class A shares. For the six months ended November 30, 2012, DIDI received $16,809 for Class A shares.
 
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended November 30, 2012, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $12,444, of which $8,276 is unpaid.
 
Trustees' Fees and Expenses. The Fund paid retainer fees to each Trustee not affiliated with the Advisor, plus specified amounts to the Board Chairperson and to each committee Chairperson.
 
E. Line of Credit
 
The Fund and other affiliated funds (the "Participants") share in a $375 million revolving credit facility provided by a syndication of banks. The Fund may borrow 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 on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus, if LIBOR exceeds the Federal Funds Rate, the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement. The Fund had no outstanding loans at November 30, 2012.
 
F. Share Transactions
 
The following table summarizes share and dollar activity in the Fund:
   
Six Months Ended
November 30, 2012
   
Year Ended 
 May 31, 2012
 
   
Shares
   
Dollars
   
Shares
   
Dollars
 
Shares sold
 
Class A
    25,936,328     $ 246,641,553       40,664,159     $ 370,789,938  
Class B
    8,881       84,364       8,787       80,838  
Class C
    7,300,034       69,420,621       11,913,160       108,777,602  
Class S
    23,718,165       225,892,648       44,986,024       410,020,474  
Institutional Class
    8,456,949       79,956,065       12,280,424       111,414,970  
            $ 621,995,251             $ 1,001,083,822  
Shares issued to shareholders in reinvestment of distributions
 
Class A
    3,961,329     $ 37,706,824       7,835,641     $ 71,302,377  
Class B
    4,901       46,634       13,258       120,422  
Class C
    351,448       3,346,389       572,413       5,216,355  
Class S
    3,462,240       32,995,226       6,867,551       62,576,708  
Institutional Class
    339,413       3,234,307       409,859       3,746,510  
            $ 77,329,380             $ 142,962,372  
Shares redeemed
 
Class A
    (12,824,852 )   $ (121,907,632 )     (27,833,329 )   $ (253,023,678 )
Class B
    (36,315 )     (342,666 )     (129,115 )     (1,164,342 )
Class C
    (1,830,830 )     (17,407,153 )     (3,482,289 )     (31,588,550 )
Class S
    (18,038,481 )     (171,503,175 )     (41,692,110 )     (379,578,940 )
Institutional Class
    (1,812,617 )     (17,196,707 )     (4,488,471 )     (41,137,379 )
            $ (328,357,333 )           $ (706,492,889 )
Net increase (decrease)
 
Class A
    17,072,805     $ 162,440,745       20,666,471     $ 189,068,637  
Class B
    (22,533 )     (211,668 )     (107,070 )     (963,082 )
Class C
    5,820,652       55,359,857       9,003,284       82,405,407  
Class S
    9,141,924       87,384,699       10,161,465       93,018,242  
Institutional Class
    6,983,745       65,993,665       8,201,812       74,024,101  
            $ 370,967,298             $ 437,553,305  
 
Information About Your Fund's Expenses
 
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads) 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. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (June 1, 2012 to November 30, 2012).
 
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. Subject to certain exceptions, an account maintenance fee of $20.00 assessed once per calendar year for Classes A, B, C and S shares may apply for accounts with balances less than $10,000. This fee is not included in these tables. If it was, the estimate of expenses paid for Classes A, B, C and S shares during the period would be higher, and account value during the period would be lower, by this amount.
 
Expenses and Value of a $1,000 Investment for the six months ended November 30, 2012 (Unaudited)
 
Actual Fund Return
 
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
Beginning Account Value 6/1/12
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 11/30/12
  $ 1,059.30     $ 1,054.50     $ 1,055.30     $ 1,060.20     $ 1,060.60  
Expenses Paid per $1,000*
  $ 4.08     $ 8.76     $ 8.09     $ 3.20     $ 2.89  
Hypothetical 5% Fund Return
 
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
Beginning Account Value 6/1/12
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 11/30/12
  $ 1,021.11     $ 1,016.55     $ 1,017.20     $ 1,021.96     $ 1,022.26  
Expenses Paid per $1,000*
  $ 4.00     $ 8.59     $ 7.94     $ 3.14     $ 2.84  
 
* 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 183 (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 S
Institutional Class
DWS Managed Municipal Bond Fund †
.79%
1.70%
1.57%
.62%
.56%
 
† Includes interest expense and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities of 0.05% for each class.
 
For more information, please refer to the Fund's prospectus.
 
Investment Management Agreement Approval
 
The Board of Trustees approved the renewal of DWS Managed Municipal Bond Fund's investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DWS") in September 2012.
 
In terms of the process that the Board followed prior to approving the Agreement, shareholders should know that:
 
• In September 2012, all of the Fund's Trustees were independent of DWS and its affiliates.
 
• The Trustees met frequently during the past year to discuss fund matters and dedicated a substantial amount of time to contract review matters. Over the course of several months, the Board's Contract Committee, in coordination with the Board's Fixed Income and Quant Oversight Committee, reviewed comprehensive materials received from DWS, independent third parties and independent counsel. These materials included an analysis of the Fund's performance, fees and expenses, and profitability compiled by the Fund's independent fee consultant. The Board also received extensive information throughout the year regarding performance of the Fund.
 
• The Independent Trustees regularly meet privately with their independent counsel to discuss contract review and other matters. In addition, the Independent Trustees were also advised by the Fund's independent fee consultant in the course of their review of the Fund's contractual arrangements and considered a comprehensive report prepared by the independent fee consultant in connection with their deliberations (the "IFC Report").
 
• In connection with reviewing the Agreement, the Board also reviewed the terms of the Fund's Rule 12b-1 plan, distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.
 
• Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Board. The Board then reviewed the Contract Committee's findings and recommendations.
 
In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DWS and its predecessors have managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DWS managed the Fund, and that the Agreement was approved by the Fund's shareholders. DWS is part of Deutsche Bank, a major global banking institution that is engaged in a wide range of financial services. The Board believes that there are advantages to being part of a global asset management business that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts with research capabilities in many countries throughout the world.
 
As part of the contract review process, the Board carefully considered the fees and expenses of each DWS fund overseen by the Board in light of the fund's performance. In many cases, this led to a negotiation with DWS of lower expense caps for the coming year than had previously been in place. As part of these negotiations, the Board indicated that it would consider relaxing these new lower caps in future years following sustained improvements in performance, among other considerations.
 
In June 2012, Deutsche Bank ("DB"), DWS's parent company, announced that DB's new management team had concluded the strategic review of its global asset management business announced in late 2011 by DB's prior management team, and would combine its Asset Management (of which DWS is a part) and Wealth Management divisions. Prior to approving the investment management agreements, the Independent Trustees were apprised of the expected management and structure of the new combined Asset & Wealth Management division ("AWM") and DWS. DB also advised the Independent Trustees that the U.S. asset management business is a critical and integral part of DB and AWM, and that DB would be reinvesting a significant portion of the substantial savings it expects to realize by combining its Asset Management and Wealth Management divisions into a combined AWM division, including enhancements to its investment capabilities. DB also confirmed its commitment to maintaining strong legal and compliance groups within the combined division.
 
While shareholders may focus primarily on fund performance and fees, the Fund's Board considers these and many other factors, including the quality and integrity of DWS's personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures.
 
Nature, Quality and Extent of Services. The Board considered the terms of the Agreement, including the scope of advisory services provided under the Agreement. The Board noted that, under the Agreement, DWS provides portfolio management services to the Fund and that, pursuant to a separate administrative services agreement, DWS provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DWS to attract and retain high-quality personnel, and the organizational depth and stability of DWS. The Board reviewed the Fund's performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market indices and a peer universe compiled by the independent fee consultant using information supplied by Lipper Inc. ("Lipper"), an independent fund data service. The Board also noted that it has put into place a process of identifying "Focus Funds" (e.g., funds performing poorly relative to their benchmark or a peer universe compiled by an independent fund data service), and receives more frequent reporting and information from DWS regarding such funds, along with DWS's remedial plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for the one-, three- and five-year periods ended December 31, 2011, the Fund's performance (Class A shares) was in the 4th quartile, 2nd quartile and 1st quartile, respectively, of the applicable Lipper universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has outperformed its benchmark in the three-year period and has underperformed its benchmark in the one- and five-year periods ended December 31, 2011. The Board noted the disappointing investment performance of the Fund in recent periods and continued to discuss with senior management of DWS the factors contributing to such underperformance and actions being taken to improve performance. The Board observed that the Fund had experienced improved relative performance during the first seven months of 2012.
 
Fees and Expenses. The Board considered the Fund's investment management fee schedule, operating expenses and total expense ratios, and comparative information provided by Lipper and the independent fee consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include a 0.10% fee paid to DWS under the Fund's administrative services agreement, were at the median (2nd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2011). The Board noted that the Fund's Class A shares total (net) operating expenses (excluding 12b-1 fees) were expected to be lower than the median (1st quartile) of the applicable Lipper expense universe (based on Lipper data provided as of December 31, 2011, and analyzing Lipper expense universe Class A (net) expenses less any applicable 12b-1 fees) ("Lipper Universe Expenses"). The Board also reviewed data comparing each share class's total (net) operating expenses to the applicable Lipper Universe Expenses. The Board considered the Fund's management fee rate as compared to fees charged by DWS and certain of its affiliates for comparable mutual funds and considered differences in fund and fee structures between the DWS Funds. The Board also considered how the Fund's total (net) operating expenses compared to the total (net) operating expenses of a more customized peer group selected by Lipper (based on such factors as asset size).
 
The information considered by the Board as part of its review of management fees included information regarding fees charged by DWS and its affiliates to similar institutional accounts and to similar funds offered primarily to European investors ("DWS Europe funds"), in each case as applicable. The Board observed that advisory fee rates for institutional accounts generally were lower than the management fees charged by similarly managed DWS U.S. mutual funds ("DWS Funds"), but also took note of the differences in services provided to DWS Funds as compared to institutional accounts. In the case of DWS Europe funds, the Board observed that fee rates for DWS Europe funds generally were higher than for similarly managed DWS Funds, but noted that differences in the types of services provided to DWS Funds relative to DWS Europe funds made it difficult to compare such fees.
 
On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DWS.
 
Profitability. The Board reviewed detailed information regarding revenues received by DWS under the Agreement. The Board considered the estimated costs and pre-tax profits realized by DWS from advising the DWS Funds, as well as estimates of the pre-tax profits attributable to managing the Fund in particular. The Board also received information regarding the estimated enterprise-wide profitability of DWS and its affiliates with respect to all fund services in totality and by fund. The Board and the independent fee consultant reviewed DWS's methodology in allocating its costs to the management of the Fund. Based on the information provided, the Board concluded that the pre-tax profits realized by DWS in connection with the management of the Fund were not unreasonable. The Board also reviewed information regarding the profitability of certain similar investment management firms. The Board noted that while information regarding the profitability of such firms is limited (and in some cases is not necessarily prepared on a comparable basis), DWS and its affiliates' overall profitability with respect to the DWS fund complex (after taking into account distribution and other services provided to the funds by DWS and its affiliates) was lower than the overall profitability levels of many comparable firms for which such data was available.
 
Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board noted that the Fund's management fee schedule includes fee breakpoints. The Board concluded that the Fund's fee schedule represents an appropriate sharing between the Fund and DWS of such economies of scale as may exist in the management of the Fund at current asset levels.
 
Other Benefits to DWS and Its Affiliates. The Board also considered the character and amount of other incidental benefits received by DWS and its affiliates, including any fees received by DWS for administrative services provided to the Fund and any fees received by an affiliate of DWS for distribution services. The Board also considered benefits to DWS related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DWS related to DWS Funds advertising and cross-selling opportunities among DWS products and services. The Board concluded that management fees were reasonable in light of these fallout benefits.
 
Compliance. The Board considered the significant attention and resources dedicated by DWS to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of both DWS's chief compliance officer and the Fund's chief compliance officer; (ii) the large number of DWS compliance personnel; and (iii) the substantial commitment of resources by DWS and its affiliates to compliance matters.
 
Based on all of the information considered and the conclusions reached, the Board unanimously determined that the continuation of the Agreement is in the best interests of the Fund. In making this determination, the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and their counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreement.
 
Summary of Management Fee Evaluation by Independent Fee Consultant
 
September 17, 2012
 
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2012, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007, 2008, 2009, 2010 and 2011.
 
Qualifications
 
For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
 
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
 
I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds and have served in various leadership and financial oversight capacities with non-profit organizations.
 
Evaluation of Fees for each DWS Fund
 
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 103 mutual fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
 
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper and Morningstar databases and drew on my industry knowledge and experience.
 
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
 
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
 
Fees and Expenses Compared with Other Funds
 
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
 
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
 
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
 
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
 
DeAM's Fees for Similar Services to Others
 
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
 
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
 
Costs and Profit Margins
 
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
 
Economies of Scale
 
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
 
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
 
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
 
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
 
Quality of Service — Performance
 
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
 
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
 
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
 
Complex-Level Considerations
 
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
 
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
 
I considered whether DeAM and affiliates receive any significant ancillary or "fallout" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
 
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
 
I considered how aggregated DWS Fund performance measures relative to appropriate peers had varied by asset class and over time.
 
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
 
Findings
 
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
 
 
Thomas H. Mack
 
President, Thomas H. Mack & Co., Inc.
 
Account Management Resources
 
For More Information
 
The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Classes A, B, C and S also have the ability to purchase, exchange or redeem shares using this system.
For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Investments representative by calling:
(800) 728-3337
Web Site
 
www.dws-investments.com
View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more.
Written Correspondence
 
DWS Investments
PO Box 219151
Kansas City, MO 64121-9151
Proxy Voting
 
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 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at ((800) 728-3337.
Portfolio Holdings
 
Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This 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. The fund's portfolio holdings are also posted on www.dws-investments.com from time to time. Please see the fund's current prospectus for more information.
Principal Underwriter
 
If you have questions, comments or complaints, contact:
DWS Investments Distributors, Inc.
222 South Riverside Plaza
Chicago, IL 60606-5808
(800) 621-1148
Investment Management
 
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance.
DWS Investments is the retail brand name in the U.S. for the asset management activities of Deutsche Bank AG and DIMA. As such, DWS is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
 

   
Class A
Class B
Class C
Class S
Institutional Class
Nasdaq Symbol
 
SMLAX
SMLBX
SMLCX
SCMBX
SMLIX
CUSIP Number
 
23337W-709
23337W-808
23337W-881
23337W-865
23337W-857
Fund Number
 
466
666
766
2066
544
 
Privacy Statement
FACTS
 
What Does DWS Investments Do With Your Personal Information?
Why?
 
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do.
What?
 
The types of personal information we collect and share can include:
• Social Security number
• Account balances
• Purchase and transaction history
• Bank account information
• Contact information such as mailing address, e-mail address and telephone number
How?
 
All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing.
 

Reasons we can share your personal information
Does DWS Investments share?
Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations
Yes
No
For our marketing purposes — to offer our products and services to you
Yes
No
For joint marketing with other financial companies
No
We do not share
For our affiliates' everyday business purposes — information about your transactions and experiences
No
We do not share
For our affiliates' everyday business purposes — information about your creditworthiness
No
We do not share
For non-affiliates to market to you
No
We do not share
 

Questions?
Call (800) 728-3337 or e-mail us at dws-investments.info@dws.com
 

Who we are
Who is providing this notice?
 
DWS Investments Distributors, Inc.; Deutsche Investment Management Americas Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds
What we do
How does DWS Investments protect my personal information?
 
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How does DWS Investments collect my personal information?
 
We collect your personal information, for example. When you:
• open an account
• give us your contact information
• provide bank account information for ACH or wire transactions
• tell us where to send money
• seek advice about your investments
Why can't I limit all sharing?
 
Federal law gives you the right to limit only
• sharing for affiliates' everyday business purposes — information about your creditworthiness
• affiliates from using your information to market to you
• sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates
 
Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown.
Non-affiliates
 
Companies not related by common ownership or control. They can be financial and non-financial companies.
Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud.
Joint marketing
 
A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market.
 

 
Rev. 09/2012
 
Notes
 
Notes
 
Notes
 
Notes
 
 
   
ITEM 2.
CODE OF ETHICS
   
 
Not applicable.
   
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT
   
 
Not applicable
   
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES
   
 
Not applicable
   
ITEM 5.
AUDIT COMMITTEE OF LISTED REGISTRANTS
   
 
Not applicable
   
ITEM 6.
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
   
 
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Kenneth C. Froewiss, Independent Chairman, DWS Mutual Funds, P.O. Box 78, Short Hills, NJ 07078.
   
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 second fiscal quarter of the period covered by this 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)
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-CSRS Item F

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:
DWS Managed Municipal Bond Fund, a series of DWS Municipal Trust
   
   
By:
/s/ W. Douglas Beck
W. Douglas Beck
President
   
Date:
January 30, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:
/s/ W. Douglas Beck
W. Douglas Beck
President
   
Date:
January 30, 2013
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
January 30, 2013

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