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 |
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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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Alan R. Dynner, Esq. |
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(Name and Address of Agent for Services) |
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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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December 31, 2006 |
Item 1. Schedule of Investments
Eaton Vance Insured Massachusetts Municipal Bond Fund as of December 31, 2006
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments — 193.4%
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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 — 2.5% |
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|
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||||
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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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$ |
681,900 |
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|
|
|
|
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$ |
681,900 |
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|
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Hospital — 9.7% |
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|
|
||||
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$ |
1,500 |
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Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System), 5.75%, 7/1/32 |
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$ |
1,625,280 |
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|
1,000 |
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Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29 |
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1,051,730 |
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|
|
|
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$ |
2,677,010 |
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|
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Housing — 3.6% |
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|
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||||
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$ |
1,000 |
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Massachusetts Housing Finance Agency, 4.50%, 6/1/38 |
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$ |
985,070 |
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|
|
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|
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$ |
985,070 |
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|
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Insured-Escrowed/Prerefunded — 28.5% |
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|
|
||||
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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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$ |
1,280,988 |
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|
1,600 |
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Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), Prerefunded to 1/1/12, 5.375%, 1/1/42 |
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1,740,496 |
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3,000 |
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Puerto Rico, (FGIC), Prerefunded to 7/1/12, 5.00%, 7/1/32 (1)(2) |
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3,210,380 |
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1,500 |
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University of Massachusetts Building Authority, (AMBAC), Prerefunded to 11/1/14, 5.125%, 11/1/34 |
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1,646,895 |
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|
|
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$ |
7,878,759 |
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|
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Insured-General Obligations — 25.3% |
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|
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||||
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$ |
3,000 |
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Massachusetts, (AMBAC), 5.50%, 8/1/30 (1)(2) |
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$ |
3,628,448 |
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|
2,000 |
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Massachusetts, (MBIA), 5.25%, 8/1/28 |
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2,332,060 |
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1,000 |
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Milford, (FSA), 4.25%, 12/15/46 |
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947,080 |
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|
75 |
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Sandwich, (MBIA), 4.50%, 7/15/29 |
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76,228 |
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$ |
6,983,816 |
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|
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Insured-Hospital — 7.0% |
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|
|
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$ |
680 |
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Massachusetts Health and Educational Facilities Authority, (Lahey Clinic Medical Center), (FGIC), 4.50%, 8/15/35 |
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$ |
678,341 |
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|
1,210 |
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Massachusetts Health and Educational Facilities Authority, (New England Medical Center), (FGIC), 5.00%, 5/15/25 |
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1,269,169 |
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|
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$ |
1,947,510 |
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|
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Insured-Lease Revenue / Certificates of Participation — 22.1% |
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|
|
||||
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$ |
1,750 |
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Massachusetts Development Finance Agency, (MBIA), 5.125%, 2/1/34 |
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$ |
1,838,952 |
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|
1,000 |
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Plymouth County Correctional Facility, (AMBAC), 5.00%, 4/1/22 |
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1,039,510 |
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2,205 |
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Puerto Rico Public Buildings Authority, (CIFG), 5.25%, 7/1/36 (1)(2) |
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2,382,379 |
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||
1
|
$ |
795 |
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Puerto Rico Public Buildings Authority, (CIFG), 5.25%, 7/1/36 (1)(2) |
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$ |
848,121 |
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$ |
6,108,962 |
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Insured-Other Revenue — 4.6% |
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|
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||||
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$ |
1,000 |
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Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42 |
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$ |
1,266,540 |
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$ |
1,266,540 |
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Insured-Pooled Loans — 9.1% |
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|
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$ |
2,400 |
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Puerto Rico Municipal Finance Agency, (FSA), 5.00%, 8/1/27 (1)(2) |
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$ |
2,516,592 |
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$ |
2,516,592 |
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Insured-Private Education — 24.0% |
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||||
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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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$ |
1,180,550 |
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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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1,415,582 |
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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)(2) |
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889,445 |
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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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1,594,545 |
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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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784,620 |
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|
500 |
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Massachusetts Development Finance Agency, (Western New England College), (AGC), 5.00%, 9/1/33 |
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527,120 |
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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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252,228 |
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$ |
6,644,090 |
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Insured-Public Education — 11.3% |
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$ |
700 |
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Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39 |
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$ |
855,127 |
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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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1,057,790 |
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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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1,209,294 |
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$ |
3,122,211 |
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Insured-Special Tax Revenue — 6.3% |
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|
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||||
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$ |
1,280 |
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Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32 (3) |
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$ |
1,348,774 |
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|
425 |
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Massachusetts Bay Transportation Authority, Revenue Assessment, (MBIA), 4.00%, 7/1/33 |
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395,093 |
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$ |
1,743,867 |
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Insured-Transportation — 16.7% |
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$ |
5,700 |
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Massachusetts Turnpike Authority, (MBIA), 0.00%, 1/1/28 |
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$ |
2,270,652 |
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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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1,282,575 |
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2
|
$ |
1,000 |
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Puerto Rico Highway and Transportation Authority, (MBIA), 5.00%, 7/1/36 (1)(2) |
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$ |
1,071,837 |
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|
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$ |
4,625,064 |
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Insured-Water and Sewer — 13.3% |
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|
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$ |
1,175 |
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Massachusetts Water Resources Authority, (AMBAC), 4.00%, 8/1/40 |
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$ |
1,067,076 |
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|
2,500 |
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Massachusetts Water Resources Authority, (FSA), 5.00%, 8/1/32 |
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2,624,000 |
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$ |
3,691,076 |
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Nursing Home — 2.7% |
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$ |
745 |
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Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc./Edgecombe), 5.15%, 7/1/31 |
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$ |
752,815 |
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$ |
752,815 |
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|
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Private Education — 6.7% |
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|
|
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$ |
500 |
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Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), 5.75%, 7/1/33 |
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$ |
538,360 |
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|
750 |
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Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33 |
|
779,468 |
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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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527,395 |
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$ |
1,845,223 |
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Total Tax-Exempt
Investments — 193.4% |
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$ |
53,470,505 |
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|||
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Other Assets, Less Liabilities — (37.3)% |
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$ |
(10,313,199 |
) |
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Auction Preferred Shares Plus Cumulative Unpaid Dividends — (56.1)% |
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$ |
(15,504,267 |
) |
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Net Assets Applicable to Common Shares — 100.0% |
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$ |
27,653,039 |
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AGC |
— |
Assured Guaranty Corp. |
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AMBAC |
— |
AMBAC Financial Group, Inc. |
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CIFG |
— |
CDC IXIS Financial Guaranty North America, Inc. |
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FGIC |
— |
Financial Guaranty Insurance Company |
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FSA |
— |
Financial Security Assurance, Inc. |
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MBIA |
— |
Municipal Bond Insurance Association |
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XLCA |
— |
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 December 31, 2006, 87.0% 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 2.4% to 28.3% of total investments.
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(1) |
Security valued at fair value using methods determined in good faith by or at the direction of the Trustees. |
3
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(2) |
Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund. |
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(3) |
Security (or a portion thereof) has been segregated to cover margin requirements on open financial futures contracts. |
A summary of financial instruments at December 31, 2006 is as follows:
Futures Contracts
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Expiration |
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|
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Aggregate |
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Net |
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Date(s) |
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Contracts |
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Position |
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Cost |
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Value |
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Depreciation |
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03/07 |
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44 U.S. Treasury Bond |
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Short |
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$ |
(5,021,463 |
) |
$ |
(4,903,250 |
) |
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$ |
118,213 |
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|
At December 31, 2006, the Fund had entered into an interest rate swap with Citibank N.A. whereby the Fund makes bi-annual payments at a fixed rate equal to 3.925% on the notional amount of $1,050,000. In exchange, the Fund receives bi-annual payments at a rate equal to the USD-BMA Municipal Swap Index on the same notional amount. The effective date of the interest rate swap is August 16, 2007. The value of the contract, which terminates August 16, 2027 , is recorded as a receivable for open swap contracts of $1,833.
At December 31, 2006, the Fund had entered into an interest rate swap with Merrill Lynch Capital Services, Inc. whereby the Fund makes bi-annual payments at a fixed rate equal to 4.006% on the notional amount of $1,100,000. In exchange, the Fund receives bi-annual payments at a rate equal to the USD-BMA Municipal Swap Index on the same notional amount. The effective date of the interest rate swap is August 7, 2007. The value of the contract, which terminates August 7, 2037, is recorded as a receivable for open swap contracts of $3,903.
At December 31, 2006, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
The cost and unrealized appreciation (depreciation) in value of the investments owned at December 31, 2006, as computed on a federal income tax basis, were as follows:
|
Aggregate cost |
|
$ |
39,945,120 |
|
|
Gross unrealized appreciation |
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$ |
3,148,526 |
|
|
Gross unrealized depreciation |
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(16,589 |
) |
|
|
Net unrealized appreciation |
|
$ |
3,131,937 |
|
4
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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|
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Robert B. MacIntosh |
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|
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President and Principal Executive Officer |
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Date: |
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February 27, 2007 |
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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|
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Robert B. MacIntosh |
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President and Principal Executive Officer |
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Date: |
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February 27, 2007 |
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By: |
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/s/ Barbara E. Campbell |
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|
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Barbara E. Campbell |
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Treasurer and Principal Financial Officer |
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Date: |
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February 27, 2007 |