[ANNOTATED FORM N-Q] 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: 811-06590 Morgan Stanley Insured Municipal Income 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, 2004 Date of reporting period: July 31, 2004 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 INCOME TRUST PORTFOLIO OF INVESTMENTS July 31, 2004 (unaudited) PRINCIPAL AMOUNT IN COUPON MATURITY THOUSANDS RATE DATE VALUE ------------------------------------------------------------------------------------------------------------------------------------ TAX EXEMPT MUNICIPAL BONDS (139.3%) General Obligation (17.9%) $3,000 Los Angeles, California, Ser A (WI) 5.00% 09/01/24 $3,075,150 District of Columbia, 5,000 Refg Ser 1993 B (Ambac) 5.50 06/01/09 5,526,600 6,000 Refg Ser 1993 B (FSA) 5.50 06/01/10 6,670,020 15,000 Chicago, Illinois, Neighborhoods Alive 21 Ser 2001 A (FGIC) 5.50 01/01/36 15,555,150 15,000 Massachusetts, Refg 2003 Ser D (Ambac) 5.50 10/01/19 17,016,600 8,000 Washoe County, Nevada, Reno - Sparks Convention Ltd Tax Ser 1993 A (FGIC) 5.75 07/01/22 8,250,240 Pennsylvania, 1,495 First Ser 2003 RITES PA- 1112 A (MBIA) 8.451(+/+) 01/01/18 1,659,809 2,055 First Ser 2003 RITES PA- 1112 B (MBIA) 8.451(+/+) 01/01/19 2,260,726 4,000 Houston, Texas, Public Impr & Refg Ser 2001 B (FSA) 5.50 03/01/17 4,368,440 ----- --------- 59,550 64,382,735 ------ ---------- Educational Facilities Revenue (9.8%) 2,500 University of Arizona COPs 2003 Ser B (Ambac) 5.00 06/01/23 2,550,850 4,000 University of California, Ser 2003 B (Ambac) 5.00 05/15/22 4,136,280 3,000 District of Columbia, American Association for the Advancement of Science Ser 1997 (Ambac) 5.125 01/01/27 3,020,040 8,000 Florida State Board of Education, Capital Outlay Refg 2002 Ser C (MBIA) 5.00 06/01/19 8,398,640 4,000 Illinois Educational Facilities Authority, DePaul University Refg Ser 1997 (Ambac) 5.50 10/01/19 4,356,360 Kane County, Illinois 1,000 School District #129 Ser 2002 A (FGIC) 5.75 02/01/20 1,111,370 2,000 School District #129 Ser 2002 A (FGIC) 5.75 02/01/21 2,215,240 4,000 New Hampshire Health & Education Facilities Authority, University of New Hampshire Ser 2001 (Ambac) 5.125 07/01/33 4,047,320 5,000 New Jersey Educational Facilities Authority, Higher Education Capital ----- Impr Fund, Ser 2002 A (Ambac)++ 5.25 09/01/21 5,295,100 ---------- 33,500 35,131,200 ------ ---------- Electric Revenue (20.3%) 10,000 California Department of Water Resources, Power Supply Ser 2002 A (Ambac) 5.375 05/01/18 10,825,200 4,000 Lafayette, California, Utilities (MBIA) (WI) 5.25 11/01/25 4,182,040 3,275 Massachusetts Municipal Wholesale Electric Company, 1993 Ser A (Ambac) 5.00 07/01/10 3,503,497 5,000 Nebraska Public Power District, 2003 Ser A (Ambac) 5.00 01/01/35 5,004,050 3,000 Long Island Power Authority, New York, Refg Ser 2003 C (FSA) 5.00 09/01/28 3,014,010 6,000 North Carolina Municipal Power Agency #1, Catawba Ser 2003 A (MBIA) 5.25 01/01/19 6,396,660 10,000 South Carolina Public Service Authority, Ser 2003 A (Ambac) 5.00 01/01/27 10,089,100 Lower Colorado River Authority, Texas, 10,000 Refg Ser 1999 A (FSA) 5.875 05/15/16 11,182,100 5,000 Refg Ser 2001 (FSA) 5.00 05/15/26 5,015,350 8,800 Refg Ser 2002 (MBIA) 5.00 05/15/31 8,741,480 5,000 Intermountain Power Agency, Utah, 2003 Ser A (FSA) 5.00 07/01/21 5,150,300 ----- ---------- 70,075 73,103,787 ------ ---------- Hospital Revenue (7.6%) 5,000 Mesa Industrial Development Authority, Arizona, Discovery Health Ser 1999 A (MBIA) 5.875 01/01/16 5,595,500 5,000 Sarasota County Public Hospital Board, Florida, Sarasota Memorial Hospital Refg Ser 1998 B (MBIA) 5.25 07/01/24 5,296,250 5,500 Massachusetts Health & Educational Facilities Authority, Lahey Clinic Medical Center Ser B (MBIA) 5.625 07/01/15 5,568,145 2,000 Missouri Health & Educational Facilities Authority, SSM Health Care Ser 1998 A (MBIA) 5.00 06/01/22 2,026,620 Amarillo Health Facilities Corporation, Texas, 3,020 Baptist St Anthony's Hospital Ser 1998 (FSA) 5.50 01/01/16 3,316,987 5,075 Baptist St Anthony's Hospital Ser 1998 (FSA) 5.50 01/01/17 5,566,311 ----- ---------- 25,595 27,369,813 ------ ---------- Industrial Development/Pollution Control Revenue (7.9%) 7,500 Adams County, Colorado, Public Service Co of Colorado Refg 1993 Ser A (MBIA) 5.875 04/01/14 7,527,300 5,000 Hawaiian Department of Budget and Finance, Hawaiian Electric Co Ser 1999 C (AMT) (Ambac) 6.20 11/01/29 5,524,200 12,000 Indiana Development Finance Authority, PSI Energy Inc Ser 1993 B (AMT) (MBIA) 5.75 02/15/28 12,147,600 3,000 New York State Energy Research & Development Authority, Brooklyn Union Gas Co 1991 Ser D (AMT) (MBIA) 9.972(+/+) 07/08/26 3,122,850 ---------- 27,500 28,321,950 ------ ---------- Public Facilities Revenue (9.6%) 3,000 San Jose Financing Authority, California, Civic Center Ser 2002 (Ambac) 5.00 06/01/37 2,970,180 15,000 Miami-Dade County School Board, Florida, 2003 Ser A (FGIC) 5.00 08/01/29 15,037,650 3,000 Orange County School Board, Florida Ser 2001 A COPs (Ambac) 5.25 08/01/14 3,291,420 4,000 Kentucky Property & Building Commission, Project # 79 (MBIA) 5.00 10/01/22 4,113,840 4,200 New York State Dormitory Authority, School Districts 2002 Ser E (MBIA) 5.50 10/01/17 4,655,196 4,000 Puerto Rico Public Buildings Authority, Ref Govt Ser J (Ambac) 5.00 07/01/36 4,309,880 ----- ---------- 33,200 34,378,166 ------ ---------- Recreational Facilities Revenue (2.7%) Metropolitan Pier & Exposition Authority, Illinois, 3,000 McCormick Place Refg Ser 2002 B (MBIA) 0.00# 06/15/18 2,139,060 5,000 McCormick Place Ser 2002 A (MBIA) 5.25 06/15/42 5,065,150 2,400 Marion County Convention & Recreational Facilities Authority, Indiana, Refg ----- Ser 2003 A (Ambac) 5.00 06/01/19 2,489,208 --------- 10,400 9,693,418 ------ --------- Transportation Facilities Revenue (29.9%) California Infrastructure & Economic Development Bank, 5,000 Bay Area Toll Bridges Seismic Retrofit First Lien Ser 2003 A (FGIC) 5.00 07/01/29 5,019,450 10,000 Bay Area Toll Bridges Seismic Retrofit First Lien Ser 2003 A (Ambac) 5.00 07/01/33 10,017,400 9,000 Long Beach California, Harbor Refg Ser 1998 A (AMT) (FGIC) 6.00 05/15/18 10,260,630 5,000 Atlanta, Georgia Airport Passenger Facilities General Sub Lien Ser C 2004 5.00 01/01/33 4,988,500 4,000 Illinois Toll Highway Authority, Priority Refg 1998 Ser A (FSA) 5.50 01/01/15 4,476,240 5,000 Minneapolis - St Paul Metropolitan Airports Commission, Minnesota, Ser 2001 C (FGIC) 5.25 01/01/32 5,121,450 3,000 St Louis, Missouri, Lambert Int'l Airport Ser 2001 A (MBIA) 5.00 07/01/20 3,083,730 9,000 Nevada Department of Business & Industry, Las Vegas Monorail 1st Tier Ser 2000 (Ambac) 5.375 01/01/40 9,200,970 Metropolitan Transportation Authority, New York, 3,000 Dedicated Tax Fund Ser 2002 A (FSA) 5.25 11/15/24 3,136,110 10,000 Transportation Refg Ser 2002 A (FGIC) 5.00 11/15/25 10,158,700 4,000 Port Authority of New York & New Jersey, Cons 135 Ser (MBIA)** 5.00 09/15/29 4,005,000 10,000 Triborough Bridge & Tunnel Authority, New York, Refg 2002 E (MBIA) 5.25 11/15/22 10,581,000 5,000 South Carolina Transportation Infrastructure Bank, Ser 1999 A (Ambac) 5.50 10/01/16 5,509,900 9,000 Dallas - Fort Worth Int'l Airport, Texas, Ser 2003 A (AMT) (FSA) 5.375 11/01/22 9,376,830 4,000 Texas Turnpike Authority, Central Texas First Tier Ser 2002 A (Ambac) 5.50 08/15/39 4,178,360 3,000 Richmond Metropolitan Authority, Virginia, Refg Ser 2002 (FGIC) 5.25 07/15/22 3,284,820 5,000 Port of Seattle, Washington, Ser 2001 B (AMT) (MBIA) 5.625 02/01/24 5,246,400 ----- --------- 103,000 107,645,490 ------- ----------- Water & Sewer Revenue (23.4%) 5,000 Los Angeles, California Dept of Water & Power Ser C 5.00 07/01/24 5,123,650 4,000 Oxnard Financing Authority, California, Water Ser 2004 (XLCA) 5.00 06/01/28 3,969,440 5,000 San Diego County Water Authority, California, Ser 2002A COPs (MBIA) 5.00 05/01/27 5,011,900 1,000 Lee County, Florida, Water & Sewer Ser B (MBIA) 5.00 10/01/29 1,005,410 5,000 Tampa Bay Water Authority, Florida, Ser 2001 A (FGIC) 5.00 10/01/28 5,025,100 Detroit, Michigan, 3,000 Sewage Disposal System, Ser 2001 A (FGIC) 5.125 07/01/31 3,022,980 3,000 Sewage Refg Ser 2003 A (FSA) 5.00 07/01/26 3,013,800 8,000 Sewage Refg Ser 2003 A (FSA) 5.00 07/01/28 8,007,120 5,080 Las Vegas Water District, Nevada, Impr & Refg Ser 2003 A (FGIC) 5.25 06/01/19 5,422,138 Cleveland, Ohio, 1,500 Waterworks Impr & Refg 2002 Ser K (FGIC) 5.25 01/01/20 1,588,185 1,300 Waterworks Impr & Refg 2002 Ser K (FGIC) 5.25 01/01/21 1,369,680 2,000 Waterworks Impr & Refg 1998 Ser I (FSA) 5.00 01/01/23 2,032,160 4,000 Allegheny County Sanitary Authority, Pennsylvania, Sewer Ser 2000 (MBIA) 5.50 12/01/24 4,241,960 5,000 Philadelphia, Pennsylvania, Water & Wastewater Ser 1998 (Ambac) 5.25 12/15/14 5,532,950 15,000 Houston, Texas, Combined Utility System Refg 2004 Ser A (FGIC) 5.25 05/15/23 15,766,649 5,000 King County, Washington, Sewer Refg 2001 (FGIC) 5.00 01/01/31 4,981,600 Seattle, Washington, 2,890 Water System Refg 2003 5.00 09/01/20 2,995,601 2,870 Water System Refg 2003 5.00 09/01/23 2,927,630 2,900 West Virginia Water Development Authority, Refg Ser B (Ambac) 5.25 11/01/23 3,063,444 ----- --------- 81,540 84,101,397 ------ ---------- Other Revenue (5.4%) 7,000 California, Economic Recovery, Ser 2004 A (MBIA) 5.00 07/01/15 7,571,270 New York City Transitional Finance Authority, New York, 3,575 2004 Ser C (MBIA) 5.00 02/01/20 3,741,523 2,000 2000 Ser C (Ambac) 5.25 08/01/21 2,119,860 2,500 2000 Ser C (Ambac) 5.25 08/01/22 2,639,450 3,000 Alexandria Industrial Development Authority, Virginia, Institute ----- for Defense Analysis Ser 2000A (Ambac) 5.90 10/01/30 3,278,850 --------- 18,075 19,350,953 ------ ---------- Refunded (4.8%) 5,000 Allegheny County Hospital Development Authority, Pennsylvania, Pittsburgh Mercy Health Ser 1996 (Ambac) (ETM) 5.625 08/15/18 5,380,500 1,600 Redding, California, Electric Ser 1993 A COPs (FGIC) 9.877(+/+) 06/01/05+ 1,640,992 10,000 Rhode Island Depositors Economic Protection Corporation, Refg 1992 Ser B ------ (MBIA) (ETM) 6.00 08/01/17 10,244,400 ---------- 16,600 17,265,892 ------ ---------- 479,035 TOTAL TAX - EXEMPT MUNICIPAL BONDS (COST $484,448,222) 500,744,801 ------- ----------- SHORT-TERM TAX - EXEMPT MUNICIPAL OBLIGATIONS (4.4%) 4,360 Idaho Health Facilities Authority, St Lukes Regional Medical Center Ser 2000(FSA) (Demand 08/02/04) 1.12* 07/01/30 4,360,000 8,700 Indiana Health Facility Financing Authority, Clarian Health Ser 2000 B (Demand 08/02/04) 1.12* 03/01/30 8,700,000 2,600 Missouri Health & Educational Facilities Authority, Cox Health System Ser ----- 1997 (MBIA) (Demand 08/02/04) 1.10* 06/01/15 2,600,000 --------- 15,660 TOTAL SHORT-TERM TAX - EXEMPT MUNICIPAL OBLIGATIONS (COST $15,660,000) 15,660,000 ------ ---------- $494,695 TOTAL INVESTMENTS (COST $500,108,222)(a) (b) 143.7% 516,404,801 ======== LIABILITIES IN EXCESS OF OTHER ASSETS (0.5) (1,805,383) PREFERRED SHARES OF BENEFICIAL INTEREST (43.2) (155,179,794) ------ ------------- NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 100.0% $359,419,624 ====== ============ 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. ETM Escrowed to maturity. RITES Residual Interest Tax - Exempt Securities. WI Security purchased on a when-issued basis. + Prerefunded to call date shown. ++ A portion of this security has been physically segregated in connection with open futures contracts in the amount of $1,240,000. (+/+) Current coupon rate for inverse floating rate municipal obligation. This rate resets periodically as the auction rate on the related security changes. Positions in inverse floating rate municipal obligation have a total value of $8,684,377 which represents 2.4% of net assets applicable to common Shareholders. # Currently a zero coupon security; will convert to 5.30% on June 15, 2012. * Current coupon of variable rate demand obligation. ** Joint exemption in New York and New Jersey. (a) Securities have been designated as collateral in an amount equal to $156,731,702 in connection with open futures contracts. (b) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $17,747,108 and the aggregate gross unrealized depreciation is $1,450,529, resulting in net unrealized appreciation of $16,296,579. 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. Future Contracts Open at July 31, 2004: DESCRIPTION, NUMBER OF DELIVERY MONTH UNDERLYING FACE UNREALIZED CONTRACTS LONG/SHORT AND YEAR AMOUNT AT VALUE DEPRECIATION --------- ---------- -------- --------------- ------------ 400 Short U.S. Treasury Note 5 yr $(43,800,000) $(717,448) September/2004 1000 Short U.S. Treasury Note 10 yr (110,718,750) (2,950,380) September/2004 ----------- Total unrealized depreciation ................ $(3,667,828 =========== GEOGRAPHIC SUMMARY OF INVESTMENTS BASED ON MARKET VALUE AS A PERCENT OF TOTAL INVESTMENTS Arizona......... 1.6% Indiana......... 4.5% New Hampshire..... 0.8% Texas ......... 13.1% California...... 13.5 Kentucky........ 0.8 New Jersey........ 1.8 Utah .......... 1.0 Colorado........ 1.5 Louisiana....... 0.8 New York.......... 9.1 Virginia ...... 1.3 District of Columbia........ 2.9 Massachusetts... 5.0 North Carolina ... 1.2 Washington..... 3.1 Florida......... 7.4 Michigan........ 2.7 Ohio... .......... 1.0 West Virginia . 0.6 Georgia......... 1.0 Minnesota....... 1.0 Pennsylvania ..... 3.7 Joint Hawaii.......... 1.1 Missouri........ 1.5 Puerto Rico ...... 0.8 exemptions* ... (0.8) -------- Idaho........... 0.8 Nebraska........ 1.0 Rhode Island...... 2.0 Illinois........ 6.8 Nevada.......... 4.4 South Carolina.... 3.0 Total ......... 100.0% ======== -------------- * Joint exemptions have been included in each geographic location. 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's 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 Income Trust /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer September 20, 2004 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 September 20, 2004 /s/ Francis Smith Francis Smith Principal Financial Officer September 20, 2004