N-Q 1 y83550anvq.htm FORM N-Q nvq
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-06053
Morgan Stanley Insured Municipal Bond Trust
(Exact name of registrant as specified in charter)
     
522 Fifth Avenue, New York, New York   10036
(Address of principal executive offices)   (Zip code)
Randy Takian
522 Fifth Avenue, New York, New York 10036
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-296-6963
Date of fiscal year end: October 31, 2010
Date of reporting period: January 31, 2010
 
 
Item 1. Schedule of Investments.
The Trust’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited)
                                 
PRINCIPAL                        
AMOUNT IN         COUPON     MATURITY        
THOUSANDS         RATE     DATE     VALUE  
 
       
Tax-Exempt Municipal Bonds (149.9%)
                        
       
Alaska (2.4%)
                        
$ 1,400    
Alaska Industrial Development & Export Authority, Snettisham Hydroelectric 1st Ser 1998 (AMT) (AMBAC Insd)
     5.00 %     01/01/27     $ 1,308,846  
       
 
                      
       
Arizona (0.5%)
                        
  290    
State of Arizona, Ser 2008 A (COPs) (AGM Insd)
     5.00       09/01/26       300,724  
       
 
                      
       
California (32.9%)
                        
  485    
Alhambra Unified School District, Ser 2009 B (AGC Insd) (a)
     0.00       08/01/36       89,235  
  220    
Alvord Unified School District, Ser 2007 A (AGM Insd)
     5.00       08/01/24       231,964  
  4,000    
Anaheim Public Financing Authority, Electric System Ser 2007 A (NATL-RE Insd)
     4.50       10/01/37       3,668,680  
  215    
Beverly Hills Unified School District, Election of 2008 Ser 2009 (a)
     0.00       08/01/26       91,992  
  420    
Beverly Hills Unified School District, Election of 2008 Ser 2009 (a)
     0.00       08/01/31       129,406  
  550    
California State Department of Water Resources, Power Supply Ser 2008 H (AGM Insd)
     5.00       05/01/22       597,294  
  1,000    
City & County of San Francisco, Refg Laguna Honda Hospital Ser 2008 R-3 (AGC Insd) (b)
     5.00       06/15/28       1,024,230  
  105    
Clovis Unified School District, Election of 2004 Ser A (NATL-RE & FGIC Insd) (a)
     0.00       08/01/29       32,154  
  2,120    
Dry Creek Joint Elementary School District, Election 2008 Ser 2009 E (a)
     0.00       08/01/43       221,519  
  1,000    
Eastern Municipal Water District, Water & Sewer Refg, Ser 2006 A (COPs) (NATL-RE Insd)
     5.00       07/01/32       1,008,700  
  120    
El Segundo Unified School District, Election of 2008 Ser 2009 A (a)
     0.00       08/01/31       30,895  
  460    
El Segundo Unified School District, Election of 2008 Ser 2009 A (a)
     0.00       08/01/32       111,191  
  2,000    
Golden State Tobacco Securitization Corp., Enhanced Asset Backed Ser 2005 A (FGIC Insd)
     5.00       06/01/38       1,726,500  
  1,000    
Los Angeles Department of Water & Power, 2004 Ser C (NATL-RE Insd) (b)
     5.00       07/01/25       1,045,257  
  1,000    
Los Angeles Unified School District, Ser 2006 F (FGIC Insd)
     5.00       07/01/30       1,016,980  
  300    
Menifee Union School District, 2008 Election Ser C (AGC Insd) (a)
     0.00       08/01/35       59,127  
  250    
Oakland Joint Powers Financing Authority, Oakland Administration Buildings, Ser 2008 B (AGC Insd)
     5.00       08/01/23       261,523  
  1,785    
Patterson Joint Unified School District, Election of 2008 Ser 2009 B (AGM Insd) (a)
     0.00       08/01/37       301,594  
  55    
Port of Oakland, Ser 2002 L (AMT) (NATL-RE & FGIC Insd)
     5.00       11/01/21  (c)     61,236  
  445    
Port of Oakland, Ser 2002 L (AMT) (NATL-RE & FGIC Insd)
     5.00       11/01/21       435,410  
  705    
Poway Unified School District, School Facilities Improvement District No. 2007-1, 2008 Election Ser A (a)
     0.00       08/01/28       226,940  
  760    
Poway Unified School District, School Facilities Improvement District No. 2007-1, 2008 Election Ser A (a)
     0.00       08/01/31       195,670  
  1,000    
Sacramento Regional County Sanitation District, Ser 2006 (NATL-RE & FGIC Insd)
     5.00       12/01/28       1,034,500  
  4,245    
San Bernardino Community College District, Election 2008 Ser B (a)
     0.00       08/01/44       428,151  
  140    
San Rafael City High School District, Election Ser 2002 B (NATL-RE & FGIC Insd) (a)
     0.00       08/01/25       57,173  
  2,205    
University of California, Ser 2007-J (AGM Insd) (b)
     4.50       05/15/31       2,170,609  

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited) continued
                                 
PRINCIPAL                        
AMOUNT IN         COUPON     MATURITY        
THOUSANDS         RATE     DATE     VALUE  
 
$ 1,795    
University of California, Ser 2007-J (AGM Insd) (b)
     4.50 %     05/15/35     $ 1,725,797  
  525    
Yosemite Community College District, Ser 2008 C (AGM Insd) (a)
     0.00       08/01/22       278,413  
       
 
                      
       
 
                     18,262,140  
       
 
                      
       
Colorado (3.1%)
                        
  1,000    
Arkansas River Power Authority, Power Ser 2006 (XLCA Insd)
     5.25       10/01/40       885,140  
  1,000    
Denver Convention Center Hotel Authority, Refg Ser 2006 (XLCA Insd)
     5.00       12/01/30       851,250  
       
 
                      
       
 
                     1,736,390  
       
 
                      
       
Connecticut (0.5%)
                        
  275    
Connecticut State Health & Educational Facility Authority, Authority Quinnipiac University Ser 2007 K-1 (NATL-RE Insd)
     5.00       07/01/24       286,696  
       
 
                      
       
District of Columbia (5.0%)
                        
  460    
District of Columbia, Income Tax, Ser 2009 A (b)
     5.25       12/01/27       506,321  
  260    
District of Columbia, Ser 2008 E (BHAC Insd) (b)
     5.00       06/01/26       275,596  
  260    
District of Columbia, Ser 2008 E (BHAC Insd) (b)
     5.00       06/01/27       275,596  
  520    
District of Columbia, Ser 2008 E (BHAC Insd) (b)
     5.00       06/01/28       551,192  
  1,000    
District of Columbia Ballpark, Ser 2006 B-1 (NATL-RE & FGIC Insd)
     5.00       02/01/31       906,950  
  245    
District of Columbia Water & Sewer Authority, Refg Sub-Lien Ser 2008 A (AGC Insd)
     5.00       10/01/28       254,770  
       
 
                      
       
 
                     2,770,425  
       
 
                      
       
Florida (16.9%)
                        
  1,000    
Broward County Educational Facilities Authority, Nova Southeastern University Ser 2006 (AGC Insd)
     5.00       04/01/31       1,009,440  
  2,000    
Broward County School Board, Ser 2001 A (COPs) (AGM Insd)
     5.00       07/01/26       2,017,620  
  1,500    
City of Jacksonville Excise Tax, Ser 2003 C (AMT) (NATL-RE Insd)
     5.25       10/01/19       1,516,845  
  2,000    
City of Miami Beach, Water & Sewer Ser 2000 (AMBAC Insd)
     5.75       09/01/25       2,048,720  
  500    
City of Port St Lucie, Utility System Refg Ser 2009 (AGC Insd)
     5.00       09/01/29       505,895  
  1,000    
County of Miami-Dade, Ser 2005 A (NATL-RE Insd) (a)
     0.00  (d)     10/01/30       721,860  
  400    
Miami-Dade County Educational Facilities Authority, University of Miami Ser 2008 A (CR) (BHAC Insd)
     5.50       04/01/38       415,640  
  280    
Mid-Bay Bridge Authority, Refg Ser 2008 A (AGC Insd)
     5.00       10/01/27       295,915  
  350    
Palm Beach County Solid Waste Authority, Ser 2009 (BHAC Insd)
     5.50       10/01/23       394,649  
  480    
Tampa Sports Authority, Sales Tax Refg Ser 2005 (AGM Insd)
     5.00       01/01/26       495,605  
       
 
                      
       
 
                     9,422,189  
       
 
                      
       
Idaho (0.9%)
                        
  455    
Idaho Housing & Finance Association, Federal Highway Trust Ser 2008 A (RANs) (AGC Insd)
     5.25       07/15/25       496,332  
       
 
                      
       
Illinois (15.4%)
                        
  1,500    
Chicago Park District, Harbor Ser 2003 C (AMBAC Insd)
     5.00       01/01/24       1,575,015  
  295    
Chicago Transit Authority, Federal Transit Administration Section 5309 Ser 2008 (AGC Insd)
     5.25       06/01/25       312,243  
  2,000    
City of Chicago, O’Hare Int’l Airport Passenger Fee Ser 2001 A (AMT) (AMBAC Insd)
     5.375       01/01/32       1,923,960  
  1,350    
City of Chicago, Project & Refg Ser 2007 A (FGIC & AGM Insd) (CR) (b)(e)
     5.00       01/01/37       1,357,790  

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited) continued
                                 
PRINCIPAL                        
AMOUNT IN         COUPON     MATURITY        
THOUSANDS         RATE     DATE     VALUE  
 
$ 210    
De Kalb County Community Unit School District No. 428, Ser 2008 (AGM Insd)
     5.00 %     01/01/24     $ 225,311  
  365    
Illinois Finance Authority, Northwestern Memorial Hospital, Ser 2009 B
     5.75       08/15/30       399,485  
  1,000    
Illinois Finance Authority, Swedish American Hospital, Ser A (AMBAC Insd)
     5.00       11/15/31       924,920  
  1,180    
Kendall Kane & Will Counties Community Unit School District No. 308 (AGM Insd) (a)
     0.00       02/01/27       487,682  
  1,300    
State of Illinois, Ser 2000 (NATL-RE Insd)
     5.75       12/01/18       1,348,867  
       
 
                      
       
 
                     8,555,273  
       
 
                      
       
Iowa (1.4%)
                        
  405    
State of Iowa, IJOBS Program Ser 2009 A (b)(e)
     5.00       06/01/25       440,084  
  305    
State of Iowa, IJOBS Program Ser 2009 A (b)(e)
     5.00       06/01/26       329,778  
       
 
                      
       
 
                     769,862  
       
 
                      
       
Kansas (0.7%)
                        
  140    
Kansas Development Finance Authority Hospital Revenue, Adventist Health System Sunbelt Obligated Group Ser 2009 C
     5.50       11/15/29       147,687  
  235    
Wyandotte County-Kansas City Unified Government, Utility System Improvement, Ser 2009 A (BHAC Insd)
     5.25       09/01/34       246,588  
       
 
                      
       
 
                     394,275  
       
 
                      
       
Kentucky (0.7%)
                        
  360    
Kentucky State Property & Buildings Commission, Refg. Project No. 93 Ser 2009 (AGC Insd)
     5.25       02/01/28       388,940  
       
 
                      
       
Massachusetts (4.9%)
                        
  500    
Massachusetts Health & Educational Facilities Authority, Boston College Ser M-2
     5.50       06/01/30       590,555  
  1,435    
Massachusetts Health & Educational Facilities Authority, Harvard University Ser A (b)
     5.50       11/15/36       1,593,170  
  465    
Massachusetts Health & Educational Facilities Authority, Massachusetts Institute of Technology Ser O (b)
     5.50       07/01/36       515,996  
       
 
                      
       
 
                     2,699,721  
       
 
                      
       
Michigan (4.4%)
                        
  275    
City of Detroit Water Supply System, Refg Ser 2006 C (AGM Insd)
     5.00       07/01/26       277,393  
  1,500    
County of Wayne, Detroit Metropolitan Wayne County Airport Refg Ser 2002 D (AMT) (NATL-RE & FGIC Insd)
     5.50       12/01/17       1,524,705  
  285    
Ferris State University, Refg Ser 2008 (AGM Insd)
     4.50       10/01/23       291,458  
  320    
Wayne State University, Refg Ser 2008 (AGM Insd)
     5.00       11/15/29       333,619  
       
 
                      
       
 
                     2,427,175  
       
 
                      
       
Minnesota (1.8%)
                        
  1,000    
City of Minneapolis, Fairview Health Ser 2005 D (AMBAC Insd)
     5.00       11/15/30       993,530  
       
 
                      
       
Nevada (1.9%)
                        
  1,000    
State of Nevada, Capital Improvement & Cultural Affairs Ser 2008 C (AGM Insd) (b)
     5.00       06/01/26       1,040,583  
       
 
                      
       
New Hampshire (0.9%)
                        
  495    
New Hampshire Health & Education Facilities Authority, University System of New Hampshire Ser 2001 (AMBAC Insd)
     5.125       07/01/33       498,168  
       
 
                      
       
New Jersey (2.7%)
                        
  265    
New Jersey Economic Development Authority, School Facilities Construction Ser N-1 (AMBAC Insd)
     5.50       09/01/24       299,802  

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited) continued
                                 
PRINCIPAL                        
AMOUNT IN         COUPON     MATURITY        
THOUSANDS         RATE     DATE     VALUE  
 
$ 645    
New Jersey St Housing & Mortgage Finance Agency, Home Buyer Ser 2000 CC (AMT) (NATL-RE Insd)
     5.875 %     10/01/31     $ 648,122  
  1,290    
New Jersey Transportation Trust Fund Authority, Ser 2006 C (AGC Insd) (a)
     0.00       12/15/26       536,963  
       
 
                      
       
 
                     1,484,887  
       
 
                      
       
New York (14.0%)
                        
  1,000    
Long Island Power Authority, Ser 2004 A (AMBAC Insd)
     5.00       09/01/34       1,011,390  
  2,000    
Metropolitan Transportation Authority, State Service Contract Refg Ser 2002 B (NATL-RE Insd)
     5.50       07/01/20       2,156,540  
  1,145    
New York City Industrial Development Agency, Queens Baseball Stadium Ser 2006 (AMBAC Insd)
     5.00       01/01/31       1,092,089  
  1,000    
New York City Industrial Development Agency, Yankee Stadium Ser 2006 (FGIC Insd)
     5.00       03/01/46       904,410  
  2,000    
New York State Dormitory Authority, Memorial Sloan Kettering 2003 Ser I (NATL-RE Insd)
     5.00       07/01/24       2,079,140  
  500    
New York State Dormitory Authority, Mental Health Services Facilities Improvement Ser A (AGM Insd)
     5.00       02/15/27       527,910  
       
 
                      
       
 
                     7,771,479  
       
 
                      
       
Ohio (5.4%)
                        
  2,500    
American Municipal Power-Ohio Inc, Prairie State Energy Campus Ser 2008 A (AGC Insd) (b)
     5.25       02/15/33       2,601,561  
  725    
City of Cleveland, Public Power System Ser 2008 B-1 (NATL-RE
Insd) (a)
     0.00       11/15/26       329,346  
  80    
Ohio State Water Development Authority, Ser 2009 A
     5.875       06/01/33       87,120  
       
 
                      
       
 
                     3,018,027  
       
 
                      
       
Pennsylvania (4.1%)
                        
  155    
City of Philadelphia, Ser 2009 B (AGC Insd)
     7.125       07/15/38       174,721  
  1,000    
Philadelphia School District, Ser 2008 E (BHAC Insd)
     5.125       09/01/23       1,089,180  
  1,000    
Southeastern Pennsylvania Transportation Authority, Ser 1999 A (NATL-RE & FGIC Insd)
     5.25       03/01/18       1,013,110  
       
 
                      
       
 
                     2,277,011  
       
 
                      
       
Puerto Rico (0.5%)
                        
  260    
Puerto Rico Sales Tax Financing Corp., Ser 2009 A
     5.00       08/01/39       273,099  
       
 
                      
       
South Carolina (1.8%)
                        
  1,000    
South Carolina State Public Service Authority, Santee Cooper Ser 2006 A (NATL-RE Insd)
     5.00       01/01/36       1,026,490  
       
 
                      
       
Texas (15.8%)
                        
  500    
City of Houston, Combined Utility First Lien Refg 2004 Ser A (NATL-RE & FGIC Insd)
     5.25       05/15/23       527,900  
  675    
City of Houston, Hotel Occupancy Ser 2001 B (CR) (AGM & AMBAC Insd) (a)
     0.00       09/01/25       293,699  
  2,000    
Dallas-Fort Worth International Airport Facilities Improvement Corp., Ser 2001 A (AMT) (NATL-RE Insd)
     5.50       11/01/31       2,012,760  
  175    
Friendswood Independent School District, Schoolhouse Ser 2008 (PSF-GTD)
     5.00       02/15/27       189,498  
  385    
Harris County Health Facilities Development Corp., TECO Project Ser 2008 (AGC Insd)
     5.25       11/15/23       415,061  
  275    
Houston Community College System, Senior Lien Student Fee Ser 2008 (AGM Insd)
     5.00       04/15/25       293,414  
  285    
Humble Independent School District, Unlimited Tax School Building Ser 2008 A (AGC Insd)
     5.00       02/15/26       304,232  

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited) continued
                                 
PRINCIPAL                        
AMOUNT IN         COUPON     MATURITY        
THOUSANDS         RATE     DATE     VALUE  
 
$ 1,000    
Lower Colorado River Authority, Refg Ser 2004 A (NATL-RE & FGIC Insd)
     5.00 %     05/15/25     $ 1,008,910  
  1,500    
North Texas Tollway Authority, Refg Ser 2008 D (AGC Insd) (a)
     0.00       01/01/28       540,240  
  320    
North Texas Tollway Authority, Refg Ser 2008 D (AGC Insd) (a)
     0.00       01/01/31       94,416  
  1,265    
Texas State Turnpike Authority, First Tier Ser 2002 (CR) (BHAC & AMBAC Insd) (a)
     0.00       08/15/27       520,168  
  2,500    
University of Houston, Ser 2008 (AGM Insd) (b)
     5.00       02/15/33       2,566,284  
       
 
                      
       
 
                     8,766,582  
       
 
                      
       
Virginia (3.6%)
                        
  2,000    
City of Norfolk, Water Ser 1995 (NATL-RE Insd)
     5.875       11/01/20       2,003,920  
       
 
                      
       
Washington (7.7%)
                        
  950    
Grant County Public Utility District No. 2 Priest Rapids, Wanapum Hydroelectric 2005 Ser A (NATL-RE & FGIC Insd)
     5.00       01/01/34       960,697  
  1,485    
Port of Seattle, Passenger Facility Ser 1998 A (NATL-RE Insd)
     5.00       12/01/23       1,488,668  
  800    
State of Washington, Motor Vehicle Fuel Tax, Ser 2004 F (AMBAC Insd) (a)
     0.00       12/01/29       312,792  
  705    
State of Washington, Various Purpose Ser 2010 A (b)
     5.00       08/01/29       752,870  
  740    
State of Washington, Various Purpose Ser 2010 A (b)
     5.00       08/01/30       790,247  
       
 
                      
       
 
                     4,305,274  
       
 
                      
       
Total Tax-Exempt Municipal Bonds (Cost $82,813,117)
                     83,278,038  
       
 
                      
                         
    NUMBER OF                        
SHARES (000)                    
       
Short-Term Investment (2.9%)
                
       
Investment Company
                
  1,624    
Morgan Stanley Institutional Liquidity Funds — Tax-Exempt Portfolio — Institutional Class (Cost $1,624,038)(f)
             1,624,038  
       
 
              
       
 
                
       
Total Investments (Cost $84,437,155) (g)(h)
     152.8 %     84,902,076  
       
Other Assets in Excess of Liabilities
     1.4       777,566  
       
Floating Rate Note and Dealer Trusts Obligations Related to Securities Held
                
       
Notes with interest rates ranging from 0.18% to 0.25% at January 31, 2010 and contractual maturities of collateral ranging from 06/01/25 to 01/01/37 (i)
     (21.5 )     (11,950,000 )
       
Preferred Shares of Beneficial Interest
     (32.7 )     (18,150,000 )
       
 
            
       
Net Assets Applicable to Common Shareholders
     100.0 %   $ 55,579,642  
       
 
            
 
Note: The categories of investments are shown as a percentage of net assets applicable to common shareholders.
 
AMT   Alternative Minimum Tax.
 
COPs   Certificates of Participation.
 
CR   Custodial Receipts.
 
PSF   Texas Permanent School Fund Guarantee Program.
 
RANs   Revenue Anticipation Notes.
 
(a)   Capital appreciation bond.
 
(b)   Underlying security related to inverse floater entered into by the Trust.
 
(c)   Prefunded to call date shown.
 
(d)   Security is a “step-up” bond where the coupon increases on a predetermined future date.
 
(e)   Security is subject to a shortfall agreement which may require the Trust to pay amounts to a counterparty in the event of a significant decline in the market value of the security underlying the inverse floater. In case of a shortfall, the maximum potential amount of payments the Trust could ultimately be required to make under the agreement is $1,375,000. However, such shortfall payment would be reduced by the proceeds from the sale of the security underlying the inverse floater.
 
(f)   The Trust invests in Morgan Stanley Institutional Liquidity Funds – Tax-Exempt Portfolio – Institutional Class, an open-end management investment company managed by the Investment Adviser. Investment advisory fees paid by the Trust are reduced by an amount equal to the advisory and administrative service fees paid by Morgan Stanley Institutional Liquidity Funds – Tax-Exempt Portfolio – Institutional Class with respect to assets invested by the Trust in Morgan Stanley Institutional Liquidity Funds – Tax-Exempt Portfolio – Institutional Class.
 
(g)   Securities have been designated as collateral in connection with inverse floating rate municipal obligations.
 
(h)   The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.

 

 

Morgan Stanley Insured Municipal Bond Trust*
Portfolio of Investments § January 31, 2010 (unaudited) continued
 
(i)   Floating rate note obligations related to securities held – The Trust enters into transactions in which it transfers to Dealer Trusts (“Dealer Trusts”), fixed rate bonds in exchange for cash and residual interests in the Dealer Trusts’ assets and cash flows, which are in the form of inverse floating rate investments. The Dealer Trusts fund the purchases of the fixed rate bonds by issuing floating rate notes to third parties and allowing the Trust to retain residual interest in the bonds. The Trust enters into shortfall agreements with the Dealer Trusts which commit the Trust to pay the Dealer Trusts, in certain circumstances, the difference between the liquidation value of the fixed rate bonds held by the Dealer Trusts and the liquidation value of the floating rate notes held by third parties, as well as any shortfalls in interest cash flows. The residual interests held by the Trust (inverse floating rate investments) include the right of the Trust (1) to cause the holders of the floating rate notes to tender their notes at par at the next interest rate reset date, and (2) to transfer the municipal bond from the Dealer Trusts to the Trust, thereby collapsing the Dealer Trusts. The Trust accounts for the transfer of bonds to the Dealer Trusts as secured borrowings, with the securities transferred remaining in the Trust’s investment assets, and the related floating rate notes reflected as Trust liabilities. The notes issued by the Dealer Trusts have interest rates that reset weekly and the floating rate note holders have the option to tender their notes to the Dealer Trusts for redemption at par at each reset date. At January 31, 2010, Trust investments with a value of $19,562,961 are held by the Dealer Trusts and serve as collateral for the $11,950,000 in floating rate note obligations outstanding at that date.
     
Bond Insurance:    
 
AGC
  Assured Guaranty Corporation.
 
AGM
  Assured Guaranty Municipal Corporation.
 
AMBAC
  AMBAC Assurance Corporation.
 
BHAC
  Berkshire Hathaway Assurance Corporation.
 
FGIC
  Financial Guaranty Insurance Company.
 
NATL-RE
  National Public Finance Guarantee Corporation.
 
XLCA
  XL Capital Assurance Inc.

 

 

Morgan Stanley Insured Municipal Bond Trust*
Notes to the Portfolio of Investments § January 31, 2010 (unaudited)
Fair Valuation Measurements
Fair value is defined as the price that the Trust would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. GAAP utilizes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Trust’s investments. The inputs are summarized in the three broad levels listed below.
     • Level 1 — unadjusted quoted prices in active markets for identical investments
     • Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
     • Level 3 — significant unobservable inputs (including the Trust’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 and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.
The following is the summary of the inputs used as of January 31, 2010 in valuing the Trust’s investments carried at fair value:
                                 
    FAIR VALUE MEASUREMENTS AT JANUARY 31, 2010 USING  
            UNADJUSTED              
            QUOTED PRICES IN     OTHER        
            ACTIVE MARKET FOR     SIGNIFICANT     SIGNIFICANT  
            IDENTICAL     OBSERVABLE     UNOBSERVABLE  
            INVESTMENTS     INPUTS     INPUTS  
INVESTMENT TYPE   TOTAL     (LEVEL 1)     (LEVEL 2)     (LEVEL 3)  
 
Assets
                                
Tax-Exempt Municipal Bonds
   $ 83,278,038       —     $ 83,278,038       —  
Short-Term Investment — Investment Company
     1,624,038     $ 1,624,038       —       —  
 
                        
Total
   $ 84,902,076     $ 1,624,038     $ 83,278,038       —  
 
Valuation of Investments — (1) portfolio securities are valued by an outside independent pricing service approved by the Trustees. The pricing service uses both a computerized grid matrix of tax-exempt securities and evaluations by its staff, in each case based on information concerning market transactions and quotations from dealers which reflect the mean between the last reported bid and ask price. The portfolio securities are thus valued by reference to a combination of transactions and quotations for the same or other securities believed to be comparable in quality, coupon, maturity, type of issue, call provisions, trading characteristics and other features deemed to be relevant. The Trustees believe that timely and reliable market quotations are generally not readily available for purposes of valuing tax-exempt securities and that the valuations supplied by the pricing service are more likely to represent the fair value of such securities; (2) futures are valued at the latest sale price on the commodities exchange on which they trade unless it is determined that such price does not reflect their market value, in which case they will be valued at their fair value as determined in good faith under procedures established by and under the supervision of the Trustees; (3) interest rate swaps are marked-to-market daily based upon quotations from market makers; (4) investments in open-end mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day; and (5) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a

 

 

mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates market value.
 
*   Morgan Stanley announced on October 19, 2009 that it has entered into a definitive agreement to sell substantially all of its retail asset management business to Invesco Ltd. (“Invesco”), a leading global investment management company. The Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Plan”). Pursuant to the Plan, substantially all of the assets of the Trust would be combined with those of a newly organized mutual fund advised by an affiliate of Invesco Ltd. (the “New Trust”). Pursuant to the Plan, shareholders of the Trust would become shareholders of the New Trust, receiving shares of such New Trust equal to the value of their holdings in the Trust. The Plan is subject to the approval of the Trust’s shareholders at a special meeting of shareholders anticipated to be held during the second quarter of 2010.

 

 

Item 2. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Trust in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the Trust’s internal control over financial reporting that occurred during the registrant’s fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 3. Exhibits.
(a) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto.

 

 

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.
Morgan Stanley Insured Municipal Bond Trust
/s/ Randy Takian
Randy Takian
Principal Executive Officer
March 23, 2010
     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Randy Takian
Randy Takian
Principal Executive Officer
March 23, 2010
/s/ Francis Smith
Francis Smith
Principal Financial Officer
March 23, 2010