0000088053-12-000843.txt : 20120802 0000088053-12-000843.hdr.sgml : 20120802 20120802151118 ACCESSION NUMBER: 0000088053-12-000843 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 15 CONFORMED PERIOD OF REPORT: 20120531 FILED AS OF DATE: 20120802 DATE AS OF CHANGE: 20120802 EFFECTIVENESS DATE: 20120802 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DWS MUNICIPAL TRUST CENTRAL INDEX KEY: 0000203142 IRS NUMBER: 046396607 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-02671 FILM NUMBER: 121003177 BUSINESS ADDRESS: STREET 1: 345 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10154-0004 BUSINESS PHONE: 212-454-6778 MAIL ADDRESS: STREET 1: 345 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10154-0004 FORMER COMPANY: FORMER CONFORMED NAME: SCUDDER MUNICIPAL TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SCUDDER MANAGED MUNICIPAL BONDS DATE OF NAME CHANGE: 19880302 0000203142 S000006094 DWS Strategic High Yield Tax-Free Fund C000016734 Class A NOTAX C000016736 Class B NOTBX C000016737 Class C NOTCX C000016738 Class S SHYTX C000016739 Institutional Class NOTIX N-CSR 1 ar53112shyt.htm DWS STRATEGIC HIGH YIELD TAX-FREE FUND ar53112shyt.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549

FORM N-CSR

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:
5/31/2012

ITEM 1.
REPORT TO STOCKHOLDERS
 
MAY 31, 2012
Annual Report
to Shareholders
 
DWS Strategic High Yield Tax-Free Fund
 
Contents
4 Portfolio Management Review
9 Performance Summary
12 Investment Portfolio
38 Statement of Assets and Liabilities
40 Statement of Operations
41 Statement of Cash Flows
42 Statement of Changes in Net Assets
43 Financial Highlights
48 Notes to Financial Statements
59 Report of Independent Registered Public Accounting Firm
60 Information About Your Fund's Expenses
61 Tax Information
62 Summary of Management Fee Evaluation by Independent Fee Consultant
66 Board Members and Officers
71 Account Management Resources
 
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 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 Deutsche Bank's Asset Management division and, within the U.S., represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
 
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
 
Portfolio Management Review (Unaudited)
 
Overview of Market and Fund Performance
 
All performance information below is historical and does not guarantee future results. Returns shown are for Class A shares, unadjusted for sales charges. 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 most recent month-end performance of all share classes. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had. Please refer to pages 9 through 11 for more complete performance information.
 
The municipal market overall provided exceptionally strong returns over the fund's most recent fiscal period ended May 31, 2012. DWS Strategic High Yield Tax-Free Fund posted a return of 13.88% for the period. The overall municipal bond market, as measured by the unmanaged Barclays Municipal Bond Index, delivered a total return of 10.40% for the same period.
 
"The municipal market overall provided exceptionally strong returns over the fund's most recent fiscal period."
 
Throughout the period, the U.S. Federal Reserve Board (the Fed) kept short-term rates anchored near zero, in keeping with its announced intentions through at least late 2014. By contrast, longer-term U.S. Treasury rates were quite volatile as they responded to headlines surrounding the sovereign debt crisis in Europe and investors eagerly followed the stream of U.S. economic data. However, the overall trend with U.S. Treasury rates was downward, and taxable rates reached all-time lows late in the period as concerns over the viability of the euro heightened. Municipals overall benefited from the declining rate environment, as well as from relatively low new issue supply. Mutual fund flows were consistently positive beginning in late 2011, and retail buyers were supportive of municipals as well for most of the period. Along the municipal yield curve, the two-year bond yield decreased 11 basis points from 0.44% to 0.33%, while the 30-year yield fell 122 basis points from 4.30% to 3.08%, resulting in a total flattening of 111 basis points. (See the Municipal Bond Yield Curve graph on the following page for municipal bond yield changes from the beginning to the end of the period.) Credit spreads — the yield differential provided by lower-quality issues vs. AAA-rated issues — generally narrowed for the 12 months as investors sought incremental yield and fears of a municipal credit crisis continued to dissipate.
 
About Municipal Bonds
A municipal bond is a bond issued by a state or local government, or one of its agencies. Issuers may include cities, counties, public utility districts and school districts, as well as publicly owned airports or seaports, redevelopment agencies and special purpose districts.
For most municipal bonds, interest income received by holders is exempt from the federal income tax and from the income tax of the state in which it is issued. For general obligation bonds, payments of principal and interest are secured by the full faith and credit of the issuer and usually supported by the issuer's taxing power. For revenue bonds, principal and interest are secured by revenues from tolls, rents or other fees gained from the facility that was built with the bond issue proceeds. Projects financed by revenue bonds may include toll roads, bridges, airports, water and sewage treatment facilities, hospitals, and subsidized housing. Many of these bonds are issued by special authorities created for that particular purpose.
The historical default rate for municipal bonds is significantly lower than that of corporate bonds. As with corporate bonds, municipal bonds are graded by ratings agencies such as Standard & Poor's and Moody's Investors Service, on a scale from "AAA", or the highest quality, down to more speculative levels.
 

Municipal Bond Yield Curve (as of 5/31/11 and 5/31/12)
 
Source: Municipal Market Data, AAA-rated universe
 
This chart is for illustrative purposes only and is not intended to represent the yield of any DWS fund. Performance is historical and does not guarantee future results.
 
Positive and Negative Contributors to Fund Performance
 
With a relatively steep yield curve as the period began, we had a tilt in the portfolio towards longer-term issues in the 20-to-30-year maturity range. This exposure added to relative performance, as longer-term issues benefited the most from the declining interest rate environment over the period.
 
The fund has had significant exposure to municipal issues rated below- investment-grade, which boosted relative performance as credit spreads narrowed over the period. In addition, within the investment grade portion of the fund, we have maintained significant exposure to issues in the BBB or A ranges. This helped performance relative to the benchmark as credit spreads narrowed and prices rose for many of these issues. With respect to specific sectors, the fund's substantial exposure to health-care-related issues was a leading contributor to performance.
 
 
During the period, we hedged a portion of the fund's assets against interest rate changes using LIBOR (London Interbank Offered Rate, a benchmark for taxable interest rates) swaps. With a LIBOR swap, we in effect take a short position against the taxable market in order to manage the fund's overall duration and interest rate sensitivity. This hurt fund returns as the taxable market, as reflected by LIBOR, outperformed municipals across most maturities during the period, meaning that the value of the short position declined.
 
Outlook and Positioning
 
Municipal bond yields are at attractive levels on a historical basis vs. U.S. Treasury bonds. To illustrate, at the end of May 2012, the 10-year municipal bond yield of 1.79% was 113% of the comparable-maturity U.S. Treasury bond yield before taking into account the tax advantage of municipals. The 30-year municipal yield of 3.08% was 116% of the comparable U.S. Treasury yield. While the municipal yield curve has flattened in recent quarters, longer-term issues continue to carry a substantial yield advantage and we are continuing to focus purchases on bonds with maturities in the 20-to-25-year range.
 
 
While the economic climate remains uncertain, many state and local governments have shown progress in enacting necessary spending cuts and tax increases. Nonetheless, the expertise we bring to researching municipal sectors and individual issues continues to be of critical importance. We monitor the fund's holdings and will not hesitate to take appropriate action if there are signs of credit deterioration. We will continue to take a prudent approach to investing in the municipal market that emphasizes careful security selection and broad diversification, while seeking to maintain an attractive dividend and minimize capital gain distributions.
 
Portfolio Management Team
 
Philip G. Condon, Managing Director
 
Lead Portfolio Manager of the fund. Joined the fund in 1987.
 
Head of US Retail Fixed Income Funds.
 
Joined Deutsche Asset Management in 1983.
 
Over 34 years of investment industry experience.
 
BA and MBA, University of Massachusetts at Amherst.
 
Rebecca L. Flinn, Director
 
Portfolio Manager of the fund. Joined the fund in 1998.
 
Joined Deutsche Asset Management in 1986.
 
Over 24 years of investment industry experience.
 
BA, University of Redlands, California.
 
A. Gene Caponi, CFA, Managing Director
 
Portfolio Manager of the fund. Joined the fund in 2009.
 
Joined Deutsche Asset Management in 1998.
 
Prior experience as an investment analyst and banker at T. Rowe Price Associates, Lehman Brothers, The Sanwa Bank and Ayco/American Express.
 
• Over 20 years of investment industry experience.
 
BS, State University of New York, Oswego; MBA, State University of New York at Albany.
 
The views expressed reflect those of the portfolio management team only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results. Current and future portfolio holdings are subject to risk.
 
Terms to Know
 
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. Index returns do not reflect fees or expenses and it is not possible to invest directly into an index.
 
Sovereign debt is debt that is issued by a national government.
 
The yield curve is a graph with a left-to-right line that shows how high or low yields are, from the shortest to the longest maturities. Typically (and when the yield curve is characterized as "steep," this is especially true), the line rises from left to right as investors who are willing to tie up their money for a longer period are rewarded with higher yields.
 
One basis point equals 1/100 of a percentage point.
 
Short position is the sale of a borrowed security with the expectation that it will fall in value, while a long position is the purchase of a security with the expectation that it will increase in value.
 
Performance Summary May 31, 2012 (Unaudited)
Average Annual Total Returns as of 5/31/12
 
Unadjusted for Sales Charge
 
1-Year
   
3-Year
   
5-Year
   
10-Year
       
Class A
    13.88 %     9.89 %     5.22 %     5.41 %      
Class B
    13.02 %     9.07 %     4.41 %     4.60 %      
Class C
    13.03 %     9.07 %     4.44 %     4.62 %      
Barclays Municipal Bond Index+
    10.40 %     7.32 %     5.87 %     5.40 %      
Adjusted for the Maximum Sales Charge
                                     
Class A (max 2.75% load)
    10.74 %     8.87 %     4.63 %     5.12 %      
Class B (max 4.00% CDSC)
    10.02 %     8.51 %     4.24 %     4.60 %      
Class C (max 1.00% CDSC)
    13.03 %     9.07 %     4.44 %     4.62 %      
Barclays Municipal Bond Index+
    10.40 %     7.32 %     5.87 %     5.40 %      
No Sales Charges
                                 
Life of Institutional Class*
 
Class S
    14.15 %     10.15 %     5.46 %     5.60 %     N/A  
Institutional Class
    14.17 %     10.21 %     5.50 %     N/A       5.51 %
Barclays Municipal Bond Index+
    10.40 %     7.32 %     5.87 %     5.40 %     5.16 %
 
* Institutional Class shares commenced operations on August 19, 2002. The performance shown for the index is for the time period of August 31, 2002 through May 31, 2012, which is based on the performance period of the life of Institutional Class.
 
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, 2011 are 1.08%, 1.87%, 1.82%, 0.94% and 0.82% 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 May 31
 
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:
5/31/12
  $ 12.78     $ 12.78     $ 12.79     $ 12.79     $ 12.79  
5/31/11
  $ 11.78     $ 11.78     $ 11.79     $ 11.79     $ 11.79  
Distribution Information:
Twelve Months as of 5/31/12:
Income Dividends
  $ .59     $ .50     $ .50     $ .62     $ .63  
Capital Gain Distributions
  $ .002     $ .002     $ .002     $ .002     $ .002  
May Income Dividend
  $ .0462     $ .0380     $ .0382     $ .0489     $ .0489  
SEC 30-day Yield++ as of 5/31/12
    3.05 %     2.39 %     2.39 %     3.38 %     3.38 %
Tax Equivalent Yield++ as of 5/31/12
    4.69 %     3.68 %     3.68 %     5.20 %     5.20 %
Current Annualized Distribution Rate++ as of 5/31/12
    4.34 %     3.57 %     3.58 %     4.59 %     4.59 %
 
++ The SEC yield is net investment income per share earned over the month ended May 31, 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. The SEC yield would have been 3.00%, 2.33%, 2.34%, 3.19% and 3.31% for Classes A, B, C, S and Institutional shares, respectively, had certain expenses not been reduced. Tax equivalent yield is based on the Fund's yield and a marginal federal income rate of 35%. Current annualized distribution rate is the latest monthly dividend shown as an annualized percentage of net asset value on May 31, 2012. Distribution rate simply measures the level of dividends and is not a complete measure of performance. The current annualized distribution rate would have been 4.29%, 3.51%, 3.53%, 4.40% and 4.52% for Classes A, B, C, S and Institutional shares, respectively, had certain expenses not been reduced. Yields and distribution rates are historical, not guaranteed and will fluctuate.
 
Morningstar Rankings — High-Yield Municipal Funds Category as of 5/31/12
Period
Rank
 
Number of Fund Classes Tracked
Percentile Ranking (%)
Class A
1-Year
117
of
163
71
3-Year
121
of
142
85
5-Year
9
of
125
7
10-Year
17
of
87
19
Class B
1-Year
141
of
163
86
3-Year
136
of
142
95
5-Year
34
of
125
27
10-Year
54
of
87
62
Class C
1-Year
140
of
163
85
3-Year
135
of
142
95
5-Year
32
of
125
25
10-Year
50
of
87
57
Class S
1-Year
109
of
163
67
3-Year
111
of
142
78
5-Year
5
of
125
4
10-Year
11
of
87
12
Institutional Class
1-Year
108
of
163
66
3-Year
109
of
142
76
5-Year
4
of
125
3
 
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.
 
Investment Portfolio as of May 31, 2012
   
Principal Amount ($)
   
Value ($)
 
       
Municipal Bonds and Notes 93.0%
 
Alabama 0.1%
 
Montgomery, AL, Medical Clinic Board, Health Care Facility Revenue, Jackson Hospital & Clinic, 5.25%, 3/1/2036
    2,000,000       2,023,900  
Arizona 1.2%
 
Arizona, Salt Verde Financial Corp., Gas Revenue, 5.25%, 12/1/2025
    4,000,000       4,328,240  
Maricopa County, AZ, Pollution Control Corp. Revenue, El Paso Electric Co. Project, Series B, 7.25%, 4/1/2040
    3,930,000       4,695,878  
Pima County, AZ, Industrial Development Revenue, Tucson Electric Power:
               
5.75%, 9/1/2029
    2,250,000       2,393,280  
Series A, 6.375%, 9/1/2029
    5,000,000       5,120,550  
Tempe, AZ, Industrial Development Authority Revenue, Tempe Life Care Village, Inc.:
               
Series A, 6.25%, 12/1/2042
    1,535,000       1,612,932  
Series A, 6.25%, 12/1/2046
    1,400,000       1,465,814  
Yavapai County, AZ, Industrial Development Authority, Solid Waste Disposal Revenue, Waste Management, Inc. Project, Series A-1, 144A, AMT, 4.9%, 3/1/2028
    5,000,000       5,242,650  
        24,859,344  
California 10.9%
 
California, Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area:
               
Series E-1, 0.13%***, 4/1/2045, LOC: Bank of Tokyo-Mitsubishi UFJ
    18,600,000       18,600,000  
Series F-1, 5.125%, 4/1/2039
    10,000,000       11,056,300  
Series F-1, 5.5%, 4/1/2043
    10,000,000       11,121,800  
California, M-S-R Energy Authority, Series B, 7.0%, 11/1/2034
    8,750,000       11,420,237  
California, Morongo Band of Mission Indians, Enterprise Casino Revenue, Series B, 144A, 6.5%, 3/1/2028
    5,000,000       5,077,500  
California, State General Obligation:
 
5.0%, 2/1/2032
    10,000,000       11,138,300  
5.0%, 8/1/2034
    5,185,000       5,540,069  
5.0%, 9/1/2041
    5,000,000       5,373,100  
5.5%, 3/1/2040
    5,130,000       5,800,440  
California, State General Obligation, Various Purposes:
 
5.0%, 11/1/2032
    10,000,000       10,932,600  
5.0%, 6/1/2037
    10,000,000       10,469,900  
5.0%, 11/1/2037
    9,145,000       9,744,180  
5.0%, 12/1/2037
    5,000,000       5,256,000  
5.0%, 4/1/2038
    2,650,000       2,788,622  
5.25%, 10/1/2032
    10,000,000       11,352,800  
5.25%, 4/1/2035
    6,135,000       6,893,715  
5.75%, 4/1/2031
    23,360,000       27,293,590  
California, State Health Facilities Financing Authority Revenue, Catholic Healthcare West, Series C, 0.12%***, 3/1/2047, LOC: Bank of Montreal
    1,000,000       1,000,000  
California, State Public Works Board, Lease Revenue, Capital Projects:
               
Series A-1, 6.0%, 3/1/2035
    10,175,000       11,884,196  
Series I-1, 6.375%, 11/1/2034
    5,000,000       5,996,750  
California, Statewide Communities Development Authority Revenue, Kaiser Permanente, Series A, 5.0%, 4/1/2042
    2,645,000       2,865,990  
Long Beach, CA, Bond Finance Authority, Natural Gas Purchase Revenue, Series A, 5.25%, 11/15/2023
    620,000       673,153  
Los Angeles, CA, Department of Water & Power Revenue, Power Systems, Series A-3, 0.13%***, 7/1/2035, SPA: Scotiabank
    2,150,000       2,150,000  
San Buenaventura, CA, Community Memorial Health Systems, 7.5%, 12/1/2041
    3,250,000       3,861,228  
San Diego, CA, Community College District, Election of 2006, 5.0%, 8/1/2036
    2,050,000       2,321,051  
San Francisco City & County, CA, Redevelopment Agency, Leland Polk Senior Community, Series A, AMT, 0.26%***, 12/1/2019, LOC: Citibank NA
    2,790,000       2,790,000  
San Francisco, CA, City & County Public Utilities Commission, Water Revenue, Series A, 5.125%, 11/1/2039
    10,400,000       11,704,888  
San Francisco, CA, City & County Redevelopment Financing Authority, Tax Allocation, Mission Bay South Redevelopment, Series D, 7.0%, 8/1/2041
    1,400,000       1,584,324  
Vernon, CA, Electric Systems Revenue, Series A, 5.5%, 8/1/2041
    2,240,000       2,355,606  
        219,046,339  
Colorado 1.8%
 
Colorado, E-470 Public Highway Authority Revenue:
 
Series C, 5.375%, 9/1/2026
    2,000,000       2,144,980  
Series A-1, 5.5%, 9/1/2024, INS: NATL
    3,500,000       3,793,160  
Colorado, Health Facilities Authority Revenue, Christian Living Communities Project, Series A, 5.75%, 1/1/2037
    1,000,000       1,018,860  
Colorado, Health Facilities Authority Revenue, Covenant Retirement Communities, Inc., 5.0%, 12/1/2035
    11,750,000       11,287,050  
Colorado, Health Facilities Authority Revenue, Valley View Hospital Association, 5.75%, 5/15/2036
    2,000,000       2,129,820  
Colorado, Housing & Finance Authority, Single Family Mortgage, "I", Series B3, 0.17%***, 11/1/2021, LOC: Fannie Mae, Freddie Mac
    1,075,000       1,075,000  
Colorado, Public Energy Authority, Natural Gas Purchased Revenue, 6.25%, 11/15/2028, GTY: Merrill Lynch & Co., Inc.
    6,365,000       7,651,812  
Colorado, Regional Transportation District, Private Activity Revenue, Denver Transit Partners, 6.0%, 1/15/2041
    2,000,000       2,240,360  
Colorado, State Health Facilities Authority Revenue, Christian Living Community, 6.375%, 1/1/2041
    1,615,000       1,736,771  
Montrose, CO, Memorial Hospital Revenue, 6.375%, 12/1/2023
    2,355,000       2,504,590  
        35,582,403  
Connecticut 1.6%
 
Connecticut, Harbor Point Infrastructure Improvement District, Special Obligation Revenue, Harbor Point Project, Series A, 7.875%, 4/1/2039
    20,000,000       22,634,400  
Connecticut, Mohegan Tribe Indians Gaming Authority, Priority Distribution, 144A, 5.25%, 1/1/2033
    3,000,000       2,434,590  
Hamden, CT, Facility Revenue, Whitney Center Project, Series A, 7.625%, 1/1/2030
    1,200,000       1,305,144  
Mashantucket, CT, Mashantucket Western Pequot Tribe, Special Revenue, Series A, 144A, 6.5%, 9/1/2031*
    7,295,000       2,907,860  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe:
               
Series B, 144A, Zero Coupon, 9/1/2010*
    2,000,000       649,180  
Series B, 144A, Zero Coupon, 9/1/2011*
    2,000,000       649,180  
Series B, 144A, Zero Coupon, 9/1/2012*
    2,000,000       649,180  
Series B, 144A, Zero Coupon, 9/1/2013*
    2,000,000       614,980  
Series B, 144A, Zero Coupon, 9/1/2014*
    2,000,000       581,180  
Mashantucket, CT, Sports, Expo & Entertainment Revenue, Mashantucket Western Pequot Tribe, Series B, 144A, 5.7%, 9/1/2012*
    1,000,000       386,800  
        32,812,494  
Florida 6.8%
 
Bayside, FL, Sales & Special Tax Revenue, Community Development District, Series A, 6.3%, 5/1/2018
    295,000       286,498  
Florida, Capital Region Community Development District, Capital Improvement Revenue, Series A, 7.0%, 5/1/2039
    6,175,000       5,745,776  
Florida, Harbourage at Braden River Community Development District, Capital Improvement Revenue, Series A, 6.125%, 5/1/2034
    1,380,000       1,385,713  
Florida, Middle Village Community Development District, Special Assessment, Series A, 6.0%, 5/1/2035
    8,500,000       7,844,735  
Florida, Special Assessment Revenue, East Park Community Development District, Series A, 7.5%, 5/1/2039*
    1,715,000       1,298,186  
Florida, Tolomato Community Development District, Special Assessment, 5.4%, 5/1/2037
    17,085,000       14,772,545  
Florida, Village Community Development District No. 9, Special Assessment Revenue:
               
5.5%, 5/1/2042
    1,575,000       1,641,544  
7.0%, 5/1/2041
    1,995,000       2,283,597  
Highlands County, FL, Health Facilities Authority Revenue, Adventist Health System:
               
Series G, 5.125%, 11/15/2020
    970,000       1,086,235  
Series G, Prerefunded, 5.125%, 11/15/2020
    30,000       35,832  
Series G, Prerefunded, 5.125%, 11/15/2021
    70,000       83,609  
Series G, 5.125%, 11/15/2022
    2,205,000       2,434,959  
Series G, Prerefunded, 5.125%, 11/15/2022
    75,000       89,581  
Series G, 5.125%, 11/15/2023
    2,245,000       2,463,461  
Series G, Prerefunded, 5.125%, 11/15/2023
    180,000       214,994  
Hillsborough County, FL, Industrial Development Authority Revenue, Health Facilities, University Community Hospital, Series A, Prerefunded, 5.625%, 8/15/2029
    6,625,000       8,465,425  
Lee County, FL, Airport Revenue, Series A, AMT, 5.375%, 10/1/2032
    1,750,000       1,897,893  
Martin County, FL, Health Facilities Authority, Martin Memorial Medical Center, 5.5%, 11/15/2042
    3,040,000       3,227,446  
Miami Beach, FL, Health Facilities Authority, Mount Sinai Medical Center:
               
144A, 6.75%, 11/15/2029
    7,005,000       7,574,717  
144A, Prerefunded, 6.75%, 11/15/2029
    1,095,000       1,258,900  
Miami-Dade County, FL, Aviation Revenue, Miami International Airport:
               
Series A, AMT, 5.25%, 10/1/2033, INS: AGC
    10,000,000       10,620,800  
Series A-1, 5.5%, 10/1/2041
    5,000,000       5,642,000  
Miami-Dade County, FL, Double Barreled Aviation, 5.0%, 7/1/2041
    5,000,000       5,529,500  
Miami-Dade County, FL, Water & Sewer Systems Revenue, 5.0%, 10/1/2034
    3,650,000       4,057,960  
Orange County, FL, Health Facilities Authority Revenue, Orlando Regional Healthcare, Series C, 5.25%, 10/1/2035
    5,000,000       5,365,150  
Orlando, FL, Greater Aviation Authority, Airport Facilities Revenue, Jet Blue Airways Corp., AMT, 6.5%, 11/15/2036
    1,000,000       1,014,300  
Palm Beach County, FL, Health Facilities Authority Revenue, Waterford Project, 5.375%, 11/15/2022
    2,600,000       2,699,996  
Palm Beach County, FL, Health Facilities Authority, Retirement Community Revenue, Acts Retirement-Life Communities, Inc., 5.5%, 11/15/2033
    9,000,000       9,662,940  
Port St. Lucie, FL, Special Assessment Revenue, Southwest Annexation District 1, Series B, 5.0%, 7/1/2027, INS: NATL
    2,500,000       2,590,600  
Seminole Tribe, FL, Special Obligation Revenue:
 
Series A, 144A, 5.5%, 10/1/2024
    8,000,000       8,365,440  
Series A, 144A, 5.75%, 10/1/2022
    9,500,000       10,138,020  
South Miami, FL, Health Facilities Authority Hospital Revenue, Baptist Health South Florida Group:
               
5.0%, 8/15/2024
    1,000,000       1,123,100  
5.0%, 8/15/2025
    5,000,000       5,597,050  
        136,498,502  
Georgia 4.0%
 
Americus-Sumter County, GA, Hospital & Healthcare Revenue, Hospital Authority, South Georgia Methodist, Series A, 6.375%, 5/15/2029
    3,000,000       3,000,720  
Atlanta, GA, Airport Revenue, Series C, AMT, 5.0%, 1/1/2037
    935,000       1,003,021  
Atlanta, GA, Tax Allocation, Beltline Project, Series B, 7.375%, 1/1/2031
    4,915,000       5,432,205  
Atlanta, GA, Tax Allocation, Princeton Lakes Project, 144A, 5.5%, 1/1/2031
    1,045,000       1,055,764  
Atlanta, GA, Water & Wastewater Revenue:
 
Series B, 5.375%, 11/1/2039, INS: AGMC
    10,000,000       11,288,300  
Series A, 6.25%, 11/1/2034
    10,000,000       12,013,800  
De Kalb County, GA, Hospital Authority Revenue, Anticipation Certificates, Dekalb Medical Center, Inc. Project, 6.125%, 9/1/2040
    7,500,000       8,312,475  
De Kalb County, GA, Water & Sewer Revenue:
 
Series A, 5.25%, 10/1/2032
    820,000       947,871  
Series A, 5.25%, 10/1/2033
    1,365,000       1,569,573  
Series A, 5.25%, 10/1/2036
    4,635,000       5,258,083  
Series A, 5.25%, 10/1/2041
    8,985,000       10,124,388  
Georgia, Glynn-Brunswick Memorial Hospital Authority Revenue, Anticipation Certificates-Southeast Health, Series A, 5.625%, 8/1/2034
    5,500,000       5,932,410  
Georgia, Main Street Natural Gas, Inc., Gas Project Revenue:
 
Series A, 5.0%, 3/15/2019 (a)
    10,000,000       11,363,700  
Series A, 5.5%, 9/15/2024
    2,440,000       2,701,226  
        80,003,536  
Guam 0.8%
 
Government of Guam, General Obligation, Series A, 7.0%, 11/15/2039
    10,155,000       11,325,567  
Government of Guam, Waterworks Authority, Water & Wastewater System Revenue, 5.5%, 7/1/2016
    1,300,000       1,338,688  
Guam, Power Authority Revenue, Series A, 5.5%, 10/1/2030
    3,000,000       3,138,420  
        15,802,675  
Hawaii 1.7%
 
Hawaii, State Airports Systems Revenue, Series A, 5.0%, 7/1/2034
    15,000,000       16,367,700  
Hawaii, State Department of Budget & Finance, Special Purpose Revenue, 15 Craigside Project, Series A, 9.0%, 11/15/2044
    2,000,000       2,389,540  
Hawaii, State Department of Budget & Finance, Special Purpose Revenue, Hawaiian Electric Co., Inc.:
               
Series B, AMT, 4.6%, 5/1/2026, INS: FGIC
    11,790,000       12,151,835  
6.5%, 7/1/2039, GTY: Hawaiian Electric Co., Inc.
    2,500,000       2,902,175  
        33,811,250  
Illinois 7.5%
 
Channahon, IL, Morris Hospital Revenue, Series D, 0.17%***, 12/1/2032, LOC: U.S. Bank NA
    2,850,000       2,850,000  
Chicago, IL, Board of Education, Series A, 5.5%, 12/1/2039
    10,000,000       11,452,300  
Chicago, IL, Board of Education, Dedicated Revenues, Series A-2, 0.16%***, 3/1/2026, LOC: Northern Trust Co.
    5,900,000       5,900,000  
Chicago, IL, General Obligation:
 
Series A, 5.0%, 1/1/2033
    10,000,000       11,036,300  
Series A, 5.25%, 1/1/2029, INS: AGMC
    175,000       183,410  
Series A, 5.25%, 1/1/2035
    4,050,000       4,478,125  
Chicago, IL, O'Hare International Airport Revenue, Third Lien:
 
Series A, 5.75%, 1/1/2039
    9,955,000       11,566,914  
Series B, 6.0%, 1/1/2041
    12,095,000       14,255,893  
Chicago, IL, Waterworks Revenue, 5.0%, 11/1/2042
    4,410,000       4,936,113  
Illinois, Finance Authority Revenue, Elmhurst Memorial Healthcare, Series A, 5.625%, 1/1/2037
    11,000,000       11,679,800  
Illinois, Finance Authority Revenue, Friendship Village of Schaumburg:
               
Series A, 5.625%, 2/15/2037
    5,000,000       4,787,450  
7.25%, 2/15/2045
    4,000,000       4,280,240  
Illinois, Finance Authority Revenue, Park Place of Elmhurst:
 
Series D-3, 6.25%, 8/15/2015
    1,505,000       1,504,880  
Series A, 8.125%, 5/15/2040
    8,000,000       8,261,280  
Illinois, Finance Authority Revenue, Roosevelt University Project, 6.5%, 4/1/2044
    5,000,000       5,487,450  
Illinois, Finance Authority Revenue, Rush University Medical Center, Series B, 5.75%, 11/1/2028, INS: NATL
    1,250,000       1,394,750  
Illinois, Finance Authority Revenue, Swedish Covenant Hospital, Series A, 6.0%, 8/15/2038
    7,830,000       8,691,926  
Illinois, Finance Authority Revenue, The Admiral at Lake Project:
               
Series D-3, 6.0%, 5/15/2017
    1,000,000       1,000,480  
Series A, 7.75%, 5/15/2030
    1,675,000       1,864,375  
Series A, 8.0%, 5/15/2040
    1,000,000       1,118,310  
Series A, 8.0%, 5/15/2046
    3,500,000       3,914,085  
Illinois, Finance Authority Revenue, Three Crowns Park Plaza:
 
Series A, 5.875%, 2/15/2026
    1,225,000       1,256,666  
Series A, 5.875%, 2/15/2038
    500,000       506,410  
Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, McCormick Place, Series B, 5.0%, 6/15/2050, INS: AGMC
    8,000,000       8,443,840  
Illinois, Municipal Electric Agency, Power Supply Revenue:
 
Series A, 5.25%, 2/1/2023, INS: FGIC, NATL
    3,500,000       3,987,235  
Series A, 5.25%, 2/1/2024, INS: FGIC, NATL
    2,500,000       2,829,100  
Illinois, Railsplitter Tobacco Settlement Authority, 6.0%, 6/1/2028
    6,405,000       7,362,612  
Illinois, State Finance Authority Revenue, Ascension Health Credit Group:
               
Series A, 5.0%, 11/15/2032
    2,435,000       2,725,788  
Series A, 5.0%, 11/15/2037
    1,715,000       1,876,450  
Illinois, State Finance Authority Revenue, Trinity Health Corp., Series L, 5.0%, 12/1/2030
    1,500,000       1,640,535  
        151,272,717  
Indiana 0.5%
 
Indiana, Health & Educational Facility Financing Authority, Hospital Revenue, Community Foundation Northwest, 5.5%, 3/1/2037
    1,750,000       1,813,735  
Indiana, Hospital & Healthcare Revenue, Health Facilities Finance Authority, Greenwood Village South Project, 5.625%, 5/15/2028
    1,000,000       907,400  
North Manchester, IN, Peabody Retirement Community Project Revenue, Series A, 2.755%, 7/1/2033 (b)
    3,000,000       1,019,550  
Vigo County, IN, Hospital Authority Revenue, Union Hospital, Inc.:
               
144A, 5.5%, 9/1/2027
    1,000,000       1,022,750  
8.0%, 9/1/2041
    4,000,000       4,716,920  
        9,480,355  
Iowa 0.6%
 
Altoona, IA, Urban Renewal Tax Increment Revenue, Annual Appropriation:
               
6.0%, 6/1/2034
    1,000,000       1,074,310  
6.0%, 6/1/2039
    2,000,000       2,138,440  
Cedar Rapids, IA, First Mortgage Revenue, Cottage Grove Place, Series A, 5.875%, 7/1/2028
    5,335,000       3,949,874  
Iowa, Finance Authority Retirement Community Revenue, Edgewater LLC Project, 6.5%, 11/15/2027
    5,000,000       4,904,450  
        12,067,074  
Kansas 0.6%
 
Lenexa, KS, Health Care Facility Revenue, 5.5%, 5/15/2039
    6,340,000       6,252,128  
Lenexa, KS, Health Care Facility Revenue, Lakeview Village, Inc. Project, 7.25%, 5/15/2039
    1,200,000       1,313,460  
Wichita, KS, Hospital Revenue, Facilities Improvement, Series III-A, 5.0%, 11/15/2034
    3,410,000       3,647,166  
Wyandotte County, KS, Unified Government Special Obligation Revenue, Sales Tax, Series B, 5.0%, 12/1/2020
    1,345,000       1,426,399  
        12,639,153  
Kentucky 1.1%
 
Kentucky, Economic Development Finance Authority, Hospital Facilities Revenue, Owensboro Medical Health Systems, Series A, 6.5%, 3/1/2045
    15,000,000       17,439,900  
Kentucky, Economic Development Finance Authority, Louisville Arena Project Revenue, Series A-1, 6.0%, 12/1/2033, INS: AGC
    3,635,000       4,012,277  
Louisville & Jefferson County, KY, Metropolitan Government Health Systems Revenue, Norton Healthcare, Inc., 5.0%, 10/1/2030
    1,000,000       1,031,940  
        22,484,117  
Louisiana 2.2%
 
DeSoto Parish, LA, Environmental Improvement Revenue, International Paper Co. Project:
               
Series A, AMT, 5.0%, 11/1/2018
    1,260,000       1,346,285  
Series A, AMT, 5.75%, 9/1/2031
    5,000,000       5,269,850  
Louisiana, Local Government Environmental Facilities & Community Development, Westlake Chemical Corp., Series A, 6.5%, 8/1/2029
    6,055,000       7,002,183  
Louisiana, Local Government Environmental Facilities, Community Development Authority Revenue, 6.75%, 11/1/2032
    6,000,000       6,679,140  
Louisiana, Public Facilities Authority Revenue, Ochsner Clinic Foundation Project, 6.75%, 5/15/2041
    2,500,000       2,929,900  
Louisiana, Public Facilities Authority, Hospital Revenue, Lafayette General Medical Center, 5.5%, 11/1/2040
    5,000,000       5,404,050  
Louisiana, St. John Baptist Parish Revenue, Marathon Oil Corp., Series A, 5.125%, 6/1/2037
    15,000,000       15,646,050  
        44,277,458  
Maine 0.5%
 
Maine, Health & Higher Educational Facilities Authority Revenue, Maine General Medical Center, 6.75%, 7/1/2036
    9,000,000       10,336,500  
Maryland 1.9%
 
Anne Arundel County, MD, Special Obligation, National Business Park North Project, 6.1%, 7/1/2040
    2,200,000       2,313,652  
Maryland, State Economic Development Corp. Revenue, Senior Lien Project, Chesapeake Bay:
               
Series A, 5.0%, 12/1/2031
    7,000,000       4,688,670  
Series B, 5.25%, 12/1/2031
    3,400,000       2,375,512  
Maryland, State Health & Higher Educational Facilities Authority Revenue, Adventist Healthcare, Series A, 6.125%, 1/1/2036
    3,250,000       3,670,810  
Maryland, State Health & Higher Educational Facilities Authority Revenue, Doctors Community Hospital, Inc., 5.75%, 7/1/2038
    6,250,000       6,658,750  
Maryland, State Health & Higher Educational Facilities Authority Revenue, Mercy Medical Center:
               
Series A, 5.0%, 7/1/2037
    5,005,000       5,100,295  
6.25%, 7/1/2031
    2,500,000       2,936,250  
Maryland, State Health & Higher Educational Facilities Authority Revenue, Washington County Hospital:
               
5.75%, 1/1/2033
    2,660,000       2,827,155  
6.0%, 1/1/2028
    6,100,000       6,633,262  
        37,204,356  
Massachusetts 3.6%
 
Boston, MA, Industrial Development Financing Authority Revenue, Crosstown Center Project:
               
AMT, 6.5%, 9/1/2035
    8,805,000       6,748,152  
AMT, 8.0%, 9/1/2035*
    960,000       327,264  
Massachusetts, Development Finance Agency, Senior Living Facility Revenue, Groves-Lincoln:
               
Series A, 7.75%, 6/1/2039
    1,250,000       941,875  
Series A, 7.875%, 6/1/2044
    1,250,000       941,950  
Massachusetts, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Civic Investments, Series A, Prerefunded, 9.0%, 12/15/2015, GTY: Harvard Pilgrim Health Care
    2,400,000       2,545,032  
Massachusetts, Industrial Development Revenue, Development Finance Agency, Series A, 7.1%, 7/1/2032
    3,525,000       3,293,231  
Massachusetts, Project Revenue, Health & Educational Facilities Authority, Jordan Hospital, Series E, 6.75%, 10/1/2033
    7,450,000       7,607,791  
Massachusetts, State Development Finance Agency Revenue, Linden Ponds, Inc. Facility:
               
Series B, 11/15/2056*
    430,598       2,222  
Series A-2, 5.5%, 11/15/2046
    86,572       53,617  
Series A-1, 6.25%, 11/15/2039
    1,621,881       1,202,527  
Massachusetts, State Development Finance Agency Revenue, Masonic Nursing Home, Series B, 0.12%***, 7/1/2032, LOC: TD Bank NA
    2,500,000       2,500,000  
Massachusetts, State Development Finance Agency Revenue, Partners Healthcare System, Inc., Series L, 5.0%, 7/1/2036
    6,070,000       6,720,765  
Massachusetts, State Development Finance Agency Revenue, Tufts Medical Center, Inc., Series I, 7.25%, 1/1/2032
    2,250,000       2,728,417  
Massachusetts, State Health & Educational Facilities Authority Revenue, Caregroup Healthcare System:
               
Series E-1, 5.0%, 7/1/2028
    1,500,000       1,593,135  
Series E-1, 5.125%, 7/1/2038
    1,500,000       1,562,715  
Massachusetts, State Health & Educational Facilities Authority Revenue, Jordan Hospital, Series B, 6.875%, 10/1/2015
    3,195,000       3,203,563  
Massachusetts, State Health & Educational Facilities Authority Revenue, Milford Regional Medical Center:
               
Series E, 5.0%, 7/15/2022
    2,250,000       2,328,503  
Series E, 5.0%, 7/15/2032
    3,250,000       3,235,537  
Series E, 5.0%, 7/15/2037
    2,750,000       2,660,103  
Massachusetts, State Health & Educational Facilities Authority Revenue, South Shore Hospital:
               
Series F, 5.625%, 7/1/2019
    370,000       370,773  
Series F, 5.75%, 7/1/2029
    1,480,000       1,481,761  
Massachusetts, State Health & Educational Facilities Authority Revenue, Suffolk University, Series A, 5.75%, 7/1/2039
    7,145,000       7,846,996  
Massachusetts, State Industrial Finance Agency, JHC Assisted Living Corp., Series A, 144A, 0.19%***, 12/1/2029, LOC: TD Bank NA
    2,500,000       2,500,000  
Massachusetts, State Port Authority Special Facilities Revenue, Delta Air Lines, Inc. Project:
               
Series A, AMT, 5.5%, 1/1/2016, INS: AMBAC
    5,000,000       4,999,950  
Series A, AMT, 5.5%, 1/1/2018, INS: AMBAC
    4,000,000       3,956,360  
        71,352,239  
Michigan 3.0%
 
Dearborn, MI, Economic Development Corp. Revenue, Limited Obligation, Henry Ford Village:
               
7.0%, 11/15/2038
    4,500,000       4,602,645  
7.125%, 11/15/2043
    1,500,000       1,540,230  
Detroit, MI, Sales & Special Tax Revenue, Downtown Development Authority, Zero Coupon, 7/1/2012
    3,150,000       3,140,519  
Detroit, MI, Sewer Disposal Revenue, Series D, 0.914%**, 7/1/2032, INS: AGMC
    1,590,000       1,152,496  
Detroit, MI, Water Supply Systems Revenue, Series A, 5.75%, 7/1/2037
    7,590,000       8,252,303  
Kalamazoo, MI, Economic Development Corp. Revenue, Limited Obligation, Heritage Community:
               
5.375%, 5/15/2027
    1,000,000       945,910  
5.5%, 5/15/2036
    1,000,000       907,440  
Michigan, State Finance Authority Revenue, Trinity Health Corp., 5.0%, 12/1/2031
    10,910,000       12,265,240  
Michigan, State Grant Anticipation Bonds, 5.25%, 9/15/2023, INS: AGMC
    7,500,000       8,487,375  
Michigan, State Hospital Finance Authority Revenue, Henry Ford Health Hospital, 5.75%, 11/15/2039
    6,315,000       6,997,651  
Michigan, State Hospital Finance Authority, Trinity Health Credit Group, Series C, 5.0%, 12/1/2034
    4,950,000       5,534,298  
Oakland County, MI, Economic Development Corp., Limited Obligation Revenue, Motion Picture Studios, Recovery Zone Project, Series A, 144A, 7.0%, 8/1/2040
    6,000,000       6,145,080  
        59,971,187  
Minnesota 0.2%
 
Minnesota, Tobacco Securitization Authority, Tobacco Settlement Revenue, Series B, 5.25%, 3/1/2031
    4,000,000       4,463,480  
Mississippi 1.0%
 
Lowndes County, MS, Solid Waste Disposal & Pollution Control Revenue, Weyerhaeuser Co. Project, Series A, 6.8%, 4/1/2022
    5,500,000       6,281,385  
Warren County, MS, Gulf Opportunity Zone, International Paper Co.:
               
Series A, 5.375%, 12/1/2035
    1,000,000       1,073,430  
Series A, 5.5%, 9/1/2031
    4,250,000       4,449,495  
Series A, 5.8%, 5/1/2034, GTY: International Paper Co.
    4,000,000       4,334,640  
Series A, 6.5%, 9/1/2032
    2,620,000       2,942,679  
        19,081,629  
Missouri 0.7%
 
Cass County, MO, Hospital Revenue, 5.5%, 5/1/2027
    2,000,000       2,047,040  
Kansas City, MO, Industrial Development Authority, Health Facilities Revenue, First Mortgage, Bishop Spencer, Series A, 6.5%, 1/1/2035
    1,000,000       1,015,550  
Kirkwood, MO, Industrial Development Authority, Retirement Community Revenue, Aberdeen Heights:
               
Series A, 8.25%, 5/15/2039
    1,000,000       1,172,420  
Series A, 8.25%, 5/15/2045
    2,850,000       3,335,412  
Missouri, State Health & Educational Facilities Authority, Lutheran Senior Services, 6.0%, 2/1/2041
    2,250,000       2,480,512  
St. Louis, MO, Lambert-St. Louis International Airport Revenue, Series A-1, 6.625%, 7/1/2034
    4,085,000       4,780,390  
        14,831,324  
Nebraska 0.4%
 
Douglas County, NE, Hospital Authority No. 002 Revenue, Health Facilities, Immanuel Obligation Group, 5.625%, 1/1/2040
    1,500,000       1,647,240  
Lancaster County, NE, Hospital Authority No.1, Health Facilities Revenue, Immanuel Obligation Group, 5.625%, 1/1/2040
    2,500,000       2,745,400  
Nebraska, Central Plains Energy Project Revenue, Project No. 1, Series A, 5.25%, 12/1/2021
    3,000,000       3,258,240  
        7,650,880  
Nevada 0.6%
 
Clark County, NV, School District, Series A, 5.0%, 6/15/2022, INS: FGIC, NATL
    4,830,000       5,701,139  
Nevada, Director State Department of Business & Industry, Las Vegas Monorail Project, Second Tier, 7.375%, 1/1/2030*
    6,000,000       60  
Reno, NV, Hospital Revenue, Renown Regional Medical Center Project, Series A, 5.0%, 6/1/2027
    5,000,000       5,169,850  
Sparks, NV, Local Improvement Districts, Limited Obligation District No. 3, 6.75%, 9/1/2027
    2,000,000       2,053,940  
        12,924,989  
New Hampshire 1.3%
 
New Hampshire, Health & Education Facilities Authority Revenue, Havenwood-Heritage Heights:
               
Series A, 5.35%, 1/1/2026
    1,035,000       1,039,627  
Series A, 5.4%, 1/1/2030
    550,000       543,213  
New Hampshire, Health & Education Facilities Authority Revenue, Wentworth-Douglas Hospital, Series A, 7.0%, 1/1/2038
    5,325,000       6,349,743  
New Hampshire, Senior Care Revenue, Health & Educational Facilities Authority, New Hampshire Catholic Charities, 5.8%, 8/1/2022
    2,760,000       2,763,119  
New Hampshire, Senior Care Revenue, Health & Educational Facilities Authority, Rivermead at Peterborough:
               
5.5%, 7/1/2013
    615,000       615,959  
5.625%, 7/1/2018
    1,615,000       1,616,437  
New Hampshire, State Business Finance Authority Revenue, Elliot Hospital Obligation Group, Series A, 6.125%, 10/1/2039
    5,000,000       5,323,400  
New Hampshire, State Business Finance Authority, Solid Waste Disposal Revenue, Waste Management, Inc. Project, AMT, 5.2%, 5/1/2027
    4,000,000       4,315,240  
New Hampshire, State Health & Education Facilities Authority Revenue, Rivermead Retirement Community:
               
Series A, 6.625%, 7/1/2031
    700,000       760,361  
Series A, 6.875%, 7/1/2041
    2,825,000       3,093,290  
        26,420,389  
New Jersey 4.4%
 
Middlesex County, NJ, Pollution Control Authority Revenue, Pollution Control Amerada, 6.05%, 9/15/2034
    1,000,000       1,037,020  
New Jersey, Economic Development Authority Revenue, Cigarette Tax, Prerefunded, 5.75%, 6/15/2034
    1,165,000       1,290,902  
New Jersey, Economic Development Authority Revenue, Motor Vehicle Surplus Revenue, Series A, 5.0%, 7/1/2023, INS: NATL
    1,770,000       1,900,166  
New Jersey, Economic Development Authority Revenue, United Methodist Homes, Series A-2, 6.625%, 7/1/2033
    2,500,000       2,583,025  
New Jersey, Health Care Facilities Financing Authority Revenue, St. Joseph's Health Care System, 6.625%, 7/1/2038
    5,785,000       6,721,187  
New Jersey, Industrial Development Revenue, Economic Development Authority, Harrogate, Inc., Series A, 5.875%, 12/1/2026
    1,425,000       1,425,143  
New Jersey, State Economic Development Authority Revenue, 5.0%, 6/15/2028
    450,000       491,373  
New Jersey, State Health Care Facilities Financing Authority Revenue, Saint Barnabas Health, Series A, 5.625%, 7/1/2032
    3,500,000       3,794,875  
New Jersey, State Transportation Trust Fund Authority, Transportation Systems:
               
Series B, 5.25%, 6/15/2036
    18,665,000       21,262,421  
Series B, 5.5%, 6/15/2031
    9,100,000       10,649,639  
Series A, 5.5%, 6/15/2041
    7,000,000       8,126,720  
New Jersey, State Turnpike Authority Revenue, Series A, 5.0%, 1/1/2035 (d)
    2,625,000       2,935,222  
New Jersey, Tobacco Settlement Financing Corp.:
 
Series 1A, 4.75%, 6/1/2034
    16,240,000       12,606,787  
Series 1-A, 5.0%, 6/1/2029
    15,965,000       14,435,872  
        89,260,352  
New Mexico 0.4%
 
Farmington, NM, Pollution Control Revenue, Public Service Co. of New Mexico, Series C, 5.9%, 6/1/2040
    7,500,000       8,180,475  
New York 4.0%
 
Albany, NY, Industrial Development Agency, Civic Facility Revenue, St. Peter's Hospital Project:
               
Series A, 5.25%, 11/15/2027
    3,000,000       3,245,610  
Series A, 5.75%, 11/15/2022
    1,500,000       1,714,995  
Hudson, NY, Yards Infrastructure Corp. Revenue:
 
Series A, 5.25%, 2/15/2047
    5,000,000       5,526,950  
Series A, 5.75%, 2/15/2047
    7,000,000       8,073,380  
Nassau, NY, Health Care Corp. Revenue, 0.16%***, 8/1/2029, LOC: TD Bank NA
    4,460,000       4,460,000  
New York, State Dormitory Authority Revenues, Non-State Supported Debt, New York Law School, 0.15%***, 7/1/2038, LOC: TD Bank NA
    2,050,000       2,050,000  
New York, State Dormitory Authority Revenues, NYU Hospital Center, Series B, 5.25%, 7/1/2024
    870,000       946,221  
New York, State Dormitory Authority Revenues, Orange Regional Medical Center, 6.125%, 12/1/2029
    2,000,000       2,175,540  
New York, State Dormitory Authority, Personal Income Tax Revenue, Series C, 5.0%, 3/15/2041
    10,000,000       11,250,800  
New York, State Energy Research & Development Authority, Consolidated Edison Co. of New York, Inc.:
               
Series A-1, 144A, 0.15%***, 5/1/2039, LOC: Mizuho Corporate Bank
    1,150,000       1,150,000  
Series A-2, 144A, 0.18%***, 5/1/2039, LOC: Mizuho Corporate Bank
    800,000       800,000  
New York, State Liberty Development Corp. Revenue, World Trade Center Port Authority Construction:
               
5.0%, 12/15/2041
    4,260,000       4,743,297  
5.25%, 12/15/2043
    8,000,000       9,116,560  
New York & New Jersey, Port Authority, Special Obligation Revenue, JFK International Air Terminal LLC, 6.0%, 12/1/2042
    5,795,000       6,448,386  
New York City, NY, Industrial Development Agency, Special Facility Revenue, American Airlines, JFK International Airport:
               
AMT, 7.75%, 8/1/2031, GTY: AMR Corp.
    1,470,000       1,512,909  
AMT, 8.0%, 8/1/2028, GTY: AMR Corp.
    3,000,000       3,081,420  
New York City, NY, Industrial Development Agency, Special Facility Revenue, British Airways PLC Project, AMT, 7.625%, 12/1/2032
    1,500,000       1,544,430  
Orange County, NY, Senior Care Revenue, Industrial Development Agency, The Glen Arden Project, 5.7%, 1/1/2028
    1,250,000       982,350  
Port Authority of New York & New Jersey, AMT, 5.0%, 10/1/2034
    10,000,000       11,084,700  
        79,907,548  
North Carolina 0.3%
 
Charlotte, NC, Airport Revenue, Series A, 5.0%, 7/1/2039
    1,450,000       1,594,971  
North Carolina, Electric Revenue, Municipal Power Agency, Series F, Prerefunded, 5.5%, 1/1/2016
    1,000,000       1,030,490  
North Carolina, Medical Care Commission, Retirement Facilities Revenue, First Mortgage, Southminster Project, Series A, 5.625%, 10/1/2027
    2,500,000       2,416,350  
        5,041,811  
North Dakota 0.1%
 
Grand Forks, ND, Health Care System Revenue, Altru Health System, 5.0%, 12/1/2032
    2,000,000       2,138,020  
Ohio 0.5%
 
Cleveland, OH, Airport Systems Revenue, Series A, 5.0%, 1/1/2030
    1,000,000       1,080,160  
Hamilton County, OH, Health Care Revenue, Life Enriching Communities Project:
               
6.125%, 1/1/2031
    2,100,000       2,227,932  
6.625%, 1/1/2046
    2,500,000       2,755,825  
Ohio, State Higher Educational Facility Commission Revenue, Summa Health Systems Project, Series 2010, 5.75%, 11/15/2040
    3,000,000       3,245,250  
        9,309,167  
Oklahoma 0.4%
 
Tulsa County, OK, Industrial Authority, Senior Living Community Revenue, Montereau, Inc. Project, Series A, 7.25%, 11/1/2045
    6,500,000       7,158,255  
Oregon 0.6%
 
Clackamas County, OR, North Clackamas School District No. 12, Series B, 5.0%, 6/15/2023, INS: AGMC (a)
    10,420,000       12,228,287  
Pennsylvania 2.5%
 
Cumberland County, PA, Municipal Authority Revenue, Asbury Obligation Group, 6.125%, 1/1/2045
    4,350,000       4,537,572  
Lancaster County, PA, Hospital Authority Revenue, Brethren Village Project, Series A, 6.375%, 7/1/2030
    1,000,000       1,062,470  
Montgomery County, PA, Industrial Development Authority Revenue, Whitemarsh Continuing Care, 6.25%, 2/1/2035
    2,400,000       2,423,736  
Northampton County, PA, Hospital Authority Revenue, St. Luke's Hospital Project:
               
Series A, 5.375%, 8/15/2028
    3,500,000       3,694,005  
Series A, 5.5%, 8/15/2035
    6,500,000       6,842,680  
Pennsylvania, Economic Development Finance Authority, U.S. Airways Group, Series B, 8.0%, 5/1/2029, GTY: U.S. Airways, Inc.
    1,000,000       1,091,860  
Pennsylvania, Economic Development Financing Authority, Sewer Sludge Disposal Revenue, Philadelphia Biosolids Facility, 6.25%, 1/1/2032
    1,500,000       1,661,925  
Pennsylvania, State Turnpike Commission Revenue, Series A, 6.5%, 12/1/2036
    6,385,000       7,717,550  
Philadelphia, PA, Airport Revenue, Series A, 5.0%, 6/15/2035
    7,085,000       7,570,393  
Philadelphia, PA, Gas Works Revenue, 5.25%, 8/1/2040
    3,000,000       3,153,210  
Philadelphia, PA, Hospitals & Higher Education Facilities Authority Revenue, Temple University Health Systems, Series A, 5.0%, 7/1/2034
    10,000,000       10,015,100  
        49,770,501  
Puerto Rico 5.1%
 
Commonwealth of Puerto Rico, Aqueduct & Sewer Authority Revenue, Series A, 6.0%, 7/1/2038
    25,750,000       27,509,240  
Commonwealth of Puerto Rico, General Obligation, Series A, 6.0%, 7/1/2038
    7,200,000       7,790,760  
Commonwealth of Puerto Rico, Public Improvement, Series B, 6.5%, 7/1/2037
    10,000,000       11,340,500  
Puerto Rico, Electric Power Authority Revenue:
 
Series TT, 5.0%, 7/1/2032
    5,500,000       5,624,740  
Series TT, 5.0%, 7/1/2037
    4,000,000       4,045,440  
Series XX, 5.25%, 7/1/2040
    6,665,000       6,856,952  
Puerto Rico, Public Buildings Authority Revenue, Government Facilities, Series M, 6.25%, 7/1/2022
    5,000,000       5,804,500  
Puerto Rico, Sales Tax Financing Corp., Sales Tax Revenue:
 
Series A, 5.375%, 8/1/2039
    4,570,000       4,895,384  
Series A, 5.75%, 8/1/2037
    2,130,000       2,366,451  
Series A, 6.5%, 8/1/2044
    10,000,000       11,806,500  
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
    10,000,000       10,274,900  
Series A, Step-up Coupon, 0% to 8/1/2019, 6.25% to 8/1/2033
    5,130,000       4,478,439  
        102,793,806  
South Carolina 0.7%
 
Greenwood County, SC, Hospital Revenue, Self Regional Healthcare, Series B, 5.0%, 10/1/2031
    1,000,000       1,091,210  
Hardeeville, SC, Assessment Revenue, Anderson Tract Municipal Improvement District:
               
Series B, 7.5%, 11/1/2015
    802,000       791,534  
Series A, 7.75%, 11/1/2039
    4,917,000       4,507,512  
South Carolina, Jobs Economic Development Authority Revenue, Bon Secours Health System, Series B, 5.625%, 11/15/2030
    3,960,000       3,981,384  
South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, Palmetto Health Alliance, 5.75%, 8/1/2039
    3,595,000       3,951,696  
        14,323,336  
South Dakota 0.5%
 
South Dakota, State Health & Educational Facilities Authority Revenue, Avera Health:
               
Series B, 5.25%, 7/1/2038
    3,000,000       3,193,110  
Series B, 5.5%, 7/1/2035
    5,000,000       5,430,750  
South Dakota, State Health & Educational Facilities Authority Revenue, Sanford Health, 5.0%, 11/1/2027
    1,000,000       1,067,050  
        9,690,910  
Tennessee 2.8%
 
Clarksville, TN, Natural Gas Acquisition Corp., Gas Revenue:
 
5.0%, 12/15/2017
    2,500,000       2,697,125  
5.0%, 12/15/2018
    2,160,000       2,331,051  
Elizabethton, TN, Hospital & Healthcare Revenue, Health & Educational Facilities Board, Series B, Prerefunded, 8.0%, 7/1/2033
    3,000,000       3,105,270  
Jackson, TN, Hospital Revenue, Jackson-Madison Project, 5.625%, 4/1/2038
    3,000,000       3,263,430  
Johnson City, TN, Health & Educational Facilities, Board Hospital Revenue, First Mortgage, Mountain States Health Alliance, Series A, 5.5%, 7/1/2036
    18,795,000       19,534,395  
Johnson City, TN, Health & Educational Facilities, Board Hospital Revenue, Mountain States Health Alliance, 6.5%, 7/1/2038
    3,570,000       4,144,984  
Johnson City, TN, Hospital & Healthcare Revenue, Health & Educational Facilities Board Hospital, Series A, Prerefunded, 7.5%, 7/1/2033
    5,000,000       5,173,450  
Tennessee, Energy Acquisition Corp., Gas Revenue:
 
Series C, 5.0%, 2/1/2027
    6,435,000       6,716,660  
Series A, 5.25%, 9/1/2018
    8,000,000       8,997,760  
        55,964,125  
Texas 11.7%
 
Abilene, TX, Hospital & Healthcare Revenue, Health Facilities, Sears Methodist Retirement Facilities, Series A, 7.0%, 11/15/2033
    3,500,000       2,778,895  
Abilene, TX, Senior Care Revenue, Health Facilities Development, Sears Methodist Retirement Facilities, Series A, 5.9%, 11/15/2025
    2,411,000       1,839,087  
Austin, TX, Austin-Bergstrom Landhost Enterprises, Inc., Airport Hotel Project, Series A, 3.375%, 4/1/2027 (c)
    4,910,000       2,757,652  
Bexar County, TX, Health Facilities Development Corp. Revenue, Army Retirement Residence Project, 6.2%, 7/1/2045
    6,000,000       6,567,540  
Brazos River, TX, Harbor Navigation District, Brazoria County Environmental Health, Dow Chemical Co. Project:
               
Series B-2, 4.95%, 5/15/2033
    4,000,000       4,171,880  
Series A-3, AMT, 5.125%, 5/15/2033
    9,000,000       9,453,150  
Brazos River, TX, Pollution Control Authority Revenue, Series D-1, 144A, AMT, 8.25%, 5/1/2033
    7,000,000       1,053,500  
Cass County, TX, Industrial Development Corp., Environmental Improvement Revenue, International Paper Co. Projects, Series A, 9.25%, 3/1/2024
    2,000,000       2,570,400  
Central Texas, Regional Mobility Authority Revenue, Capital Appreciation:
               
Zero Coupon, 1/1/2030
    5,000,000       2,013,950  
Zero Coupon, 1/1/2032
    3,500,000       1,221,815  
Central Texas, Regional Mobility Authority Revenue, Senior Lien, 6.0%, 1/1/2041
    5,455,000       6,127,001  
Houston, TX, Airport Systems Revenue, Series B, 5.0%, 7/1/2032
    1,490,000       1,668,383  
Houston, TX, Airport Systems Revenue, Special Facilities Continental Airlines, Inc. Terminal Projects, AMT, 6.625%, 7/15/2038
    2,000,000       2,182,020  
Houston, TX, Transportation/Tolls Revenue, Special Facilities, Continental Airlines, Inc., Series E, AMT, 6.75%, 7/1/2029
    10,100,000       10,143,430  
La Vernia, TX, Higher Education Finance Corp. Revenue, Lifeschools of Dallas:
               
Series A, 7.25%, 8/15/2031
    1,275,000       1,464,108  
Series A, 7.5%, 8/15/2041
    1,785,000       2,070,761  
Lewisville, TX, Combination Contract Revenue, 144A, 6.75%, 10/1/2032
    15,750,000       16,557,503  
Matagorda County, TX, Navigation District No. 1, Pollution Control Revenue, AEP Texas Central Co. Project, Series A, 4.4%, 5/1/2030, INS: AMBAC
    11,000,000       11,162,250  
Matagorda County, TX, Navigation District No. 1, Pollution Control Revenue, Central Power & Light Co. Project, Series A, 6.3%, 11/1/2029
    3,000,000       3,465,150  
North Texas, Tollway Authority Revenue:
 
First Tier, Series A, 5.625%, 1/1/2033
    1,000,000       1,107,160  
Second Tier, Series F, 5.75%, 1/1/2038
    17,500,000       19,050,150  
First Tier, 6.0%, 1/1/2043
    5,000,000       5,781,200  
First Tier, Series A, 6.25%, 1/1/2039
    9,525,000       10,869,644  
San Antonio, TX, Convention Center Hotel Finance Corp., Contract Revenue, Empowerment Zone, Series A, AMT, 5.0%, 7/15/2039, INS: AMBAC
    8,000,000       8,021,280  
Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Baylor Health Care System Project, Series E, 0.16%***, 11/15/2050, LOC: Wells Fargo Bank NA
    5,600,000       5,600,000  
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility, Mirador Project:
               
Series A, 8.125%, 11/15/2039
    1,000,000       1,064,610  
Series A, 8.25%, 11/15/2044
    3,430,000       3,678,675  
Texas, Dallas/Fort Worth International Airport Revenue:
 
Series B, 5.0%, 11/1/2035
    5,740,000       6,273,131  
Series D, 5.0%, 11/1/2035
    2,715,000       2,967,169  
Series A, 5.25%, 11/1/2038
    15,000,000       16,696,500  
Texas, Industrial Development Revenue, Waste Disposal Authority, Series A, AMT, 6.1%, 8/1/2024
    5,000,000       5,032,700  
Texas, Love Field Airport Modernization Corp., Special Facilities Revenue, Southwest Airlines Co. Project, 5.25%, 11/1/2040
    7,445,000       7,784,566  
Texas, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue:
               
Series D, 5.625%, 12/15/2017
    12,060,000       13,356,209  
Series D, 6.25%, 12/15/2026
    16,875,000       20,107,744  
Texas, SA Energy Acquisition Public Facility Corp., Gas Supply Revenue, 5.5%, 8/1/2020
    10,000,000       11,421,100  
Texas, Uptown Development Authority, Tax Increment Contract Revenue, Infrastructure Improvement Facilities, 5.5%, 9/1/2029
    1,000,000       1,087,620  
Travis County, TX, Health Facilities Development Corp. Revenue, Westminster Manor Health:
               
7.0%, 11/1/2030
    1,530,000       1,760,739  
7.125%, 11/1/2040
    3,580,000       4,070,890  
        234,999,562  
Virginia 0.6%
 
Virginia, Marquis Community Development Authority Revenue:
               
Series C, Zero Coupon, 9/1/2041
    7,906,000       757,316  
Series B, 5.625%, 9/1/2041
    5,332,000       4,582,214  
Virginia, Mosaic District Comunity Development Authority Revenue, Series A, 6.875%, 3/1/2036
    2,000,000       2,210,680  
Virginia, Peninsula Ports Authority, Residential Care Facility Revenue, Virginia Baptist Homes, Series C, 5.4%, 12/1/2033
    2,600,000       1,932,762  
Virginia, State Small Business Financing Authority Revenue, Elizabeth River Crossings LLC Project, AMT, 6.0%, 1/1/2037
    2,000,000       2,203,420  
        11,686,392  
Washington 1.8%
 
Klickitat County, WA, Public Hospital District No. 2 Revenue, Skyline Hospital, 6.5%, 12/1/2038
    3,205,000       3,249,229  
Washington, Electric Revenue, Public Power Supply System, Nuclear Project No. 3, Series B, 7.125%, 7/1/2016
    2,500,000       3,130,200  
Washington, Port of Seattle Revenue, Series A, 5.0%, 8/1/2033
    1,500,000       1,709,610  
Washington, State Health Care Facilities Authority Revenue, Series C, 5.375%, 8/15/2028, INS: Radian
    2,970,000       3,089,899  
Washington, State Health Care Facilities Authority Revenue, Virginia Mason Medical Center:
               
Series B, 5.75%, 8/15/2037, INS: ACA
    6,675,000       7,015,225  
Series A, 6.125%, 8/15/2037
    16,000,000       17,212,640  
        35,406,803  
West Virginia 0.7%
 
West Virginia, State Hospital Finance Authority Revenue, Charleston Medical Center, Series A, 5.625%, 9/1/2032
    3,080,000       3,340,660  
West Virginia, State Hospital Finance Authority Revenue, Thomas Health Systems:
               
6.5%, 10/1/2028
    7,000,000       7,233,450  
6.5%, 10/1/2038
    3,000,000       3,054,060  
        13,628,170  
Wisconsin 1.2%
 
Wisconsin, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Aurora Health Care, Inc., 6.875%, 4/15/2030
    5,000,000       5,140,150  
Wisconsin, State Health & Educational Facilities Authority Revenue, Aurora Health Care, Inc., Series A, 5.625%, 4/15/2039
    8,160,000       8,917,901  
Wisconsin, State Health & Educational Facilities Authority Revenue, Beaver Dam Community Hospitals, Inc., Series A, 6.75%, 8/15/2034
    2,500,000       2,563,275  
Wisconsin, State Health & Educational Facilities Authority Revenue, Ministry Health Care, Series C, 5.0%, 8/15/2032
    5,035,000       5,477,425  
Wisconsin, State Health & Educational Facilities Authority Revenue, St. John's Communities, Inc., Series A, 7.625%, 9/15/2039
    1,000,000       1,141,220  
Wisconsin, State Health & Educational Facilities Authority, Oakwood Village, Series B, 0.14%***, 8/15/2030, LOC: M&I Marshall & Ilsley
    1,690,000       1,690,000  
        24,929,971  
Multi-State 0.1%
 
Non-Profit Preferred Funding Trust I, Series A1, 4.22%, 9/15/2037
    3,014,629       2,893,622  
Total Municipal Bonds and Notes (Cost $1,719,832,161)
      1,866,209,403  
   
Municipal Inverse Floating Rate Notes (e) 14.2%
 
California 0.2%
 
San Diego County, CA, Water Authority Revenue, Certificates of Participation, Series 2008-A, 5.0%, 5/1/2027, INS: AGMC (f)
    2,126,587       2,393,088  
San Diego County, CA, Water Authority Revenue, Certificates of Participation, Series 2008-A, 5.0%, 5/1/2028, INS: AGMC (f)
    1,935,078       2,177,579  
Trust: San Diego County, CA, Water Utility Improvements, Certificates of Participation, Series 2008-1104, 144A, 9.163%, 11/1/2015 Leverage Factor at purchase date: 2 to 1
               
        4,570,667  
Hawaii 0.6%
 
Hawaii, State General Obligation, Series DK, 5.0%, 5/1/2027 (f)
    10,000,000       11,900,800  
Trust: Hawaii, State General Obligation, Series 2867, 144A, 17.78%, 5/1/2016, Leverage Factor at purchase date: 4 to 1
               
Louisiana 0.6%
 
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2033 (f)
    3,026,513       3,507,910  
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2034 (f)
    3,304,152       3,829,710  
Louisiana, State Gas & Fuels Tax Revenue, Series B, 5.0%, 5/1/2035 (f)
    3,666,834       4,250,079  
Trust: Louisiana, State Gas & Fuels Tax Revenue, Series 3806, 144A, 9.288%, 5/1/2018, Leverage Factor at purchase date: 2 to 1
               
        11,587,699  
Nevada 2.2%
 
Clark County, NV, School District, Series C, 5.0%, 6/15/2021 (f)
    7,851,481       9,159,180  
Clark County, NV, School District, Series C, 5.0%, 6/15/2022 (f)
    8,203,602       9,569,948  
Clark County, NV, School District, Series C, 5.0%, 6/15/2023 (f)
    5,298,193       6,180,631  
Trust: Clark County, NV, School Improvements, Series 2008-1153, 144A, 9.201%, 6/15/2015, Leverage Factor at purchase date: 2 to 1
               
Las Vegas Valley, NV, General Obligation, Water District, Series A, 5.0%, 2/1/2035 (f)
    9,150,000       9,994,999  
Las Vegas Valley, NV, General Obligation, Water District, Series A, 5.0%, 2/1/2036 (f)
    9,605,000       10,492,018  
Trust: Las Vegas Valley, NV, General Obligation, Water District, 144A, 9.288%, 2/1/2016, Leverage Factor at purchase date: 2 to 1
               
        45,396,776  
New York 2.0%
 
New York, State Dormitory Authority Revenues, Personal Income Tax Revenue, Series A, 5.0%, 3/15/2023 (f)
    5,095,207       5,959,195  
Trust: New York, State Dormitory Authority Revenues, Secondary Issues, Series 1955-2, 144A, 17.854%, 3/15/2015, Leverage Factor at purchase date: 4 to 1
               
New York, State Dormitory Authority, Personal Income Tax Revenue, Series F, 5.0%, 2/15/2035 (f)
    10,000,000       11,392,200  
Trust: New York, State Dormitory Authority Revenues, Series 4688, 144A, 9.28%, 3/15/2024, Leverage Factor at purchase date: 2 to 1
               
New York, State Environmental Facilities Corp., Clean Drinking Water, Series A, 5.0%, 6/15/2025 (f)
    4,000,000       4,715,594  
New York, State Environmental Facilities Corp., Clean Drinking Water, Series A, 5.0%, 6/15/2026 (f)
    3,000,000       3,536,695  
New York, State Environmental Facilities Corp., Clean Drinking Water, Series A, 5.0%, 6/15/2027 (f)
    3,000,000       3,536,696  
Trust: New York, State Environmental Facilities Corp., Clean Drinking Water, Series 2870, 144A, 16.231%, 12/15/2015, Leverage Factor at purchase date: 3.6 to 1
               
New York City, NY, Transitional Finance Authority Revenue, Series C-1, 5.0%, 11/1/2027 (f)
    10,000,000       11,556,000  
Trust: New York City, NY, Transitional Finance Authority Revenue, Series 2072, 144A, 11.15%, 11/1/2027, Leverage Factor at purchase date: 2.5 to 1
               
        40,696,380  
Ohio 0.7%
 
Ohio, State Higher Educational Facilities Commission Revenue, Cleveland Clinic Health, Series A, 5.125%, 1/1/2028 (f)
    4,522,767       4,962,268  
Ohio, State Higher Educational Facilities Commission Revenue, Cleveland Clinic Health, Series A, 5.25%, 1/1/2033 (f)
    7,712,913       8,462,418  
Trust: Ohio, State Higher Educational Revenue, Series 3139, 144A, 14.379%, 1/1/2016, Leverage Factor at purchase date: 3 to 1
               
        13,424,686  
Pennsylvania 2.2%
 
Pennsylvania, State General Obligation, Series A, 5.0%, 8/1/2023 (f)
    21,790,000       25,566,850  
Trust: Pennsylvania, State General Obligation, Series R-11505-1, 144A, 43.77%, 8/1/2015, Leverage Factor at purchase date: 10 to 1
               
Pennsylvania, State Revenue Bond, Series A, 5.0%, 8/1/2024 (f)
    15,475,000       17,853,621  
Trust: Pennsylvania, State Revenue Bond, Series 2720, 144A, 12.606%, 8/1/2015, Leverage Factor at purchase date: 3 to 1
               
        43,420,471  
Tennessee 0.9%
 
Nashville & Davidson County, TN, Metropolitan Government, 5.0%, 1/1/2024 (f)
    14,996,415       17,556,765  
Trust: Nashville & Davidson County, TN, Metropolitan Government, Series 2631-1, 144A, 17.866%, 1/1/2016, Leverage Factor at purchase date: 4 to 1
               
Texas 2.9%
 
Conroe, TX, Independent School District, School Building, 5.0%, 2/15/2024 (f)
    3,710,000       4,207,103  
Conroe, TX, Independent School District, School Building, 5.0%, 2/15/2025 (f)
    4,315,000       4,893,167  
Trust: Conroe, TX, Independent School District, Series 2487, 144A, 17.748%, 2/15/2014, Leverage Factor at purchase date: 4 to 1
               
Harris County, TX, Flood Control District, Series A, 5.0%, 10/1/2034 (f)
    5,500,000       6,298,985  
Trust: Harris County, TX, Flood Control District, Series 4692, 144A, 9.38%, 10/11/2018, Leverage Factor at purchase date: 2 to 1
               
San Antonio, TX, Electric & Gas Revenue, 5.0%, 2/1/2024 (f)
    15,000,000       17,587,800  
Trust: San Antonio, TX, Electric & Gas Revenue, Series 2957, 144A, 13.52%, 2/1/2016, Leverage Factor at purchase date: 3 to 1
               
Texas, North East Independent School District, School Building, Series A, 5.0%, 8/1/2024 (f)
    10,000,000       11,827,500  
Trust: Texas, North East Independent School District, Series 2355, 144A, 22.16%, 8/1/2015, Leverage Factor at purchase date: 5 to 1
               
Texas, State Transportation Commission Revenue, 5.0%, 4/1/2026 (f)
    12,500,000       14,377,750  
Trust: Texas, State Transportation Commission Revenue, Series 2563, 144A, 22.04%, 4/1/2015, Leverage Factor at purchase date: 5 to 1
               
        59,192,305  
Washington 1.9%
 
Washington, Energy Northwest Electric Revenue, Columbia Generating Station, Series A, 5.0%, 7/1/2024 (f)
    10,000,000       11,353,500  
Trust: Washington, Energy Northwest Electric Revenue, Series 2301, 144A, 22.16%, 7/1/2014, Leverage Factor at purchase date: 5 to 1
               
Washington, State General Obligation, Series A, 5.0%, 7/1/2025 (f)
    10,000,000       11,545,000  
Trust: Washington, State General Obligation, Series 2154, 144A, 22.16%, 7/1/2015, Leverage Factor at purchase date: 5 to 1
               
Washington, State General Obligation, Series 2007A, 5.0%, 7/1/2023, INS: AGMC (f)
    10,000,000       11,454,700  
Trust: Washington, State General Obligation, Series 2302, 144A, 22.16%, 7/1/2014, Leverage Factor at purchase date: 5 to 1
               
Washington, State Public Power Supply System, Nuclear Project No. 2, 10.09%, 7/1/2012
    3,000,000       3,026,280  
        37,379,480  
Total Municipal Inverse Floating Rate Notes (Cost $255,255,986)
      285,126,029  
 

   
% of Net Assets
   
Value ($)
 
       
Total Investment Portfolio (Cost $1,975,088,147)+
    107.2       2,151,335,432  
Other Assets and Liabilities, Net
    (7.2 )     (144,705,440 )
Net Assets
    100.0       2,006,629,992  
 
The following table represents bonds that are in default:
Security
 
Coupon
 
Maturity Date
 
Principal Amount ($)
   
Acquisition Cost ($)
   
Value ($)
 
Austin, TX, Austin-Bergstrom Landhost Enterprises, Inc., Airport Hotel Project, Series A (c)
    3.375 %
4/1/2027
    4,910,000       4,910,000       2,757,652  
Boston, MA, Industrial Development Financing Authority Revenue, Crosstown Center Project, AMT*
    8.0 %
9/1/2035
    960,000       960,000       327,264  
Florida, Special Assessment Revenue, East Park Community Development District, Series A*
    7.5 %
5/1/2039
    1,715,000       1,715,000       1,298,186  
Mashantucket, CT, Mashantucket Western Pequot Tribe, Special Revenue, Series A, 144A*
    6.5 %
9/1/2031
    7,295,000       7,628,882       2,907,860  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
 
Zero Coupon
 
9/1/2010
    2,000,000       1,385,088       649,180  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
 
Zero Coupon
 
9/1/2011
    2,000,000       1,305,909       649,180  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
 
Zero Coupon
 
9/1/2012
    2,000,000       1,228,854       649,180  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
 
Zero Coupon
 
9/1/2013
    2,000,000       1,154,117       614,980  
Mashantucket, CT, Project Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
 
Zero Coupon
 
9/1/2014
    2,000,000       1,081,820       581,180  
Mashantucket, CT, Sports, Expo & Entertainment Revenue, Mashantucket Western Pequot Tribe, Series B, 144A*
    5.7 %
9/1/2012
    1,000,000       998,477       386,800  
Nevada, Director State Department of Business & Industry, Las Vegas Monorail Project, Second Tier*
    7.375 %
1/1/2030
    6,000,000       5,798,546       60  
North Manchester, IN, Peabody Retirement Community Project Revenue, Series A (b)
    2.755 %
7/1/2033
    3,000,000       2,910,069       1,019,550  
                        31,076,762       11,841,072  
 
* Non-income producing security.
 
** 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 May 31, 2012.
 
*** 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 May 31, 2012.
 
+ The cost for federal income tax purposes was $1,971,048,095. At May 31, 2012, net unrealized appreciation for all securities based on tax cost was $180,287,337. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $214,645,304 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $34,357,967.
 
(a) At May 31, 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 38% of the original coupon rate.
 
(c) Partial interest-paying security. The rate shown represents 50% of the original coupon rate.
 
(d) When-issued security.
 
(e) Securities represent the underlying municipal obligations of inverse floating rate obligations held by the Fund.
 
(f) 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.
 
ACA: ACA Financial Guaranty Corp.
 
AGC: Assured Guaranty Corp.
 
AGMC: Assured Guaranty Municipal Corp.
 
AMBAC: Ambac Financial Group, Inc.
 
AMT: Subject to alternative minimum tax.
 
FGIC: Financial Guaranty Insurance Co.
 
GTY: Guaranty Agreement
 
INS: Insured
 
LOC: Letter of Credit
 
NATL: National Public Finance Guarantee Corp.
 
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 May 31, 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 Depreciation ($)
 
4/23/2013
4/23/2031
    28,300,000 1
Fixed — 2.78%
Floating — LIBOR
    (1,744,364 )           (1,744,364 )
2/28/2013
2/28/2032
    22,300,000 1
Fixed — 2.74%
Floating — LIBOR
    (1,299,450 )           (1,299,450 )
4/22/2013
4/22/2033
    17,700,000 2
Fixed — 2.899%
Floating — LIBOR
    (1,419,827 )           (1,419,827 )
4/24/2013
4/24/2033
    17,700,000 1
Fixed — 2.855%
Floating — LIBOR
    (1,291,838 )           (1,291,838 )
5/10/2013
5/10/2033
    14,600,000 3
Fixed — 2.815%
Floating — LIBOR
    (957,509 )           (957,509 )
10/25/2012
10/25/2033
    5,300,000 1
Fixed — 3.09%
Floating — LIBOR
    (657,506 )           (657,506 )
4/25/2013
4/25/2034
    5,750,000 1
Fixed — 2.92%
Floating — LIBOR
    (483,444 )           (483,444 )
Total unrealized depreciation
      (7,853,938 )
 
Counterparties:
 
1 JPMorgan Chase Securities, Inc.
 
2 Merrill Lynch & Co., Inc.
 
3 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 May 31, 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 (g)
  $     $ 2,151,335,432     $     $ 2,151,335,432  
Total
  $     $ 2,151,335,432     $     $ 2,151,335,432  
Liabilities
 
Derivatives (h)
  $     $ (7,853,938 )   $     $ (7,853,938 )
Total
  $     $ (7,853,938 )   $     $ (7,853,938 )
 
There have been no transfers between Level 1 and Level 2 fair value measurements during the year ended May 31, 2012.
 
(g) See Investment Portfolio for additional detailed categorizations.
 
(h) Derivatives include unrealized appreciation (depreciation) on swap contracts.
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities
as of May 31, 2012
 
Assets
 
Investments in securities, at value (cost $1,975,088,147)
  $ 2,151,335,432  
Cash
    1,320,117  
Receivable for investments sold
    915,000  
Receivable for Fund shares sold
    5,159,757  
Interest receivable
    31,472,702  
Due from Advisor
    141,317  
Other assets
    85,768  
Total assets
    2,190,430,093  
Liabilities
 
Payable for investments purchased — when-issued security
    2,919,705  
Payable for Fund shares redeemed
    3,032,818  
Payable for floating rate notes issued
    166,354,570  
Unrealized depreciation on swap contracts
    7,853,938  
Distributions payable
    1,662,364  
Accrued management fee
    833,163  
Accrued Trustees' fees
    15,120  
Other accrued expenses and payables
    1,128,423  
Total liabilities
    183,800,101  
Net assets, at value
  $ 2,006,629,992  
Net Assets Consist of
 
Undistributed net investment income
    623,018  
Net unrealized appreciation (depreciation) on:
Investments
    176,247,285  
Swap contracts
    (7,853,938 )
Accumulated net realized gain (loss)
    (89,655,897 )
Paid-in capital
    1,927,269,524  
Net assets, at value
  $ 2,006,629,992  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities as of May 31, 2012 (continued)
 
Net Asset Value
 
Class A
Net Asset Value and redemption price per share ($568,763,217 ÷ 44,508,931 outstanding shares of capital stock outstanding, $.01 par value, unlimited number of shares authorized)
  $ 12.78  
Maximum offering price per share (100 ÷ 97.25 of $12.78)
  $ 13.14  
Class B
Net Asset Value offering and redemption price per share ($7,573,205 ÷ 592,554 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)
  $ 12.78  
Class C
Net Asset Value offering and redemption price per share ($187,546,561 ÷ 14,667,547 shares of capital stock outstanding, $.01 par value, unlimited number of shares authorized)
  $ 12.79  
Class S
Net Asset Value offering and redemption price per share ($1,022,806,495 ÷ 79,964,670 shares of capital stock outstanding, $.01 par value, unlimited number of shares authorized)
  $ 12.79  
Institutional Class
Net Asset Value offering and redemption price per share ($219,940,514 ÷ 17,191,206 shares of capital stock outstanding, $.01 par value, unlimited number of shares authorized)
  $ 12.79  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Operations
for the year ended May 31, 2012
 
Investment Income
 
Income:
Interest
  $ 103,606,973  
Expenses:
Management fee
    8,719,223  
Administration fee
    1,754,090  
Services to shareholders
    2,545,822  
Distribution and service fees
    2,897,494  
Custodian fee
    21,677  
Professional fees
    103,521  
Reports to shareholders
    106,817  
Registration fees
    154,273  
Trustees' fees and expenses
    56,856  
Interest expense and fees on floating rate notes issued
    1,206,841  
Other
    93,350  
Total expenses before expense reductions
    17,659,964  
Expense reductions
    (1,739,805 )
Total expenses after expense reductions
    15,920,159  
Net investment income
    87,686,814  
Realized and Unrealized Gain (Loss)
 
Net realized gain (loss) from:
Investments
    (6,314,226 )
Swap contracts
    (34,157,008 )
      (40,471,234 )
Change in net unrealized appreciation (depreciation) on:
Investments
    185,816,068  
Swap contracts
    (2,430,446 )
      183,385,622  
Net gain (loss)
    142,914,388  
Net increase (decrease) in net assets resulting from operations
  $ 230,601,202  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Cash Flows
for the year ended May 31, 2012
 
Increase (Decrease) in Cash:
Cash Flows from Operating Activities
 
Net increase (decrease) in net assets resulting from operations
  $ 230,601,202  
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
    (817,487,620 )
Net amortization of premium/ (accretion of discount)
    (457,771 )
Proceeds from sales and maturities of long-term investments
    548,819,730  
(Increase) decrease in interest receivable
    (4,894,175 )
(Increase) decrease in other assets
    (98,524 )
(Increase) decrease in receivable for investments sold
    (225,000 )
Increase (decrease) in payable for investments purchased — when-issued security
    932,925  
Increase (decrease) in other accrued expenses and payables
    101,332  
Change in net unrealized (appreciation) depreciation on investments
    (185,816,068 )
Change in net unrealized (appreciation) depreciation on swap contracts
    2,430,446  
Net realized (gain) loss from investments
    6,314,226  
Cash provided (used) by operating activities
  $ (219,779,297 )
Cash Flows from Financing Activities
 
Proceeds from shares sold
    637,752,083  
Payments for shares redeemed
    (397,039,055 )
Distributions paid (net of reinvestment of distributions)
    (19,636,268 )
Cash provided (used) by financing activities
    221,076,760  
Increase (decrease) in cash
    1,297,463  
Cash at beginning of period
    22,654  
Cash at end of period
  $ 1,320,117  
Supplemental Disclosure of Non-Cash Financing Activities
       
Reinvestment of distributions
  $ 66,713,950  
Interest expense and fees on floating rate notes issued
  $ (1,206,841 )
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Changes in Net Assets
   
Years Ended May 31,
 
Increase (Decrease) in Net Assets
 
2012
   
2011
 
Operations:
Net investment income
  $ 87,686,814     $ 87,656,053  
Net realized gain (loss)
    (40,471,234 )     (24,472,710 )
Change in net unrealized appreciation (depreciation)
    183,385,622       (48,109,768 )
Net increase (decrease) in net assets resulting from operations
    230,601,202       15,073,575  
Distributions to shareholders from:
Net investment income:
Class A
    (24,121,528 )     (23,841,800 )
Class B
    (332,071 )     (435,703 )
Class C
    (6,475,023 )     (6,706,335 )
Class S
    (45,795,733 )     (44,814,440 )
Institutional Class
    (9,411,689 )     (7,896,277 )
Net realized gains:
Class A
    (92,519 )      
Class B
    (1,533 )      
Class C
    (29,083 )      
Class S
    (168,012 )      
Institutional Class
    (34,589 )      
Total distributions
    (86,461,780 )     (83,694,555 )
Fund share transactions:
Proceeds from shares sold
    636,890,711       571,021,261  
Reinvestment of distributions
    66,713,950       59,974,975  
Payments for shares redeemed
    (398,454,411 )     (640,862,996 )
Net increase (decrease) in net assets from Fund share transactions
    305,150,250       (9,866,760 )
Increase (decrease) in net assets
    449,289,672       (78,487,740 )
Net assets at beginning of year
    1,557,340,320       1,635,828,060  
Net assets at end of year (including undistributed net investment income of $623,018 and $835,334, respectively)
  $ 2,006,629,992     $ 1,557,340,320  
 
The accompanying notes are an integral part of the financial statements.
 
Financial Highlights
   
Years Ended May 31,
 
Class A
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 11.78     $ 12.23     $ 11.21     $ 12.46     $ 12.83  
Income from investment operations:
Net investment income
    .59       .61       .62       .64       .59  
Net realized and unrealized gain (loss)
    1.00       (.45 )     1.02       (1.25 )     (.37 )
Total from investment operations
    1.59       .16       1.64       (.61 )     .22  
Less distributions from:
Net investment income
    (.59 )     (.61 )     (.62 )     (.64 )     (.59 )
Net realized gains
    (.00 )*                 (.00 )*      
Total distributions
    (.59 )     (.61 )     (.62 )     (.64 )     (.59 )
Net asset value, end of period
  $ 12.78     $ 11.78     $ 12.23     $ 11.21     $ 12.46  
Total Return (%)a,b
    13.88       1.37       14.96       (4.48 )     1.73  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    569       432       464       275       334  
Ratio of expenses before expense reductions (including interest expense) (%)c
    1.03       1.08       1.05       1.39       1.60  
Ratio of expenses after expense reductions (including interest expense) (%)c
    .99       1.03       1.03       1.31       1.57  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .92       .94       .93       .92       .94  
Ratio of net investment income (%)
    4.92       5.35       5.31       6.10       4.67  
Portfolio turnover rate (%)
    29       30       28       82       70  
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.
* Amount is less than $.005.
 
 

   
Years Ended May 31,
 
Class B
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 11.78     $ 12.23     $ 11.21     $ 12.46     $ 12.84  
Income from investment operations:
Net investment income
    .50       .52       .53       .56       .49  
Net realized and unrealized gain (loss)
    1.00       (.45 )     1.02       (1.25 )     (.38 )
Total from investment operations
    1.50       .07       1.55       (.69 )     .11  
Less distributions from:
Net investment income
    (.50 )     (.52 )     (.53 )     (.56 )     (.49 )
Net realized gains
    (.00 )*                 (.00 )*      
Total distributions
    (.50 )     (.52 )     (.53 )     (.56 )     (.49 )
Net asset value, end of period
  $ 12.78     $ 11.78     $ 12.23     $ 11.21     $ 12.46  
Total Return (%)a,b
    13.02       .61       14.10       (5.19 )     .88  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    8       9       12       14       28  
Ratio of expenses before expense reductions (including interest expense) (%)c
    1.80       1.87       1.82       2.17       2.37  
Ratio of expenses after expense reductions (including interest expense) (%)c
    1.74       1.78       1.77       2.06       2.32  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    1.67       1.69       1.67       1.67       1.69  
Ratio of net investment income (%)
    4.19       4.59       4.57       5.35       3.92  
Portfolio turnover rate (%)
    29       30       28       82       70  
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.
* Amount is less than $.005.
 
 

   
Years Ended May 31,
 
Class C
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 11.79     $ 12.24     $ 11.22     $ 12.47     $ 12.84  
Income from investment operations:
Net investment income
    .50       .52       .53       .56       .49  
Net realized and unrealized gain (loss)
    1.00       (.45 )     1.02       (1.25 )     (.37 )
Total from investment operations
    1.50       .07       1.55       (.69 )     .12  
Less distributions from:
Net investment income
    (.50 )     (.52 )     (.53 )     (.56 )     (.49 )
Net realized gains
    (.00 )*                 (.00 )*      
Total distributions
    (.50 )     (.52 )     (.53 )     (.56 )     (.49 )
Net asset value, end of period
  $ 12.79     $ 11.79     $ 12.24     $ 11.22     $ 12.47  
Total Return (%)a,b
    13.03       .61       14.11       (5.17 )     .98  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    188       141       154       87       87  
Ratio of expenses before expense reductions (including interest expense) (%)c
    1.77       1.82       1.84       2.16       2.31  
Ratio of expenses after expense reductions (including interest expense) (%)c
    1.74       1.78       1.78       2.06       2.31  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    1.67       1.69       1.68       1.67       1.68  
Ratio of net investment income (%)
    4.16       4.60       4.56       5.35       3.93  
Portfolio turnover rate (%)
    29       30       28       82       70  
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.
* Amount is less than $.005.
 
 

   
Years Ended May 31,
 
Class S
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 11.79     $ 12.24     $ 11.22     $ 12.47     $ 12.85  
Income from investment operations:
Net investment income
    .62       .64       .65       .67       .62  
Net realized and unrealized gain (loss)
    1.00       (.45 )     1.02       (1.25 )     (.38 )
Total from investment operations
    1.62       .19       1.67       (.58 )     .24  
Less distributions from:
Net investment income
    (.62 )     (.64 )     (.65 )     (.67 )     (.62 )
Net realized gains
    (.00 )*                 (.00 )*      
Total distributions
    (.62 )     (.64 )     (.65 )     (.67 )     (.62 )
Net asset value, end of period
  $ 12.79     $ 11.79     $ 12.24     $ 11.22     $ 12.47  
Total Return (%)a
    14.15       1.63       15.22       (4.23 )     1.90  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    1,023       832       858       645       787  
Ratio of expenses before expense reductions (including interest expense) (%)b
    .90       .94       .98       1.30       1.53  
Ratio of expenses after expense reductions (including interest expense) (%)b
    .74       .78       .78       1.06       1.32  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .67       .69       .68       .67       .69  
Ratio of net investment income (%)
    5.17       5.60       5.56       6.35       4.92  
Portfolio turnover rate (%)
    29       30       28       82       70  
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.
* Amount is less than $.005.
 
 

   
Years Ended May 31,
 
Institutional Class
   
2012
   
2011
   
2010
   
2009
   
2008
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 11.79     $ 12.24     $ 11.22     $ 12.48     $ 12.85  
Income from investment operations:
Net investment income
    .63       .64       .66       .67       .62  
Net realized and unrealized gain (loss)
    1.00       (.45 )     1.02       (1.26 )     (.37 )
Total from investment operations
    1.63       .19       1.68       (.59 )     .25  
Less distributions from:
Net investment income
    (.63 )     (.64 )     (.66 )     (.67 )     (.62 )
Net realized gains
    (.00 )*                 (.00 )*      
Total distributions
    (.63 )     (.64 )     (.66 )     (.67 )     (.62 )
Net asset value, end of period
  $ 12.79     $ 11.79     $ 12.24     $ 11.22     $ 12.48  
Total Return (%)
    14.17 a     1.66 a     15.33 a     (4.26 )a     2.00  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    220       143       147       28       6  
Ratio of expenses before expense reductions (including interest expense) (%)b
    .79       .82       .79       1.13       1.32  
Ratio of expenses after expense reductions (including interest expense) (%)b
    .74       .75       .76       1.06       1.32  
Ratio of expenses after expense reductions (excluding interest expense) (%)
    .67       .66       .66       .67       .69  
Ratio of net investment income (%)
    5.16       5.62       5.58       6.35       4.92  
Portfolio turnover rate (%)
    29       30       28       82       70  
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.
* Amount is less than $.005.
 
 
Notes to Financial Statements
 
A. Organization and Significant Accounting Policies
 
DWS Strategic High Yield Tax-Free 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 service 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.
 
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 year ended May 31, 2012 was $166,354,570, with a weighted average interest rate of 0.73%.
 
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 $93,436,000, including $31,294,000 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, 2013 ($2,355,000), May 31, 2014 ($2,294,000), May 31, 2015 ($234,000), May 31, 2017 ($3,436,000), May 31, 2018 ($19,507,000) and May 31, 2019 ($3,468,000), the respective expiration dates, whichever occurs first, and approximately $62,142,000 of post-enactment losses, which may be applied against realized net taxable capital gains indefinitely, including short-term losses ($40,507,000) and long-term losses ($21,635,000).
 
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.
 
At May 31, 2012, the Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed tax-exempt income
  $ 3,101,102  
Undistributed ordinary income*
  $ 86,127  
Capital loss carryforwards
  $ (93,436,000 )
Net unrealized appreciation (depreciation) on investments
  $ 180,287,337  
 
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
   
Years Ended May 31,
 
   
2012
   
2011
 
Distributions from tax-exempt income
  $ 86,136,044     $ 83,694,555  
Distributions from ordinary income*
  $ 325,736     $  
* For tax purposes, short-term capital gain distributions are considered ordinary income distributions.
 
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
 
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
 
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment 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 and may include proceeds from litigation. 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 May 31, 2012.
 
B. Derivative Instruments
 
Interest Rate Swap Contracts. For the year ended May 31, 2012, the Fund invested in 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 May 31, 2012 is included in a table following the Fund's Investment Portfolio. For the year ended May 31, 2012, the investment in interest rate swap contracts had a total notional amount generally indicative of a range from $98,750,000 to $126,950,000.
 
The following table summarizes the value of the Fund's derivative instruments held as of May 31, 2012 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
Liability Derivative
 
Swap Contracts
 
Interest Rate Contracts (a)
  $ (7,853,938 )
 
The above derivative is located in the following Statement of Assets and Liabilities account:
 
(a) Unrealized depreciation on swap contracts
 
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the year ended May 31, 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)
  $ (34,157,008 )
 
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)
  $ (2,430,446 )
 
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 year ended May 31, 2012, purchases and sales of investment securities (excluding short-term investments) aggregated $817,487,620 and $548,819,730, 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 $300 million of the Fund's average daily net assets
    .565 %
Next $200 million of such net assets
    .515 %
Next $500 million of such net assets
    .490 %
Over $1 billion of such net assets
    .470 %
 
Accordingly, for the year ended May 31, 2012, the fee pursuant to the Investment Management Agreement was equivalent to an annual effective rate of 0.50% of the Fund's average daily net assets.
 
For the period from June 1, 2011 through September 30, 2011, the Advisor had contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) of each class as follows:
Class A
.93%
Class B
1.68%
Class C
1.68%
Class S
.68%
Institutional Class
.68%
 
In addition, for the period from June 1, 2011 through September 30, 2011, the Advisor had voluntarily agreed to waive its fees and/or reimburse certain operating expenses of Institutional Class shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.66%.
 
For the period from October 1, 2011 through September 30, 2012, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) of each class as follows:
Class A
.92%
Class B
1.67%
Class C
1.67%
Class S
.67%
Institutional Class
.67%
 
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 an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended May 31, 2012, the Administration Fee was $1,754,090, of which $168,709 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 for 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 year ended May 31, 2012, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders
 
Total Aggregated
   
Waived
 
Class A
  $ 51,362     $ 51,362  
Class B
    2,059       2,059  
Class C
    19,839       19,839  
Class S
    544,521       544,521  
Institutional Class
    7,297       7,297  
    $ 625,078     $ 625,078  
 
In addition, for the year ended May 31, 2012, the Advisor reimbursed the Fund $874,392 and $87,947 of non-affiliated sub-recordkeeping fees for Class S and Institutional Class shares, respectively.
 
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 each 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 year ended May 31, 2012, the Distribution Fee was as follows:
Distribution Fee
 
Total Aggregated
   
Unpaid at May 31, 2012
 
Class B
  $ 60,676     $ 4,846  
Class C
    1,190,681       117,554  
    $ 1,251,357     $ 122,400  
 
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 pay these fees based upon the assets of shareholder accounts the firms service. For the year ended May 31, 2012, the Service Fee was as follows:
Service Fee
 
Total Aggregated
   
Waived
   
Unpaid at May 31, 2012
   
Annual Effective Rate
 
Class A
  $ 1,229,020     $ 120,269     $ 206,632       .22 %
Class B
    20,223       2,594       3,261       .22 %
Class C
    396,894       29,525       65,279       .23 %
    $ 1,646,137     $ 152,388     $ 275,172          
 
Underwriting Agreement and Contingent Deferred Sales Charge. DIDI is the principal underwriter for the Fund. Underwriting commissions paid in connection with the distribution of Class A shares for the year ended May 31, 2012 aggregated $107,782.
 
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 year ended May 31, 2012, the CDSC for Class B and Class C shares aggregated $9,194 and $30,092, respectively. A deferred sales charge of up to 0.50% is assessed on certain redemptions of Class A shares. For the year ended May 31, 2012, DIDI received $10,204 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 year ended May 31, 2012, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $24,888, of which $11,562 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. Investing in High-Yield Securities
 
The Fund's performance could be hurt if a security declines in credit quality or goes into default, or if an issuer does not make timely payments of interest or principal. Because the issuers of high-yield debt securities or junk bonds (debt securities rated below the fourth-highest category) may be in uncertain financial health, the risk of loss from default by the issuer is significantly greater. Prices and yields of high-yield securities will fluctuate over time and, during periods of economic uncertainty, volatility of high-yield securities may adversely affect a fund's net asset value. Because the Fund may invest in securities not paying current interest or in securities already in default, these risks may be more pronounced.
 
F. 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 May 31, 2012.
 
G. Share Transactions
 
The following table summarizes share and dollar activity in the Fund:
         
Year Ended May 31, 2011
 
   
Shares
   
Dollars
   
Shares
   
Dollars
 
Shares sold
 
Class A
    17,923,012     $ 219,391,109       16,110,700     $ 193,018,839  
Class B
    31,563       387,221       11,371       137,257  
Class C
    4,611,538       56,693,015       3,601,297       43,367,351  
Class S
    22,807,791       280,386,448       20,949,342       249,135,026  
Institutional Class
    6,562,428       80,032,918       7,179,126       85,362,788  
            $ 636,890,711             $ 571,021,261  
Shares issued to shareholders in reinvestment of distributions
 
Class A
    1,661,358     $ 20,349,935       1,602,869     $ 19,088,650  
Class B
    18,896       230,791       24,060       286,691  
Class C
    384,537       4,711,860       385,339       4,590,267  
Class S
    2,627,937       32,224,284       2,512,790       29,939,383  
Institutional Class
    749,058       9,197,080       509,567       6,069,984  
            $ 66,713,950             $ 59,974,975  
Shares redeemed
 
Class A
    (11,781,406 )   $ (144,122,408 )     (18,989,043 )   $ (223,572,492 )
Class B
    (185,830 )     (2,280,462 )     (283,211 )     (3,378,596 )
Class C
    (2,313,504 )     (28,141,906 )     (4,624,470 )     (54,279,870 )
Class S
    (16,007,581 )     (195,733,240 )     (23,044,069 )     (272,715,446 )
Institutional Class
    (2,283,757 )     (28,176,395 )     (7,506,226 )     (86,916,592 )
            $ (398,454,411 )           $ (640,862,996 )
Net increase (decrease)
 
Class A
    7,802,964     $ 95,618,636       (1,275,474 )   $ (11,465,003 )
Class B
    (135,371 )     (1,662,450 )     (247,780 )     (2,954,648 )
Class C
    2,682,571       33,262,969       (637,834 )     (6,322,252 )
Class S
    9,428,147       116,877,492       418,063       6,358,963  
Institutional Class
    5,027,729       61,053,603       182,467       4,516,180  
            $ 305,150,250             $ (9,866,760 )
 
Report of Independent Registered Public Accounting Firm
 
To the Trustees of DWS Municipal Trust and the Shareholders of DWS Strategic High Yield Tax-Free Fund:
 
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations, of cash flows and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Strategic High Yield Tax-Free Fund (the "Fund") at May 31, 2012, and the results of its operations, its cash flows, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at May 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
 
Boston, Massachusetts
July 25, 2012
PricewaterhouseCoopers LLP

 
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. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. 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 (December 1, 2011 to May 31, 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. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class 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 May 31, 2012 (Unaudited)
 
Actual Fund Return
 
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
Beginning Account Value 12/1/11
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 5/31/12
  $ 1,092.50     $ 1,088.40     $ 1,088.40     $ 1,093.80     $ 1,092.90  
Expenses Paid per $1,000*
  $ 5.18     $ 9.08     $ 9.08     $ 3.87     $ 3.87  
Hypothetical 5% Fund Return
 
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
Beginning Account Value 12/1/11
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 5/31/12
  $ 1,020.05     $ 1,016.30     $ 1,016.30     $ 1,021.30     $ 1,021.30  
Expenses Paid per $1,000*
  $ 5.00     $ 8.77     $ 8.77     $ 3.74     $ 3.74  
* 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 366.
 
Annualized Expense Ratios
 
Class A
   
Class B
   
Class C
   
Class S
   
Institutional Class
 
DWS Strategic High Yield Tax-Free Fund+
    .99 %     1.74 %     1.74 %     .74 %     .74 %
+ Includes interest expense and fees on short-term floating rate notes issued in conjunction with inverse floating rate securities of 0.07% for each class.
 
For more information, please refer to the Fund's prospectus.
 
Tax Information (Unaudited)
 
Of the dividends paid from net investment income for the taxable year ended May 31, 2012, 100% are designated as exempt interest dividends for federal income tax purposes.
 
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
 
Summary of Management Fee Evaluation by Independent Fee Consultant
 
September 26, 2011
 
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 2011, 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 and 2010.
 
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 109 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 "fall-out" 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 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.
 
Board Members and Officers
 
The following table presents certain information regarding the Board Members and Officers of the fund as of May 31, 2012. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Paul K. Freeman, Independent Chairman, DWS Funds, PO Box 101833, Denver, CO 80250-1833. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex. The Length of Time Served represents the year in which the Board Member joined the Board of one or more DWS funds now overseen by the Board.
 
Independent Board Members
Name, Year of Birth, Position with the Fund and Length of Time Served1
 
Business Experience and Directorships During the Past Five Years
Number of Funds in DWS Fund Complex Overseen
 
 
Other Directorships Held by Board Member
Paul K. Freeman (1950)
Chairperson since 2009
Board Member since 1993
 
Consultant, World Bank/Inter-American Development Bank; Executive and Governing Council of the Independent Directors Council (Chairman of Education Committee); formerly: Project Leader, International Institute for Applied Systems Analysis (1998-2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986-1998)
105
John W. Ballantine (1946)
Board Member since 1999
 
Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996-1998); Executive Vice President and Head of International Banking (1995-1996). Directorships: Chairman of the Board, Healthways, Inc. (provider of disease and care management services); Portland General Electric (utility company); Stockwell Capital Investments PLC (private equity); former Directorships: First Oak Brook Bancshares, Inc. and Oak Brook Bank; Prisma Energy International
105
Henry P. Becton, Jr. (1943)
Board Member since 1990
 
Vice Chair and former President, WGBH Educational Foundation. Directorships: Public Radio International; Public Radio Exchange (PRX); The PBS Foundation; North Bennett Street School (Boston); former Directorships: Association of Public Television Stations; Boston Museum of Science; American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service; Connecticut College
105
Lead Director, Becton Dickinson and Company2 (medical technology company); Lead Director, Belo Corporation2 (media company)
Dawn-Marie Driscoll (1946)
Board Member since 1987
 
President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley University; formerly, Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley University; Trustee, Southwest Florida Community Foundation (charitable organization); former Directorships: Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees)
105
Trustee, Sun Capital Advisers, Inc. (22 open-end mutual funds advised by Sun Capital Advisers, Inc.) (since 2007)
Keith R. Fox, CFA (1954)
Board Member since 1996
 
Managing General Partner, Exeter Capital Partners (a series of private investment funds) (since 1986). Directorships: Progressive International Corporation (kitchen goods importer and distributor); BoxTop Media Inc. (advertising); The Kennel Shop (retailer); former Chairman, National Association of Small Business Investment Companies
105
Trustee, Sun Capital Advisers, Inc. (22 open-end mutual funds advised by Sun Capital Advisers, Inc.) (since 2011)
Kenneth C. Froewiss (1945)
Board Member since 2001
 
Adjunct Professor of Finance, NYU Stern School of Business (September 2009-present; Clinical Professor from 1997-September 2009); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996)
105
Richard J. Herring (1946)
Board Member since 1990
 
Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center (since July 2000); Co-Chair, U.S. Shadow Financial Regulatory Committee; Executive Director, Financial Economists Roundtable; formerly: Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000); Director, Lauder Institute of International Management Studies (July 2000-June 2006)
105
Director, Japan Equity Fund, Inc. (since September 2007), Thai Capital Fund, Inc. (since September 2007), Singapore Fund, Inc. (since September 2007), Independent Director of Barclays Bank Delaware (since September 2010)
William McClayton (1944)
Board Member since 2004
 
Private equity investor (since October 2009); previously, Managing Director, Diamond Management & Technology Consultants, Inc. (global consulting firm) (2001-2009); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966-2001); Trustee, Ravinia Festival
105
Rebecca W. Rimel (1951)
Board Member since 1995
 
President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); Trustee, Washington College (2011 to present); formerly: Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983-2004); Board Member, Investor Education (charitable organization) (2004-2005); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001-2007); Trustee, Pro Publica (charitable organization) (2007-2010); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to 2012)
105
Director, CardioNet, Inc.2 (health care) (2009- present); Director, Viasys Health Care2 (January 2007- June 2007)
William N. Searcy, Jr. (1946)
Board Member since 1993
 
Private investor since October 2003; formerly: Pension & Savings Trust Officer, Sprint Corporation2 (telecommunications) (November 1989-September 2003)
105
Trustee, Sun Capital Advisers, Inc. (22 open-end mutual funds advised by Sun Capital Advisers, Inc.) (since 1998)
Jean Gleason Stromberg (1943)
Board Member since 1997
 
Retired. Formerly, Consultant (1997-2001); Director, Financial Markets U.S. Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; former Directorships: Service Source, Inc., Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996)
105
Robert H. Wadsworth
(1940)
Board Member since 1999
 
President, Robert H. Wadsworth & Associates, Inc. (consulting firm) (1983 to present); Director, National Horizon, Inc. (non-profit organization); Director and Treasurer, The Phoenix Boys Choir Association
108
 

Officers4
Name, Year of Birth, Position with the Fund and Length of Time Served5
 
Principal Occupation(s) During Past 5 Years and Other Directorships Held
W. Douglas Beck, CFA6 (1967)
President, 2011-present
 
Managing Director3, Deutsche Asset Management (2006-present); President of DWS family of funds and Head of Product Management, U.S. for DWS Investments; formerly, Executive Director, Head of Product Management (2002-2006) and President (2005-2006) of the UBS Funds at UBS Global Asset Management; Co-Head of Manager Research/Managed Solutions Group, Merrill Lynch (1998-2002)
John Millette7 (1962)
Vice President and Secretary, 1999-present
 
Director3, Deutsche Asset Management
Paul H. Schubert6 (1963)
Chief Financial Officer, 2004-present
Treasurer, 2005-present
 
Managing Director3, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998)
Caroline Pearson7 (1962)
Chief Legal Officer, 2010-present
 
Managing Director3, Deutsche Asset Management; formerly, Assistant Secretary for DWS family of funds (1997-2010)
Melinda Morrow6 (1970)
Vice President, May 2012-present
 
Director3, Deutsche Asset Management
Rita Rubin6 (1970)
Assistant Secretary, 2009-2012*
 
Director3 and Senior Counsel, Deutsche Asset Management (since October 2007); formerly, Vice President, Morgan Stanley Investment Management (2004-2007)
Paul Antosca7 (1957)
Assistant Treasurer, 2007-present
 
Director3, Deutsche Asset Management
Jack Clark7 (1967)
Assistant Treasurer, 2007-present
 
Director3, Deutsche Asset Management
Diane Kenneally7 (1966)
Assistant Treasurer, 2007-present
 
Director3, Deutsche Asset Management
John Caruso6 (1965)
Anti-Money Laundering Compliance Officer, 2010-present
 
Managing Director3, Deutsche Asset Management
Robert Kloby6 (1962)
Chief Compliance Officer, 2006-present
 
Managing Director3, Deutsche Asset Management
 
1 The length of time served represents the year in which the Board Member joined the board of one or more DWS funds currently overseen by the Board.
 
2 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
 
3 Executive title, not a board directorship.
 
4 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.
 
5 The length of time served represents the year in which the officer was first elected in such capacity for one or more DWS funds.
 
6 Address: 60 Wall Street, New York, NY 10005.
 
7 Address: One Beacon Street, Boston, MA 02108.
 
* Effective May 18, 2012, Rita Rubin no longer serves as Assistant Secretary to the fund.
 
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 621-1048.
 
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 the appropriate number below:
For shareholders of Classes A, B, C and Institutional Class:
(800) 621-1048
For shareholders of Class S:
(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) 621-1048.
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
 
NOTAX
NOTBX
NOTCX
SHYTX
NOTIX
CUSIP Number
 
23337W-105
23337W-204
23337W-303
23337W-501
23337W-600
Fund Number
 
152
252
352
2008
512
 
Notes
 
Notes
 
Notes
 
Notes
 
Notes
 
Notes
 
 
   
ITEM 2.
CODE OF ETHICS
   
 
As of the end of the period covered by this report, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
 
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
 
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
   
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT
   
 
The fund’s audit committee is comprised solely of trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The fund’s Board of Trustees has determined that there are several "audit committee financial experts" (as such term has been defined by the Regulations) serving on the fund’s audit committee including Mr. William McClayton, the chair of the fund’s audit committee. An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an “audit committee financial expert” does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
   
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES
   
 
DWS STRATEGIC HIGH YIELD TAX FREE FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
 
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years.  The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
 
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
 
Fiscal Year Ended May 31,
 
Audit Fees Billed to Fund
   
Audit-Related
Fees Billed to Fund
   
Tax Fees Billed to Fund
   
All
Other Fees Billed to Fund
 
2012
  $ 81,417     $ 0     $ 0     $ 0  
2011
  $ 81,417     $ 0     $ 0     $ 0  

Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
 
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
 
Fiscal Year Ended May 31,
 
Audit-Related
Fees Billed to Adviser and Affiliated Fund Service Providers
   
Tax Fees Billed to Adviser and Affiliated Fund Service Providers
   
All
Other Fees Billed to Adviser and Affiliated Fund Service Providers
 
2012
  $ 0     $ 56,300     $ 0  
2011
  $ 0     $ 0     $ 0  

The “Tax Fees Billed to the Advisor” were billed for services associated with foreign tax filings.
 
Non-Audit Services
 
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider.  The Committee considered this information in evaluating PWC’s independence.

Fiscal Year Ended May 31,
 
Total
Non-Audit Fees Billed to Fund
(A)
   
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund)
(B)
   
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements)
(C)
   
Total of (A), (B)
and (C)
 
2012
  $ 0     $ 56,300     $ 0     $ 56,300  
2011
  $ 0     $ 0     $ 0     $ 0  


Audit Committee Pre-Approval Policies and Procedures.  Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000.  All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.

According to the registrant’s principal Independent Registered Public Accounting Firm, substantially all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.

***
PwC advised the Fund's Audit Committee that it had identified one matter that it determined could be inconsistent with the SEC's auditor independence rules (Rule 2-01(c) of Regulation S-X). As part of a "Global Migration Support" engagement in which PwC's UK network affiliate ("PwC-UK") provided assistance to Deutsche Bank ("DB") with respect to processing internship applications for DB employees seeking short term assignments with DB in the UK, PwC-UK paid application fees on behalf of DB for six applicants at 170 pounds each (1,020 pounds in total).  PwC advised the Committee that it believes that this matter did not affect its objectivity or its impartial judgment in conducting its audit and issuing a report on the financial statements of the Fund as the Fund's independent auditor and confirmed its independence under the SEC’s auditor independence rules. In reaching this conclusion, PwC noted that the engagement team was not aware of the payment of the application fees by PwC-UK and that DB reimbursed PwC-UK for the fees.
 
   
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 Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833.
   
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)
Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.
   
 
(a)(2)
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
   
 
(b)
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

Form N-CSR Item F

SIGNATURES

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

Registrant:
DWS Strategic High Yield Tax-Free Fund, a series of DWS Municipal Trust
   
   
By:
/s/W. Douglas Beck
W. Douglas Beck
President
   
Date:
July 30, 2012


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:
July 30, 2012
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
July 30, 2012

EX-99.CODE ETH 2 codeofethics.htm CODE OF ETHICS codeofethics.htm
 
DWS Investments
 
Principal Executive and Principal Financial Officer Code of Ethics
 
For the Registered Management Investment Companies Listed on Appendix A
 
Effective Date
 
[January 31, 2005]
 
Revised Appendix A
 
[June 1, 2011]
 
Table of Contents
 
     

 
Page Number
     
 
 
I.
  Overview
   
 
This Principal Executive Officer and Principal Financial Officer Code of Ethics (“Officer Code”) sets forth the policies, practices, and values expected to be exhibited in the conduct of the Principal Executive Officers and Principal Financial Officers of the investment companies (“Funds”) they serve (“Covered Officers”). A list of Covered Officers and Funds is included on Appendix A.
 
The Boards of the Funds listed on Appendix A have elected to implement the Officer Code, pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 and the SEC’s rules thereunder, to promote and demonstrate honest and ethical conduct in their Covered Officers.
 
Deutsche Asset Management, Inc. or its affiliates (“DeAM”) serves as the investment adviser to each Fund. All Covered Officers are also employees of DeAM or an affiliate. Thus, in addition to adhering to the Officer Code, these individuals must comply with DeAM policies and procedures, such as the DeAM Code of Ethics governing personal trading activities, as adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940.1 In addition, such individuals also must comply with other applicable Fund policies and procedures.
 
The DeAM Compliance Officer, who shall not be a Covered Officer and who shall serve as such subject to the approval of the Fund’s Board (or committee thereof), is primarily responsible for implementing and enforcing this Code. The Compliance Officer has the authority to interpret this Officer Code and its applicability to particular circumstances. Any questions about the Officer Code should be directed to the DeAM Compliance Officer.
 
The DeAM Compliance Officer and his or her contact information can be found in Appendix A.


 
_________________________
1 The obligations imposed by the Officer Code are separate from, and in addition to, any obligations imposed under codes of ethics adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940, and any other code of conduct applicable to Covered Officers in whatever capacity they serve. The Officer Code does not incorporate any of those other codes and, accordingly, violations of those codes will not necessarily be considered violations of the Officer Code and waivers granted under those codes would not necessarily require a waiver to be granted under this Code. Sanctions imposed under those codes may be considered in determining appropriate sanctions for any violation of this Code.

II.
Purposes of the Officer Code
 
 
The purposes of the Officer Code are to deter wrongdoing and to:
     
 
promote honest and ethical conduct among Covered Officers, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
 
promote full, fair, accurate, timely and understandable disclosures in reports and documents that the Funds file with or submit to the SEC (and in other public communications from the Funds) and that are within the Covered Officer’s responsibilities;
 
promote compliance with applicable laws, rules and regulations;
 
encourage the prompt internal reporting of violations of the Officer Code to the DeAM Compliance Officer; and
 
establish accountability for adherence to the Officer Code.
   
  Any questions about the Officer Code should be referred to DeAM’s Compliance Officer.
 
III.
Responsibilities of Covered Officers
 
 
A.
Honest and Ethical Conduct
     
It is the duty of every Covered Officer to encourage and demonstrate honest and ethical conduct, as well as adhere to and require adherence to the Officer Code and any other applicable policies and procedures designed to promote this behavior. Covered Officers must at all times conduct themselves with integrity and distinction, putting first the interests of the Fund(s) they serve. Covered Officers must be honest and candid while maintaining confidentiality of information where required by law, DeAM policy or Fund policy.
 
Covered Officers also must, at all times, act in good faith, responsibly and with due care, competence and diligence, without misrepresenting or being misleading about material facts or allowing their independent judgment to be subordinated. Covered Officers also should maintain skills appropriate and necessary for the performance of their duties for the Fund(s). Covered Officers also must responsibly use and control all Fund assets and resources entrusted to them.
 
Covered Officers may not retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of the Officer Code or applicable laws or regulations. Covered Officers should create an environment that encourages the exchange of information, including concerns of the type that this Code is designed to address.
 
 
B.
Conflicts of Interest
     
 
A “conflict of interest” occurs when a Covered Officer’s personal interests interfere with the interests of the Fund for which he or she serves as an officer. Covered Officers may not improperly use their position with a Fund for personal or private gain to themselves, their family, or any other person. Similarly, Covered Officers may not use their personal influence or personal relationships to influence decisions or other Fund business or operational matters where they would benefit personally at the Fund’s expense or to the Fund’s detriment. Covered Officers may not cause the Fund to take action, or refrain from taking action, for their personal benefit at the Fund’s expense or to the Fund’s detriment. Some examples of conflicts of interest follow (this is not an all-inclusive list): being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member who is an employee of a Fund service provider or is otherwise associated with the Fund; or having an ownership interest in, or having any consulting or employment relationship with, any Fund service provider other than DeAM or its affiliates.
 
Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Fund that already are subject to conflict of interest provisions in the Investment Company Act and the Investment Advisers Act. For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Fund because of their status as “affiliated persons” of the Fund. Covered Officers must comply with applicable laws and regulations. Therefore, any violations of existing statutory and regulatory prohibitions on individual behavior could be considered a violation of this Code.
 
As to conflicts arising from, or as a result of the advisory relationship (or any other relationships) between the Fund and DeAM, of which the Covered Officers are also officers or employees, it is recognized by the Board that, subject to DeAM’s fiduciary duties to the Fund, the Covered Officers will in the normal course of their duties (whether formally for the Fund or for DeAM, or for both) be involved in establishing policies and implementing decisions which will have different effects on DeAM and the Fund. The Board recognizes that the participation of the Covered Officers in such activities is inherent in the contract relationship between the Fund and DeAM, and is consistent with the expectation of the Board of the performance by the Covered Officers of their duties as officers of the Fund.
 
Covered Officers should avoid actual conflicts of interest, and appearances of conflicts of interest, between the Covered Officer’s duties to the Fund and his or her personal interests beyond those contemplated or anticipated by applicable regulatory schemes. If a Covered Officer suspects or knows of a conflict or an appearance of one, the Covered Officer must immediately report the matter to the DeAM Compliance Officer. If a Covered Officer, in lieu of reporting such a matter to the DeAM Compliance Officer, may report the matter directly to the Fund’s Board (or committee thereof), as appropriate (e.g., if the conflict involves the DeAM Compliance Officer or the Covered Officer reasonably believes it would be futile to report the matter to the DeAM Compliance Officer).
 
When actual, apparent or suspected conflicts of interest arise in connection with a Covered Officer, DeAM personnel aware of the matter should promptly contact the DeAM Compliance Officer. There will be no reprisal or retaliation against the person reporting the matter.
 
Upon receipt of a report of a possible conflict, the DeAM Compliance Officer will take steps to determine whether a conflict exists. In so doing, the DeAM Compliance Officer may take any actions he or she determines to be appropriate in his or her sole discretion and may use all reasonable resources, including retaining or engaging legal counsel, accounting firms or other consultants, subject to applicable law.2 The costs associated with such actions may be borne by the Fund, if appropriate, after consultation with the Fund’s Board (or committee thereof). Otherwise, such costs will be borne by DeAM or other appropriate Fund service provider.
 
After full review of a report of a possible conflict of interest, the DeAM Compliance Officer may determine that no conflict or reasonable appearance of a conflict exists. If, however, the DeAM Compliance Officer determines that an actual conflict exists, the Compliance Officer will resolve the conflict solely in the interests of the Fund, and will report the conflict and its resolution to the Fund’s Board (or committee thereof). If the DeAM Compliance Officer determines that the appearance of a conflict exists, the DeAM Compliance Officer will take appropriate steps to remedy such appearance. In lieu of determining whether a conflict exists and/or resolving a conflict, the DeAM Compliance Officer instead may refer the matter to the Fund’s Board (or committee thereof), as appropriate. However, the DeAM Compliance Officer must refer the matter to the Fund’s Board (or committee thereof) if the DeAM Compliance Officer is directly involved in the conflict or under similar appropriate circumstances.
 
After responding to a report of a possible conflict of interest, the DeAM Compliance Officer will discuss the matter with the person reporting it (and with the Covered Officer at issue, if different) for purposes of educating those involved on conflicts of interests (including how to detect and avoid them, if appropriate).

 
Appropriate resolution of conflicts may restrict the personal activities of the Covered Officer and/or his family, friends or other persons.
 
Solely because a conflict is disclosed to the DeAM Compliance Officer (and/or the Board or Committee thereof) and/or resolved by the DeAM Compliance Officer does not mean that the conflict or its resolution constitutes a waiver from the Code’s requirements.
 
Any questions about conflicts of interests, including whether a particular situation might be a conflict or an appearance of one, should be directed to the DeAM Compliance Officer.
_________________________
 
2 For example, retaining a Fund’s independent accounting firm may require pre-approval by the Fund’s audit committee.

 
C.
Use of Personal Fund Shareholder Information
   

 
A Covered Officer may not use or disclose personal information about Fund shareholders, except in the performance of his or her duties for the Fund. Each Covered Officer also must abide by the Funds’ and DeAM’s privacy policies under SEC Regulation S-P.
 
 
D.
Public Communications
     
 
In connection with his or her responsibilities for or involvement with a Fund’s public communications and disclosure documents (e.g., shareholder reports, registration statements, press releases), each Covered Officer must provide information to Fund service providers (within the DeAM organization or otherwise) and to the Fund’s Board (and any committees thereof), independent auditors, government regulators and self-regulatory organizations that is fair, accurate, complete, objective, relevant, timely and understandable.
 
Further, within the scope of their duties, Covered Officers having direct or supervisory authority over Fund disclosure documents or other public Fund communications will, to the extent appropriate within their area of responsibility, endeavor to ensure full, fair, timely, accurate and understandable disclosure in Fund disclosure documents. Such Covered Officers will oversee, or appoint others to oversee, processes for the timely and accurate creation and review of all public reports and regulatory filings. Within the scope of his or her responsibilities as a Covered Officer, each Covered Officer also will familiarize himself or herself with the disclosure requirements applicable to the Fund, as well as the business and financial operations of the Fund. Each Covered Officer also will adhere to, and will promote adherence to, applicable disclosure controls, processes and procedures, including DeAM’s Disclosure Controls and Procedures, which govern the process by which Fund disclosure documents are created and reviewed.
 
To the extent that Covered Officers participate in the creation of a Fund’s books or records, they must do so in a way that promotes the accuracy, fairness and timeliness of those records.

 
E.
Compliance with Applicable Laws, Rules and Regulations
   
 
In connection with his or her duties and within the scope of his or her responsibilities as a Covered Officer, each Covered Officer must comply with governmental laws, rules and regulations, accounting standards, and Fund policies/procedures that apply to his or her role, responsibilities and duties with respect to the Funds (“Applicable Laws”). These requirements do not impose on Covered Officers any additional substantive duties. Additionally, Covered Officers should promote compliance with Applicable Laws.
 
If a Covered Officer knows of any material violations of Applicable Laws or suspects that such a violation may have occurred, the Covered Officer is expected to promptly report the matter to the DeAM Compliance Officer.
 
IV.
Violation Reporting
 
 
A.
Overview
   
 
Each Covered Officer must promptly report to the DeAM Compliance Officer, and promote the reporting of, any known or suspected violations of the Officer Code. Failure to report a violation may be a violation of the Officer Code.
 
    Examples of violations of the Officer Code include, but are not limited to, the following:
       
   
Unethical or dishonest behavior
 
Obvious lack of adherence to policies surrounding review and approval of public communications and regulatory filings
 
Failure to report violations of the Officer Code
 
Known or obvious deviations from Applicable Laws
 
Failure to acknowledge and certify adherence to the Officer Code
 
   The DeAM Compliance Officer has the authority to take any and all action he or she considers appropriate in his or her sole discretion to investigate known or suspected Code violations, including consulting with the Fund’s Board, the independent Board members, a Board committee, the Fund’s legal counsel and/or counsel to the independent Board members. The Compliance Officer also has the authority to use all reasonable resources to investigate violations, including retaining or engaging legal counsel, accounting firms or other consultants, subject to applicable law.3 The costs associated with such actions may be borne by the Fund, if appropriate, after consultation with the Fund’s Board (or committee thereof). Otherwise, such costs will be borne by DeAM.
 
 
B.
How to Report
   
 
Any known or suspected violations of the Officer Code must be promptly reported to the DeAM Compliance Officer.
 
 
C.
Process for Violation Reporting to the Fund Board
   
 
The DeAM Compliance Officer will promptly report any violations of the Code to the Fund’s Board (or committee thereof).
 
 
D.
Sanctions for Code Violations
   
 
Violations of the Code will be taken seriously. In response to reported or otherwise known violations, DeAM and the relevant Fund’s Board may impose sanctions within the scope of their respective authority over the Covered Officer at issue. Sanctions imposed by DeAM could include termination of employment. Sanctions imposed by a Fund’s Board could include termination of association with the Fund.
_________________________
 
3 For example, retaining a Fund’s independent accounting firm may require pre-approval by the Fund’s audit committee.

V.
Waivers from the Officer Code
 
 
A Covered Officer may request a waiver from the Officer Code by transmitting a written request for a waiver to the DeAM Compliance Officer.4 The request must include the rationale for the request and must explain how the waiver would be in furtherance of the standards of conduct described in and underlying purposes of the Officer Code. The DeAM Compliance Officer will present this information to the Fund’s Board (or committee thereof). The Board (or committee) will determine whether to grant the requested waiver. If the Board (or committee) grants the requested waiver, the DeAM Compliance Officer thereafter will monitor the activities subject to the waiver, as appropriate, and will promptly report to the Fund’s Board (or committee thereof) regarding such activities, as appropriate.
 
The DeAM Compliance Officer will coordinate and facilitate any required public disclosures of any waivers granted or any implicit waivers.
 
_________________________
 
4 Of course, it is not a waiver of the Officer Code if the Fund’s Board (or committee thereof) determines that a matter is not a deviation from the Officer Code’s requirements or is otherwise not covered by the Code.
 
VI.
Amendments to the Code
 
 
The DeAM Compliance Officer will review the Officer Code from time to time for its continued appropriateness and will propose any amendments to the Fund’s Board (or committee thereof) on a timely basis. In addition, the Board (or committee thereof) will review the Officer Code at least annually for its continued appropriateness and may amend the Code as necessary or appropriate.
 
The DeAM Compliance Officer will coordinate and facilitate any required public disclosures of Code amendments.
 
VII.
Acknowledgement and Certification of Adherence to the Officer Code
 
 
Each Covered Officer must sign a statement upon appointment as a Covered Officer and annually thereafter acknowledging that he or she has received and read the Officer Code, as amended or updated, and confirming that he or she has complied with it (see Appendix B: Acknowledgement and Certification of Obligations Under the Officer Code).
 
Understanding and complying with the Officer Code and truthfully completing the Acknowledgement and Certification Form is each Covered Officer’s obligation.
 
The DeAM Compliance Officer will maintain such Acknowledgements in the Fund’s books and records.
 
VIII.
Scope of Responsibilities
 
 
A Covered Officer’s responsibilities under the Officer Code are limited to:
     
 
(1)
Fund matters over which the Officer has direct responsibility or control, matters in which the Officer routinely participates, and matters with which the Officer is otherwise involved (i.e., matters within the scope of the Covered Officer’s responsibilities as a Fund officer); and
 
(2)
Fund matters of which the Officer has actual knowledge.
 
IX.
Recordkeeping
 
 
The DeAM Compliance Officer will create and maintain appropriate records regarding the implementation and operation of the Officer Code, including records relating to conflicts of interest determinations and investigations of possible Code violations.
 
X.
Confidentiality
 

 
All reports and records prepared or maintained pursuant to this Officer Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Officer Code, such matters shall not be disclosed to anyone other than the DeAM Compliance Officer, the Fund’s Board (or committee thereof), legal counsel, independent auditors, and any consultants engaged by the Compliance Officer.

Appendices
 
Appendix A:
 
List of Officers Covered under the Code, by Board:
 
Fund Board
Principal Executive Officers
Principal Financial Officers
Treasurer
DWS Funds
Douglas Beck
Paul Schubert
Paul Schubert
Germany*
Douglas Beck
Paul Schubert
Paul Schubert

* Central Europe and Russia, European Equity, and New Germany Funds

DeAM Compliance Officer:

Joseph S. Yuen
Head of Code of Ethics Compliance
212-250-4773
917-512-9286 fax
                     
 As of:   June 1, 2011

 
Appendix B: Acknowledgement and Certification
 
Initial Acknowledgement and Certification
of Obligations Under the Officer Code
 
 
         
 
Print Name
Department
Location
Telephone
 

 
1.
I acknowledge and certify that I am a Covered Officer under the DWS Investments Principal Executive and Financial Officer Code of Ethics (“Officer Code”), and therefore subject to all of its requirements and provisions.
 
2.
I have received and read the Officer Code and I understand the requirements and provisions set forth in the Officer Code.
 
3.
I have disclosed any conflicts of interest of which I am aware to the DeAM Compliance Officer.
 
4.
I will act in the best interest of the Funds for which I serve as an officer and have maintained the confidentiality of personal information about Fund shareholders.
 
5.
I will report any known or suspected violations of the Officer Code in a timely manner to the DeAM Compliance Officer.
 
   
 Signature   Date
 
 
 
Annual Acknowledgement and Certification
of Obligations Under the Officer Code
 
 
         
 
Print Name
Department
Location
Telephone

 
1.
I acknowledge and certify that I am a Covered Officer under the DWS Investments Principal Executive and Financial Officer Code of Ethics (“Officer Code”), and therefore subject to all of its requirements and provisions.
 
2.
I have received and read the Officer Code, and I understand the requirements and provisions set forth in the Officer Code.
 
3.
I have adhered to the Officer Code.
 
4.
I have not knowingly been a party to any conflict of interest, nor have I had actual knowledge about actual or apparent conflicts of interest that I did not report to the DeAM Compliance Officer in accordance with the Officer Code’s requirements.
 
5.
I have acted in the best interest of the Funds for which I serve as an officer and have maintained the confidentiality of personal information about Fund shareholders.
 
6.
With respect to the duties I perform for the Fund as a Fund officer, I believe that effective processes are in place to create and file public reports and documents in accordance with applicable regulations.
 
7.
With respect to the duties I perform for the Fund as a Fund officer, I have complied to the best of my knowledge with all Applicable Laws (as that term is defined in the Officer Code) and have appropriately monitored those persons under my supervision for compliance with Applicable Laws.
 
8.
I have reported any known or suspected violations of the Officer Code in a timely manner to the DeAM Compliance Officer.
 
 
   
 Signature   Date
 
Appendix C: Definitions
 
Principal Executive Officer
 
Individual holding the office of President of the Fund or series of Funds, or a person performing a similar function.
 
Principal Financial Officer
 
Individual holding the office of Treasurer of the Fund or series of Funds, or a person performing a similar function.
 
Registered Investment Management Investment Company
 
Registered investment companies other than a face-amount certificate company or a unit investment trust.
 
Waiver
 
A waiver is an approval of an exemption from a Code requirement.
 
Implicit Waiver
 
An implicit waiver is the failure to take action within a reasonable period of time regarding a material departure from a requirement or provision of the Officer Code that has been made known to the DeAM Compliance Officer or the Fund’s Board (or committee thereof).
EX-99.CERT 3 ex99cert.htm CERTIFICATION ex99cert.htm

 
President
Form N-CSR Certification under Sarbanes Oxley Act


I, W. Douglas Beck, certify that:

1.  
I have reviewed this report, filed on behalf of DWS Strategic High Yield Tax-Free Fund, a series of DWS Municipal Trust, on Form N-CSR;

2.  
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.  
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.  
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)  
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)  
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)  
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)  
Disclosed in this report any change 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 control over financial reporting; and

5.  
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a)  
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b)  
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

July 30, 2012
/s/W. Douglas Beck
 
W. Douglas Beck
 
President
 
Chief Financial Officer and Treasurer
Form N-CSR Certification under Sarbanes Oxley Act


I, Paul Schubert, certify that:

1.  
I have reviewed this report, filed on behalf of DWS Strategic High Yield Tax-Free Fund, a series of DWS Municipal Trust, on Form N-CSR;

2.  
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.  
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.  
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)  
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)  
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)  
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)  
Disclosed in this report any change 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 control over financial reporting; and

5.  
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a)  
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b)  
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

July 30, 2012
/s/Paul Schubert
 
Paul Schubert
 
Chief Financial Officer and Treasurer

EX-99.906 CERT 4 ex99906cert.htm 906 CERTIFICATION ex99906cert.htm
President
Section 906 Certification under Sarbanes Oxley Act


I, W. Douglas Beck, certify that:

1.  
I have reviewed this report, filed on behalf of DWS Strategic High Yield Tax-Free Fund, a series of DWS Municipal Trust, on Form N-CSR;

2.  
Based on my knowledge and pursuant to 18 U.S.C. § 1350, the periodic report on Form N-CSR (the “Report”) fully complies with the requirements of § 13 (a) or § 15 (d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.


July 30, 2012
/s/W. Douglas Beck
 
W. Douglas Beck
 
President




 
Chief Financial Officer and Treasurer
Section 906 Certification under Sarbanes Oxley Act


I, Paul Schubert, certify that:

1.  
I have reviewed this report, filed on behalf of DWS Strategic High Yield Tax-Free Fund, a series of DWS Municipal Trust, on Form N-CSR;

2.  
Based on my knowledge and pursuant to 18 U.S.C. § 1350, the periodic report on Form N-CSR (the “Report”) fully complies with the requirements of § 13 (a) or § 15 (d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.


July 30, 2012
/s/Paul Schubert
 
Paul Schubert
 
Chief Financial Officer and Treasurer

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