Eaton Vance Massachusetts Municipal Bond Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21225

Investment Company Act File Number

Eaton Vance Massachusetts Municipal Bond Fund

(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)

September 30

Date of Fiscal Year End

December 31, 2014

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Massachusetts Municipal Bond Fund

December 31, 2014

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Investments — 164.3%

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 6.0%

      

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

    $ 585       $ 775,909   

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

      640         853,773   
     

 

 

  
   $ 1,629,682   
     

 

 

  

Education — 23.4%

      

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

    $ 750       $ 852,488   

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

      2,000         2,215,140   

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

      870         972,677   

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

      1,025         1,163,949   

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

      1,000         1,139,780   
     

 

 

  
   $ 6,344,034   
     

 

 

  

Escrowed/Prerefunded — 4.3%

      

Massachusetts Health and Educational Facilities Authority, (Massachusetts Institute of Technology), Prerefunded to 7/1/18, 5.50%, 7/1/36

    $ 1,000       $ 1,157,580   
     

 

 

  
   $ 1,157,580   
     

 

 

  

General Obligations — 12.2%

      

Boston, 4.00%, 4/1/24

    $ 200       $ 223,450   

Cambridge, 4.00%, 2/15/21

      395         452,374   

Danvers, 5.25%, 7/1/36

      565         672,418   

Plymouth, 5.00%, 5/1/26

      250         293,617   

Plymouth, 5.00%, 5/1/31

      225         258,676   

Plymouth, 5.00%, 5/1/32

      205         235,034   

Wayland, 5.00%, 2/1/33

      340         395,478   

Wayland, 5.00%, 2/1/36

      510         589,310   

Winchester, 5.00%, 4/15/36

      160         185,034   
     

 

 

  
   $ 3,305,391   
     

 

 

  

Hospital — 17.6%

      

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

    $ 525       $ 625,154   

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

      775         840,960   

Massachusetts Health and Educational Facilities Authority, (Lahey Clinic Medical Center), 5.25%, 8/15/28

      400         433,736   

Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System), 5.00%, 7/1/34

      500         566,790   

Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System), 5.00%, 7/1/39

      750         844,658   

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

      370         371,547   

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

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

    $ 1,000       $ 1,099,290   
     

 

 

  
      $ 4,782,135   
     

 

 

  

Insured-Education — 15.1%

      

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

    $ 700       $ 938,035   

Massachusetts Development Finance Agency, (Boston College), (NPFG), 5.00%, 7/1/38

      750         814,763   

Massachusetts Development Finance Agency, (Boston University), (XLCA),
6.00%, 5/15/59

      1,105         1,391,438   

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

      750         961,522   
     

 

 

  
      $ 4,105,758   
     

 

 

  

Insured-Electric Utilities — 4.1%

      

Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/23

    $ 1,095       $ 1,108,852   
     

 

 

  
      $ 1,108,852   
     

 

 

  

Insured-Escrowed/Prerefunded — 11.0%

      

Massachusetts College Building Authority, (NPFG), Escrowed to Maturity, 0.00%, 5/1/26

    $ 2,900       $ 2,218,790   

Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), Prerefunded to 7/1/15, 5.00%, 7/1/35

      750         768,075   
     

 

 

  
      $ 2,986,865   
     

 

 

  

Insured-General Obligations — 13.3%

      

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

    $ 1,900       $ 2,531,370   

Revere, (AGC), 5.00%, 4/1/39

      1,000         1,074,860   
     

 

 

  
      $ 3,606,230   
     

 

 

  

Insured-Hospital — 0.9%

      

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

    $ 220       $ 246,107   
     

 

 

  
      $ 246,107   
     

 

 

  

Insured-Lease Revenue/Certificates of Participation — 4.6%

      

Puerto Rico Public Finance Corp., (AMBAC), Escrowed to Maturity, 5.50%, 8/1/27

    $ 1,000       $ 1,253,420   
     

 

 

  
      $ 1,253,420   
     

 

 

  

Insured-Other Revenue — 2.0%

      

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

    $ 415       $ 537,844   
     

 

 

  
      $ 537,844   
     

 

 

  

Insured-Special Tax Revenue — 21.3%

      

Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32

    $ 1,225       $ 1,226,984   

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

      605         736,817   

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

      805         953,619   

Massachusetts Bay Transportation Authority, Sales Tax Revenue, (NPFG), 5.50%, 7/1/28

      400         530,012   

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

      1,160         1,263,658   

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

      750         961,575   

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

      770         108,062   
     

 

 

  
      $ 5,780,727   
     

 

 

  

 

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Insured-Water and Sewer — 4.6%

      

Massachusetts Water Resources Authority, (AGM), 5.25%, 8/1/36

    $ 960       $ 1,258,800   
     

 

 

  
      $ 1,258,800   
     

 

 

  

Other Revenue — 3.4%

      

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

    $ 320       $ 364,886   

Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/29

      490         554,460   
     

 

 

  
      $ 919,346   
     

 

 

  

Senior Living/Life Care — 2.8%

      

Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc.), 5.15%, 7/1/31

    $ 745       $ 746,974   
     

 

 

  
      $ 746,974   
     

 

 

  

Special Tax Revenue — 5.5%

      

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

    $ 95       $ 106,466   

Massachusetts Bay Transportation Authority, Special Tax Revenue, 5.00%, 7/1/35

      1,210         1,375,552   
     

 

 

  
      $ 1,482,018   
     

 

 

  

Transportation — 9.0%

      

Massachusetts Department of Transportation, (Metropolitan Highway System),
5.00%, 1/1/32

    $ 1,000       $ 1,111,600   

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

      500         550,625   

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

      250         290,225   

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

      435         493,316   
     

 

 

  
      $ 2,445,766   
     

 

 

  

Water and Sewer — 3.2%

      

Boston Water & Sewer Commission, 5.00%, 11/1/27

    $ 750       $ 872,977   
     

 

 

  
      $ 872,977   
     

 

 

  

Total Tax-Exempt Investments — 164.3%
(identified cost $39,489,296)

       $ 44,570,506   
     

 

 

  

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (50.0)%

       $ (13,575,270 ) 
     

 

 

  

Other Assets, Less Liabilities — (14.3)%

       $ (3,869,364 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

       $ 27,125,872   
     

 

 

  

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.

AGM

   -   Assured Guaranty Municipal Corp.

AMBAC

   -   AMBAC Financial Group, Inc.

BAM

   -   Build America Mutual Assurance Co.

NPFG

   -   National Public Finance Guaranty Corp.

XLCA

   -   XL Capital Assurance, Inc.

The Fund 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 December 31, 2014, 46.9% 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 2.8% to 17.4% of total investments.

 

3

 

 

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

 

(2) Security (or a portion thereof) has been pledged as collateral for residual interest bond transactions. The aggregate value of such collateral is $461,553.

A summary of open financial instruments at December 31, 2014 is as follows:

Futures Contracts

 

Expiration
Month/Year		   

Contracts

    Position    Aggregate Cost     Value     Net Unrealized
Depreciation		  
3/15    14 U.S. Long Treasury Bond    Short    $     (1,968,737 )    $     (2,023,875 )    $     (55,138 ) 

At December 31, 2014, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

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

At December 31, 2014, 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 $55,138.

The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2014, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $     36,123,411   
  

 

 

  

Gross unrealized appreciation

    $ 5,177,066   

Gross unrealized depreciation

      (59,971 ) 
  

 

 

  

Net unrealized appreciation

    $ 5,117,095   
  

 

 

  

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 December 31, 2014, the hierarchy of inputs used in valuing the Fund’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

    $ —       $ 44,570,506       $ —       $ 44,570,506   

Total Investments

    $ —       $     44,570,506       $ —       $     44,570,506   
Liability Description                                

Futures Contracts

    $ (55,138 )     $ —       $ —       $ (55,138 ) 

Total

    $     (55,138 )     $ —       $ —       $ (55,138 ) 

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

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

 

4

 

 

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 Bond Fund

 

By:  

/s/ Payson F. Swaffield

  Payson F. Swaffield
  President
Date:   February 23, 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:   February 23, 2015

 

By:  

/s/ James F. Kirchner

  James F. Kirchner
  Treasurer
Date:   February 23, 2015