Eaton Vance Insured Massachusetts Municipal Bond
 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21225
Investment Company Act File Number
Eaton Vance Insured Massachusetts Municipal Bond Fund
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Maureen A. Gemma
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
September 30
Date of Fiscal Year End
December 31, 2008
Date of Reporting Period
 
 

 

 

TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Signatures
EX-99.CERT Section 302 Certifications
Item 1. Schedule of Investments

 

 

     
Eaton Vance Insured Massachusetts Municipal Bond Fund
   as of December 31, 2008
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Tax-Exempt Investments — 174.9%
                 
Principal Amount            
(000’s omitted)          Security   Value  
 
Escrowed/Prerefunded — 6.6%
$ 500    
Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), Prerefunded to 7/1/13, 5.75%, 7/1/33
   $ 584,995  
  600    
Massachusetts Development Finance Agency, (Western New England College), Prerefunded to 12/1/12, 6.125%, 12/1/32
     698,130  
       
 
      
       
 
   $ 1,283,125  
       
 
      
Hospital — 6.1%
$ 1,075    
Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute), 5.00%, 12/1/37
   $ 842,746  
  55    
Massachusetts Health and Educational Facilities Authority, (Partners Healthcare Systems), 5.75%, 7/1/32
     53,045  
  370    
Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29
     283,886  
       
 
      
       
 
   $ 1,179,677  
       
 
      
Insured-Escrowed/Prerefunded — 7.1%
$ 2,900    
Massachusetts College Building Authority, (MBIA), Escrowed to Maturity, 0.00%, 5/1/26
   $ 1,313,932  
  50    
Massachusetts Health and Educational Facilities Authority, (New England Medical Center), (FGIC), Prerefunded to 5/15/12, 5.00%, 5/15/25
     54,935  
       
 
      
       
 
   $ 1,368,867  
       
 
      
Insured-General Obligations — 14.7%
$ 1,900    
Massachusetts, (AMBAC), 5.50%, 8/1/30
   $ 2,021,866  
  965    
Milford, (FSA), 4.25%, 12/15/46
     777,250  
  50    
Sandwich, (MBIA), 4.50%, 7/15/29
     46,983  
       
 
      
       
 
   $ 2,846,099  
       
 
      
Insured-Hospital — 4.7%
$ 1,160    
Massachusetts Health and Educational Facilities Authority, (New England Medical Center), (FGIC), 5.00%, 5/15/25
   $ 910,681  
       
 
      
       
 
   $ 910,681  
       
 
      
Insured-Lease Revenue/Certificates of Participation — 16.2%
$ 1,750    
Massachusetts Development Finance Agency, (MBIA), 5.125%, 2/1/34
   $ 1,540,297  
  1,000    
Plymouth County Correctional Facility, (AMBAC), 5.00%, 4/1/22
     1,006,260  
  795    
Puerto Rico Public Buildings Authority, (CIFG), 5.25%, 7/1/36
     584,365  
       
 
      
       
 
   $ 3,130,922  
       
 
      
Insured-Other Revenue — 7.6%
$ 1,500    
Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42
   $ 1,458,975  
       
 
      
       
 
   $ 1,458,975  
       
 
      

1

 

 

                 
Principal Amount            
(000’s omitted)          Security   Value  
 
Insured-Pooled Loans — 10.6%
$ 2,400    
Puerto Rico Municipal Finance Agency, (FSA), 5.00%, 8/1/27
   $ 2,040,024  
       
 
      
       
 
   $ 2,040,024  
       
 
      
Insured-Private Education — 30.0%
$ 1,000    
Massachusetts Development Finance Agency, (Boston University), (XLCA), 5.375%, 5/15/39
   $ 938,470  
  1,105    
Massachusetts Development Finance Agency, (Boston University), (XLCA), 6.00%, 5/15/59
     1,112,094  
  750    
Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(1)
     762,215  
  1,500    
Massachusetts Development Finance Agency, (Franklin W. Olin College), (XLCA), 5.25%, 7/1/33
     1,381,785  
  750    
Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/35(2)
     698,010  
  1,000    
Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/37
     904,540  
       
 
      
       
 
   $ 5,797,114  
       
 
      
Insured-Public Education — 13.6%
$ 700    
Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39
   $ 693,518  
  1,000    
Massachusetts Health and Educational Facilities Authority, (University of Massachusetts), (FGIC), (MBIA), 5.125%, 10/1/34
     901,600  
  1,150    
Massachusetts Health and Educational Facilities Authority, (Worcester State College), (AMBAC), 5.00%, 11/1/32
     1,023,742  
       
 
      
       
 
   $ 2,618,860  
       
 
      
Insured-Special Tax Revenue — 17.4%
$ 1,280    
Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32
   $ 1,279,910  
  305    
Massachusetts Bay Transportation Authority, Revenue Assessment, (MBIA), 4.00%, 7/1/33
     233,011  
  1,350    
Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 4.75%, 8/15/32
     1,259,159  
  6,200    
Puerto Rico Sales Tax Financing, (AMBAC), 0.00%, 8/1/54
     227,788  
  1,055    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/44
     90,572  
  2,095    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/45
     167,160  
  1,325    
Puerto Rico Sales Tax Financing, (MBIA), 0.00%, 8/1/46
     97,944  
       
 
      
       
 
   $ 3,355,544  
       
 
      
Insured-Transportation — 10.5%
$ 3,700    
Massachusetts Turnpike Authority, (MBIA), 0.00%, 1/1/28
   $ 1,158,507  
  1,250    
Massachusetts Turnpike Authority, Metropolitan Highway System, (AMBAC), 5.00%, 1/1/39
     874,075  
       
 
      
       
 
   $ 2,032,582  
       
 
      
Insured-Water Revenue — 13.7%
$ 1,125    
Massachusetts Water Resources Authority, (AMBAC), 4.00%, 8/1/40
   $ 828,304  
  1,900    
Massachusetts Water Resources Authority, (FSA), 5.00%, 8/1/32
     1,806,520  
       
 
      
       
 
   $ 2,634,824  
       
 
      
Private Education — 13.8%
$ 750    
Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33
   $ 666,352  
  2,000    
Massachusetts Health and Educational Facilities Authority, (Harvard University), 5.00%, 10/1/38(1)
     1,992,080  
       
 
      
       
 
   $ 2,658,432  
       
 
      

2

 

 

                 
Principal Amount            
(000’s omitted)          Security   Value  
 
Senior Living/Life Care — 2.3%
$ 745    
Massachusetts Development Finance Agency, (Berkshire Retirement), 5.15%, 7/1/31
   $ 452,461  
       
 
      
       
 
   $ 452,461  
       
 
      
Total Tax-Exempt Investments — 174.9%
(identified cost $ 38,101,263)
   $ 33,768,187  
       
 
      
       
 
        
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (70.3)%   $ (13,575,569 )
       
 
      
       
 
        
Other Assets, Less Liabilities — (4.6)%   $ (888,490 )
       
 
      
       
 
        
Net Assets Applicable to Common Shares — 100.0%   $ 19,304,128  
       
 
      
     
AGC   -  Assured Guaranty Corp.
     
AMBAC   -  AMBAC Financial Group, Inc.
     
CIFG   -  CIFG Assurance North America, Inc.
     
FGIC   -  Financial Guaranty Insurance Company
     
FSA   -  Financial Security Assurance, Inc.
     
MBIA   -  Municipal Bond Insurance Association
     
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, 2008, 83.5% 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 1.7% to 31.8% of total investments.
     
(1)
Security represents the underlying municipal bond of a tender option bond trust.
     
(2)
Security (or a portion thereof) has been pledged as collateral for open swap contracts.

3

 

 

A summary of financial instruments at December 31, 2008 is as follows:
Interest Rate Swaps
                                         
            Annual     Floating     Effective Date/        
    Notional     Fixed Rate     Rate     Termination     Net Unrealized  
Counterparty   Amount     Paid By Fund     Paid To Fund     Date     Depreciation  
 
JPMorgan Chase Co.
   $ 525,000     4.743%     3-month
USD-LIBOR-BBA		     September 14, 2009 /
September 14, 2039		     $ (198,169 )
Merrill Lynch Capital Services, Inc.
     862,500     4.682        3-month
USD-LIBOR-BBA		     April 1, 2009 /
April 1, 2039		       (325,853 )
Morgan Stanley Capital Services, Inc.
     625,000     4.691        3-month
USD-LIBOR-BBA		     June 11, 2009 /
June 11, 2039		       (234,534 )
 
                                      
 
                                   $ (758,556 )
 
                                      
The effective date represents the date on which the Fund and the counterparty to the interest rate swap contract begin interest payment accruals.
At December 31, 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 December 31, 2008, as determined on a federal income tax basis, were as follows:
         
Aggregate cost
   $ 35,291,795  
 
      
Gross unrealized appreciation
   $ 471,298  
Gross unrealized depreciation
     (4,454,905 )
 
      
Net unrealized depreciation
   $ (3,983,607 )
 
      
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 (FAS 157), “Fair Value Measurements”, effective October 1, 2008. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
  •   Level 1 – quoted prices in active markets for identical investments
 
  •   Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
  •   Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At December 31, 2008, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:
                         
        Valuation Inputs   Investments in
Securities		     Other Financial
Instruments*		  
Level 1  
Quoted Prices
   $ —     $ —  
Level 2  
Other Significant Observable Inputs
     33,768,187       (758,556 )
Level 3  
Significant Unobservable Inputs
     —       —  
 
                    
Total
           $ 33,768,187     $ (758,556 )
 
                    
*   Other financial instruments include interest rate swap contracts not reflected in the Portfolio of Investments, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Fund held no investments or other financial instruments as of September 30, 2008 whose fair value was determined using Level 3 inputs.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

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
         
By:
  /s/ Robert B. MacIntosh
 
Robert B. MacIntosh 		   
 
  President    
 
        
Date:
  February 23, 2009    
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.
         
By:
  /s/ Robert B. MacIntosh
 
Robert B. MacIntosh 		   
 
  President    
 
        
Date:
  February 23, 2009    
 
        
By:
  /s/ Barbara E. Campbell    
 
       
 
  Barbara E. Campbell    
 
  Treasurer    
 
        
Date:
  February 23, 2009