Investment Portfolio

as of August 31, 2009 (Unaudited)

Principal
Amount ($)

Value ($)

Municipal Bonds and Notes 151.9%

Alabama 0.6%

Sylacauga, AL, Health Care Authority Revenue, Coosa Valley Medical Center, Series A, 6.0%, 8/1/2035

1,000,000

700,990

Arizona 2.6%

Arizona, Project Revenue, Health Facilities Authority, The New Foundation Project, 8.25%, 3/1/2019

1,625,000

1,621,311

Maricopa County, AZ, Pollution Control Corp. Revenue, El Paso Electric Co. Project, Series B, 7.25%, 4/1/2040

1,570,000

1,697,092

3,318,403

California 14.3%

California, Health Facilities Financing Authority Revenue, Catholic Healthcare West, Series A, 6.0%, 7/1/2034

1,000,000

1,011,000

California, Infrastructure & Economic Development Bank Revenue, Orange County Performing Arts Center, Series A, 0.1% **, 7/1/2034, Bank of America NA (a)

400,000

400,000

California, M-S-R Energy Authority, Series B, 7.0%, 11/1/2034 (b)

1,310,000

1,373,928

California, Morongo Band of Mission Indians, Enterprise Casino Revenue, Series B, 144A, 6.5%, 3/1/2028

1,000,000

825,840

California, South Bayside Waste Management Authority, Solid Waste Enterprise, Shoreway Environmental, Series A, 6.25%, 9/1/2029 (b)

1,425,000

1,499,656

California, Special Assessment Revenue, Golden State Tobacco Securitization Corp., Series 2003-A-1, Prerefunded, 6.75%, 6/1/2039

4,000,000

4,713,480

California, State General Obligation:

5.75%, 4/1/2031

1,000,000

1,047,970

6.0%, 4/1/2038

1,000,000

1,058,180

6.5%, 4/1/2033

1,950,000

2,162,628

California, State Public Works Board Lease Revenue, Riverside Campus Project, Series B, 6.125%, 4/1/2028

2,000,000

2,073,940

Sacramento County, CA, Sales & Special Tax Revenue, Bradshaw Road Project, 7.2%, 9/2/2015

765,000

767,540

Southern California, Metropolitan Water District, Waterworks Revenue, Series C-1, 0.08% **, 7/1/2036

1,000,000

1,000,000

17,934,162

Colorado 1.1%

Colorado, Health Facilities Authority Revenue, Christian Living Communities Project, Series A, 5.75%, 1/1/2037

1,000,000

742,430

Colorado, Public Energy Authority, Natural Gas Purchased Revenue, 6.25%, 11/15/2028

635,000

647,789

1,390,219

Connecticut 2.6%

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

2,000,000

2,040,560

Mashantucket, CT, Mashantucket Western Pequot Tribe, Special Revenue, Series A, 144A, 6.5%, 9/1/2031

705,000

336,729

Mashantucket, CT, Sports, Expo & Entertainment Revenue, Mashantucket Western Pequot Tribe:

Series B, 144A, Zero Coupon, 9/1/2017

2,000,000

573,160

Series B, 144A, Zero Coupon, 9/1/2018

1,000,000

270,690

3,221,139

Florida 8.2%

Florida, Capital Region Community Development District Revenue, Capital Improvement, Series A, 7.0%, 5/1/2039

500,000

375,750

Florida, Middle Village Community Development District, Special Assessment, Series A, 6.0%, 5/1/2035

1,000,000

717,730

Florida, Tolomato Community Development District, Special Assessment:

5.4%, 5/1/2037

1,955,000

1,159,022

6.55%, 5/1/2027

850,000

637,415

Hillsborough County, FL, Industrial Development Authority Revenue, Health Facilities, University Community Hospital, Series A, 5.625%, 8/15/2029

1,875,000

1,503,356

Miami Beach, FL, Health Facilities Authority Hospital Revenue, Mount Sinai Medical Center, 144A, 6.75%, 11/15/2029

1,600,000

1,251,904

Miami-Dade County, FL, Aviation Revenue, Series A, 5.5%, 10/1/2041

3,000,000

3,039,480

Orlando, FL, Greater Aviation Authority, Airport Facilities Revenue, Jet Blue Airways Corp., AMT, 6.5%, 11/15/2036

1,000,000

689,750

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

1,000,000

892,390

10,266,797

Georgia 5.1%

Americus-Sumter County, GA, Hospital & Healthcare Revenue, Hospital Authority, South Georgia Methodist, Series A, 6.375%, 5/15/2029

1,250,000

996,388

Atlanta, GA, Water & Wastewater Revenue, Series A, 6.25%, 11/1/2034

2,000,000

2,094,800

Gainesville & Hall County, GA, Development Authority Retirement Community Revenue, ACTS Retirement, Life Community, Series A-2, 6.625%, 11/15/2039

1,000,000

1,027,860

Georgia, Main Street Natural Gas, Inc., Gas Project Revenue, Series A, 5.5%, 9/15/2024

1,220,000

1,154,315

Georgia, Medical Center Hospital Authority Revenue, Anticipation Certificates, Columbus Regional Healthcare Systems, 6.5%, 8/1/2038 (c)

1,000,000

1,102,260

6,375,623

Guam 1.5%

Guam, Government General Obligation, Series A, 7.0%, 11/15/2039

1,000,000

1,008,190

Guam, Government Waterworks Authority, Water & Wastewater System Revenue, 6.0%, 7/1/2025

1,000,000

937,310

1,945,500

Hawaii 0.4%

Hawaii, State Department of Budget & Finance, Special Purpose Revenue, Hawaiian Electric Co., 6.5%, 7/1/2039

500,000

524,370

Idaho 0.3%

Idaho, Health Facilities Authority Revenue, St. Luke's Regional Medical Center, 6.75%, 11/1/2037

305,000

327,588

Illinois 5.2%

Illinois, Finance Authority Revenue, Friendship Village of Schaumburg, Series A, 5.625%, 2/15/2037

2,000,000

1,399,380

Illinois, Finance Authority Revenue, Monarch Landing, Inc. Facility, Series A, 7.0%, 12/1/2027

1,000,000

591,600

Illinois, Finance Authority Revenue, Three Crowns Park Plaza, Series A, 5.875%, 2/15/2038

1,000,000

771,440

Illinois, Hospital & Healthcare Revenue, ETM, 6.75%, 2/15/2016

2,180,000

2,259,941

Illinois, Upper River Valley Development Authority, Solid Waste Disposal Revenue, Waste Recovery Project, AMT, 5.9%, 2/1/2014

995,000

911,360

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

620,000

621,637

6,555,358

Indiana 1.0%

Indiana, Finance Authority Hospital Revenue, Deaconess Hospital Obligation, Series A, 6.75%, 3/1/2039

525,000

543,974

Vigo County, IN, Hospital Authority Revenue, Union Hospital, Inc., 144A, 5.7%, 9/1/2037

1,000,000

737,070

1,281,044

Iowa 1.9%

Cedar Rapids, IA, First Mortgage Revenue, Cottage Grove Place, Series A, 5.875%, 7/1/2028

1,670,000

1,212,737

Iowa, Finance Authority Retirement Community Revenue, Edgewater LLC Project, 6.5%, 11/15/2027

1,000,000

849,270

Lake City, IA, Senior Care Revenue, Health Care Facility, Opportunity Living Project, 144A, 6.45%, 5/1/2011

350,000

350,126

2,412,133

Kansas 2.2%

Lenexa, KS, Health Care Facility Revenue, 5.5%, 5/15/2039

2,000,000

1,392,640

Wyandotte County, KS, Unified Government Special Obligation Revenue, Sales Tax, Series B, 5.0%, 12/1/2020

1,400,000

1,396,318

2,788,958

Kentucky 3.6%

Kentucky, Economic Development Finance Authority, Health System Revenue, Norton Healthcare:

Series A, 6.625%, 10/1/2028

215,000

218,210

Series A, Prerefunded, 6.625%, 10/1/2028

785,000

841,599

Kentucky, Economic Development Finance Authority, Louisville Arena Project Revenue, Series A-1, 6.0%, 12/1/2033 (c)

365,000

386,338

Louisville & Jefferson County, KY, Metropolitan Government Health Systems Revenue, Norton Healthcare, Inc., 5.0%, 10/1/2030

3,425,000

3,132,813

4,578,960

Louisiana 4.2%

Louisiana, Local Government Environmental Facilities, Community Development Authority Revenue, 6.75%, 11/1/2032

1,000,000

902,780

Louisiana, St. John Baptist Parish Revenue, Marathon Oil Corp., Series A, 5.125%, 6/1/2037

1,500,000

1,371,600

Morehouse Parish, LA, Pollution Control Revenue, International Paper Co. Project, Series A, 5.25%, 11/15/2013

3,000,000

2,983,560

5,257,940

Maryland 4.9%

Maryland, Economic Development Corp., Pollution Control Revenue, Potomac Electric Power Co., 6.2%, 9/1/2022

1,500,000

1,656,300

Maryland, State Economic Development Corp. Revenue, Senior Lien Project, Chesapeake Bay:

Series A, 5.0%, 12/1/2031

1,000,000

530,080

Series B, 5.25%, 12/1/2031

2,000,000

1,090,360

Maryland, State Health & Higher Educational Facilities Authority Revenue, Anne Arundel Health Systems, Series A, 6.75%, 7/1/2039

500,000

561,895

Maryland, State Health & Higher Educational Facilities Authority Revenue, Washington County Hospital:

5.75%, 1/1/2033

1,000,000

951,880

6.0%, 1/1/2028

1,385,000

1,392,978

6,183,493

Massachusetts 5.8%

Massachusetts, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Civic Investments, Series A, Prerefunded, 9.0%, 12/15/2015

1,600,000

1,928,768

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

1,845,000

1,434,561

Massachusetts, Project Revenue, Health & Educational Facilities Authority, Jordan Hospital, Series E, 6.75%, 10/1/2033

1,790,000

1,417,107

Massachusetts, State Development Finance Agency Revenue, Linden Ponds, Inc. Facility, Series A, 5.75%, 11/15/2035

2,700,000

1,793,475

Massachusetts, State Health & Educational Facilities Authority Revenue, Milford Regional Medical Center, Series E, 5.0%, 7/15/2037

950,000

706,392

Massachusetts, State Health & Educational Facilities Authority Revenue, Partners Healthcare Systems, Series C, 5.75%, 7/1/2032

35,000

35,988

7,316,291

Michigan 3.5%

Kalamazoo, MI, Economic Development Corp. Revenue, Heritage Community, 5.375%, 5/15/2027

1,000,000

717,500

Royal Oak, MI, Hospital Finance Authority Revenue, William Beaumont Hospital, 8.25%, 9/1/2039

1,000,000

1,147,230

Saginaw, MI, Hospital & Healthcare Revenue, Hospital Finance Authority, Covenant Medical Center, Series F, 6.5%, 7/1/2030

1,000,000

1,005,780

Tawas City, MI, Hospital Finance Authority, St. Joseph Health Services:

Series A, ETM, 5.6%, 2/15/2013

190,000

201,645

Series A, ETM, 5.75%, 2/15/2023

1,300,000

1,317,758

4,389,913

Minnesota 0.9%

Minneapolis, MN, Health Care Systems Revenue, Fairview Health Services, Series A, 6.75%, 11/15/2032

1,000,000

1,096,810

Mississippi 1.3%

Lowndes County, MS, Solid Waste Disposal & Pollution Control Revenue, Weyerhaeuser Co. Project, Series A, 6.8%, 4/1/2022

250,000

243,887

Mississippi, Business Finance Corp., Pollution Control Revenue, Systems Energy Resources, Inc. Project, 5.875%, 4/1/2022

1,000,000

936,660

Warren County, MS, Gulf Opportunity Zone, International Paper Co., Series A, 6.5%, 9/1/2032

435,000

430,650

1,611,197

Missouri 1.9%

Branson, MO, Regional Airport Transportation Development District, Airport Revenue, Series B, AMT, 6.0%, 7/1/2037

250,000

163,495

Missouri, State Health & Educational Facilities Authority Revenue, Lutheran Senior Services, Series C, 5.0%, 2/1/2042

2,000,000

1,473,900

St. Louis, MO, Lambert-St. Louis International Airport Revenue, Series A-1, 6.625%, 7/1/2034

415,000

427,794

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

275,000

283,638

2,348,827

Nevada 8.7%

Clark County, NV, Industrial Development Revenue, Nevada Power Co. Project, Series B, AMT, 5.9%, 10/1/2030

1,665,000

1,504,344

Clark County, NV, School District, Series A, 5.0%, 6/15/2022 (c)

7,140,000

7,540,197

Henderson, NV, Health Care Facility Revenue, Catholic Healthcare West, Series B, 5.25%, 7/1/2031

2,000,000

1,866,960

Nevada, Director State Department of Business & Industry, Las Vegas Monorail Project, Second Tier, 7.375%, 1/1/2030 *

2,000,000

20,000

10,931,501

New Hampshire 2.2%

New Hampshire, Hospital & Healthcare Revenue, Rivermead at Peterborough Retirement Community, 5.75%, 7/1/2028

1,500,000

1,202,025

New Hampshire, State Business Finance Authority, Solid Waste Disposal Revenue, Waste Management, Inc. Project, AMT, 5.2%, 5/1/2027

1,750,000

1,603,087

2,805,112

New Jersey 1.2%

New Jersey, Economic Development Authority Revenue, Cigarette Tax, 5.75%, 6/15/2034

290,000

265,686

New Jersey, Health Care Facilities Financing Authority Revenue, St. Joseph's Health Care System, 6.625%, 7/1/2038

1,430,000

1,307,149

1,572,835

New Mexico 2.0%

Farmington, NM, Pollution Control Revenue, 5.8%, 4/1/2022

2,750,000

2,535,912

New York 13.9%

Long Island, NY, Power Authority, Electric System Revenue, Series E, 5.0%, 12/1/2021 (c)

2,900,000

3,050,191

Nassau County, NY, Project Revenue, North Shore Healthcare Systems Project, Series B, 5.875%, 11/1/2011

365,000

377,115

New York, Core City General Obligation, Series C, 7.0%, 2/1/2010

315,000

322,960

New York, Sales & Special Tax Revenue, Metropolitan Transportation Authority, Series A, Prerefunded, 5.125%, 4/1/2019 (c)

1,450,000

1,682,029

New York, State General Obligation Lease, Higher Education Revenue, Dormitory Authority, State University, 5.125%, 5/15/2021 (c)

140,000

140,088

New York & New Jersey Port Authority, One Hundred Forty-Seventh, AMT, 5.0%, 10/15/2023 (c)

8,260,000

8,412,562

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

2,000,000

1,791,060

New York City, NY, Industrial Development Agency, Special Facility Revenue, American Airlines, JFK International Airport, AMT, 8.0%, 8/1/2028

2,000,000

1,769,460

17,545,465

North Carolina 2.7%

North Carolina, Electric Revenue, Municipal Power Agency, Series C, 5.375%, 1/1/2017

1,000,000

1,039,600

North Carolina, Medical Care Commission, Health Care Facilities Revenue, University Health Systems, Series D, 6.25%, 12/1/2033

1,000,000

1,077,750

North Carolina, Municipal Power Agency No. 1, Catawba Electric Revenue, Series B, 6.375%, 1/1/2013

1,300,000

1,328,847

3,446,197

Ohio 5.0%

Buckeye, OH, Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/1/2030

7,350,000

6,231,403

Pennsylvania 4.0%

Butler County, PA, Hospital Authority Revenue, Butler Health Systems Project, 7.25%, 7/1/2039

2,000,000

2,145,040

Montgomery County, PA, Industrial Development Authority Revenue, Whitemarsh Continuing Care, 6.25%, 2/1/2035

600,000

401,088

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

750,000

767,588

Philadelphia, Redevelopment Authority Revenue, First Lien Mortgage, Series A, 6.5%, 1/1/2029

589,200

589,677

Westmoreland County, PA, Senior Care Revenue, Industrial Development Authority, Health Care Facilities-Redstone, Series B, Prerefunded, 8.125%, 11/15/2030

1,000,000

1,094,080

4,997,473

Puerto Rico 7.0%

Commonwealth of Puerto Rico, Aqueduct & Sewer Authority Revenue, Series A, 6.0%, 7/1/2038

4,000,000

4,029,600

Commonwealth of Puerto Rico, Highway & Transportation Authority Revenue, Series L, 5.25%, 7/1/2038 (c)

1,300,000

1,193,530

Puerto Rico, Sales Tax Financing Corp., Sales Tax Revenue, Series A, 6.5%, 8/1/2044

2,000,000

2,167,100

Puerto Rico, Sales Tax Financing Corp., Sales Tax Revenue, Convertible Capital Appreciation, Series A, Zero Coupon, 8/1/2032

2,000,000

1,400,000

8,790,230

South Carolina 4.1%

Hardeeville, SC, Assessment Revenue, Anderson Tract Municipal Improvement District, Series A, 7.75%, 11/1/2039

983,000

767,271

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

Series C, Prerefunded, 7.0%, 8/1/2030

1,545,000

1,844,375

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

1,000,000

1,091,410

South Carolina, Jobs Economic Development Authority Revenue, Bon Secours Health System, Series B, 5.625%, 11/15/2030

1,585,000

1,519,555

5,222,611

South Dakota 1.6%

South Dakota, Hospital & Healthcare Revenue, Sioux Valley Hospital, Series E, 5.375%, 11/1/2024

2,000,000

2,021,760

Tennessee 3.5%

Clarksville, TN, Natural Gas Acquisition Corp., Gas Revenue:

5.0%, 12/15/2017

500,000

471,160

5.0%, 12/15/2018

540,000

505,208

Johnson City, TN, Health & Educational Facilities Board Hospital Revenue, Mountain States Health Alliance, Series A, 7.75%, 7/1/2038

1,000,000

1,114,470

Johnson City, TN, Hospital & Healthcare Revenue, Health & Educational Facilities Board Hospital, Series A, Prerefunded, 7.5%, 7/1/2033

2,000,000

2,289,080

4,379,918

Texas 13.2%

Abilene, TX, Senior Care Revenue, Health Facilities Development, Sears Methodist Retirement Facilities, Series A, 5.9%, 11/15/2025

2,500,000

1,963,725

Austin, TX, Austin-Bergstrom Landhost Enterprises, Inc., Airport Hotel Project, Series A, 4.388%, 4/1/2027 (d)

1,960,000

1,340,954

Brazos River, TX, Harbor Navigation District, Brazoria County Environmental Health, Dow Chemical Co. Project:

Series B-2, 4.95%, 5/15/2033

1,000,000

817,110

Series A-3, AMT, 5.125%, 5/15/2033

1,000,000

795,640

Dallas, TX, Performing Arts Cultural Facilities Corp., Dallas Arts Center Foundation Project, Series A, 0.13% **, 9/1/2041, Bank of America NA (a)

2,500,000

2,500,000

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

2,000,000

1,710,100

Matagorda County, TX, Navigation District No. 1, Pollution Control Revenue, AEP Texas Central Co. Project, Series A, 4.4%, 5/1/2030 (c)

2,250,000

1,746,562

North Texas, Tollway Authority Revenue, Toll Second Tier, Series F, 5.75%, 1/1/2033

2,000,000

1,984,600

San Antonio, TX, Convention Center Hotel Finance Corp., Contract Revenue, Empowerment Zone, Series A, AMT, 5.0%, 7/15/2039 (c)

1,000,000

806,630

Texas, Industrial Development Revenue, Waste Disposal Authority, Series A, AMT, 6.1%, 8/1/2024

1,000,000

958,870

Texas, SA Energy Acquisition Public Facility Corp., Gas Supply Revenue, 5.5%, 8/1/2020

2,000,000

2,036,880

16,661,071

Virgin Islands 2.4%

Virgin Islands, Sales & Special Tax Revenue, Public Finance Authority, Series A, 6.375%, 10/1/2019

3,000,000

3,062,820

Virginia 1.2%

Washington County, VA, Industrial Development Authority, Hospital Facility Revenue, Mountain States Health Alliance, Series C, 7.75%, 7/1/2038

1,370,000

1,527,865

Washington 1.9%

Washington, State Health Care Facilities Authority Revenue, Series C, 5.375%, 8/15/2028 (c)

595,000

516,793

Washington, State Health Care Facilities Authority Revenue, Virginia Mason Medical Center, Series A, 6.125%, 8/15/2037

2,000,000

1,820,440

2,337,233

West Virginia 0.3%

West Virginia, Hospital Finance Authority Revenue, Charleston Medical Center, Prerefunded, 6.75%, 9/1/2022

390,000

417,788

Wisconsin 3.9%

Wisconsin, Hospital & Healthcare Revenue, Health & Educational Facilities Authority, Aurora Health Care, Inc., 6.875%, 4/15/2030

1,000,000

1,021,500

Wisconsin, State Health & Educational Facilities Authority Revenue, Aurora Health Care, Inc., Series A, 5.6%, 2/15/2029

1,040,000

955,708

Wisconsin, State Health & Educational Facilities Authority Revenue, Prohealth Care, Inc. Obligation Group, 6.625%, 2/15/2039

1,110,000

1,161,093

Wisconsin, State Health & Educational Facilities Authority Revenue, Thedacare, Inc., Series A, 5.5%, 12/15/2038

1,765,000

1,724,670

4,862,971

Total Municipal Bonds and Notes (Cost $190,952,458)

191,175,880

Municipal Inverse Floating Rate Notes (e) 13.2%

California 3.3%

San Diego County, CA, Water Authority Revenue, Certificates of Participation, Series 2008-A,

5.0%, 5/1/2027 (c) (f)

2,121,349

2,200,888

San Diego County, CA, Water Authority Revenue, Certificates of Participation, Series 2008-A,

5.0%, 5/1/2028 (c) (f)

1,930,312

2,002,688

Trust: San Diego County, CA, Water Utility Improvements, Certificates of Participation, Series 2008-1104, 144A, 8.953%, 5/1/2027, Leverage Factor at purchase date: 2 to 1

4,203,576

New York 4.8%

New York, State Dormitory Authority, State Personal Income Tax Revenue, Series A, 5.0%, 3/15/2023 (f)

5,535,000

5,979,794

Trust: New York, State Dormitory Authority Revenue, Secondary Issues, Series 1955-2, 144A, 17.494%, 3/15/2023, Leverage Factor at purchase date: 4 to 1

Tennessee 5.1%

Nashville & Davidson County, TN, Metropolitan Government, 5.0%, 1/1/2024 (f)

5,918,585

6,434,898

Trust: Nashville & Davidson County, TN, Metropolitan Government, Series 2631-1, 144A, 17.446%, 1/1/2024, Leverage Factor at purchase date: 4 to 1

Total Municipal Inverse Floating Rate Notes (Cost $15,889,320)

16,618,268

% of
Net Assets

Value ($)

Total Investment Portfolio (Cost $206,841,778) †

165.1

207,794,148

Other Assets and Liabilities, Net

(9.5)

(11,965,936)

Preferred Shares, at Redemption Value

(55.6)

(70,000,000)

Net Assets Applicable to Common Shareholders

100.0

125,828,212

For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.

*

Non-income producing security. In the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest. The following table represents bonds that are in default:

Security

Coupon

Maturity
Date

Principal Amount ($)

Acquisition
Cost ($)

Value ($)

**

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 August 31, 2009.

†

The cost for federal income tax purposes was $206,337,403. At August 31, 2009, net unrealized appreciation for all securities based on tax cost was $1,456,745. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $13,468,903 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $12,012,158.

(a)

Security incorporates a letter of credit from the bank listed.

(b)

When-issued security.

(c)

Bond is insured by one of these companies:

Insurance Coverage

As a % of Total
Investment Portfolio

Radian

0.3

Many insurers who have traditionally guaranteed payment of municipal issues have been downgraded by the major rating agencies.

(d)

Partial interest paying security. The rate shown represents 65% of the original coupon rate.

(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.

AMT: Subject to alternative minimum tax.

ETM: Bonds bearing the description ETM (escrow to maturity) are collateralized usually by US Treasury securities which are held in escrow and used to pay principal and interest on bonds so designated.

Prerefunded: Bonds which are prerefunded are collateralized usually by US 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.

Level 1

Level 2

Level 3

Total

Assets

Municipal Bonds and Notes^(g)

$ —

$ 207,794,148

$ —

$ 207,794,148

Total

$ —

$ 207,794,148

$ —

$ 207,794,148

(g)

See Investment Portfolio for additional detailed categorizations.

ITEM 2.

CONTROLS AND PROCEDURES

(a)          The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b)         There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

ITEM 3.

EXHIBITS

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.

Registrant:

DWS Strategic Municipal Income Trust

By:

/s/Michael G. Clark

Michael G. Clark

President

Date:

October 21, 2009

Registrant:

DWS Strategic Municipal Income Trust

By:

/s/Michael G. Clark

Michael G. Clark

President

Date:

October 21, 2009

By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

Date:

October 21, 2009