UNITED
STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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Investment Company Act File Number |
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811-21225 |
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Eaton Vance Insured Massachusetts Municipal Bond Fund |
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(Exact Name of Registrant as Specified in Charter) |
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The Eaton Vance Building, |
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02109 |
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(Address of Principal Executive Offices) |
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(Zip code) |
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Maureen A. Gemma |
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(Name and Address of Agent for Service) |
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Registrant’s Telephone Number, Including Area Code: |
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(617) 482-8260 |
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Date of Fiscal Year End: |
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September 30 |
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Date of Reporting Period: |
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June 30, 2008 |
Item 1. Schedule of Investments
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Eaton Vance Insured Massachusetts Municipal Bond Fund |
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as of June 30, 2008 |
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PORTFOLIO OF INVESTMENTS (Unaudited) |
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Tax-Exempt Investments — 180.2%
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Principal |
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Amount |
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(000’s omitted) |
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Security |
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Value |
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Escrowed/Prerefunded — 7.7% |
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$ |
500 |
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Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), Prerefunded to 7/1/13, 5.75%, 7/1/33 |
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$ |
557,740 |
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600 |
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Massachusetts Development Finance Agency, (Western New England College), Prerefunded to 12/1/12, 6.125%, 12/1/32 |
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672,192 |
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630 |
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Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), Prerefunded to 7/1/09, 5.75%, 7/1/29 |
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660,196 |
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$ |
1,890,128 |
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Hospital — 6.1% |
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$ |
1,075 |
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Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute), 5.00%, 12/1/37 |
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$ |
1,053,855 |
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55 |
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Massachusetts Health and Educational Facilities Authority, (Partners Healthcare Systems), 5.75%, 7/1/32 |
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56,070 |
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370 |
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Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29 |
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372,475 |
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$ |
1,482,400 |
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Insured-Escrowed/Prerefunded — 22.8% |
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$ |
2,900 |
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Massachusetts College Building Authority, (MBIA), Escrowed to Maturity, 0.00%, 5/1/26 |
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$ |
1,222,959 |
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50 |
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Massachusetts Health and Educational Facilities Authority, (New England Medical Center), (FGIC), Prerefunded to 5/15/12, 5.00%, 5/15/25 |
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53,113 |
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3,000 |
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Puerto Rico, (FGIC), Prerefunded to 7/1/12, 5.00%, 7/1/32 (1) |
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3,207,770 |
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1,000 |
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Puerto Rico Highway and Transportation Authority, (MBIA), Prerefunded to 7/1/16, 5.00%, 7/1/36 (1) |
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1,093,063 |
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$ |
5,576,905 |
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Insured-General Obligations — 12.7% |
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$ |
2,000 |
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Massachusetts, (MBIA), 5.25%, 8/1/28 |
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$ |
2,174,680 |
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965 |
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Milford, (FSA), 4.25%, 12/15/46 |
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849,779 |
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75 |
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Sandwich, (MBIA), 4.50%, 7/15/29 |
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74,094 |
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$ |
3,098,553 |
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Insured-Hospital — 4.3% |
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$ |
1,160 |
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Massachusetts Health and Educational Facilities Authority, (New England Medical Center), (FGIC), 5.00%, 5/15/25 |
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$ |
1,057,398 |
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$ |
1,057,398 |
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Insured-Lease Revenue/Certificates of Participation — 14.6% |
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$ |
1,750 |
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Massachusetts Development Finance Agency, (MBIA), 5.125%, 2/1/34 |
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$ |
1,759,870 |
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1,000 |
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Plymouth County Correctional Facility, (AMBAC), 5.00%, 4/1/22 |
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1,019,670 |
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795 |
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Puerto Rico Public Buildings Authority, (CIFG), 5.25%, 7/1/36 |
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777,884 |
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$ |
3,557,424 |
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Insured-Other Revenue — 7.0% |
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$ |
1,500 |
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Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42 |
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$ |
1,711,515 |
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$ |
1,711,515 |
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Insured-Pooled Loans — 9.9% |
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$ |
2,400 |
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Puerto Rico Municipal Finance Agency, (FSA), 5.00%, 8/1/27 (1) |
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$ |
2,419,280 |
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$ |
2,419,280 |
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Insured-Private Education — 26.3% |
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$ |
1,000 |
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Massachusetts Development Finance Agency, (Boston University), (XLCA), 5.375%, 5/15/39 |
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$ |
1,002,020 |
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1
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$ |
1,105 |
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Massachusetts Development Finance Agency, (Boston University), (XLCA), 6.00%, 5/15/59 |
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$ |
1,167,753 |
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750 |
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Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32 (1) |
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809,167 |
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1,500 |
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Massachusetts Development Finance Agency, (Franklin W. Olin College), (XLCA), 5.25%, 7/1/33 |
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1,457,310 |
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750 |
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Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/35 |
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746,692 |
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1,000 |
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Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/37 |
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992,430 |
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250 |
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Massachusetts Industrial Finance Agency, (Tufts University), (MBIA), 4.75%, 2/15/28 |
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250,092 |
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$ |
6,425,464 |
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Insured-Public Education — 11.7% |
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$ |
700 |
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Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39 |
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$ |
745,843 |
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1,000 |
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Massachusetts Health and Educational Facilities Authority, (University of Massachusetts), (FGIC), 5.125%, 10/1/34 |
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988,960 |
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1,150 |
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Massachusetts Health and Educational Facilities Authority, (Worcester State College), (AMBAC), 5.00%, 11/1/32 |
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1,132,416 |
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$ |
2,867,219 |
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Insured-Special Tax Revenue — 16.3% |
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$ |
1,280 |
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Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32 |
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$ |
1,299,674 |
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290 |
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Massachusetts Bay Transportation Authority, (MBIA), 4.00%, 7/1/33 |
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247,985 |
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1,500 |
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Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 4.75%, 8/15/32 |
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1,468,290 |
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6,200 |
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Puerto Rico Sales Tax Financing, (AMBAC), 0.00%, 8/1/54 |
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430,342 |
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1,055 |
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Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/44 |
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135,451 |
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2,095 |
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Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/45 |
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253,558 |
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1,325 |
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Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/46 |
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150,931 |
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$ |
3,986,231 |
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Insured-Transportation — 10.5% |
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$ |
3,700 |
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Massachusetts Turnpike Authority, (MBIA), 0.00%, 1/1/28 |
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$ |
1,336,477 |
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1,250 |
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Massachusetts Turnpike Authority, Metropolitan Highway System, (AMBAC), 5.00%, 1/1/39 |
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1,215,688 |
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$ |
2,552,165 |
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Insured-Water Revenue — 14.1% |
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$ |
1,125 |
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Massachusetts Water Resources Authority, (AMBAC), 4.00%, 8/1/40 |
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$ |
936,709 |
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2,500 |
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Massachusetts Water Resources Authority, (FSA), 5.00%, 8/1/32 |
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2,518,250 |
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$ |
3,454,959 |
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Private Education — 13.5% |
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$ |
750 |
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Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33 |
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$ |
747,818 |
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500 |
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Massachusetts Health and Educational Facilities Authority, (Boston College), 5.125%, 6/1/24 |
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510,760 |
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2,000 |
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Massachusetts Health and Educational Facilities Authority, (Harvard University), 5.00%, 10/1/38 (1) |
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2,041,440 |
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$ |
3,300,018 |
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Senior Living/Life Care — 2.7% |
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$ |
745 |
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Massachusetts Development Finance Agency, (Berkshire Retirement), 5.15%, 7/1/31 |
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$ |
660,621 |
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$ |
660,621 |
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Total Tax-Exempt Investments — 180.2% |
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$ |
44,040,280 |
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Other Assets, Less Liabilities — (16.8)% |
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$ |
(4,100,691 |
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Auction Preferred Shares Plus Cumulative Unpaid Dividends — (63.4)% |
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$ |
(15,504,366 |
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Net Assets Applicable to Common Shares— 100.0% |
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$ |
24,435,223 |
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AGC |
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Assured Guaranty Corp. |
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AMBAC |
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AMBAC Financial Group, Inc. |
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CIFG |
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CIFG Assurance North America, Inc. |
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FGIC |
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Financial Guaranty Insurance Company |
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FSA |
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Financial Security Assurance, Inc. |
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MBIA |
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Municipal Bond Insurance Association |
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XLCA |
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XL Capital Assurance, Inc. |
The Fund invests primarily in debt securities issued by Massachusetts municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at June 30, 2008, 83.4% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 1.8% to 22.8% of total investments.
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(1) |
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Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund. |
A summary of financial instruments at June 30, 2008 is as follows:
Interest Rate Swaps
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Counterparty |
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Notional |
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Annual Fixed |
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Floating Rate |
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Effective Date/ |
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Net |
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Lehman Brothers, Inc. |
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$ |
1,050,000 |
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4.985 |
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3-month USD-LIBOR-BBA |
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September 28, 2008/ September 28, 2038 |
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$ |
2,044 |
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Merrill Lynch Capital Services, Inc. |
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1,725,000 |
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4.9025 |
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3-month USD-LIBOR-BBA |
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July 9,
2008/ |
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17,806 |
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Morgan Stanley Capital Services, Inc. |
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625,000 |
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5.428 |
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3-month USD-LIBOR-BBA |
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September 10, 2008/ September 10, 2038 |
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(42,367 |
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$ |
(22,517 |
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The effective date represents the date on which the Fund and the counterparty to the interest rate swap contract begin interest payment accruals.
At June 30, 2008, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2008, as determined on a federal income tax basis, were as follows:
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Aggregate cost |
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$ |
37,618,031 |
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Gross unrealized appreciation |
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$ |
762,234 |
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Gross unrealized depreciation |
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(1,064,985 |
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Net unrealized depreciation |
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$ |
(302,751 |
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3
Item 2. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.
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.
Eaton Vance Insured Massachusetts Municipal Bond Fund
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By: |
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/s/ Robert B. MacIntosh |
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Robert B. MacIntosh |
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President |
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Date: |
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August 27, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By: |
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/s/ Robert B. MacIntosh |
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Robert B. MacIntosh |
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President |
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Date: |
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August 27, 2008 |
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By: |
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/s/ Barbara E. Campbell |
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Barbara E. Campbell |
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Treasurer |
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Date: |
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August 27, 2008 |