- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
31 July 2012 - 4:03AM
Edgar (US Regulatory)
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OMB APPROVAL
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OMB Number: 3235-0578
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Expires: April 30, 2013
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Estimated average burden
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hours per response: 5.6
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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 811-07088
Invesco Van Kampen Massachusetts Value Municipal Income Trust
(Exact name of registrant as specified in charter)
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1555 Peachtree Street, N.E., Atlanta, Georgia
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30309
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(Address of principal executive offices)
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(Zip code)
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Colin Meadows 1555 Peachtree Street, N.E., Atlanta, Georgia 30309
(Name and address of agent for service)
Registrants telephone number, including area code: (713) 626-1919
Date of fiscal year end: 2/28
Date of reporting period: 5/31/12
Item 1. Schedule of Investments.
Invesco Van Kampen Massachusetts Value Municipal Income Trust
Quarterly Schedule of Portfolio Holdings
May 31, 2012
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invesco.com/us
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VK-CE-MVMI-QTR-1 05/12
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Invesco Advisers, Inc.
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Schedule of Investments
May 31, 2012
(Unaudited)
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Principal
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Interest
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Maturity
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Amount
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Rate
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Date
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(000)
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Value
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Municipal Obligations162.21%
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Massachusetts140.20%
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Berkshire Wind Power Cooperative Corp.; Series 2010 1, RB
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5.25
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%
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07/01/30
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$
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350
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$
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388,874
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Boston (City of) Water & Sewer Commission; Series 2009 A, Ref. General RB
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5.00
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%
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11/01/26
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1,000
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1,170,820
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Holyoke (City of) Gas & Electric Department; Series 2001 A, RB
(a)(b)
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5.00
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%
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12/01/12
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1,000
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1,023,620
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Massachusetts (State of) Bay Transportation Authority;
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Series 2006 B, Sr. Sales Tax RB
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5.25
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%
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07/01/21
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1,000
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1,290,310
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Series 2007 A-2, Sr. Sales Tax CAB RB
(c)
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0.00
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%
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07/01/21
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715
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538,288
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Massachusetts (State of) Department of Transportation (Contract Assistance); Series 2010 B,
Metropolitan Highway Systems RB
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5.00
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%
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01/01/35
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2,010
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2,248,265
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Massachusetts (State of) Department of Transportation;
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Series 1993 A, Turnpike RB
(b)
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5.00
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%
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01/01/13
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350
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358,922
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Series 1997 C, Sr. Turnpike Metropolitan Highway
System CAB RB (INS-NATL)
(c)(d)
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0.00
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%
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01/01/22
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1,550
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1,153,711
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Massachusetts (State of) Development Finance Agency (American Hingham); Series 1995, Water
Treatment RB
(e)
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6.90
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%
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12/01/29
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930
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930,939
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Massachusetts (State of) Development Finance Agency (Berklee College of Music); Series 2007 A, RB
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5.00
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%
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10/01/32
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350
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376,824
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Massachusetts (State of) Development Finance Agency (Berkshire Health System); Series 2012 G, RB
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5.00
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%
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10/01/31
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500
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548,190
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Massachusetts (State of) Development Finance Agency (Boston College);
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Series 2008, RB
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5.50
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%
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06/01/26
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400
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527,268
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Series 2010 R-1, RB
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5.00
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%
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07/01/31
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350
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404,117
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Massachusetts (State of) Development Finance Agency (Broad Institute); Series 2011 A, RB
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5.25
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%
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04/01/37
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500
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555,730
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Massachusetts (State of) Development Finance Agency (Cape Cod Healthcare Obligation); Series 2004,
RB (INS-AGC)
(d)
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5.13
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%
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11/15/35
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500
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539,455
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Massachusetts (State of) Development Finance Agency (Caregroup); Series 1998 B-2, RB (INS-NATL)
(d)
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5.38
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%
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02/01/28
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500
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556,700
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Massachusetts (State of) Development Finance Agency (Carleton-Willard Village); Series 2010, RB
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5.63
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%
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12/01/30
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700
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757,295
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Massachusetts (State of) Development Finance Agency (CLG Pharmacy & Allied Health); Series 2005 D,
RB (INS-AGC)
(d)
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5.00
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%
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07/01/35
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500
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520,315
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Massachusetts (State of) Development Finance Agency (Covenant Health Care Systems); Series 2002, RB
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6.00
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%
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07/01/31
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1,185
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1,206,780
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Massachusetts (State of) Development Finance Agency (Emerson College); Series 2010 A, RB
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5.00
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%
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01/01/40
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250
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258,678
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Massachusetts (State of) Development Finance Agency (Evergreen Center Inc.);
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Series 2005, RB
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5.00
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%
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01/01/24
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250
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250,890
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Series 2005, RB
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5.50
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%
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01/01/35
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450
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450,940
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Massachusetts (State of) Development Finance Agency (Hampshire College); Series 2004, RB
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5.70
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%
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10/01/34
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1,000
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1,029,800
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Massachusetts (State of) Development Finance Agency (Harvard University); Series 2008 B, RB
(f)
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5.00
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%
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10/01/38
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3,500
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4,027,625
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Massachusetts (State of) Development Finance Agency (Hillcrest Extended Care Services); Series
2001 A, VRD RB (LOC-Bank of America, N.A.)
(g)(h)
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0.27
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%
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10/01/26
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465
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465,000
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Massachusetts (State of) Development Finance Agency (Lesley University); Series 2011 B-1, RB
(INS-AGM)
(d)
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5.25
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%
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07/01/33
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300
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337,680
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Massachusetts (State of) Development Finance Agency (Linden Ponds, Inc. Facility);
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Series 2011 A-1, RB
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6.25
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%
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11/15/46
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213
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154,233
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Series 2011 A-2, RB
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5.50
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%
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11/15/46
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11
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6,993
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Series 2011 B, RB
(c)
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0.00
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%
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11/15/56
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56
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290
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Massachusetts (State of) Development Finance Agency (Lowell General Hospital); Series 2010 C, RB
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5.13
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%
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07/01/35
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500
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509,250
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Massachusetts (State of) Development Finance Agency (Massachusetts Eye & Ear Infirmary); Series
2010 C, RB
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5.38
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%
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07/01/35
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500
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528,485
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Massachusetts (State of) Development Finance Agency (Massachusetts Institute of Technology);
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Series 2002 K, RB
(f)
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5.50
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%
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07/01/32
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2,500
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3,553,025
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See accompanying notes which are an integral part of this schedule.
Invesco Van Kampen Massachusetts Value Municipal Income Trust
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Principal
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Interest
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Maturity
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Amount
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Rate
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Date
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(000)
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Value
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Massachusetts(continued)
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Series 2008 A, RB
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5.00
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%
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07/01/38
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$
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750
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$
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858,030
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Massachusetts (State of) Development Finance Agency (Mount Holyoke College); Series 2011 B, RB
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5.00
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%
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07/01/41
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500
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550,755
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Massachusetts (State of) Development Finance Agency (Northeastern University); Series 2009 Y-2, Ref. RB
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5.50
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%
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10/01/24
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750
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888,945
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Massachusetts (State of) Development Finance Agency (Overlook Communities); Series 2004 A, First Mortgage RB
(a)(b)
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6.25
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%
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07/01/12
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600
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615,006
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Massachusetts (State of) Development Finance Agency (Partners Healthcare System); Series 2007 G, RB
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5.00
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%
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07/01/47
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600
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633,408
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Massachusetts (State of) Development Finance Agency (Sabis International Charter School); Series 2009 A, RB
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8.00
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%
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04/15/39
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250
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304,960
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Massachusetts (State of) Development Finance Agency (Springfield College); Series 2010, RB
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5.63
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%
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10/15/40
|
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500
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525,485
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Massachusetts (State of) Development Finance Agency (SRBC); Series 2002 A, RB (INS-NATL)
(d)
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5.13
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%
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08/01/28
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1,000
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1,000,660
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Massachusetts (State of) Development Finance Agency (Sterling & Francine Clark Art); Series 2010, RB
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5.00
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%
|
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07/01/40
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|
500
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558,170
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Massachusetts (State of) Development Finance Agency (Suffolk University); Series 2010, RB
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5.13
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%
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07/01/40
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500
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531,935
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Massachusetts (State of) Development Finance Agency (The Groves in Lincoln); Series 2009 B-1, TEMPS-85
sm
Senior Living
Facility RB
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7.25
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%
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06/01/16
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250
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|
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|
212,898
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Massachusetts (State of) Development Finance Agency (Tufts Medical Center); Series 2011 I, RB
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6.75
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%
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01/01/36
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500
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|
579,925
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Massachusetts (State of) Development Finance Agency (UMass Memorial); Series 2011 H, RB
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5.50
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%
|
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07/01/31
|
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500
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546,080
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Massachusetts (State of) Development Finance Agency (Wellesley College); Series 2012 J, RB
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5.00
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%
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07/01/42
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|
150
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|
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|
172,481
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Massachusetts (State of) Development Finance Agency (Winchester Hospital); Series 2010, RB
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5.25
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%
|
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|
07/01/38
|
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|
700
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|
|
|
733,047
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|
Massachusetts (State of) Educational Financing Authority; Series 2011 J, RB
(e)
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5.63
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%
|
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07/01/28
|
|
|
|
350
|
|
|
|
376,779
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Massachusetts (State of) Port Authority (Conrac); Series 2011 A, RB
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|
5.13
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%
|
|
|
07/01/41
|
|
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|
250
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|
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|
273,928
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|
Massachusetts (State of) Port Authority; Series 2010 A, RB
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5.00
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%
|
|
|
07/01/40
|
|
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|
300
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|
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|
328,011
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|
Massachusetts (State of) School Building Authority; Series 2005 A, Dedicated Sales Tax RB (INS-AGM)
(d)(f)
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5.00
|
%
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08/15/30
|
|
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|
3,500
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|
|
3,873,205
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|
Massachusetts (State of) Water Pollution Abatement (MWRA Program); Series 2002 A, RB
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5.00
|
%
|
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08/01/32
|
|
|
|
50
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|
|
|
50,323
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|
Massachusetts (State of) Water Resources Authority;
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Series 2007 B, Ref. General RB (INS-AGM)
(d)
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|
5.25
|
%
|
|
|
08/01/31
|
|
|
|
500
|
|
|
|
659,170
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|
Series 2011 B, General RB
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|
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5.00
|
%
|
|
|
08/01/28
|
|
|
|
200
|
|
|
|
238,290
|
|
Series 2011 C, Ref. General RB
(f)
|
|
|
5.00
|
%
|
|
|
08/01/30
|
|
|
|
3,500
|
|
|
|
4,145,015
|
|
Massachusetts (State of);
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004 A, Ref. Limited Tax GO Bonds (INS-AMBAC)
(d)
|
|
|
5.50
|
%
|
|
|
08/01/30
|
|
|
|
1,500
|
|
|
|
2,033,610
|
|
Series 2004 C, Ref. Unlimited Tax GO Bonds (INS-NATL)
(d)
|
|
|
5.50
|
%
|
|
|
12/01/17
|
|
|
|
455
|
|
|
|
565,879
|
|
Series 2005, Ref. Special Obligation Dedicated Tax RB (INS-NATL)
(d)
|
|
|
5.50
|
%
|
|
|
01/01/23
|
|
|
|
1,000
|
|
|
|
1,241,140
|
|
Westford (Town of); Series 2003, Limited Tax GO Bonds (INS-AMBAC)
(d)
|
|
|
5.25
|
%
|
|
|
06/01/19
|
|
|
|
1,975
|
|
|
|
2,065,850
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,232,297
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Puerto Rico10.22%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Puerto Rico (Commonwealth of) Aqueduct & Sewer Authority; Series 2008 A, Sr. Lien RB
|
|
|
6.00
|
%
|
|
|
07/01/38
|
|
|
|
400
|
|
|
|
427,328
|
|
Puerto Rico (Commonwealth of) Electric Power Authority;
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2010 CCC, RB
|
|
|
5.25
|
%
|
|
|
07/01/27
|
|
|
|
200
|
|
|
|
214,828
|
|
Series 2010 XX, RB
|
|
|
5.25
|
%
|
|
|
07/01/40
|
|
|
|
500
|
|
|
|
514,400
|
|
Series 2010 XX, RB
|
|
|
5.75
|
%
|
|
|
07/01/36
|
|
|
|
300
|
|
|
|
329,748
|
|
Puerto Rico (Commonwealth of) Infrastructure Financing Authority; Series 2005 C, Ref. Special Tax RB (INS-AMBAC)
(d)
|
|
|
5.50
|
%
|
|
|
07/01/27
|
|
|
|
200
|
|
|
|
222,536
|
|
Puerto Rico Sales Tax Financing Corp.;
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Subseries 2009 A, RB
|
|
|
5.75
|
%
|
|
|
08/01/37
|
|
|
|
300
|
|
|
|
333,303
|
|
First Subseries 2010 A, CAB RB
(c)
|
|
|
0.00
|
%
|
|
|
08/01/34
|
|
|
|
2,000
|
|
|
|
594,820
|
|
Series 2011 C, RB
(f)
|
|
|
5.00
|
%
|
|
|
08/01/40
|
|
|
|
375
|
|
|
|
400,699
|
|
Series 2011 C, RB
(f)
|
|
|
5.25
|
%
|
|
|
08/01/40
|
|
|
|
630
|
|
|
|
698,317
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,735,979
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes which are an integral part of this schedule.
Invesco Van Kampen Massachusetts Value Municipal Income Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Interest
|
|
|
Maturity
|
|
|
Amount
|
|
|
|
|
|
|
Rate
|
|
|
Date
|
|
|
(000)
|
|
|
Value
|
|
|
Virgin Islands8.94%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
University of the Virgin Islands; Series 2004 A, Improvement RB
(a)(b)
|
|
|
5.38
|
%
|
|
|
12/01/14
|
|
|
$
|
1,000
|
|
|
$
|
1,119,240
|
|
Virgin Islands (Government of) Public Finance Authority (Gross Receipts Taxes Loan Note); Series 1999 A, RB
|
|
|
6.38
|
%
|
|
|
10/01/19
|
|
|
|
915
|
|
|
|
918,065
|
|
Virgin Islands (Government of) Public Finance Authority (Matching Fund Loan Note Diageo); Series 2009 A, Sub. RB
|
|
|
6.75
|
%
|
|
|
10/01/19
|
|
|
|
300
|
|
|
|
349,995
|
|
Virgin Islands (Government of) Public Finance Authority (Matching Fund Loan Note);
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2009 A, Sub. RB
|
|
|
6.00
|
%
|
|
|
10/01/39
|
|
|
|
320
|
|
|
|
349,155
|
|
Series 2010 A, Sr. Lien RB
|
|
|
5.00
|
%
|
|
|
10/01/29
|
|
|
|
500
|
|
|
|
529,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,265,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guam2.85%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Guam (Territory of) (Section 30); Series 2009 A, Limited Obligation RB
|
|
|
5.38
|
%
|
|
|
12/01/24
|
|
|
|
350
|
|
|
|
375,155
|
|
Guam (Territory of) Power Authority; Series 2010 A, RB
|
|
|
5.50
|
%
|
|
|
10/01/40
|
|
|
|
135
|
|
|
|
139,637
|
|
Guam (Territory of) Waterworks Authority; Series 2010, Water & Wastewater System RB
|
|
|
5.63
|
%
|
|
|
07/01/40
|
|
|
|
300
|
|
|
|
304,593
|
|
Guam (Territory of); Series 2011 A, Business Privilege Tax RB
|
|
|
5.25
|
%
|
|
|
01/01/36
|
|
|
|
200
|
|
|
|
222,510
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,041,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS
(i)
162.21% (Cost $54,285,592)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,276,101
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FLOATING RATE NOTE OBLIGATIONS(23.99)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes with interest rates ranging from 0.24% to 0.28% at 05/31/12 and contractual maturities of collateral ranging from 08/01/30 to
08/01/40 (See Note 1D)
(j)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(8,765,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTHER ASSETS LESS LIABILITIES2.55%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
931,794
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VARIABLE RATE MUNI TERM PREFERRED SHARES(40.77)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(14,900,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHARES100.00%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
36,542,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Abbreviations:
|
|
|
|
|
AGC
|
|
|
|
Assured Guaranty Corp.
|
AGM
|
|
|
|
Assured Guaranty Municipal Corp.
|
AMBAC
|
|
|
|
American Municipal Bond Assurance Corp.
|
CAB
|
|
|
|
Capital Appreciation Bonds
|
GO
|
|
|
|
General Obligation
|
INS
|
|
|
|
Insurer
|
LOC
|
|
|
|
Letter of Credit
|
NATL
|
|
|
|
National Public Finance Guarantee Corp.
|
RB
|
|
|
|
Revenue Bonds
|
Ref.
|
|
|
|
Refunding
|
Sr.
|
|
|
|
Senior
|
Sub.
|
|
|
|
Subordinated
|
TEMPS
|
|
|
|
Tax-Exempt Mandatory Paydown Securities
|
VRD
|
|
|
|
Variable Rate Demand
|
Notes to Schedule of Investments:
|
|
|
(a)
|
|
Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity date reflects such call or put.
|
|
(b)
|
|
Advance refunded; secured by an escrow fund of U.S. Government obligations or other highly rated collateral.
|
|
(c)
|
|
Zero coupon bond issued at a discount.
|
|
(d)
|
|
Principal and/or interest payments are secured by the bond insurance company listed.
|
|
(e)
|
|
Security subject to the alternative minimum tax.
|
|
(f)
|
|
Underlying security related to Dealer Trusts entered into by the Trust. See Note 1D.
|
|
(g)
|
|
Demand security payable upon demand by the Trust at specified time intervals no greater than thirteen months. Interest rate is redetermined periodically. Rate shown is the rate in effect on May 31, 2012.
|
|
(h)
|
|
Principal and interest payments are fully enhanced by a letter of credit from the bank listed or a predecessor bank, branch or subsidiary.
|
|
(i)
|
|
This table provides a listing of those entities that have either issued, guaranteed, backed or otherwise enhanced the credit quality of more than 5% of the securities held in the portfolio. In instances where the entity has guaranteed, backed or otherwise enhanced the credit
quality of a security, it is not primarily responsible for the issuers obligations but may be called upon to satisfy the issuers obligations.
|
|
|
|
|
|
Entities
|
|
Percentage
|
|
|
Assured Guaranty Municipal Corp.
|
|
|
8.2
|
%
|
|
National Public Finance Guarantee Corp.
|
|
|
7.6
|
|
|
American Municipal Bond Assurance Corp.
|
|
|
7.3
|
|
|
|
|
|
(j)
|
|
Floating rate note obligations related to securities held. The interest rates shown reflect the rates in effect at May 31, 2012. At May 31, 2012, the Trusts investments with a value of $16,697,886 are held by Dealer Trusts and serve as collateral for the $8,765,000 in the
floating rate note obligations outstanding at that date.
|
See accompanying notes which are an integral part of this schedule.
Invesco Van Kampen Massachusetts Value Municipal Income Trust
Notes to Quarterly Schedule of Portfolio Holdings
May 31, 2012
(Unaudited)
NOTE 1 Significant Accounting Policies
A.
|
|
Security Valuations
Securities, including restricted securities, are valued according to
the following policy.
|
Securities are fair valued using an evaluated quote provided by an independent pricing
service approved by the Board of Trustees. Evaluated quotes provided by the pricing service may
be determined without exclusive reliance on quoted prices and may reflect appropriate factors
such as institution-size trading in similar groups of securities, yield, quality, coupon rate,
maturity, type of issue, individual trading characteristics and other market data. Securities
with a demand feature exercisable within one to seven days are valued at par. Debt securities
are subject to interest rate and credit risks. In addition, all debt securities involve some
risk of default with respect to interest and principal payments.
Securities for which market quotations either are not readily available or are unreliable
are valued at fair value as determined in good faith by or under the supervision of the Trusts
officers following procedures approved by the Board of Trustees. Some of the factors which may
be considered in determining fair value are fundamental analytical data relating to the
investment; the nature and duration of any restrictions on transferability or disposition;
trading in similar securities by the same issuer or comparable companies; relevant political,
economic or issuer specific news; and other relevant factors under the circumstances.
Valuations change in response to many factors including the historical and prospective
earnings of the issuer, the value of the issuers assets, general economic conditions, interest
rates, investor perceptions and market liquidity. Because of the inherent uncertainties of
valuation, the values reflected in the financial statements may materially differ from the value
received upon actual sale of those investments.
B.
|
|
Securities Transactions and Investment Income
Securities transactions are accounted for on
a trade date basis. Realized gains or losses on sales are computed on the basis of specific
identification of the securities sold. Interest income is recorded on the accrual basis from
settlement date. Dividend income (net of withholding tax, if any) is recorded on the
ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial
reporting purposes.
|
The Trust may periodically participate in litigation related to Trust investments. As
such, the Trust may receive proceeds from litigation settlements. Any proceeds received are
included in the Statement of Operations as realized gain (loss) for investments no longer held
and as unrealized gain (loss) for investments still held.
Brokerage commissions and mark ups are considered transaction costs and are recorded as an
increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of
securities. Such transaction costs are included in the determination of net realized and
unrealized gain (loss) from investment securities reported in the Statement of Operations and
the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on
securities per share in the Financial Highlights. Transaction costs are included in the
calculation of the Trusts net asset value and, accordingly, they reduce the Trusts total
returns. These transaction costs are not considered operating expenses and are not reflected in
net investment income reported in the Statement of Operations and Statement of Changes in Net
Assets, or the net investment income per share and ratios of expenses and net investment income
reported in the Financial Highlights, nor are they limited by any expense limitation
arrangements between the Trust and the investment adviser.
C.
|
|
Country Determination
For the purposes of making investment selection decisions and
presentation in the Schedule of Investments, the investment adviser may determine the country
in which an issuer is located and/or credit risk exposure based on various factors. These
factors include the laws of the country under which the issuer is organized, where the issuer
maintains a principal office, the country in which the issuer derives 50% or more of its total
revenues and the country that has the primary market for the issuers securities, as well as
other criteria. Among the other criteria that may be evaluated for making this determination
are the country in which the issuer maintains 50% or more of its assets, the type of security,
financial guarantees and enhancements, the nature of the collateral and the sponsor
organization. Country of issuer and/or credit risk exposure has been determined to be the
United States of America, unless otherwise noted.
|
D.
|
|
Floating Rate Note Obligations
The Trust invests in inverse floating rate
securities, such as Residual Interest Bonds (RIBs) or Tender Option Bonds (TOBs) for
investment purposes and to enhance the yield of the Trust. Inverse floating rate investments
tend to underperform the market for fixed rate bonds in a rising interest rate environment,
but tend to outperform the market for fixed rate bonds when interest rates decline or remain
relatively stable. Such transactions may be purchased in the secondary market without first
owning the underlying bond or by the sale of fixed rate bonds by the Trust to special purpose
trusts established by a broker dealer (Dealer Trusts) in exchange for cash
and residual interests in the Dealer Trusts assets and cash flows, which are in the form of
inverse floating rate securities. The Dealer Trusts finance the purchases of the fixed rate
bonds by issuing floating rate notes to third parties and
|
Invesco Van Kampen Massachusetts Value Municipal Income Trust
D.
|
|
Floating Rate Note Obligations
(continued)
|
|
|
|
allowing the Trust to retain residual interest in the bonds. The floating rate notes issued by
the Dealer Trusts have interest rates that reset weekly and the floating rate note holders have
the option to tender their notes to the Dealer Trusts for redemption at par at each reset date.
The residual interests held by the Trust (inverse floating rate investments) include the right
of the Trust (1) to cause the holders of the floating rate notes to tender their notes at par at
the next interest rate reset date, and (2) to transfer the municipal bond from the Dealer Trusts
to the Trust, thereby collapsing the Dealer Trusts.
|
TOBs are presently classified as private placement securities. Private placement securities
are subject to restrictions on resale because they have not been registered under the Securities
Act of 1933, as amended or are otherwise not readily marketable. As a result of the absence of a
public trading market for these securities, they may be less liquid than publicly traded
securities. Although these securities may be resold in privately negotiated transactions, the
prices realized from these sales could be less than those originally paid by the Trust or less
than what may be considered the fair value of such securities.
The Trust accounts for the transfer of bonds to the Dealer Trusts as secured borrowings,
with the securities transferred remaining in the Trusts investment assets, and the related
floating rate notes reflected as Trust liabilities under the caption
Floating rate note
obligations
on the Statement of Assets and Liabilities. The Trust records the interest income
from the fixed rate bonds under the caption
Interest
and records the expenses related to
floating rate obligations and any administrative expenses of the Dealer Trusts a component of
Interest, facilities and maintenance fees
on the Statement of Operations.
The Trust generally invests in inverse floating rate securities that include embedded
leverage, thus exposing the Trust to greater risks and increased costs. The primary risks
associated with inverse floating rate securities are varying degrees of liquidity and the
changes in the value of such securities in response to changes in market rates of interest to a
greater extent than the value of an equal principal amount of a fixed rate security having
similar credit quality, redemption provisions and maturity which may cause the Trusts net asset
value to be more volatile than if it had not invested in inverse floating rate securities. In
certain instances, the short-term floating rate interests created by the special purpose trust
may not be able to be sold to third parties or, in the case of holders tendering (or putting)
such interests for repayment of principal, may not be able to be remarketed to third parties. In
such cases, the special purpose trust holding the long-term fixed rate bonds may be collapsed.
In the case of RIBs or TOBs created by the contribution of long-term fixed income bonds by the
Trust, the Trust will then be required to repay the principal amount of the tendered securities.
During times of market volatility, illiquidity or uncertainty, the Trust could be required to
sell other portfolio holdings at a disadvantageous time to raise cash to meet that obligation.
E.
|
|
Other Risks
The value of, payment of interest on, repayment of principal for and the
ability to sell a municipal security may be affected by constitutional amendments, legislative
enactments, executive orders, administrative regulations, voter initiatives and the economics
of the regions in which the issuers are located.
|
Since many municipal securities are issued to finance similar projects, especially those
relating to education, health care, transportation and utilities, conditions in those sectors
can affect the overall municipal securities market and a Trusts investments in municipal
securities.
There is some risk that a portion or all of the interest received from certain tax-free
municipal securities could become taxable as a result of determinations by the Internal Revenue
Service.
NOTE 2 Additional Valuation Information
Generally Accepted Accounting Principles (GAAP) defines fair value as the price that would be
received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date, under current market conditions. GAAP establishes a
hierarchy that prioritizes the inputs to valuation methods giving the highest priority to readily
available unadjusted quoted prices in an active market for identical assets (Level 1) and the
lowest priority to significant unobservable inputs (Level 3) generally when market prices are not
readily available or are unreliable. Based on the valuation inputs, the securities or other
investments are tiered into one of three levels. Changes in valuation methods may result in
transfers in or out of an investments assigned level:
Level 1
|
|
Prices are determined using quoted prices in an active market for identical
assets.
|
|
Level 2
|
|
Prices are determined using other significant observable inputs.
Observable inputs are inputs that other market participants may use in pricing a
security. These may include quoted prices for similar securities, interest rates,
prepayment speeds, credit risk, yield curves, loss severities, default rates, discount
rates, volatilities and others.
|
Invesco Van Kampen Massachusetts Value Municipal Income Trust
Level 3
|
|
Prices are determined using significant unobservable inputs. In situations
where quoted prices or observable inputs are unavailable (for example, when there is
little or no market activity for an investment at the end of the period), unobservable
inputs may be used. Unobservable inputs reflect the Trusts own assumptions about the
factors market participants would use in determining fair value of the securities or
instruments and would be based on the best available information.
|
The following is a summary of the tiered valuation input levels, as of May 31, 2012. The
level assigned to the securities valuations may not be an indication of the risk or liquidity
associated with investing in those securities. Because of the inherent uncertainties of valuation,
the values reflected in the financial statements may materially differ from the value received upon
actual sale of those investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Municipal Obligations
|
|
$
|
|
|
|
$
|
59,276,101
|
|
|
$
|
|
|
|
$
|
59,276,101
|
|
|
NOTE 3 Investment Securities
The aggregate amount of investment securities (other than short-term securities, U.S. Treasury
obligations and money market funds, if any) purchased and sold by the Trust during the three months
ended May 31, 2012 was $711,952 and $1,010,000, respectively. Cost of investments on a
tax basis includes the adjustments for financial reporting purposes as of the most recently
completed federal income tax reporting period-end.
|
|
|
|
|
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis
|
|
|
Aggregate unrealized appreciation of investment securities
|
|
$
|
5,263,071
|
|
|
Aggregate unrealized (depreciation) of investment securities
|
|
|
(213,546
|
)
|
|
Net unrealized appreciation of investment securities
|
|
$
|
5,049,525
|
|
|
Cost of investments for tax purposes is $54,226,576.
|
|
|
|
|
NOTE 4 Significant Event
The Board of Trustees of the Trust (the Board) approved the redomestication of the Trust, a
Massachusetts business trust, into a Delaware statutory trust pursuant to an Agreement and Plan of
Redomestication (the Redomestication). The Board also approved an Agreement and Plan of Merger
pursuant to which the Trust would merge with and into Invesco Van Kampen Municipal Trust (the
Acquiring Trust) in accordance with the Delaware Statutory Trust Act (the Merger). As a result
of the Merger, all of the assets and liabilities of the Trust will become assets and liabilities of
the Acquiring Trust and the Trusts shareholders will become shareholders of the Acquiring Trust.
The Redomestication and the Merger are subject to shareholder approval.
In addition, the Board also approved a plan to redeem all of the outstanding auction rate
preferred shares at their respective liquidation preferences. These redemptions are anticipated to
be funded with proceeds received from the issuance of Variable Rate Muni Term Preferred Shares
(VMTPS) and Tender Option Bonds (TOBs). VMTPS are a variable rate form of preferred stock with
a mandatory redemption date. These redemptions and this issuance of VMTPS are targeted to occur in
the first half of 2012.
Invesco Van Kampen Massachusetts Value Municipal Income Trust
Item 2. Controls and Procedures.
|
(a)
|
|
As of June 12, 2012, an evaluation was performed under the supervision and with the
participation of the officers of the Registrant, including the Principal Executive Officer
(PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the
Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation,
the Registrants officers, including the PEO and PFO, concluded that, as of June 12, 2012,
the Registrants disclosure controls and procedures were reasonably designed so as to
ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is
recorded, processed, summarized and reported within the time periods specified by the
rules and forms of the Securities and Exchange Commission; and (2) that material
information relating to the Registrant is made known to the PEO and PFO as appropriate to
allow timely decisions regarding required disclosure.
|
|
|
(b)
|
|
There have been no changes in the Registrants internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrants last fiscal quarter that have materially affected, or are reasonably likely
to materially affect, the Registrants internal control over financial reporting.
|
Item 3. Exhibits.
|
|
|
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act
of 1940.
|
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.
Registrant: Invesco Van Kampen Massachusetts Value Municipal Income Trust
|
|
|
|
|
|
By:
|
/s/ Colin Meadows
|
|
|
|
Colin Meadows
|
|
|
|
Principal Executive Officer
|
|
|
|
Date: July 30, 2012
|
|
Pursuant to the requirements of the Securities and 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/ Colin Meadows
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Colin Meadows
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Principal Executive Officer
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Date: July 30, 2012
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By:
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/s/ Sheri Morris
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Sheri Morris
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Principal Financial Officer
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Date: July 30, 2012
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EXHIBIT INDEX
Certifications of Principal Executive Officer (PEO) and Principal Financial Officer (PFO) as
required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended.
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