Eaton Vance Massachusetts Municipal Income Trust

 

 

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)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

November 30

Date of Fiscal Year End

August 31, 2015

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Massachusetts Municipal Income Trust

August 31, 2015

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Investments — 153.5%

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 6.0%

      

Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33

    $ 910       $ 1,167,193   

Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/34

      990         1,276,308   
     

 

 

  
      $ 2,443,501   
     

 

 

  

Education — 23.9%

      

Massachusetts Development Finance Agency, (Milton Academy), 5.00%, 9/1/35

    $ 1,080       $ 1,223,154   

Massachusetts Development Finance Agency, (Northeastern University), 5.00%, 3/1/33

      770         864,518   

Massachusetts Health and Educational Facilities Authority, (Berklee College of Music), 5.00%, 10/1/32

      1,500         1,611,525   

Massachusetts Health and Educational Facilities Authority, (Boston College), 5.50%, 6/1/35

      1,640         2,143,529   

Massachusetts Health and Educational Facilities Authority, (Harvard University), 5.00%, 10/1/38(1)

      1,500         1,625,415   

Massachusetts Health and Educational Facilities Authority, (Northeastern University), 5.00%, 10/1/35

      1,350         1,518,196   

University of Massachusetts Building Authority, 5.00%, 11/1/39

      750         839,385   
     

 

 

  
      $ 9,825,722   
     

 

 

  

Escrowed/Prerefunded — 9.5%

      

Massachusetts Development Finance Agency, (New England Conservatory of Music), Prerefunded to 7/1/18, 5.25%, 7/1/38

    $ 625       $ 700,038   

Massachusetts Development Finance Agency, (Partners HealthCare System), Prerefunded to 7/1/17, 5.00%, 7/1/32

      1,055         1,140,012   

Massachusetts Health and Educational Facilities Authority, (Massachusetts Institute of Technology), Prerefunded to 7/1/17, 5.00%, 7/1/38

      415         448,279   

Massachusetts Health and Educational Facilities Authority, (Tufts University), Prerefunded to 8/15/18, 5.375%, 8/15/38

      1,420         1,605,267   
     

 

 

  
      $ 3,893,596   
     

 

 

  

General Obligations — 15.3%

      

Boston, 4.00%, 4/1/24

    $ 300       $ 331,377   

Cambridge, 4.00%, 2/15/21

      595         673,480   

Danvers, 5.25%, 7/1/36

      885         1,040,202   

Lexington, 4.00%, 2/1/22

      430         489,469   

Lexington, 4.00%, 2/1/23

      355         406,138   

Newton, 5.00%, 4/1/36

      750         842,782   

Plymouth, 5.00%, 5/1/31

      345         390,882   

Plymouth, 5.00%, 5/1/32

      315         355,824   

Wayland, 5.00%, 2/1/33

      510         586,582   

Wayland, 5.00%, 2/1/36

      770         878,709   

Winchester, 5.00%, 4/15/36

      245         279,819   
     

 

 

  
      $ 6,275,264   
     

 

 

  

Hospital — 26.7%

      

Massachusetts Development Finance Agency, (Berkshire Health Systems), 5.00%, 10/1/31

    $ 1,000       $ 1,091,540   

Massachusetts Development Finance Agency, (CareGroup), 5.00%, 7/1/25(2)

      600         702,078   

Massachusetts Development Finance Agency, (CareGroup), 5.00%, 7/1/33(2)

      180         199,681   

Massachusetts Development Finance Agency, (Children’s Hospital), 5.00%, 10/1/31

      525         601,640   

Massachusetts Development Finance Agency, (Tufts Medical Center), 7.25%, 1/1/32

      600         721,014   

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Massachusetts Development Finance Agency, (UMass Memorial), 5.50%, 7/1/31

    $ 555       $ 612,004   

Massachusetts Health and Educational Facilities Authority, (Baystate Medical Center, Inc.), 5.75%, 7/1/36

      1,210         1,363,234   

Massachusetts Health and Educational Facilities Authority, (Children’s Hospital), 5.25%, 12/1/39

      500         563,230   

Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute), 5.00%, 12/1/37

      1,135         1,240,090   

Massachusetts Health and Educational Facilities Authority, (Jordan Hospital), 6.75%, 10/1/33

      755         759,266   

Massachusetts Health and Educational Facilities Authority, (Lowell General Hospital), 5.125%, 7/1/35

      970         1,037,929   

Massachusetts Health and Educational Facilities Authority, (Partners HealthCare System), 5.00%, 7/1/32

      945         1,007,332   

Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29

      675         677,835   

Massachusetts Health and Educational Facilities Authority, (Southcoast Health System), 5.00%, 7/1/29

      350         380,982   
     

 

 

  
      $ 10,957,855   
     

 

 

  

Housing — 5.1%

      

Massachusetts Housing Finance Agency, (AMT), 4.75%, 12/1/48

    $ 2,100       $ 2,103,927   
     

 

 

  
      $ 2,103,927   
     

 

 

  

Industrial Development Revenue — 2.0%

      

Massachusetts Development Finance Agency, (Covanta Energy), (AMT), 4.875%, 11/1/27(3)

    $ 800       $ 813,104   
     

 

 

  
      $ 813,104   
     

 

 

  

Insured-Education — 7.2%

      

Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39

    $ 1,000       $ 1,245,020   

Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(1)(4)

      1,365         1,720,105   
     

 

 

  
      $ 2,965,125   
     

 

 

  

Insured-Electric Utilities — 1.2%

      

Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/29

    $ 550       $ 480,282   
     

 

 

  
      $ 480,282   
     

 

 

  

Insured-General Obligations — 3.1%

      

Massachusetts, (AMBAC), 5.50%, 8/1/30(5)

    $ 1,000       $ 1,282,100   
     

 

 

  
      $ 1,282,100   
     

 

 

  

Insured-Hospital — 0.9%

      

Massachusetts Health and Educational Facilities Authority, (Cape Cod Healthcare), (AGC), 5.00%, 11/15/25

    $ 335       $ 373,344   
     

 

 

  
      $ 373,344   
     

 

 

  

Insured-Other Revenue — 1.8%

      

Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42

    $ 590       $ 717,222   
     

 

 

  
      $ 717,222   
     

 

 

  

Insured-Special Tax Revenue — 13.0%

      

Martha’s Vineyard Land Bank, (BAM), 5.00%, 5/1/25

    $ 900       $ 1,080,036   

Martha’s Vineyard Land Bank, (BAM), 5.00%, 5/1/28

      1,195         1,386,654   

Massachusetts, Special Obligation, Dedicated Tax Revenue, (NPFG), 5.50%, 1/1/29

      1,000         1,254,200   

Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 5.00%, 8/15/37(1)

      1,340         1,431,763   

Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45

      1,105         175,032   
     

 

 

  
      $ 5,327,685   
     

 

 

  

Insured-Student Loan — 2.1%

      

Massachusetts Educational Financing Authority, (AGC), (AMT), 6.35%, 1/1/30

    $ 235       $ 247,711   

Massachusetts Educational Financing Authority, (AMBAC), (AMT), 4.70%, 1/1/33

      615         621,476   
     

 

 

  
      $ 869,187   
     

 

 

  

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Insured-Transportation — 0.8%

      

Massachusetts Port Authority, (Bosfuel Project), (NPFG), (AMT), 5.00%, 7/1/32

    $ 315       $ 330,785   
     

 

 

  
      $ 330,785   
     

 

 

  

Other Revenue — 2.7%

      

Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/22

    $ 500       $ 560,965   

Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/25

      505         564,726   
     

 

 

  
      $ 1,125,691   
     

 

 

  

Senior Living/Life Care — 1.8%

      

Massachusetts Development Finance Agency, (Carleton-Willard Village), 5.625%, 12/1/30

    $ 125       $ 140,223   

Massachusetts Development Finance Agency, (VOA Concord Assisted Living, Inc.),
5.125%, 11/1/27(3)

      140         140,616   

Massachusetts Development Finance Agency, (VOA Concord Assisted Living, Inc.),
5.20%, 11/1/41(3)

      475         465,120   
     

 

 

  
      $ 745,959   
     

 

 

  

Special Tax Revenue — 8.6%

      

Massachusetts Bay Transportation Authority, 5.25%, 7/1/34

    $ 140       $ 154,981   

Massachusetts Bay Transportation Authority, Sales Tax Revenue, 0.00%, 7/1/31

      1,665         816,300   

Massachusetts Bay Transportation Authority, Sales Tax Revenue, 0.00%, 7/1/34

      5,195         2,199,511   

Virgin Islands Public Finance Authority, 6.75%, 10/1/37

      335         378,011   
     

 

 

  
      $ 3,548,803   
     

 

 

  

Transportation — 10.8%

      

Massachusetts Department of Transportation, (Metropolitan Highway System), 5.00%, 1/1/37

    $ 1,500       $ 1,671,990   

Massachusetts Port Authority, 5.00%, 7/1/28

      500         571,125   

Massachusetts Port Authority, 5.00%, 7/1/34

      670         756,383   

Massachusetts Port Authority, 5.00%, 7/1/45

      1,250         1,420,400   
     

 

 

  
      $ 4,419,898   
     

 

 

  

Water and Sewer — 11.0%

      

Boston Water and Sewer Commission, 5.00%, 11/1/29

    $ 495       $ 561,637   

Boston Water and Sewer Commission, 5.00%, 11/1/31

      225         254,513   

Boston Water and Sewer Commission, Prerefunded to 11/1/19, 5.00%, 11/1/26

      2,005         2,320,908   

Massachusetts Water Resources Authority, 5.00%, 8/1/28

      1,195         1,383,487   
     

 

 

  
      $ 4,520,545   
     

 

 

  

Total Tax-Exempt Investments — 153.5%
(identified cost $57,766,833)

       $ 63,019,595   
     

 

 

  

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (48.8)%

       $ (20,050,465 ) 
     

 

 

  

Other Assets, Less Liabilities — (4.7)%

       $ (1,916,342 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

       $ 41,052,788   
     

 

 

  

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

 

AGC

   -   Assured Guaranty Corp.

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.

BAM

   -   Build America Mutual Assurance Co.

NPFG

   -   National Public Finance Guaranty Corp.

XLCA

   -   XL Capital Assurance, Inc.

 

3

 

 

The Trust invests primarily in debt securities issued by Massachusetts municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at August 31, 2015, 19.6% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 1.0% to 9.2% of total investments.

 

(1) Security represents the municipal bond held by a trust that issues residual interest bonds.

 

(2) When-issued security.

 

(3) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At August 31, 2015, the aggregate value of these securities is $1,418,840 or 3.5% of the Trust’s net assets applicable to common shares.

 

(4) Security (or a portion thereof) has been pledged as collateral for residual interest bond transactions. The aggregate value of such collateral is $810,105.

 

(5) Security (or a portion thereof) has been segregated to cover payable for when-issued securities.

The cost and unrealized appreciation (depreciation) of investments of the Trust at August 31, 2015, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $     54,237,630   
  

 

 

  

Gross unrealized appreciation

    $ 5,539,050   

Gross unrealized depreciation

      (142,085 ) 
  

 

 

  

Net unrealized appreciation

    $ 5,396,965   
  

 

 

  

A summary of open financial instruments at August 31, 2015 is as follows:

Futures Contracts

 

Expiration
Month/Year		   

Contracts

    Position    Aggregate Cost     Value     Net Unrealized
Depreciation		  
12/15    23 U.S. Long Treasury Bond    Short    $     (3,554,355 )    $     (3,556,375 )    $     (2,020 ) 

At August 31, 2015, the Trust had sufficient cash and/or securities to cover commitments under these contracts.

The Trust is subject to interest rate risk in the normal course of pursuing its investment objective. Because the Trust holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. The Trust enters into U.S. Treasury futures contracts to hedge against changes in interest rates.

At August 31, 2015, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is interest rate risk was $2,020.

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

•  

Level 1 — quoted prices in active markets for identical investments

 

•  

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

•  

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

4

 

 

At August 31, 2015, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Tax-Exempt Investments

    $ —       $ 63,019,595       $ —       $ 63,019,595   

Total Investments

    $ —       $     63,019,595       $     —       $     63,019,595   
Liability Description                                

Futures Contracts

    $     (2,020 )     $ —       $ —       $ (2,020 ) 

Total

    $ (2,020 )     $ —       $ —       $ (2,020 ) 

The Trust held no investments or other financial instruments as of November 30, 2014 whose fair value was determined using Level 3 inputs. At August 31, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

For information on the Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual or annual report to shareholders.

 

5

 

 

Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this

Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Massachusetts Municipal Income Trust

 

By:   /s/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   October 26, 2015

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/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   October 26, 2015

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   October 26, 2015