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: 811-06434
Morgan Stanley Insured Municipal Trust
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: October 31, 2007
Date of reporting period: January 31, 2007
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 TRUST
PORTFOLIO OF INVESTMENTS January 31, 2006 (unaudited)
PRINCIPAL
AMOUNT MATURITY
IN THOUSANDS COUPON RATE DATE VALUE
------------ ----------- -------- --------------
TAX-EXEMPT MUNICIPAL BONDS (157.2%)
General Obligation (24.9%)
$ 10,000 North Slope Borough, Alaska, Ser 2000 B (MBIA) 0.00% 06/30/10 $ 8,760,800
3,000 Los Angeles, California, Ser 2004 A (MBIA) 5.00 09/01/24 3,167,340
Honolulu City & County, Hawaii,
5,000 Ser 2003 A (MBIA)+++ 5.25 03/01/25 5,326,050
5,000 Ser 2003 A (MBIA)+++ 5.25 03/01/26 5,301,125
Chicago, Illinois,
8,000 Refg Ser 1992 (Ambac) 6.25 01/01/11 8,520,880
2,000 Refg 2001 A (MBIA) 0.00++ 01/01/21 1,798,820
2,000 Refg 2001 A (MBIA) 0.00++ 01/01/22 1,794,440
Illinois,
10,000 Ser 2001 (MBIA) 5.375 04/01/15 11,022,600
10,000 Ser 2001 (MBIA) 5.375 04/01/16 11,086,400
3,000 Brainerd Independent School District #181, Minnesota,
Ser 2002 A (FGIC) 5.375 02/01/18 3,217,920
4,000 Clark County, Nevada, Transportation Impr Ltd Tax
Ser 06/01/92 B (Ambac) 6.50 06/01/17 4,813,400
1,880 King County, Washington, Refg 1998 Ser B (MBIA) 5.25 01/01/34 1,918,672
------------ --------------
63,880 66,728,447
------------ --------------
Educational Facilities Revenue (5.9%)
2,000 Arizona Board of Regents, Arizona State University Ser 2004
COPs (Ambac) 5.00 09/01/30 2,090,360
University of California,
1,000 Limited Projects Ser 2005 B (FSA) 5.00 05/15/30 1,050,680
3,120 Ser 2007 J (FSA) +++ 4.50 05/15/31 3,112,684
2,880 Ser 2007 J (FSA) +++ 4.50 05/15/35 2,873,246
1,735 Orange County Educational Facilities Authority, Florida,
Rollins College Ser 2005 (Ambac) 5.125 12/01/28 1,832,542
Fulton County Development Authority, Georgia,
900 Morehouse College Ser 2000 (Ambac) 6.25 12/01/21 984,186
1,700 Morehouse College Ser 2000 (Ambac) 5.875 12/01/30 1,831,767
2,000 University of North Carolina at Wilmington, Student Housing
Ser 2005 COPs (FGIC) 5.00 06/01/36 2,086,380
------------ --------------
15,335 15,861,845
------------ --------------
Electric Revenue (15.3%)
2,000 Arkansas River Power Authority, Colorado,
Power Ser 2006 (XLCA) 5.25 10/01/40 2,143,140
2,000 Missouri Joint Municipal Electrical Utility Commission,
Plum Point Ser 2006 (MBIA) 5.00 01/01/25 2,124,780
1,000 Long Island Power Authority, New York, Ser 2006 A (XLCA)
South Carolina Public Service Authority, Santee Cooper 5.00 12/01/26 1,056,840
9,325 Ser 2002 B (FSA) 5.375 01/01/17 9,917,511
2,000 Ser 2003 A (Ambac) 5.00 01/01/27 2,091,400
10,000 Lower Colorado River Authority, Texas, Refg Ser 1999 A (FSA) 5.875 05/15/16 10,539,600
3,000 Cowlitz County Public Utility District # 1, Washington,
Production Ser 2006 (MBIA) 5.00 09/01/31 3,159,810
10,000 Seattle, Washington, Light & Power Refg Rev 2001 (FSA) 5.125 03/01/26 10,366,200
------------ --------------
39,325 41,399,281
------------ --------------
Hospital Revenue (4.7%)
3,000 Indiana Health Facilities Financing Authority,
Community Health Ser 2005 A (Ambac) 5.00 05/01/35 3,128,490
2,000 Louisiana Public Facilities Authority, Baton Rouge General
Medical Center-FHA Insured Mtge Ser 2004 (MBIA) 5.25 07/01/33 2,118,840
4,000 Minneapolis, Minnesota, Fairview Health 2005 Ser D (Ambac) 5.00 11/15/34 4,198,400
2,000 New York State Dormitory Authority, Montefiore Hospital - FHA
Insured Mtge Ser 2004 A (FGIC) 5.00 08/01/29 2,102,900
1,000 Medical University, South Carolina, Hospital Authority, FHA
Insured Mtge Ser 2004 A (MBIA) 5.25 02/15/25 1,065,570
------------ --------------
12,000 12,614,200
------------ --------------
Industrial Development/Pollution Control Revenue (2.5%)
5,000 New York State Energy Research & Development Authority,
Brooklyn Union Gas Co 1996 Ser (MBIA)** 5.50 01/01/21 5,056,800
1,500 Delaware County Industrial Development Authority,
Pennsylvania, Aqua Inc Ser A 2005 (AMT) (FGIC) 5.00 11/01/37 1,564,680
------------ --------------
6,500 6,621,480
------------ --------------
Mortgage Revenue - Multi-Family (1.4%)
3,695 New Jersey Housing Mortgage Finance Authority, Home Buyer
Ser 2000 CC (AMT) (MBIA) 5.875 10/01/31 3,728,661
------------ --------------
Public Facilities Revenue (6.5%)
2,000 Kern County Board of Education, California, Refg 2006 Ser A
COPs (MBIA) 5.00 06/01/31 2,107,360
1,500 Albuquerque, New Mexico, Gross Receipts Lodgers' Tax Refg
Ser 2004 A (FSA) 5.00 07/01/37 1,564,575
12,000 Hudson Yards Infrastructure Corporation, 2007 Ser A (MBIA)+++ 4.50 02/15/47 11,865,780
1,685 Oregon Department of Administrative Services, Ser 2005 B
COPs (FGIC) 5.00 11/01/24 1,782,123
------------ --------------
17,185 17,319,838
------------ --------------
Recreational Facilities Revenue (9.1%)
6,500 Denver Convention Center Hotel Authority, Colorado,
Refg Ser 2006 (XLCA) 5.00 12/01/35 6,819,215
4,000 District of Columbia Ballpark, Ser 2006 B-1 (FGIC) 5.00 02/01/31 4,208,680
Iowa,
3,600 Vision Iowa Ser 2001 (MBIA) 5.50 02/15/19 4,113,756
2,500 Vision Iowa Ser 2001 (MBIA) 5.50 02/15/20 2,868,475
1,000 Omaha Convention Hotel Corporation, Nebraska, Ser 2002 A
(Ambac) 5.50 04/01/18 1,073,430
New York City Industrial Development Agency, New York,
1,000 Queens Baseball Stadium Ser 2006 (Ambac) 5.00 01/01/31 1,063,060
2,000 Yankee Stadium Ser 2006 (FGIC) 5.00 03/01/46 2,099,320
1,965 Hamilton County, Ohio, Sales Tax 2000 (Ambac) 5.60 12/01/32 2,049,259
------------ --------------
22,565 24,295,195
------------ --------------
Transportation Facilities Revenue (33.6%)
5,000 Denver City & County, Colorado, Airport Refg Ser 2000 A (AMT)
(Ambac) 6.00 11/15/18 5,329,000
Miami Dade County, Florida,
2,155 Miami Int'l Airport Refg Ser 2003 B (AMT) (MBIA) 5.25 10/01/18 2,280,119
2,270 Miami Int'l Airport Refg Ser 2003 B (AMT) (MBIA) 5.25 10/01/19 2,397,756
5,000 Atlanta, Georgia, Airport Ser 2004 C (FSA) 5.00 01/01/33 5,208,800
5,000 Hawaii, Airports Refg Ser 2001 (AMT) (FGIC) 5.25 07/01/21 5,188,000
4,000 Regional Transportation Authority, Illinois, Refg Ser 1999
(FSA) 5.75 06/01/21 4,693,080
Chicago, Illinois,
3,000 O'Hare Int'l Airport, Ser 2005 A (MBIA) 5.25 01/01/25 3,233,310
2,000 O'Hare Int'l Airport Third Lien Ser 2003 (AMT) (FSA) 5.75 01/01/23 2,186,840
2,500 Maryland Economic Development Corporation, Maryland Aviation
Administration Ser 2003 (AMT) (FSA) 5.375 06/01/22 2,654,450
8,000 Massachusetts Turnpike Authority, Metropolitan Highway Ser
1997 A (MBIA)+++ 5.00 01/01/37 8,122,320
5,000 Nevada Department of Business & Industry, Las Vegas Monorail
1st Tier Ser 2000 (Ambac) 0.00 01/01/21 2,709,950
2,000 New Jersey Transportation Trust Fund Authority, Ser 2005 C
(FGIC) 5.25 06/15/20 2,169,620
5,000 New Jersey Turnpike Authority, Ser 2003 A (Ambac) 5.00 01/01/30 5,231,350
Metropolitan Transportation Authority, New York,
6,805 State Service Contract Refg Ser 2002 B (MBIA) 5.50 07/01/20 7,361,105
10,000 Transportation Refg Ser 2002 A (Ambac) 5.50 11/15/17 10,832,700
2,000 Transportation Refg Ser 2002 A (FGIC) 5.00 11/15/25 2,098,100
Pennsylvania Turnpike Commission,
4,000 Ser R 2001 (Ambac) 5.00 12/01/26 4,176,520
4,000 Ser A 2004 (Ambac) 5.00 12/01/34 4,229,000
3,000 Harris County, Texas, Toll Road Sr Lien Ser 2005 A (FSA) 5.25 08/15/35 3,115,530
Port of Seattle, Washington, Passenger Facility
4,010 Ser 1998 A (MBIA)+++ 5.00 12/01/23 4,100,960
2,500 Ser 2001 B (AMT) (MBIA) 5.625 02/01/24 2,621,900
------------ --------------
87,240 89,940,410
------------ --------------
Water & Sewer Revenue (33.8%)
1,000 Phoenix Civic Improvement Corporation, Arizona, Jr Lien
Wastewater Ser 2004 (MBIA) 5.00 07/01/27 1,050,820
4,000 Eastern Municipal Water District, California, Water & Sewer
Refg Ser 2006 A COPs (MBIA) 5.00 07/01/32 4,222,720
5,000 Los Angeles Department Water & Power, California, 2006 Ser A-1
(Ambac) 5.00 07/01/40 5,282,000
2,000 Sacramento County Sanitation Districts Financing Authority,
California, Sacramento Regional Ser 2006 (FGIC) 5.00 12/01/36 2,124,760
5,000 San Diego County Water Authority, California, Ser 2004 A COPs
(FSA) 5.00 05/01/29 5,260,100
10,000 Tampa Bay Water, Florida, Ser 2001 B (FGIC) 5.00 10/01/31 10,294,700
2,000 Atlanta, Georgia, Water & Wastewater Ser 1999 A (FGIC) 5.00 11/01/29 2,043,660
10,000 Louisville & Jefferson County Metropolitan Sewer District,
Kentucky, Ser 1999 A (FGIC) 5.75 05/15/33 10,573,500
3,800 Louisville Board of Water Works, Kentucky, Water Ser 2000
(FSA) 5.50 11/15/25 4,002,426
5,000 Grand Strand Water & Sewer Authority, South Carolina,
Refg Ser 2001 (FSA) 5.00 06/01/31 5,191,500
Austin, Texas,
10,000 Water & Wastewater Refg Ser 2001 A & B (FSA)+++ 5.125 05/15/27 10,189,425
2,000 Water & Wastewater Ser 2004 A (Ambac) 5.00 11/15/27 2,096,420
15,000 Houston, Texas, Combined Utility First Lien Refg 2004 Ser A
(FGIC) 5.25 05/15/23 16,115,549
San Antonio, Texas,
2,000 Water & Refg Ser 2002 (FSA) 5.50 05/15/18 2,148,020
2,500 Water & Refg Ser 2002 (FSA) 5.50 05/15/20 2,680,075
2,000 Water & Refg Ser 2002 A (FSA) 5.00 05/15/32 2,076,020
5,000 King County, Washington, Sewer Refg 2001 (FGIC) 5.00 01/01/31 5,178,100
------------ --------------
86,300 90,529,795
------------ --------------
Other Revenue (3.3%)
2,500 California, Economic Recovery Ser 2004 A (MBIA) 5.00 07/01/15 2,697,275
6,000 Golden State Tobacco Securitization Corporation, California,
Enhanced Asset Backed Ser 2005 A (FGIC) 5.00 06/01/38 6,276,240
------------ --------------
8,500 8,973,515
------------ --------------
Refunded (16.2%)
2,390 San Jose Redevelopment Agency, California, Merged Area
Ser 2002 (MBIA) 5.00 08/01/10 2,522,478
5,000 Honolulu City & County, Hawaii, Wastewater Ser 2001 (Ambac) 5.125 07/01/11+ 5,280,400
5,000 Detroit, Michigan, Sewage Disposal Ser 2001 A (FGIC) 5.125 07/01/11+ 5,272,100
5,000 Minneapolis - St Paul Metropolitan Airports Commission,
Minnesota, Ser 2001 C (FGIC) 5.25 01/01/11 5,266,000
2,500 University of North Carolina, Ser 2000 (Ambac) 5.25 10/01/10+ 2,637,150
8,035 Hamilton County, Ohio, Sales Tax 2000 (Ambac) 5.60 12/01/10+ 8,468,569
2,000 Pennsylvania Public School Building Authority, Philadelphia
School District Ser 2003 (FSA) 5.00 06/01/13+ 2,137,940
Wichita Falls, Texas,
2,000 Water & Sewer Ser 2001 (Ambac) 5.375 08/01/11+ 2,115,180
3,000 Water & Sewer Ser 2001 (Ambac) 5.375 08/01/11+ 3,168,360
3,000 Utah Board of Regents, University of Utah - Huntsman Cancer
Institute Refg Ser 2000 A (MBIA) 5.50+ 04/01/10 3,177,720
3,000 Alexandria Industrial Development Authority, Virginia,
Institute for Defense Analysis Ser 2000 A (Ambac) 5.90+ 10/01/10 3,246,660
------------ --------------
40,925 43,292,557
------------ --------------
403,450 TOTAL TAX-EXEMPT MUNICIPAL BONDS (Cost $401,647,614) 421,305,224
------------ --------------
SHORT-TERM TAX-EXEMPT MUNICIPAL OBLIGATION (3.3%)
700 North Central Texas Health Facility Development
Corporation, Presbyterian Medical Center Ser 1985 D
(Demand 02/01/07) 3.70* 12/01/15 700,000
8,200 San Antonio Education Facilities Corporation, Texas, Trinity
University Ser 2002 (Demand 02/01/07) 3.73* 06/01/33 8,200,000
------------ --------------
8,900 TOTAL SHORT-TERM TAX-EXEMPT MUNICIPAL OBLIGATION
(Cost $8,900,000) 8,900,000
------------ --------------
412,350 TOTAL INVESTMENTS (Cost $410,547,614) 430,205,224
------------ --------------
(36,260) FLOATING RATE NOTE OBLIGATIONS RELATED TO SECURITIES
HELD (-13.5%)
Notes with interest rates ranging from 3.44% to 3.65% at
January 31, 2007 and contractual maturities of collateral
ranging from 12/01/23 to 02/15/47 ++++ (c)
(Cost ($36,260,000)) (36,260,000)
------------ --------------
$ 376,090 TOTAL NET INVESTMENTS (Cost $374,287,614) (a) (b) 147.0% 393,945,224
============
OTHER ASSETS IN EXCESS OF LIABILITIES 1.5 4,054,544
PREFERRED SHARES OF BENEFICIAL INTEREST (48.5) (130,026,776)
----- --------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 100.0% $ 267,972,992
===== ==============
----------
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.
FHA Federal Housing Authority.
+ Prerefunded to call date shown.
++ Security is a "step-up" bond where the coupon increases on a predetermined
future date.
+++ Underlying security related to inverse floaters entered into by the Trust.
++++ Floating rate note obligations related to securities held. The interest
rate shown reflects the rate in effect at January 31, 2007.
* Current coupon of variable rate demand obligation.
** A portion of this security has been physically segregated in connection
with open futures contracts in the amount of $107,250.
(a) Securities have been designated as collateral in an amount equal to
$17,851,109 in connection with open futures contracts.
(b) The aggregate cost for federal income tax purposes is $374,281,947. The
aggregate gross unrealized appreciation is $19,935,831 and the aggregate
gross unrealized depreciation is $272,554, resulting in net unrealized
appreciation of $19,663,277.
(c) 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 Trust have interest rates that reset weekly and the floating
rate note holders have the option to tender their notes to the Dealer
Trust for redemption at par at each reset date. At January 31, 2007, Trust
investments with a value of $50,891,590 are held by the Dealer Trust and
serve as collateral for the $36,260,000 in floating rate note obligations
outstanding at that date. Contractual maturities of the floating rate note
obligations and interest rates in effect at January 31, 2007 are presented
in the "Portfolio of Investments".
Bond Insurance:
Ambac Ambac Assurance Corporation.
FGIC Financial Guaranty Insurance Company.
FSA Financial Security Assurance Inc.
MBIA Municipal Bond Investors Assurance Corporation.
XLCA XL Capital Assurance Inc.
FUTURES CONTRACTS OPEN AT JANUARY 31, 2007:
NUMBER OF UNDERLYING FACE UNREALIZED
CONTRACTS LONG/SHORT DESCRIPTION, DELIVERY MONTH AND YEAR AMOUNT AT VALUE APPRECIATION
--------- ---------- --------------------------------------- --------------- ------------
165 Short U.S. Treasury Notes 10 Year, March 2007 $(17,613,750) $344,156
========
Geographic Summary of Investments
Based on Market Value as a Percent of Total Net Investments
Alaska 2.0%
Arizona 0.8
California 9.5
Colorado 3.3
District of Columbia 1.0
Florida 3.9
Georgia 2.3
Hawaii 4.9
Illinois 10.3
Indiana 0.7
Iowa 1.6
Kentucky 3.4
Louisiana 0.5
Maryland 0.6
Massachusetts 1.9
Michigan 1.2
Minnesota 3.0
Missouri 0.5
Nebraska 0.3
Nevada 1.7
New Jersey 2.6
New Mexico 0.4
New York 10.1
North Carolina 1.1
Ohio 2.4
Oregon 0.4
Pennsylvania 2.8
South Carolina 4.3
Texas 14.7
Utah 0.7
Virginia 0.7
Washington 6.4
Joint exemptions* 0.0
-----
Total+ 100.0%
=====
----------
* Joint exemptions have been included in each geographic location.
+ Does not include open short futures contracts with an underlying face
amount of $17,613,750 with a total unrealized appreciation of $344,156.
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
provide reasonable assurance 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 ("SEC")
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. The
Trust's principal executive officer and principal financial officer have also
concluded that the Trust's disclosure controls and procedures designed to ensure
that information required to be disclosed by the Trust in this Form N-Q is
accumulated and communicated to the Trust's management, including its principal
executive officer and principal financial officer, as appropriate to allow
timely decisions regarding required disclosure were effective.
Management of the Trust has determined that as of and prior to November 30,
2006, the Trust's fiscal quarter end period, the Trust had a deficiency in its
internal control over financial reporting related to the review, analysis and
determination of whether certain transfers of municipal securities qualified for
sale accounting under the provisions of Statement of Financial Accounting
Standards No. 140 "Accounting for Transfers and Servicing of Financial Assets
and Extinguishments of Liabilities." Since November 30, 2006, and prior to the
issuance of the Trust's quarterly schedule of portfolio holdings, management has
revised its disclosure controls and procedures and its internal control over
financial reporting in order to improve the controls' effectiveness to ensure
that transactions in transfer of municipal securities are accounted for
properly.
Management notes that other investment companies investing in similar
investments over similar time periods had been accounting for such investments
in a similar manner as the Trust. Accordingly, other investment companies are
also concluding that there was a material weakness in their internal control
over financial reporting of such investments. There was no impact to the net
asset value of the Trust's shares or the Trust's total return for any period as
a result of the changes in financial reporting of such investments.
(b) There were no changes in the Trust's internal control over financial
reporting that occurred during the fiscal quarter that has materially affected,
or is reasonably likely to materially affect, the Trust's internal control over
financial reporting. However, as discussed above, subsequent to November 30,
2006, the Trust's internal control over financial reporting was revised.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal
financial officer of the registrant are attached hereto.
2
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 Trust
/s/ Ronald E. Robison
-------------------------------------
Ronald E. Robison
Principal Executive Officer
March 22, 2007
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/ Ronald E. Robison
-------------------------------------
Ronald E. Robison
Principal Executive Officer
March 22, 2007
/s/ Francis Smith
-------------------------------------
Francis Smith
Principal Financial Officer
March 22, 2007
3