UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-09147
Investment Company Act File Number
Eaton Vance Massachusetts Municipal Income Trust
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Alan R. Dynner, Esq.
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)
November 30
Date of Fiscal Year End
February 28, 2007
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance Massachusetts Municipal Income
Trust |
as of February 28, 2007 |
| Principal Amount (000’s omitted) |
|
Security |
|
Value |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Education — 21.3% |
|||||||||||
| $2,790 | Massachusetts Development Finance Agency, (Boston University), 5.45%, 5/15/59 |
$ | 3,200,465 | ||||||||
| 500 | Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), 5.75%, 7/1/33 |
541,625 | |||||||||
| 600 | Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33 |
626,220 | |||||||||
| 500 | Massachusetts Development Finance Agency, (Mount Holyoke College), 5.25%, 7/1/31 |
525,470 | |||||||||
| 1,500 | Massachusetts Development Finance Agency, (Wheeler School), 6.50%, 12/1/29 |
1,584,735 | |||||||||
| 1,000 | Massachusetts Development Finance Agency, (Xaverian Brothers High School), 5.65%, 7/1/29 |
1,037,710 | |||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, (Boston College), 5.125%, 6/1/33 |
1,056,460 | |||||||||
| 265 | Massachusetts Health and Educational Facilities Authority, (Williams College), 4.50%, 7/1/33 |
268,315 | |||||||||
| 500 | Massachusetts Industrial Finance Agency, (Babson College), 5.25%, 10/1/27 |
513,055 | |||||||||
| $ | 9,354,055 | ||||||||||
Electric Utilities — 6.0% |
|||||||||||
| $1,000 | Massachusetts Development Finance Agency, (Devens Electric System), 6.00%, 12/1/30 |
$ | 1,081,740 | ||||||||
| 1,470 | Massachusetts Development Finance Agency, (Dominion Energy Brayton Point), (AMT), 5.00%, 2/1/36 |
1,525,904 | |||||||||
| $ | 2,607,644 | ||||||||||
Escrowed / Prerefunded — 17.9% |
|||||||||||
| $ 500 | Massachusetts Development Finance Agency, (Belmont Hill School), Prerefunded to 9/1/11, 5.00%, 9/1/31 |
$ | 520,315 | ||||||||
| 400 | Massachusetts Development Finance Agency, (Western New England College), Prerefunded to 12/1/12, 6.125%, 12/1/32 |
452,328 | |||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, (Winchester Hospital), Prerefunded to 7/1/10, 6.75%, 7/1/30 |
1,092,570 | |||||||||
| 400 | Massachusetts Industrial Finance Agency, (Belmont Hill School), Prerefunded to 9/1/08, 5.25%, 9/1/28 |
410,008 | |||||||||
| 1,900 | Massachusetts Water Pollution Abatement Trust, Prerefunded to 8/1/12, 5.00%, 8/1/32 |
2,025,628 | |||||||||
| $1,625 | Massachusetts Water Pollution Abatement Trust, Prerefunded to 8/1/13, 5.25%, 8/1/33 |
$ | 1,772,176 | ||||||||
| 1,000 | Puerto Rico Highway and Transportation Authority, Prerefunded to 7/1/16, 5.00%, 7/1/36 |
1,097,280 | |||||||||
| 1,000 | Rail Connections, Inc., (Route 128 Parking), (ACA), Prerefunded to 7/1/09, 6.53%, 7/1/20 |
461,260 | |||||||||
| $ | 7,831,565 | ||||||||||
Health Care - Miscellaneous — 2.8% |
|||||||||||
| $ 510 | Massachusetts Development Finance Agency, (MCHSP Human Services), 6.60%, 8/15/29 |
$ | 516,446 | ||||||||
| 700 | Massachusetts Health and Educational Facilities Authority, (Learning Center for Deaf Children), 6.125%, 7/1/29 |
717,759 | |||||||||
| $ | 1,234,205 | ||||||||||
Hospital — 13.7% |
|||||||||||
| $1,000 | Massachusetts Development Finance Agency, (Biomedical Research Corp.), 6.25%, 8/1/20 |
$ | 1,085,900 | ||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, (Baystate Medical Center), 5.75%, 7/1/33 |
1,072,920 | |||||||||
| 400 | Massachusetts Health and Educational Facilities Authority, (Berkshire Health System), 6.25%, 10/1/31 |
432,420 | |||||||||
| 105 | Massachusetts Health and Educational Facilities Authority, (Central New England Health Systems), 6.30%, 8/1/18 |
105,401 | |||||||||
| 1,100 | Massachusetts Health and Educational Facilities Authority, (Covenant Health), 6.00%, 7/1/31 |
1,196,624 | |||||||||
| 2,000 | Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29 |
2,096,520 | |||||||||
| $ | 5,989,785 | ||||||||||
Housing — 11.1% |
|||||||||||
| $2,100 | Massachusetts Housing Finance Agency, 4.75%, 12/1/48 |
$ | 2,112,201 | ||||||||
| 650 | Massachusetts Housing Finance Agency, (AMT), 5.00%, 12/1/28 |
671,034 | |||||||||
| 2,000 | Massachusetts Housing Finance Agency, (AMT), 5.10%, 12/1/37 |
2,075,580 | |||||||||
| $ | 4,858,815 | ||||||||||
Industrial Development Revenue — 1.6% |
|||||||||||
| $ 695 | Massachusetts Industrial Finance Agency, (American Hingham Water Co.), (AMT), 6.60%, 12/1/15 |
$ | 703,451 | ||||||||
| $ | 703,451 | ||||||||||
Insured-Education — 20.7% |
|||||||||||
| $1,000 | Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39 (1) |
$ | 1,239,510 | ||||||||
| 1,000 | Massachusetts Development Finance Agency, (Boston University), (XLCA), 5.375%, 5/15/39 |
1,195,510 | |||||||||
| 1,365 | Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32 (2) |
1,637,477 | |||||||||
| 1,600 | Massachusetts Development Finance Agency, (Franklin W. Olin College), (XLCA), 5.25%, 7/1/33 |
1,706,816 | |||||||||
| 1,700 | Massachusetts Health and Educational Facilities Authority, (Berklee College of Music), (MBIA), 5.10%, 10/1/27 (2) |
1,744,506 | |||||||||
| 1,000 | Massachusetts Health and Educational Facilities Authority, (Northeastern University), (MBIA), 5.00%, 10/1/29 |
1,032,750 | |||||||||
| 500 | Massachusetts Health and Educational Facilities Authority, (University of Massachusetts), (FGIC), 4.25%, 10/1/31 |
495,835 | |||||||||
| $ | 9,052,404 | ||||||||||
Insured-Electric Utilities — 1.8% |
|||||||||||
| $ 750 | Puerto Rico Electric Power Authority, (FSA), 5.25%, 7/1/29 |
$ | 789,915 | ||||||||
| $ | 789,915 | ||||||||||
Insured-Escrowed/Prerefunded — 1.2% |
|||||||||||
| $ 500 | Massachusetts Health and Educational Facilities Authority, (UMass-Worcester Campus), (FGIC), Prerefunded to 10/1/11, 5.25%,
10/1/31 |
$ | 532,980 | ||||||||
| $ | 532,980 | ||||||||||
Insured-General Obligations — 18.7% |
|||||||||||
| $3,000 | Massachusetts, (AMBAC), 5.50%, 8/1/30 (2) |
$ | 3,661,860 | ||||||||
| 2,490 | Milford, (FSA), 4.25%, 12/15/46 |
2,439,702 | |||||||||
| 500 | Plymouth, (MBIA), 5.25%, 10/15/20 |
530,545 | |||||||||
| 900 | Puerto Rico, (FSA), Variable Rate, 12.684%, 7/1/27 (3)(4) |
1,067,364 | |||||||||
| 500 | Tewksbury, (MBIA), 4.25%, 1/15/27 |
504,200 | |||||||||
| $ | 8,203,671 | ||||||||||
Insured-Miscellaneous — 4.8% |
|||||||||||
| $2,000 | Boston Convention Center, (AMBAC), 5.00%, 5/1/27 |
$ | 2,089,220 | ||||||||
| $ | 2,089,220 | ||||||||||
Insured-Other Revenue — 8.1% |
|||||||||||
| $2,750 | Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42 |
$ | 3,535,290 | ||||||||
| $ | 3,535,290 | ||||||||||
Insured-Special Tax Revenue — 5.9% |
|||||||||||
| $1,020 | Martha’s Vineyard Land Bank, (AMBAC), 4.25%, 5/1/36 |
$ | 1,014,033 | ||||||||
| 1,500 | Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32 |
1,582,110 | |||||||||
| $ | 2,596,143 | ||||||||||
Insured-Transportation — 14.6% |
|||||||||||
| $3,200 | Massachusetts Turnpike Authority, Metropolitan Highway System, (MBIA), 5.00%, 1/1/37 (2) |
$ | 3,256,118 | ||||||||
| 33 | Massachusetts Turnpike Authority, Metropolitan Highway System, (MBIA), Variable Rate, 9.028%, 1/1/37 (3)(4) |
35,087 | |||||||||
| 3,000 | Puerto Rico Highway and Transportation Authority, (AMBAC), 5.00%, 7/1/28 (2) |
3,083,780 | |||||||||
| $ | 6,374,985 | ||||||||||
Nursing Home — 2.6% |
|||||||||||
| $ 500 | Boston Industrial Development Authority, (Alzheimer’s Center), (FHA), 6.00%, 2/1/37 |
$ | 510,855 | ||||||||
| 600 | Massachusetts Health and Educational Facilities Authority, (Christopher House), 6.875%, 1/1/29 |
621,714 | |||||||||
| $ | 1,132,569 | ||||||||||
Senior Living / Life Care — 3.5% |
|||||||||||
| $1,500 | Massachusetts Development Finance Agency, (Berkshire Retirement), 5.625%, 7/1/29 |
$ | 1,543,440 | ||||||||
| $ | 1,543,440 | ||||||||||
Transportation— 6.2% |
|||||||||||
| $2,700 | Massachusetts Bay Transportation Authority, 5.00%, 3/1/27 (2) |
$ | 2,727,297 | ||||||||
| $ | 2,727,297 | ||||||||||
Water and Sewer — 7.7% |
|||||||||||
| $ 100 | Massachusetts Water Pollution Abatement Trust, 5.00%, 8/1/32 |
$ | 104,830 | ||||||||
| 375 | Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33 |
402,634 | |||||||||
| 965 | Massachusetts Water Pollution Abatement Trust, 5.375%, 8/1/27 |
1,007,528 | |||||||||
| $2,000 | Massachusetts Water Resources Authority, 4.00%, 8/1/46 |
$ | 1,834,760 | ||||||||
| $ | 3,349,752 | ||||||||||
Total Tax-Exempt Investments — 170.2% |
|||||||||||
(identified cost $69,435,282) |
$ | 74,507,186 | |||||||||
Other Assets, Less Liabilities — (21.1)% |
$ | (9,236,410 | ) | ||||||||
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (49.1)% |
$ | (21,503,768 | ) | ||||||||
Net
Assets Applicable to Common Shares— 100.0% |
$ | 43,767,008 | |||||||||
ACA |
– | ACA Financial
Guaranty Corporation |
AMBAC |
– | AMBAC Financial
Group, Inc. |
AMT |
– | Interest earned
from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax. |
FGIC |
– | Financial Guaranty
Insurance Company |
FHA |
– | Federal Housing
Administration |
FSA |
– | Financial Security
Assurance, Inc. |
MBIA |
– | Municipal Bond
Insurance Association |
XLCA |
– | XL Capital
Assurance, Inc. |
(1) |
Security (or a portion thereof) has been segregated to cover margin requirements on open financial futures contracts. |
(2) |
Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Trust. |
(3) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2007, the aggregate value of the securities is $1,102,451 or 2.5% of the Trust’s net assets applicable to common shares. |
(4) |
Security has been issued as a leveraged inverse floater bond. The stated interest rate represents the rate in effect at February 28, 2007. |
A summary of financial instruments at February 28, 2007 is as follows:
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration |
|
Contracts |
|
Position |
|
Aggregate |
|
Value |
|
Net Unrealized |
|
06/07 |
|
44 U.S. Treasury Bond |
|
Short |
|
$(4,967,034) |
|
$(4,969,250) |
|
$(2,216) |
Interest Rate Swaps
At February 28, 2007, the Trust had entered into an interest rate swap with Merrill Lynch Capital Services, Inc. whereby the Trust makes bi-annual payments at a fixed rate equal to 4.006% on the notional amount of $1,600,000. In exchange, the Trust receives bi-annual payments at a rate equal to the USD-BMA Municipal Swap Index on the same notional amount. The effective date of the interest rate swap is August 7, 2007. The value of the contract, which terminates August 7, 2037, is recorded as a payable for open interest rate swap contracts of $28,296 at February 28, 2007.
At February 28, 2007, the Trust had entered into an interest rate swap with JP Morgan Chase Bank, N.A. whereby the Trust makes bi-annual payments at a fixed rate equal to 3.984% on the notional amount of $2,600,000. In exchange, the Trust receives bi-annual payments at a rate equal to the USD-BMA Municipal Swap Index on the same notional amount. The effective date of the interest rate swap is October 25, 2007. The value of the contract, which terminates October 25, 2027, is recorded as a payable for open interest rate swap contracts of $45,622 at February 28, 2007.
At February 28, 2007, the Trust had entered into an interest rate swap with Citibank N.A. whereby the Trust makes bi-annual payments at a fixed rate equal to 3.925% on the notional amount of $1,600,000. In exchange, the Trust receives bi-annual payments at a rate equal to the USD-BMA Municipal Swap Index on the same notional amount. The effective date of the interest rate swap is August 16, 2007. The value of the contract, which terminates August 16, 2027, is recorded as a payable for open interest rate swap contracts of $17,599 at February 28, 2007.
At February 28, 2007, the Trust had sufficient cash and/or securities to cover commitments under these contracts.
The cost and unrealized appreciation (depreciation) in value of the investments owned at February 28, 2007, as computed on a federal income tax basis, were as follows:
|
|
Aggregate cost |
$ |
60,129,865 |
|
|
Gross unrealized appreciation |
$ |
5,133,987 |
|
|
Gross unrealized depreciation |
|
— |
|
|
Net unrealized appreciation |
$ |
5,133,987 |
Item 2. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) During the second fiscal quarter of the period covered by this report, the registrant’s internal control over financial reporting was modified to enhance the review and analysis of the relevant terms and conditions of transfers of securities in connection with inverse floating rate obligations in light of Statement of Financial Accounting Standards No. 140.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Massachusetts Municipal Income Trust
|
By: |
/s/ Robert B. MacIntosh | |
|
|
Robert B. MacIntosh |
|
President and Principal Executive Officer
|
Date: |
April 23, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By: |
/s/ Robert B. MacIntosh | |
|
|
Robert B. MacIntosh |
|
President and Principal Executive Officer
|
Date: |
April 23, 2007 |
|
By: |
/s/ Barbara E. Campbell | |
|
|
Barbara E. Campbell |
|
Treasurer and Principal Financial Officer
|
Date: |
April 23, 2007 |