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

February 29, 2016

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Massachusetts Municipal Income Trust

February 29, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Municipal Securities — 146.6%

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 6.0%

      

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

    $ 910       $ 1,217,207   

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

      990         1,332,084   
     

 

 

  
      $ 2,549,291   
     

 

 

  

Education — 23.9%

      

Massachusetts Development Finance Agency, (Dexter Southfield), 5.00%, 5/1/34

    $ 1,665       $ 1,880,334   

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

      1,080         1,229,915   

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

      770         887,756   

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

      1,500         1,593,405   

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

      1,640         2,207,424   

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

      1,350         1,528,443   

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

      750         871,350   
     

 

 

  
      $ 10,198,627   
     

 

 

  

Escrowed/Prerefunded — 9.1%

      

Massachusetts Bay Transportation Authority, Prerefunded to 7/1/18, 5.25%, 7/1/34

    $ 40       $ 44,288   

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

      625         691,388   

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

      1,055         1,118,490   

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

      415         439,975   

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

      1,420         1,584,393   
     

 

 

  
      $ 3,878,534   
     

 

 

  

General Obligations — 12.1%

      

Boston, 4.00%, 4/1/24

    $ 300       $ 339,840   

Danvers, 5.25%, 7/1/36

      885         1,050,398   

Lexington, 4.00%, 2/1/23

      355         418,439   

Newton, 5.00%, 4/1/36

      750         841,395   

Plymouth, 5.00%, 5/1/31

      345         398,178   

Plymouth, 5.00%, 5/1/32

      315         363,554   

Wayland, 5.00%, 2/1/33

      510         589,075   

Wayland, 5.00%, 2/1/36

      770         887,025   

Winchester, 5.00%, 4/15/36

      245         284,425   
     

 

 

  
      $ 5,172,329   
     

 

 

  

Hospital — 27.5%

      

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

    $ 1,000       $ 1,114,430   

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

      600         730,374   

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

      180         206,674   

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

      525         630,814   

Massachusetts Development Finance Agency, (Lahey Health System Obligated Group), 5.00%, 8/15/40

      1,250         1,427,475   

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

      600         726,822   

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

      555         627,194   

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

      1,210         1,362,073   

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

      500         564,590   

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

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

    $ 1,135       $ 1,236,991   

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

      970         1,072,578   

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

      945         994,943   

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

      675         678,220   

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

      350         382,375   
     

 

 

  
      $ 11,755,553   
     

 

 

  

Housing — 4.9%

      

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

    $ 2,100       $ 2,102,730   
     

 

 

  
      $ 2,102,730   
     

 

 

  

Industrial Development Revenue — 1.9%

      

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

    $ 800       $ 803,120   
     

 

 

  
      $ 803,120   
     

 

 

  

Insured-Education — 7.3%

      

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

    $ 1,000       $ 1,315,460   

Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(2)(3)

      1,365         1,796,777   
     

 

 

  
      $ 3,112,237   
     

 

 

  

Insured-Electric Utilities — 1.3%

      

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

    $ 550       $ 559,311   
     

 

 

  
      $ 559,311   
     

 

 

  

Insured-Escrowed/Prerefunded — 3.3%

      

Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), Prerefunded to 8/15/17, 5.00%, 8/15/37(2)

    $ 1,335       $ 1,421,792   
     

 

 

  
      $ 1,421,792   
     

 

 

  

Insured-General Obligations — 3.1%

      

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

    $ 1,000       $ 1,335,470   
     

 

 

  
      $ 1,335,470   
     

 

 

  

Insured-Hospital — 0.9%

      

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

    $ 335       $ 380,185   
     

 

 

  
      $ 380,185   
     

 

 

  

Insured-Other Revenue — 1.8%

      

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

    $ 590       $ 756,091   
     

 

 

  
      $ 756,091   
     

 

 

  

Insured-Special Tax Revenue — 9.4%

      

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

    $ 900       $ 1,111,842   

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

      1,195         1,427,631   

Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 5.00%, 8/15/37(2)

      5         5,325   

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

      1,000         1,316,080   

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

      1,105         170,446   
     

 

 

  
      $ 4,031,324   
     

 

 

  

Insured-Student Loan — 2.0%

      

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

    $ 210       $ 220,979   

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

      615         618,542   
     

 

 

  
      $ 839,521   
     

 

 

  

Insured-Transportation — 0.8%

      

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

    $ 315       $ 328,076   
     

 

 

  
      $ 328,076   
     

 

 

  

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Other Revenue — 2.6%

      

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

    $ 500       $ 564,810   

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

      505         569,610   
     

 

 

  
      $ 1,134,420   
     

 

 

  

Senior Living/Life Care — 1.8%

      

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

    $ 125       $ 140,780   

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

      140         141,037   

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

      475         475,732   
     

 

 

  
      $ 757,549   
     

 

 

  

Special Tax Revenue — 8.4%

      

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

    $ 100       $ 109,641   

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

      1,665         839,809   

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

      5,195         2,268,033   

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

      335         376,956   
     

 

 

  
      $ 3,594,439   
     

 

 

  

Transportation — 10.5%

      

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

    $ 1,500       $ 1,681,395   

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

      500         584,130   

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

      670         759,840   

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

      1,250         1,454,475   
     

 

 

  
      $ 4,479,840   
     

 

 

  

Water and Sewer — 8.0%

      

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

    $ 495       $ 563,037   

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

      225         255,231   

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

      1,005         1,158,544   

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

      1,195         1,431,646   
     

 

 

  
      $ 3,408,458   
     

 

 

  

Total Tax-Exempt Municipal Securities — 146.6%
(identified cost $56,511,533)

       $ 62,598,897   
     

 

 

  

Taxable Municipal Securities — 1.8%

      
Security    Principal
Amount
(000’s omitted)		      Value  

Student Loan — 1.8%

      

Massachusetts Educational Financing Authority, 4.70%, 1/1/30

    $ 750       $ 770,670   
     

 

 

  

Total Taxable Municipal Securities — 1.8%
(identified cost $735,175)

       $ 770,670   
     

 

 

  

Total Investments — 148.4%
(identified cost $57,246,708)

       $ 63,369,567   
     

 

 

  

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (7.6)%

       $ (3,250,746 ) 
     

 

 

  

Institutional MuniFund Term Preferred Shares, at Liquidation Value — (39.3)%

       $ (16,800,000 ) 
     

 

 

  

 

3

 

 

                                                 
            Value  

Other Assets, Less Liabilities — (1.5)%

       $ (612,625 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

       $ 42,706,196   
     

 

 

  

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

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 February 29, 2016, 20.1% 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 0.9% to 9.4% of total investments.

 

(1) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At February 29, 2016, the aggregate value of these securities is $1,419,889 or 3.3% of the Trust’s net assets applicable to common shares.

 

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

 

(3) Security (or a portion thereof) has been pledged as collateral for residual interest bond transactions. The aggregate value of such collateral is $886,777.

Futures Contracts

                

Description

    Contracts      Position      Expiration
Month/Year		      Aggregate
Cost		     Value     Net Unrealized
Appreciation		  

Interest Rate Futures

                

U.S. Long Treasury Bond

      23         Short         Jun-16       $     (3,802,683 )    $     (3,784,218 )    $ 18,465   
               

 

 

  
                $     18,465   
               

 

 

  

Abbreviations:

 

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.

At February 29, 2016, the Trust had sufficient cash and/or securities to cover commitments under open derivative 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 February 29, 2016, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and whose primary underlying risk exposure is interest rate risk was $18,465.

 

4

 

 

The cost and unrealized appreciation (depreciation) of investments of the Trust at February 29, 2016, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $      55,211,102   
  

 

 

  

Gross unrealized appreciation

    $ 6,328,542   

Gross unrealized depreciation

      (85,077 ) 
  

 

 

  

Net unrealized appreciation

    $ 6,243,465   
  

 

 

  

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.

At February 29, 2016, 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 Municipal Securities

    $ —       $ 62,598,897       $ —       $ 62,598,897   

Taxable Municipal Securities

      —         770,670         —         770,670   

Total Investments

    $ —       $ 63,369,567       $ —       $ 63,369,567   

Futures Contracts

    $ 18,465       $ —       $ —       $ 18,465   

Total

    $     18,465       $     63,369,567       $     —       $     63,388,032   

The carrying amount of the Institutional MuniFund Term Preferred Shares (iMTP Shares) at February 29, 2016 approximated its fair value. If measured at fair value, iMTP Shares would have been considered as Level 2 in the fair value hierarchy at February 29, 2016.

The Trust held no investments or other financial instruments as of November 30, 2015 whose fair value was determined using Level 3 inputs. At February 29, 2016, 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:   April 25, 2016

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:   April 25, 2016

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   April 25, 2016