UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7088
Van Kampen Massachusetts Value Municipal Income Trust
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York 10036
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jerry W. Miller
522 Fifth Avenue, New York, New York 10036
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: 10/31
Date of reporting period: 4/30/08
Item 1. Report to Shareholders
The Trust's semi-annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
Welcome, Shareholder
In this report, you'll learn about how your investment in Van Kampen
Massachusetts Value Municipal Income Trust performed during the
semiannual period. The portfolio management team will provide an overview
of the market conditions and discuss some of the factors that affected
investment performance during the reporting period. In addition, this
report includes the trust's financial statements and a list of trust
investments as of April 30, 2008.
MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO
PASS. THERE IS NO ASSURANCE THAT THE TRUST WILL ACHIEVE ITS INVESTMENT
OBJECTIVE. TRUSTS ARE SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY
THAT THE MARKET VALUES OF SECURITIES OWNED BY THE TRUST WILL DECLINE AND
THAT THE VALUE OF THE TRUST SHARES MAY THEREFORE BE LESS THAN WHAT YOU
PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE MONEY INVESTING IN THIS TRUST.
INCOME MAY SUBJECT CERTAIN INDIVIDUALS TO THE FEDERAL ALTERNATIVE MINIMUM
TAX (AMT).
<Table>
<Caption>
---------------------------------------------------------------------------------------
NOT FDIC INSURED OFFER NO BANK GUARANTEE MAY LOSE VALUE
---------------------------------------------------------------------------------------
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY NOT A DEPOSIT
---------------------------------------------------------------------------------------
</Table>
Performance Summary as of 4/30/08
<Table>
<Caption>
MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
SYMBOL: VMV
- ------------------------------------------------------------
AVERAGE ANNUAL BASED ON BASED ON
TOTAL RETURNS NAV MARKET PRICE
Since Inception (4/30/93) 5.39% 5.64%
10-year 4.85 5.91
5-year 2.39 2.05
1-year -8.11 -4.13
6-month -5.17 -1.54
- ------------------------------------------------------------
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS, AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES
SHOWN. FOR THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
VANKAMPEN.COM OR SPEAK WITH YOUR FINANCIAL ADVISER. INVESTMENT RETURNS, NET
ASSET VALUE (NAV) AND COMMON SHARE MARKET PRICE WILL FLUCTUATE AND TRUST SHARES,
WHEN SOLD, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
NAV per share is determined by dividing the value of the trust's portfolio
securities, cash and other assets, less all liabilities and preferred shares, by
the total number of common shares outstanding. The common share market price is
the price the market is willing to pay for shares of the trust at a given time.
Common share market price is influenced by a range of factors, including supply
and demand and market conditions. Total return assumes an investment at the
beginning of the period, reinvestment of all distributions for the period in
accordance with the trust's dividend reinvestment plan, and sale of all shares
at the end of the period. The trust's adviser has waived or reimbursed fees and
expenses from time to time. Absent such waivers/reimbursements the trust's
returns would have been lower.
The Lehman Brothers Massachusetts Municipal Bond Index is a broad-based
statistical composite of Massachusetts municipal bonds. The Index does not
include any expenses, fees or sales charges, which would lower performance. The
Index is unmanaged and should not be considered an investment. It is not
possible to invest directly in an index.
1
Trust Report
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2008
MARKET CONDITIONS
The financial markets experienced significant volatility throughout the six-
month reporting period as many large banks and financial firms began writing
down mortgage-related losses, and liquidity and credit availability became even
more restricted. At the same time, the pace of economic growth began to slow,
with gross domestic product (GDP) growth measuring an anemic 0.6 percent for the
fourth quarter of 2007. As weaker economic data was released in the first
quarter of 2008, fears of recession grew and consumer confidence waned,
prompting investors to continue to seek out the relative safety of high-quality
Treasury securities over other sectors of the fixed income market.
The municipal bond market faced additional headwinds as various monoline bond
insurers experienced credit rating downgrades, which caused spreads to widen,
and the auction rate and variable rate markets deteriorated. As a result, the
municipal market underperformed Treasuries for the overall period, with
municipal bond prices reaching historically attractive levels relative to
Treasury bonds in the first quarter of 2008. While yields on short-dated
municipal securities declined, yields on intermediate- and long-dated securities
rose, leading to the steepest yield curve in the past four years as the spread
between one-year and 30-year maturities reached 343 basis points. After a record
year for new municipal bond issuance in 2007, the amount of new issues coming to
market in the first four months of 2008 declined by roughly nine percent versus
the same period one year earlier due in part to a drop in refunding issuance.
Municipal bond issuance by the state of Massachusetts was down 43 percent.
The Federal Reserve (the "Fed") took various steps to ease the liquidity crisis
and boost the economy during the period. Not only did the Federal Open Market
Committee reduce the target federal funds rate from 4.50 percent to 2.00 percent
by the end of the period, but in an unprecedented move, the Fed granted primary
Treasury dealers (mostly brokerage firms) access to its discount window and
loosened its collateral requirements, extending loans of Treasury securities in
exchange for lower quality, less liquid securities. Finally, in the biggest
headline event, the Fed arranged and supported JPMorgan Chase's purchase of Bear
Stearns, which was viewed by many as necessary to avoid serious market
repercussions had the firm failed.
2
PERFORMANCE ANALYSIS
The Trust's return can be calculated based upon either the market price or the
net asset value (NAV) of its shares. NAV per share is determined by dividing the
value of the Trust's portfolio securities, cash and other assets, less all
liabilities and preferred shares, by the total number of common shares
outstanding, while market price reflects the supply and demand for the shares.
As a result, the two returns can differ, as they did during the reporting
period. On both an NAV basis and a market price basis, the Trust underperformed
its benchmark index, the Lehman Brothers Massachusetts Municipal Bond Index.
TOTAL RETURN FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2008
<Table>
<Caption>
- ---------------------------------------------------------
LEHMAN BROTHERS
MASSACHUSETTS
BASED ON MUNICIPAL
BASED ON NAV MARKET PRICE BOND INDEX
-5.17% -1.54% 2.31%
- ---------------------------------------------------------
</Table>
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. Investment return, net asset value and common share market price will
fluctuate and Trust shares, when sold, may be worth more or less than their
original cost. See Performance Summary for additional performance information
and index definition.
Although the municipal market rebounded in the last two months of the reporting
period and outperformed Treasuries, it was an extremely difficult period
overall, particularly for higher-yielding, lower-rated bonds as the flight to
quality put considerable pressure on prices. The Trust held an overweight
relative to the Lehman Brothers Massachusetts Municipal Bond Index in BBB rated
securities, many of which were in the tobacco and healthcare sectors. The
performance of these securities suffered during the reporting period as spreads
in both sectors widened. As a result, the Trust's holdings here were a primary
contributor to its relative underperformance.
The Trust's yield curve positioning also hindered performance as it was
overweighted on the long end of the municipal yield curve, which underperformed
the shorter end of the curve. The negative impact was amplified somewhat by
holdings in longer-maturity inverse floating-rate securities*, which are highly
sensitive to interest rate changes. However, these securities did serve to
enhance the Trust's income and diversification during the period. Additionally,
the emphasis on the long end of the curve led to a longer duration (a measure of
interest-rate sensitivity) for the Trust, which we reduced somewhat through the
use of a Treasury futures hedge. However, the Trust still maintained a slightly
longer duration than that of the Lehman Brothers Massachusetts Municipal Bond
Index, which detracted from performance as
*An inverse floating-rate security, or "inverse floater", is a variable rate
security whose coupon rate changes in the opposite direction from the change in
the reference rate used to calculate the coupon rate.
3
rates on the intermediate and long end of the curve rose. At the same time, the
Treasury market rally hurt the performance of the hedge.
Conversely, an overweight to pre-refunded bonds was additive to performance.
These high-quality, shorter-maturity issues benefited as short-term rates
declined during the period. The Trust's holdings in higher-yielding municipal
auction rate securities (ARS) with low durations were also beneficial to
performance.
The Trustees have approved a procedure whereby the trust may, when appropriate,
repurchase its shares in the open market or in privately negotiated transactions
at a price not above market value or NAV, whichever is lower at the time of
purchase. This may help support the market value of the trust's shares.
There is no guarantee that any sectors mentioned will continue to perform as
discussed herein or that securities in such sectors will be held by the Trust in
the future.
4
<Table>
TOP FIVE SECTORS AS OF 4/30/08 RATINGS ALLOCATION AS OF 4/30/08
Higher Education 18.2% AAA/Aaa 53.0%
Hospital 16.7 AA/Aa 24.1
Bridge, Tunnel & Toll Road 10.3 A/A 6.3
Single-Family 9.4 BBB/Baa 8.9
Water 8.1 BB/Ba 1.3
B/B 0.4
Non-Rated 6.0
</Table>
Subject to change daily. Provided for informational purposes only and should not
be deemed as a recommendation to buy or sell the securities mentioned or
securities in the sectors shown above. Ratings are as a percentage of total
investments. Sectors are as a percentage of total long-term investments.
Securities are classified by sectors that represent broad groupings of related
industries. Van Kampen is a wholly owned subsidiary of a global securities firm
which is engaged in a wide range of financial services including, for example,
securities trading and brokerage activities, investment banking, research and
analysis, financing and financial advisory services. Rating allocations based
upon ratings as issued by Standard and Poor's and Moody's, respectively.
5
FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS
Each Van Kampen trust provides a complete schedule of portfolio holdings
in its semiannual and annual reports within 60 days of the end of the
trust's second and fourth fiscal quarters. The semiannual reports and the
annual reports are filed electronically with the Securities and Exchange
Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Van Kampen
also delivers the semiannual and annual reports to fund shareholders, and
makes these reports available on its public Web site, www.vankampen.com.
In addition to the semiannual and annual reports that Van Kampen delivers
to shareholders and makes available through the Van Kampen public Web
site, each fund files a complete schedule of portfolio holdings with the
SEC for the trust's first and third fiscal quarters on Form N-Q. Van
Kampen does not deliver the reports for the first and third fiscal
quarters to shareholders, nor are the reports posted to the Van Kampen
public Web site. You may, however, obtain the Form N-Q filings (as well
as the Form N-CSR and N-CSRS filings) by accessing the SEC's Web site,
http://www.sec.gov. You may also review and copy them at the SEC's Public
Reference Room in Washington, D.C. Information on the operation of the
SEC's Public Reference Room may be obtained by calling the SEC at
1-800-SEC-0330. You can also request copies of these materials, upon
payment of a duplicating fee, by electronic request at the SEC's e-mail
address (publicinfo@sec.gov) or by writing the Public Reference section
of the SEC, Washington, DC 20549-0102.
You may obtain copies of a trust's fiscal quarter filings by contacting
Van Kampen Client Relations at 1-800-341-2929.
PROXY VOTING POLICY AND PROCEDURES AND PROXY VOTING RECORD
You may obtain a copy of the Trust's Proxy Voting Policy and Procedures
without charge, upon request, by calling toll free 1-800-341-2929 or by
visiting our Web site at www.vankampen.com. It is also available on the
Securities and Exchange Commission's Web site at http://www.sec.gov.
You may obtain information regarding how the Trust voted proxies relating
to portfolio securities during the most recent twelve-month period ended
June 30 without charge by visiting our Web site at www.vankampen.com.
This information is also available on the Securities and Exchange
Commission's Web site at http://www.sec.gov.
6
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
PORTFOLIO OF INVESTMENTS -- APRIL 30, 2008 (UNAUDITED)
<Table>
<Caption>
PAR
AMOUNT
(000) DESCRIPTION COUPON MATURITY VALUE
- ------------------------------------------------------------------------------------------------
MUNICIPAL BONDS 205.5%
MASSACHUSETTS 178.1%
$ 1,000 Holyoke, MA Gas & Elec Dept Rev Ser A
(MBIA Insd)..................................... 5.000% 12/01/31 $ 1,003,210
30 Massachusetts Ed Ln Auth Ed Ln Rev Issue E Ser B
(AMBAC Insd) (AMT).............................. 6.250 07/01/11 30,108
35 Massachusetts Ed Ln Auth Ed Ln Rev Issue E Ser B
(AMBAC Insd) (AMT).............................. 6.300 07/01/12 35,117
1,220 Massachusetts St College Bldg Auth Proj Rev Ser
A (AMBAC Insd).................................. 5.000 05/01/36 1,227,198
1,000 Massachusetts St Dev Fin Agy M/Srbc Proj Ser A
(MBIA Insd)..................................... 5.125 08/01/28 1,016,110
1,000 Massachusetts St Dev Fin Agy Rev College
Pharmacy & Allied Hlth Ser D (AGL Insd)......... 5.000 07/01/35 1,011,950
1,000 Massachusetts St Dev Fin Agy Rev Curry College
Ser A (ACA Insd)................................ 5.000 03/01/35 862,010
250 Massachusetts St Dev Fin Agy Rev Evergreen
Ctr Inc......................................... 5.000 01/01/24 222,712
500 Massachusetts St Dev Fin Agy Rev Evergreen
Ctr Inc......................................... 5.500 01/01/35 435,860
600 Massachusetts St Dev Fin Agy Rev First Mtg
Overlook Cmnty Ser A............................ 6.250 07/01/34 565,758
1,000 Massachusetts St Dev Fin Agy Rev Hampshire
College......................................... 5.700 10/01/34 975,300
300 Massachusetts St Dev Fin Agy Rev Linden Ponds
Inc Fac Ser A................................... 5.750 11/15/42 260,031
1,000 Massachusetts St Dev Fin Agy Rev MA College of
Pharmacy Ser B (Prerefunded @ 1/01/10).......... 6.750 07/01/30 1,081,280
1,000 Massachusetts St Dev Fin Agy Solid Waste Disp
Rev Dominion Energy Brayton Point (AMT)......... 5.000 02/01/36 893,990
1,500 Massachusetts St Dev Fin Agy Rev Wentworth Inst
(AMBAC Insd) (a) (f)............................ 6.250 10/01/30 1,500,000
2,000 Massachusetts St Hlth & Ed Boston College Ser
N............................................... 5.125 06/01/33 2,038,240
1,000 Massachusetts St Hlth & Ed Fac Auth Rev Brandeis
Univ Ser I (MBIA Insd).......................... 4.750 10/01/28 982,010
750 Massachusetts St Hlth & Ed Fac Auth Rev
Caregroup Ser C-1 (AMBAC Insd) (a) (f).......... 4.420 07/01/25 750,000
3,000 Massachusetts St Hlth & Ed Fac Auth Rev
Caregroup Ser C-2 (AMBAC Insd) (a) (f).......... 4.770 07/01/25 3,000,000
1,500 Massachusetts St Hlth & Ed Fac Auth Rev Hlthcare
Sys Covenant (Prerefunded @ 1/01/12)............ 6.000 07/01/31 1,570,839
1,000 Massachusetts St Hlth & Ed Fac Auth Rev Lahey
Clinic Med Ctr Ser C (FGIC Insd)................ 5.000 08/15/30 989,320
1,425 Massachusetts St Hlth & Ed Fac Auth Rev Partners
Hlthcare Sys Ser F-2 (FSA Insd) (a) (f)......... 3.350 07/01/40 1,425,000
1,500 Massachusetts St Hlth & Ed Fac Auth Rev Partners
Hlthcare Sys Ser G-5............................ 5.000 07/01/47 1,509,000
</Table>
See Notes to Financial Statements 7
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
PORTFOLIO OF INVESTMENTS -- APRIL 30, 2008 (UNAUDITED) continued
<Table>
<Caption>
PAR
AMOUNT
(000) DESCRIPTION COUPON MATURITY VALUE
- ------------------------------------------------------------------------------------------------
MASSACHUSETTS (CONTINUED)
$ 1,500 Massachusetts St Hlth & Ed Fac Auth Rev Univ MA
Mem Issue Ser D................................. 5.000% 07/01/33 $ 1,311,600
1,000 Massachusetts St Hlth & Ed Fac Auth Rev Vly Regl
Hlth Sys Rfdg Ser C (Connie Lee Insd)........... 7.000 07/01/10 1,087,980
965 Massachusetts St Hlth & Ed Saint Mem Med Ctr Ser
A............................................... 6.000 10/01/23 964,990
1,000 Massachusetts St Hsg Fin Agy Hsg Rev
Ser H (AMT)..................................... 5.000 12/01/28 954,200
1,350 Massachusetts St Hsg Fin Agy Hsg Rev Single
Family Hsg Ser 126 (AMT) (a) (b)................ 4.550 06/01/27 1,219,072
2,000 Massachusetts St Hsg Fin Agy Hsg Rev Single
Family Hsg Ser 126 (AMT) (a) (b)................ 4.625 06/01/32 1,772,610
2,620 Massachusetts St Hsg Fin Agy Hsg Rev Single
Family Hsg Ser 126 (AMT) (a) (b)................ 4.700 06/01/38 2,297,187
955 Massachusetts St Hsg Fin Agy Hsg Rev Single
Family Ser 120 (AMT)............................ 5.000 12/01/35 888,847
1,000 Massachusetts St Hsg Fin Agy Hsg Rev Single
Family Ser 122 (AMT)............................ 4.850 12/01/31 922,080
2,075 Massachusetts St Indl Fin Agy Rev Tufts Univ
Ser H (MBIA Insd)............................... 4.750 02/15/28 2,078,382
1,000 Massachusetts St Indl Fin Agy Rev Whitehead Inst
Biomedical Resh................................. 5.125 07/01/26 1,001,060
930 Massachusetts St Indl Fin Agy Wtr Treatment
Amern Hingham (AMT)............................. 6.900 12/01/29 932,027
930 Massachusetts St Indl Fin Agy Wtr Treatment
Amern Hingham (AMT)............................. 6.950 12/01/35 932,074
4,000 Massachusetts St Tpk Auth Metro Hwy Sys Rev Cap
Apprec Sr Ser C (MBIA Insd)..................... * 01/01/22 2,072,120
2,550 Massachusetts St Tpk Auth Metro Hwy Sys Rev Sub
Ser A (AMBAC Insd).............................. 5.000 01/01/39 2,552,244
3,000 Massachusetts St Tpk Auth Rev Rfdg Ser A (c).... 5.000 01/01/13 3,157,410
5,000 Massachusetts St Wtr Pollutn Abatement Tr Pool
Pg Ser 12 (b)................................... 4.375 08/01/31 5,014,280
50 Massachusetts St Wtr Pollutn MWRA Pgm Ser A..... 5.000 08/01/32 50,684
1,500 Massachusetts St Wtr Res Auth Gen Ser A (AMBAC
Insd)........................................... 5.000 08/01/31 1,537,605
4,500 Massachusetts St Wtr Res Auth Gen Ser A (b)..... 5.000 08/01/41 4,575,735
1,500 Narragansett, MA Regl Sch Dist (AMBAC Insd)..... 5.375 06/01/18 1,574,505
1,000 New Bedford, MA Muni Purp Ln (FGIC Insd)........ 5.000 05/01/20 1,039,930
1,000 Pittsfield, MA (MBIA Insd)...................... 5.125 04/15/22 1,051,590
1,000 University MA Bldg Auth Proj Sr Rfdg Ser 1
(AMBAC Insd) (Prerefunded @ 11/01/13)........... 5.250 11/01/21 1,110,030
1,975 Westford, MA (AMBAC Insd)....................... 5.250 06/01/19 2,105,785
------------
65,589,070
------------
</Table>
8 See Notes to Financial Statements
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
PORTFOLIO OF INVESTMENTS -- APRIL 30, 2008 (UNAUDITED) continued
<Table>
<Caption>
PAR
AMOUNT
(000) DESCRIPTION COUPON MATURITY VALUE
- ------------------------------------------------------------------------------------------------
GUAM 1.5%
$ 300 Guam Econ Dev & Comm Auth Tob Settlement........ 5.625% 06/01/47 $ 291,450
285 Guam Govt Ser A................................. 5.250 11/15/37 253,248
------------
544,698
------------
PUERTO RICO 20.5%
1,000 Childrens Tr Fd PR Tob Settlement Rev........... 5.625 05/15/43 984,180
2,000 Puerto Rico Comwlth Hwy & Trans Auth Hwy
Rev Ser Y (b)................................... 6.250 07/01/21 2,362,310
920 Puerto Rico Elec Pwr Auth Pwr Rev Ser TT (b).... 5.000 07/01/32 883,257
2,070 Puerto Rico Elec Pwr Auth Pwr Rev Ser TT (b).... 5.000 07/01/37 1,987,328
1,465 Puerto Rico Pub Bldg Auth Rev Gtd Cap Apprec Ser
D (AMBAC Insd) (Prerefunded @ 7/01/17) (d)...... 0/5.450 07/01/30 1,324,009
------------
7,541,084
------------
U.S. VIRGIN ISLANDS 5.4%
1,000 University Virgin Island Impt Ser A............. 5.375 06/01/34 938,690
1,000 Virgin Islands Pub Fin Auth Rev Gross Rcpt Taxes
Ln Nt Ser A..................................... 6.375 10/01/19 1,068,560
------------
2,007,250
------------
TOTAL INVESTMENTS 205.5%
(Cost $74,958,114)............................................................. 75,682,102
LIABILITY FOR FLOATING RATE NOTE OBLIGATIONS RELATED TO SECURITIES HELD (40.5%)
(Cost ($14,911,000))
(14,911) Notes with interest rates ranging from 2.46% to 2.67% at April 30,
2008 and contractual maturities of collateral ranging from 2021 to
2041 (See Note 1) (e)................................................. (14,911,000)
------------
TOTAL NET INVESTMENTS 165.0%
(Cost $60,047,114)............................................................. 60,771,102
OTHER ASSETS IN EXCESS OF LIABILITIES 2.9%...................................... 1,054,782
PREFERRED SHARES (INCLUDING ACCRUED DISTRIBUTIONS) (67.9%)...................... (25,007,389)
------------
NET ASSETS APPLICABLE TO COMMON SHARES 100.0%................................... $ 36,818,495
============
</Table>
Percentages are calculated as a percentage of net assets applicable to common
shares.
* Zero coupon bond
(a) Variable Rate Coupon
(b) Underlying security related to Inverse Floaters entered into by the Trust.
(See Note 1)
(c) Escrowed to Maturity
(d) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date.
See Notes to Financial Statements 9
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
PORTFOLIO OF INVESTMENTS -- APRIL 30, 2008 (UNAUDITED) continued
(e) Floating rate notes. The interest rate shown reflects the rates in effect at
April 30, 2008.
(f) Security includes a feature allowing the Trust an option on any interest
rate payment date to offer the security for sale at par. The sale is
contingent upon market conditions.
ACA--American Capital Access
AGL--Assured Guaranty Ltd.
AMBAC--AMBAC Indemnity Corp.
AMT--Alternative Minimum Tax
Connie Lee--Connie Lee Insurance Co.
FGIC--Financial Guaranty Insurance Co.
FSA--Financial Security Assurance Inc.
MBIA--Municipal Bond Investors Assurance Corp.
10 See Notes to Financial Statements
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
April 30, 2008 (Unaudited)
<Table>
ASSETS:
Total Investments (Cost $74,958,114)........................ $75,682,102
Receivables:
Interest.................................................. 1,036,548
Investments Sold.......................................... 1,004,582
Other....................................................... 125
-----------
Total Assets............................................ 77,723,357
-----------
LIABILITIES:
Payables:
Floating Rate Note Obligations............................ 14,911,000
Custodian Bank............................................ 642,304
Investment Advisory Fee................................... 15,163
Other Affiliates.......................................... 9,644
Trustees' Deferred Compensation and Retirement Plans........ 272,665
Accrued Expenses............................................ 46,697
-----------
Total Liabilities....................................... 15,897,473
Preferred Shares (including accrued distributions).......... 25,007,389
-----------
NET ASSETS APPLICABLE TO COMMON SHARES...................... $36,818,495
===========
NET ASSET VALUE PER COMMON SHARE ($36,818,495 divided by
2,695,518 shares outstanding)............................. $ 13.66
===========
NET ASSETS CONSIST OF:
Common Shares ($0.01 par value with an unlimited number of
shares authorized, 2,695,518 shares issued and
outstanding).............................................. $ 26,955
Paid in Surplus............................................. 37,391,958
Net Unrealized Appreciation................................. 723,988
Accumulated Undistributed Net Investment Income............. 348,731
Accumulated Net Realized Loss............................... (1,673,137)
-----------
NET ASSETS APPLICABLE TO COMMON SHARES...................... $36,818,495
===========
PREFERRED SHARES ($0.01 par value, authorized 100,000,000
shares, 1,000 issued with liquidation preference of
$25,000 per share)........................................ $25,000,000
===========
NET ASSETS INCLUDING PREFERRED SHARES....................... $61,818,495
===========
</Table>
See Notes to Financial Statements 11
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
FINANCIAL STATEMENTS continued
Statement of Operations
For the Six Months Ended April 30, 2008 (Unaudited)
<Table>
INVESTMENT INCOME:
Interest.................................................... $ 2,012,611
-----------
EXPENSES:
Interest and Residual Trust Expenses........................ 252,149
Investment Advisory Fee..................................... 171,925
Preferred Share Maintenance................................. 38,558
Professional Fees........................................... 25,106
Accounting and Administrative Expenses...................... 14,592
Reports to Shareholders..................................... 8,770
Transfer Agent Fees......................................... 8,256
Trustees' Fees and Related Expenses......................... 7,724
Custody..................................................... 4,390
Registration Fees........................................... 1,382
Depreciation in Trustees' Deferred Compensation Accounts.... (22,275)
Other....................................................... 6,219
-----------
Total Expenses.......................................... 516,796
Investment Advisory Fee Reduction....................... 78,149
-----------
Net Expenses............................................ 438,647
-----------
NET INVESTMENT INCOME....................................... $ 1,573,964
===========
REALIZED AND UNREALIZED GAIN/LOSS:
Realized Gain/Loss:
Investments............................................... $ (920,982)
Futures................................................... (561,586)
-----------
Net Realized Loss........................................... (1,482,568)
-----------
Unrealized Appreciation/Depreciation:
Beginning of the Period................................... 2,365,243
-----------
End of the Period:
Investments............................................. 723,988
-----------
Net Unrealized Depreciation During the Period............... (1,641,255)
-----------
NET REALIZED AND UNREALIZED LOSS............................ $(3,123,823)
===========
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS..................... $ (495,617)
===========
NET DECREASE IN NET ASSETS APPLICABLE TO COMMON SHARES FROM
OPERATIONS................................................ $(2,045,476)
===========
</Table>
12 See Notes to Financial Statements
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
FINANCIAL STATEMENTS continued
Statements of Changes in Net Assets (Unaudited)
<Table>
<Caption>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2008 OCTOBER 31, 2007
------------------------------------
FROM INVESTMENT ACTIVITIES:
Operations:
Net Investment Income................................... $ 1,573,964 $ 2,929,044
Net Realized Loss....................................... (1,482,568) (234,356)
Net Unrealized Depreciation During the Period........... (1,641,255) (2,421,026)
Distributions to Preferred Shareholders:
Net Investment Income................................. (495,617) (868,019)
Net Realized Gain..................................... -0- (30,811)
----------- -----------
Change in Net Assets Applicable to Common Shares from
Operations............................................ (2,045,476) (625,168)
Distributions to Common Shareholders:
Net Investment Income................................. (1,048,197) (2,053,739)
Net Realized Gain..................................... -0- (88,257)
----------- -----------
NET CHANGE IN NET ASSETS APPLICABLE TO COMMON SHARES
FROM INVESTMENT ACTIVITIES............................ (3,093,673) (2,767,164)
FROM CAPITAL TRANSACTIONS:
Value of Common Shares Issued Through Dividend
Reinvestment.......................................... 23,503 46,247
----------- -----------
NET CHANGE IN NET ASSETS APPLICABLE TO COMMON SHARES.... (3,070,170) (2,720,917)
NET ASSETS APPLICABLE TO COMMON SHARES:
Beginning of the Period................................. 39,888,665 42,609,582
----------- -----------
End of the Period (Including accumulated undistributed
net investment income of $348,731 and $318,581,
respectively)......................................... $36,818,495 $39,888,665
=========== ===========
</Table>
See Notes to Financial Statements 13
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
FINANCIAL STATEMENTS continued
Statement of Cash Flows
For the Six Months Ended April 30, 2008 (Unaudited)
<Table>
CHANGE IN NET ASSETS FROM OPERATIONS (INCLUDING PREFERRED
SHARE DISTRIBUTIONS)...................................... $ (2,045,476)
------------
Adjustments to Reconcile the Change in Net Assets from
Operations to Net Cash Provided by Operating Activities:
Purchases of Investments.................................. (14,080,534)
Proceeds from Sales of Investments........................ 16,929,654
Net Sales of Short-Term Investments....................... 500,000
Amortization of Premium................................... 38,937
Accretion of Discount..................................... (122,916)
Net Realized Loss on Investments.......................... 920,982
Net Change in Unrealized Appreciation on Investments...... 1,675,517
Decrease in Variation Margin on Futures................... 93,000
Decrease in Interest Receivables and Other Assets......... 31,202
Increase in Receivable for Investments Sold............... (1,004,582)
Decrease in Accrued Expenses and Other Payables........... (39,720)
Increase in Custodian Bank Payable........................ 642,304
Decrease in Investments Purchased Payable................. (339,700)
------------
Total Adjustments....................................... 5,244,144
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES................... 3,198,668
------------
CASH FLOWS FROM FINANCING ACTIVITIES
Dividends Paid (net of reinvested dividends of $23,503)... (1,025,216)
Proceeds from and Repayments of Floating Rate Note
Obligations............................................. (2,215,000)
------------
NET CASH USED FOR FINANCING ACTIVITIES...................... (3,240,216)
------------
Net Decrease in Cash........................................ (41,548)
Cash at the Beginning of the Period......................... 41,548
------------
CASH AT THE END OF THE PERIOD............................... $ -0-
============
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION
Cash Paid During the Period for Interest.................. $ 252,149
============
</Table>
14 See Notes to Financial Statements
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED)
THE FOLLOWING SCHEDULE PRESENTS FINANCIAL HIGHLIGHTS FOR ONE COMMON SHARE OF THE
TRUST OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED OCTOBER 31,
APRIL 30, ---------------------------------------------------
2008 2007 2006 2005 2004 2003
----------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF THE PERIOD................. $ 14.81 $ 15.84 $ 15.84 $ 16.44 $ 16.10 $ 16.07
------- ------- ------- ------- ------- -------
Net Investment Income................................... 0.58(a) 1.09(a) 1.00(a) 1.04 1.05 1.08
Net Realized and Unrealized Gain/Loss................... (1.16) (1.00) 0.26 (0.38) 0.33 0.06
Common Share Equivalent of Distributions Paid to
Preferred Shareholders:
Net Investment Income................................. (0.18) (0.32) (0.26) (0.16) (0.07) (0.08)
Net Realized Gain..................................... -0- (0.01) (0.04) (0.01) -0- -0-
------- ------- ------- ------- ------- -------
Total from Investment Operations......................... (0.76) (0.24) 0.96 0.49 1.31 1.06
Distributions Paid to Common Shareholders:
Net Investment Income................................. (0.39) (0.76) (0.76) (0.94) (0.97) (1.03)
Net Realized Gain..................................... -0- (0.03) (0.20) (0.15) -0- -0-
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF THE PERIOD....................... $ 13.66 $ 14.81 $ 15.84 $ 15.84 $ 16.44 $ 16.10
======= ======= ======= ======= ======= =======
Common Share Market Price at End of the Period........... $ 14.27 $ 14.90 $ 14.72 $ 15.20 $ 16.90 $ 16.24
Total Return *(b)........................................ -1.54%** 6.68% 3.11% -3.92% 10.62% 2.09%
Net Assets Applicable to Common Shares at End of the
Period (In millions).................................... $ 36.8 $ 39.9 $ 42.6 $ 42.6 $ 44.1 $ 43.1
Ratio of Expenses to Average Net Assets Applicable to
Common Shares * (c)..................................... 2.33% 2.53% 1.64% 1.45% 1.58% 1.61%
Ratio of Net Investment Income to Average Net Assets
Applicable to Common Shares * (c)....................... 8.36% 7.06% 6.41% 6.35% 6.54% 6.71%
Portfolio Turnover....................................... 18%** 18% 32% 13% 16% 14%
* If certain expenses had not been voluntarily assumed by Van Kampen, total return would have been lower and the ratios
would have been as follows:
Ratio of Expenses to Average Net Assets Applicable to
Common Shares (c)..................................... 2.74% 2.90% N/A N/A N/A N/A
Ratio of Net Investment Income to Average Net Assets
Applicable to Common Shares (c)....................... 7.95% 6.69% N/A N/A N/A N/A
SUPPLEMENTAL RATIOS:
Ratio of Expenses (Excluding Interest and Residual Trust
Expenses) to Average Net Assets Applicable to Common
Shares (c).............................................. 0.99% 1.19% 1.61% 1.45% 1.58% 1.61%
Ratio of Expenses (Excluding Interest and Residual Trust
Expenses) to Average Net Assets Applicable including
Preferred Shares (c).................................... 0.60% 0.74% 1.01% 0.92% 1.00% 1.02%
Ratio of Net Investment Income to Average Net Assets
Applicable to Common Shares (d)......................... 5.73% 4.89% 4.74% 5.39% 6.08% 6.21%
SENIOR SECURITIES:
Total Preferred Shares Outstanding....................... 1,000 1,000 1,000 1,000 1,000 1,000
Asset Coverage Per Preferred Share (e)................... $61,826 $64,897 $67,615 $67,590 $69,108 $68,118
Involuntary Liquidating Preference Per Preferred Share... $25,000 $25,000 $25,000 $25,000 $25,000 $25,000
Average Market Value Per Preferred Share................. $25,000 $25,000 $25,000 $25,000 $25,000 $25,000
</Table>
** Non-Annualized
(a)Based on average shares outstanding.
(b)Total return assumes an investment at the common share market price at the
beginning of the period indicated, reinvestment of all distributions for the
period in accordance with the Trust's dividend reinvestment plan, and sale of
all shares at the closing common share market price at the end of the period
indicated.
(c)Ratios do not reflect the effect of dividend payments to preferred
shareholders.
(d)Ratios reflect the effect of dividend payments to preferred shareholders.
(e)Calculated by subtracting the Trust's total liabilities (not including the
preferred shares) from the Trust's total assets and dividing this by the
number of preferred shares outstanding.
N/A=Not Applicable
See Notes to Financial Statements 15
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Van Kampen Massachusetts Value Municipal Income Trust (the "Trust") is
registered as a non-diversified, closed-end management investment company under
the Investment Company Act of 1940 (the "1940 Act"), as amended. The Trust's
investment objective is to seek to provide common shareholders with a high level
of current income exempt from federal income taxes and Massachusetts personal
income tax, consistent with preservation of capital. The Trust will invest
substantially all of its assets in Massachusetts municipal securities rated
investment grade at the time of investment. The trust commenced investment
operations on April 30, 1993.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements. The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
A. SECURITY VALUATION Municipal bonds are valued by independent pricing services
or dealers using the mean of the last reported bid and asked prices or, in the
absence of market quotations, at fair value based upon yield data relating to
municipal bonds with similar characteristics and general market conditions.
Securities which are not valued by independent pricing services or dealers are
valued at fair value using procedures established in good faith by the Board of
Trustees. Futures contracts are valued at the settlement price established each
day on the exchange on which they are traded. Swaps are valued using market
quotations obtained from brokers. Short-term securities with remaining
maturities of 60 days or less are valued at amortized cost, which approximates
market value.
B. SECURITY TRANSACTIONS Security transactions are recorded on a trade date
basis. Realized gains and losses are determined on an identified cost basis. The
Trust may purchase and sell securities on a "when-issued" or "delayed delivery"
basis with settlement to occur at a later date. The value of the security so
purchased is subject to market fluctuations during this period. The Trust will
segregate assets with the custodian having an aggregate value at least equal to
the amount of the when-issued or delayed delivery purchase commitments until
payment is made. At April 30, 2008, the Trust had no when-issued or delayed
delivery purchase commitments.
C. INVESTMENT INCOME Interest income is recorded on an accrual basis. Bond
premium is amortized and discount is accreted over the expected life of each
applicable security.
D. FEDERAL INCOME TAXES It is the Trust's policy to comply with the requirements
of Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no provision for federal income taxes is required. The
Trust adopted the provisions of the Financial Accounting Standards Board
("FASB") Interpretation No. 48 ("FIN 48") Accounting for Uncertainty in Income
Taxes on April 30, 2008. FIN 48 sets forth a minimum threshold for financial
statement recognition of the benefit of a tax provision taken or expected to be
16
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
taken in a tax return. The implementation of FIN 48 did not result in any
unrecognized tax benefits in the accompanying financial statements. If
applicable, the Trust recognizes interest accrued related to unrecognized tax
benefits in "Interest Expense" and penalties in "Other" expenses on the
Statement of Operations. The Trust files tax returns with the U.S. Internal
Revenue Service and various states. Generally, each of the tax years in the four
year period ended October 31, 2007, remains subject to examination by taxing
authorities.
The Trust intends to utilize provisions of the federal income tax laws which
allow it to carry a realized capital loss forward for eight years following the
year of the loss and offset these losses against any future realized capital
gains. At October 31, 2007, the Trust had an accumulated capital loss
carryforward for tax purposes of $240,931 which will expire on October 31, 2015.
No capital loss carryforward was utilized during 2007.
At April 30, 2008 the cost and related gross unrealized appreciation and
depreciation are as follows:
<Table>
Cost of investments for tax purposes........................ $59,590,249
===========
Gross tax unrealized appreciation........................... $ 2,954,249
Gross tax unrealized depreciation........................... (1,773,396)
-----------
Net tax unrealized appreciation on investments.............. $ 1,180,853
===========
</Table>
E. DISTRIBUTION OF INCOME AND GAINS The Trust declares and pays monthly
dividends from net investment income to common shareholders. Net realized gains,
if any, are distributed at least annually on a pro rata basis to common and
preferred shareholders. Distributions from net realized gains for book purposes
may include short-term capital gains and a portion of futures gains, which are
included as ordinary income for tax purposes.
The tax character of distributions paid during the year ended October 31,
2007 was as follows:
<Table>
Distributions paid from:
Ordinary income........................................... $ 14,245
Tax exempt income......................................... 2,912,616
Long-term capital gain.................................... 118,868
----------
$3,045,729
==========
</Table>
As of October 31, 2007 the components of distributable earnings on a tax
basis were as follows:
<Table>
Undistributed tax-exempt income............................. $308,084
</Table>
F. FLOATING RATE NOTE OBLIGATIONS RELATED TO SECURITIES HELD The Trust enters
into transactions in which it transfers to dealer trusts fixed rate bonds in
exchange for cash and residual interests in the dealer trusts' assets and cash
flows, which are in the form of inverse floating rate investments. The dealer
trusts fund the purchases of the fixed rate bonds by issuing floating rate notes
to third parties and allowing the Trust to retain residual interests in the
bonds. The Trust enters into shortfall agreements with the dealer trusts, which
commit the Trust to pay the dealer trusts, in certain circumstances, the
difference between the liquidation value of the fixed rate bonds held by the
dealer trusts and the liquidation value of the floating rate notes held by third
parties, as well as any shortfalls in interest cash flows.
17
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
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. The Trust accounts for the transfer of bonds to
the dealer trusts as secured borrowings, with the securities transferred
remaining in the Trust's 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 note obligations and any
administrative expenses of the dealer trusts under the caption "Interest and
Residual Trust Expenses" on the Trust's Statement of Operations. The 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. At April 30, 2008, Trust
investments with a value of $20,111,779 are held by the dealer trusts and serve
as collateral for the $14,911,000 in floating rate notes outstanding at that
date. Contractual maturities of the floating rate notes and interest rates in
effect at April 30, 2008 are presented on the Portfolio of Investments. The
average floating rate notes outstanding and average annual interest and fee rate
related to residual interests during the six months ended April 30, 2008 were
$16,154,429 and 3.139%, respectively.
2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of the Trust's Investment Advisory Agreement, Van Kampen Asset
Management (the "Adviser") will provide investment advice and facilities to the
Trust for an annual fee payable monthly of .55% of the average daily net assets
including preferred shares of the Trust. The Adviser has agreed to waive
investment advisory fees equal to 0.25% of the average daily net assets
including preferred shares of the Trust. During the period ended April 30, 2008,
the Adviser waived $78,149 of its advisory fees. This waiver is voluntary and
can be discontinued at any time.
For the six months ended April 30, 2008, the Trust recognized expenses of
approximately $1,500 representing legal services provided by Skadden, Arps,
Slate, Meagher & Flom LLP, of which a trustee of the Trust is a partner of such
firm and he and his law firm provide legal services as legal counsel to the
Trust.
Under separate Legal Services, Accounting Services and Chief Compliance
Officer (CCO) Employment agreements, the Adviser provides accounting and legal
services and the CCO provides compliance services to the Trust. The costs of
these services are allocated to each trust. For the six months ended April 30,
2008, the Trust recognized expenses of approximately $16,800 representing Van
Kampen Investments Inc.'s or its affiliates' (collectively "Van Kampen") cost of
providing accounting and legal services to the Trust, as well as the salary,
benefits and related costs of the CCO and related support staff paid by Van
Kampen. Services provided pursuant to the Legal Services agreement are reported
as part of "Professional Fees" on the Statement of Operations. Services provided
pursuant to the Accounting Services and CCO Employment agreement are reported as
part of "Accounting and Administrative Expenses" on the Statement of Operations.
Certain officers and trustees of the Trust are also officers and directors
of Van Kampen. The Trust does not compensate its officers or trustees who are
also officers of Van Kampen.
18
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
The Trust provides deferred compensation and retirement plans for its
trustees who are not officers of Van Kampen. Under the deferred compensation
plan, trustees may elect to defer all or a portion of their compensation to a
later date. Benefits under the retirement plan are payable upon retirement for a
ten-year period and are based upon each trustee's years of service to the Trust.
The maximum annual benefit per trustee under the plan is $2,500.
3. CAPITAL TRANSACTIONS
For the six months ended April 30, 2008 and the year ended October 31, 2007,
transactions in common shares were as follows:
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2008 OCTOBER 31, 2007
Beginning Shares........................................ 2,693,843 2,690,767
Shares Issued Through Dividend Reinvestment............. 1,675 3,076
Shares Repurchased *.................................... -0- -0-
--------- ---------
Ending Shares........................................... 2,695,518 2,693,843
========= =========
</Table>
* On February 28, 2007, the Trust commenced a share repurchase program for
purposes of enhancing stockholder value and reducing the discount at which the
Trust's shares trade from their net asset value. For the six months ended April
30, 2008 and the year ended October 31, 2007, the Trust did not repurchase any
of its shares. The Trust may repurchase its outstanding shares at such time and
in such amounts as it believes such activity will further the accomplishment of
the foregoing objectives, subject to review of the Trustees.
4. INVESTMENT TRANSACTIONS
During the period, the cost of purchases and proceeds from sales of investments,
excluding short-term investments, were $14,080,534 and $16,929,654,
respectively.
5. DERIVATIVE FINANCIAL INSTRUMENTS
A derivative financial instrument in very general terms refers to a security
whose value is "derived" from the value of an underlying asset, reference rate
or index.
In order to seek to manage the interest rate exposure of the Trust's
portfolio in a changing interest rate environment, the Trust may purchase or
sell financial futures contracts or engage in transactions involving interest
rate swaps, caps, floors or collars. The Trust expects to enter into these
transactions primarily as a hedge against anticipated interest rate or
fixed-income market changes, for duration management or for risk management
purposes, but may also enter into these transactions to generate additional
income. All of the Trust's portfolio holdings, including derivative instruments,
are marked to market each day with the change in value reflected in the
unrealized appreciation/depreciation. Upon disposition, a realized gain or loss
is recognized accordingly, except when taking delivery of a security underlying
a futures contract. In these instances, the recognition of gain or loss is
postponed until the disposal of the security underlying the futures contract.
Risks may arise as a result of the potential inability of the counterparties to
meet the terms of their contracts.
Summarized below are the specific types of derivative financial instruments
used by the Trust.
19
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
A. FUTURES CONTRACTS A futures contract is an agreement involving the delivery
of a particular asset on a specified future date at an agreed upon price. The
Trust generally invests in exchange traded futures contracts on U.S. Treasury
Bonds and Notes and typically closes the contract prior to the delivery date.
These contracts are generally used to manage the Trust's effective maturity and
duration. Upon entering into futures contracts, the Trust maintains an amount of
cash or liquid securities with a value equal to a percentage of the contract
amount with either a futures commission merchant pursuant to the rules and
regulations promulgated under the 1940 Act, as amended, or with its custodian in
an account in the broker's name. This amount is known as initial margin. During
the period the futures contract is open, payments are received from or made to
the broker based upon changes in the value of the contract (the variation
margin). The risk of loss associated with a futures contract is in excess of the
variation margin reflected on the Statement of Assets and Liabilities.
Transactions in futures contracts for the six months ended April 30, 2008,
were as follows:
<Table>
<Caption>
CONTRACTS
Outstanding at October 31, 2007............................. 93
Futures Opened.............................................. 93
Futures Closed.............................................. (186)
----
Outstanding at April 30, 2008............................... -0-
====
</Table>
B. INTEREST RATE SWAPS The Trust may enter into forward interest rate swap
transactions intended to help the Trust manage its overall interest rate
sensitivity, either shorter or longer, generally to more closely align the
Trust's interest rate sensitivity with that of the broader municipal market.
Forward interest rate swap transactions involve the Trust's agreement with a
counterparty to pay, in the future, a fixed or variable rate payment in exchange
for the counterparty paying the Trust a variable or fixed rate payment, the
accruals for which would begin at a specified date in the future (the "effective
date"). The amount of the payment obligation is based on the notional amount of
the forward swap contract and the termination date of the swap (which is akin to
a bond's maturity). The value of the Trust's swap commitment would increase or
decrease based primarily on the extent to which long-term interest rates for
bonds having a maturity of the swap's termination date increases or decreases.
The Trust may terminate a swap contract prior to the effective date, at which
point a realized gain or loss is recognized. When a forward swap is terminated,
it ordinarily does not involve the delivery of securities or other underlying
assets or principal, but rather is settled in cash on a net basis. The Trust
intends, but is not obligated, to terminate its forward swaps before the
effective date. Accordingly, the risk of loss with respect to the swap
counterparty on such transactions is limited to the credit risk associated with
a counterparty failing to honor its commitment to pay any realized gain to the
Trust upon termination. To reduce such credit risk, all counterparties are
required to pledge collateral daily (based on the daily valuation of each swap)
on behalf of the Trust with a value approximately equal to the amount of any
unrealized gain. Reciprocally, when the Trust has an unrealized loss on a swap
contract, the Trust has instructed the custodian to pledge cash or liquid
securities as collateral with a value approximately equal to the amount of the
unrealized loss. Collateral pledges are
20
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
monitored and subsequently adjusted if and when the swap valuations fluctuate.
Restricted cash, if any, for segregating purposes is shown on the Statement of
Assets and Liabilities.
C. INVERSE FLOATING RATE SECURITIES The Trust may invest a portion of its assets
in inverse floating rate instruments, either through outright purchases of
inverse floating rate securities or through the transfer of bonds to a dealer
trust in exchange for cash and residual interests in the dealer trust. These
investments are typically used by the Trust in seeking to enhance the yield of
the portfolio. These instruments typically involve greater risks than a fixed
rate municipal bond. In particular, these instruments are acquired through
leverage or may have leverage embedded in them and therefore involve many of the
risks associated with leverage. Leverage is a speculative technique that may
expose the Trust to greater risk and increased costs. Leverage may cause the
Trust's net asset value to be more volatile than if it had not been leveraged
because leverage tends to magnify the effect of any increases or decreases in
the value of the Trust's portfolio securities. The use of leverage may also
cause the Trust to liquidate portfolio positions when it may not be advantageous
to do so in order to satisfy its obligations with respect to inverse floating
rate instruments.
6. PREFERRED SHARES
As of April 30, 2008 the Trust has outstanding 1,000 Auction Preferred Shares
(APS). Dividends are cumulative and the dividend rate is currently reset every
seven days through an auction process. Beginning on February 15, 2008 and
continuing through April 30, 2008, all series of preferred shares of the Trust
were not successfully remarketed. As a result, the dividend rates of these
preferred shares were reset to the maximum applicable rate on APS. The rate in
effect on April 30, 2008 was 3.595%. During the six months ended April 30, 2008
the rates ranged from 2.779% to 5.210%.
The Trust pays annual fees equivalent to .25% of the preferred share
liquidation value for the remarketing efforts associated with the preferred
auctions. These fees are included as a component of "Preferred Share
Maintenance" expense on the Statement of Operations.
The APS are redeemable at the option of the Trust in whole or in part at the
liquidation value of $25,000 per share plus accumulated and unpaid dividends.
The Trust is subject to certain asset coverage tests and the APS are subject to
mandatory redemption if the tests are not met.
7. INDEMNIFICATIONS
The Trust enters into contracts that contain a variety of indemnifications. The
Trust's maximum exposure under these arrangements is unknown. However, the Trust
has not had prior claims or losses pursuant to these contracts and expects the
risk of loss to be remote.
8. ACCOUNTING PRONOUNCEMENTS
In September 2006, Statement of Financial Accounting Standards No. 157, Fair
Value Measurements (SFAS 157), was issued and is effective for fiscal years
beginning after November 15, 2007. SFAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. As of April 30, 2008, the Adviser does not believe the adoption of
SFAS 157 will impact the amounts reported in the financial statements, however,
additional disclosures will be required about the inputs used to
21
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
NOTES TO FINANCIAL STATEMENTS -- APRIL 30, 2008 (UNAUDITED) continued
develop the measurements of fair value and the effect of certain of the
measurements reported in on the Statement of Operations for a fiscal period.
On March 19, 2008, Financial Accounting Standards Board released Statement
of Financial Accounting Standards No. 161, Disclosures about Derivative
Instruments and Hedging Activities (SFAS 161). SFAS 161 requires qualitative
disclosures about objectives and strategies for using derivatives, quantitative
disclosures about fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related contingent features in
derivative agreements. The application of SFAS 161 is required for fiscal years
and interim periods beginning after November 15, 2008. At this time, management
is evaluating the implications of SFAS 161 and its impact on the financial
statements has not yet been determined.
9. SUBSEQUENT EVENT
On June 13, 2008, the Trust announced plans for the partial redemption of its
preferred shares. On July 2, 2008, the Trust intends to redeem 10% of its
preferred shares. The Board of Trustees previously approved the use of tender
option bonds as a replacement source of funding. The Depository Trust Company,
the securities' holder of record, will determine how the partial series
redemptions will be allocated among each participant broker-dealer account.
22
VAN KAMPEN MASSACHUSETTS VALUE MUNICIPAL INCOME TRUST
BOARD OF TRUSTEES, OFFICERS, AND IMPORTANT ADDRESSES
BOARD OF TRUSTEES
DAVID C. ARCH
JERRY D. CHOATE
ROD DAMMEYER
LINDA HUTTON HEAGY
R. CRAIG KENNEDY
HOWARD J KERR
JACK E. NELSON
HUGO F. SONNENSCHEIN
WAYNE W. WHALEN* - Chairman
SUZANNE H. WOOLSEY
OFFICERS
JERRY W. MILLER
President and Principal Executive Officer
DENNIS SHEA
Vice President
KEVIN KLINGERT
Vice President
AMY R. DOBERMAN
Vice President
STEFANIE V. CHANG
Vice President and Secretary
JOHN L. SULLIVAN
Chief Compliance Officer
STUART N. SCHULDT
Chief Financial Officer and Treasurer
INVESTMENT ADVISER
VAN KAMPEN ASSET MANAGEMENT
522 Fifth Avenue
New York, New York 10036
CUSTODIAN
STATE STREET BANK
AND TRUST COMPANY
One Lincoln Street
Boston, Massachusetts 02111
TRANSFER AGENT
COMPUTERSHARE TRUST COMPANY, N.A.
c/o Computershare Investor Services
P.O. Box 43078
Providence, Rhode Island 02940-3078
LEGAL COUNSEL
SKADDEN, ARPS, SLATE,
MEAGHER & FLOM LLP
333 West Wacker Drive
Chicago, Illinois 60606
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
DELOITTE & TOUCHE LLP
111 South Wacker Drive
Chicago, Illinois 60606-4301
* "Interested persons" of the Trust, as defined in the Investment Company Act
of 1940, as amended.
23
Van Kampen Massachusetts Value Municipal Income Trust
An Important Notice Concerning Our U.S. Privacy Policy
We are required by federal law to provide you with a copy of our Privacy
Policy annually.
The following Policy applies to current and former individual clients of Van
Kampen Investments Inc., Van Kampen Asset Management, Van Kampen Advisors
Inc., Van Kampen Funds Inc., Van Kampen Investor Services Inc. and Van
Kampen Exchange Corp., as well as current and former individual investors in
Van Kampen mutual funds, unit investment trusts, and related companies.
This Policy is not applicable to partnerships, corporations, trusts or other
non-individual clients or account holders, nor is this Policy applicable to
individuals who are either beneficiaries of a trust for which we serve as
trustee or participants in an employee benefit plan administered or advised
by us. This Policy is, however, applicable to individuals who select us to
be a custodian of securities or assets in individual retirement accounts,
401(k) accounts, 529 Educational Savings Accounts, accounts subject to the
Uniform Gifts to Minors Act, or similar accounts.
Please note that we may amend this Policy at any time, and will inform you
of any changes to this Policy as required by law.
WE RESPECT YOUR PRIVACY
We appreciate that you have provided us with your personal financial
information. We strive to maintain the privacy of such information while we
help you achieve your financial objectives. This Policy describes what
non-public personal information we collect about you, why we collect it, and
when we may share it with others.
We hope this Policy will help you understand how we collect and share
non-public personal information that we gather about you. Throughout this
Policy, we refer to the non-public information that personally identifies
you or your accounts as "personal information."
1. WHAT PERSONAL INFORMATION DO WE COLLECT ABOUT YOU?
To serve you better and manage our business, it is important that we collect
and maintain accurate information about you. We may obtain this information
from applications and other forms you submit to us, from your dealings with
us, from consumer reporting agencies, from our Web sites and from third
parties and other sources.
(continued on next page)
Van Kampen Massachusetts Value Municipal Income Trust
An Important Notice Concerning Our U.S. Privacy Policy continued
For example:
-- We may collect information such as your name, address, e-mail address,
telephone/fax numbers, assets, income and investment objectives through
applications and other forms you submit to us.
-- We may obtain information about account balances, your use of
account(s) and the types of products and services you prefer to receive
from us through your dealings and transactions with us and other
sources.
-- We may obtain information about your creditworthiness and credit
history from consumer reporting agencies.
-- We may collect background information from and through third-party
vendors to verify representations you have made and to comply with
various regulatory requirements.
-- If you interact with us through our public and private Web sites, we
may collect information that you provide directly through online
communications (such as an e-mail address). We may also collect
information about your Internet service provider, your domain name,
your computer's operating system and Web browser, your use of our Web
sites and your product and service preferences, through the use of
"cookies." "Cookies" recognize your computer each time you return to
one of our sites, and help to improve our sites' content and
personalize your experience on our sites by, for example, suggesting
offerings that may interest you. Please consult the Terms of Use of
these sites for more details on our use of cookies.
2. WHEN DO WE DISCLOSE PERSONAL INFORMATION WE COLLECT ABOUT YOU?
To provide you with the products and services you request, to serve you
better and to manage our business, we may disclose personal information we
collect about you to our affiliated companies and to non-affiliated third
parties as required or permitted by law.
A. INFORMATION WE DISCLOSE TO OUR AFFILIATED COMPANIES. We do not disclose
personal information that we collect about you to our affiliated companies
except to enable them to provide services on our behalf or as otherwise
required or permitted by law.
(continued on back)
Van Kampen Massachusetts Value Municipal Income Trust
An Important Notice Concerning Our U.S. Privacy Policy continued
B. INFORMATION WE DISCLOSE TO THIRD PARTIES. We do not disclose personal
information that we collect about you to non-affiliated third parties except
to enable them to provide services on our behalf, to perform joint marketing
agreements with other financial institutions, or as otherwise required or
permitted by law. For example, some instances where we may disclose
information about you to non-affiliated third parties include: for servicing
and processing transactions, to offer our own products and services, to
protect against fraud, for institutional risk control, to respond to
judicial process or to perform services on our behalf. When we share
personal information with these companies, they are required to limit their
use of personal information to the particular purpose for which it was
shared and they are not allowed to share personal information with others
except to fulfill that limited purpose.
3. HOW DO WE PROTECT THE SECURITY AND CONFIDENTIALITY OF PERSONAL
INFORMATION WE COLLECT ABOUT YOU?
We maintain physical, electronic and procedural security measures to help
safeguard the personal information we collect about you. We have internal
policies governing the proper handling of client information. Third parties
that provide support or marketing services on our behalf may also receive
personal information, and we require them to adhere to confidentiality
standards with respect to such information.
Van Kampen Funds Inc.
522 Fifth Avenue
New York, New York 10036
www.vankampen.com
Copyright (C)2008 Van Kampen Funds Inc.
All rights reserved. Member FINRA/SIPC.
VMVSAN 6/08
(VAN KAMPEN INVESTMENTS LOGO) IU08-03231P-Y04/08
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Schedule of Investments.
Please refer to Item #1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable for semi-annual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Trust in this Form
N-CSRS was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the second fiscal quarter of the period covered
by this report that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(1) Code of Ethics -- Not applicable for semi-annual reports.
(2)(a) A certification for the Principal Executive Officer of the registrant is
attached hereto as part of EX-99.CERT.
(2)(b) A certification for the Principal Financial Officer of the registrant is
attached hereto as part of EX-99.CERT.
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) Van Kampen Massachusetts Value Municipal Income Trust
By: /s/ Jerry W. Miller
----------------------
Name: Jerry W. Miller
Title: Principal Executive Officer
Date: June 19, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ Jerry W. Miller
----------------------
Name: Jerry W. Miller
Title: Principal Executive Officer
Date: June 19, 2008
By: /s/ Stuart N. Schuldt
----------------------
Name: Stuart N. Schuldt
Title: Principal Financial Officer
Date: June 19, 2008