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
June 30, 2016
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Massachusetts Municipal Bond Fund
June 30, 2016
PORTFOLIO OF INVESTMENTS (Unaudited)
Tax-Exempt Investments — 146.9%
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Bond Bank — 6.1% |
| |||||||
| Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33 |
$ | 585 | $ | 838,995 | ||||
| Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/34 |
640 | 927,559 | ||||||
|
|
|
|||||||
| $ | 1,766,554 | |||||||
|
|
|
|||||||
| Education — 10.5% |
| |||||||
| Massachusetts Development Finance Agency, (Milton Academy), 5.00%, 9/1/35 |
$ | 750 | $ | 862,028 | ||||
| Massachusetts Health and Educational Facilities Authority, (Northeastern University), |
870 | 994,688 | ||||||
| University of Massachusetts Building Authority, 5.00%, 11/1/39 |
1,000 | 1,200,280 | ||||||
|
|
|
|||||||
| $ | 3,056,996 | |||||||
|
|
|
|||||||
| Escrowed/Prerefunded — 9.2% |
| |||||||
| Massachusetts Bay Transportation Authority, Prerefunded to 7/1/18, 5.25%, 7/1/34 |
$ | 25 | $ | 27,282 | ||||
| Massachusetts Health and Educational Facilities Authority, (Lahey Clinic Medical Center), Prerefunded to 8/15/17, 5.25%, 8/15/28 |
400 | 421,124 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Massachusetts Institute of Technology), Prerefunded to 7/1/18, 5.50%, 7/1/36 |
1,000 | 1,097,510 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Tufts University), Prerefunded to |
1,025 | 1,128,125 | ||||||
|
|
|
|||||||
| $ | 2,674,041 | |||||||
|
|
|
|||||||
| General Obligations — 9.9% |
| |||||||
| Boston, 4.00%, 4/1/24 |
$ | 200 | $ | 228,254 | ||||
| Danvers, 5.25%, 7/1/36 |
565 | 677,158 | ||||||
| Plymouth, 5.00%, 5/1/26 |
250 | 295,320 | ||||||
| Plymouth, 5.00%, 5/1/31 |
225 | 262,555 | ||||||
| Plymouth, 5.00%, 5/1/32 |
205 | 239,217 | ||||||
| Wayland, 5.00%, 2/1/33 |
340 | 396,583 | ||||||
| Wayland, 5.00%, 2/1/36 |
510 | 593,635 | ||||||
| Winchester, 5.00%, 4/15/36 |
160 | 187,702 | ||||||
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|
|
|||||||
| $ | 2,880,424 | |||||||
|
|
|
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| Hospital — 19.1% |
| |||||||
| Massachusetts Development Finance Agency, (CareGroup), 5.00%, 7/1/25 |
$ | 400 | $ | 506,712 | ||||
| Massachusetts Development Finance Agency, (CareGroup), 5.00%, 7/1/33 |
120 | 146,158 | ||||||
| Massachusetts Development Finance Agency, (Children’s Hospital), 5.00%, 10/1/31 |
525 | 657,862 | ||||||
| Massachusetts Development Finance Agency, (Lahey Health System Obligated Group), 5.00%, 8/15/40 |
750 | 904,492 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute), 5.00%, 12/1/37 |
775 | 848,423 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Partners HealthCare System), 5.00%, 7/1/34 |
500 | 560,445 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Partners HealthCare System), 5.00%, 7/1/39 |
750 | 836,880 | ||||||
| Massachusetts Health and Educational Facilities Authority, (Southcoast Health System), 5.00%, 7/1/29 |
1,000 | 1,096,360 | ||||||
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|
|
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| $ | 5,557,332 | |||||||
|
|
|
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| Insured-Education — 15.0% |
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| Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39 |
$ | 700 | $ | 998,893 | ||||
| Massachusetts Development Finance Agency, (Boston College), (NPFG), 5.00%, 7/1/38 |
750 | 781,133 | ||||||
1
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Massachusetts Development Finance Agency, (Boston University), (XLCA), |
$ | 1,105 | $ | 1,520,381 | ||||
| Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(1)(2) |
750 | 1,053,952 | ||||||
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|
|
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| $ | 4,354,359 | |||||||
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|
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| Insured-Electric Utilities — 4.0% |
||||||||
| Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/23 |
$ | 1,095 | $ | 1,150,100 | ||||
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|
|
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| $ | 1,150,100 | |||||||
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|
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| Insured-Escrowed/Prerefunded — 16.5% |
||||||||
| Massachusetts College Building Authority, (NPFG), Escrowed to Maturity, 0.00%, 5/1/26 |
$ | 2,900 | $ | 2,462,854 | ||||
| Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), Prerefunded to 8/15/17, 5.00%, 8/15/37(1) |
1,155 | 1,211,939 | ||||||
| Revere, (AGC), Prerefunded to 4/1/19, 5.00%, 4/1/39 |
1,000 | 1,117,460 | ||||||
|
|
|
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| $ | 4,792,253 | |||||||
|
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|
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| Insured-General Obligations — 9.4% |
||||||||
| Massachusetts, (AMBAC), 5.50%, 8/1/30 |
$ | 1,900 | $ | 2,715,670 | ||||
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|
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| $ | 2,715,670 | |||||||
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|
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| Insured-Hospital — 0.9% |
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| Massachusetts Health and Educational Facilities Authority, (Cape Cod Healthcare), (AGC), 5.00%, 11/15/25 |
$ | 220 | $ | 250,785 | ||||
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|
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| $ | 250,785 | |||||||
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|
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| Insured-Lease Revenue/Certificates of Participation — 4.6% |
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| Puerto Rico Public Finance Corp., (AMBAC), Escrowed to Maturity, 5.50%, 8/1/27 |
$ | 1,000 | $ | 1,347,140 | ||||
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|
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| $ | 1,347,140 | |||||||
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|
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| Insured-Other Revenue — 2.0% |
||||||||
| Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42 |
$ | 415 | $ | 578,647 | ||||
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|
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| $ | 578,647 | |||||||
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|
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| Insured-Special Tax Revenue — 12.1% |
||||||||
| Martha’s Vineyard Land Bank, (BAM), 5.00%, 5/1/25 |
$ | 605 | $ | 767,098 | ||||
| Martha’s Vineyard Land Bank, (BAM), 5.00%, 5/1/28 |
805 | 1,000,977 | ||||||
| Massachusetts Bay Transportation Authority, Sales Tax Revenue, (NPFG), 5.50%, 7/1/28 |
400 | 560,704 | ||||||
| Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 5.00%, 8/15/37(1) |
5 | 5,246 | ||||||
| Massachusetts, Special Obligation, Dedicated Tax Revenue, (NPFG), 5.50%, 1/1/29 |
750 | 1,037,100 | ||||||
| Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 |
770 | 140,386 | ||||||
|
|
|
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| $ | 3,511,511 | |||||||
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|
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| Insured-Water and Sewer — 4.8% |
||||||||
| Massachusetts Water Resources Authority, (AGM), 5.25%, 8/1/36 |
$ | 960 | $ | 1,401,744 | ||||
|
|
|
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| $ | 1,401,744 | |||||||
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|
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| Other Revenue — 3.1% |
||||||||
| Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), Prerefunded to 5/1/19, 5.00%, 5/1/25 |
$ | 320 | $ | 358,333 | ||||
| Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), Prerefunded to 5/1/19, 5.00%, 5/1/29 |
490 | 548,697 | ||||||
|
|
|
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| $ | 907,030 | |||||||
|
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|
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| Special Tax Revenue — 5.0% |
||||||||
| Massachusetts Bay Transportation Authority, 5.00%, 7/1/35 |
$ | 1,210 | $ | 1,386,370 | ||||
| Massachusetts Bay Transportation Authority, 5.25%, 7/1/34 |
70 | 76,184 | ||||||
|
|
|
|||||||
| $ | 1,462,554 | |||||||
|
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|
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2
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Transportation — 11.7% |
||||||||
| Massachusetts Department of Transportation, (Metropolitan Highway System), |
$ | 1,000 | $ | 1,134,020 | ||||
| Massachusetts Department of Transportation, (Metropolitan Highway System), |
500 | 562,050 | ||||||
| Massachusetts Port Authority, 5.00%, 7/1/28 |
250 | 290,423 | ||||||
| Massachusetts Port Authority, 5.00%, 7/1/34 |
435 | 497,309 | ||||||
| Massachusetts Port Authority, 5.00%, 7/1/45 |
750 | 922,042 | ||||||
|
|
|
|||||||
| $ | 3,405,844 | |||||||
|
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|
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| Water and Sewer — 3.0% |
||||||||
| Boston Water & Sewer Commission, Prerefunded to 11/1/19, 5.00%, 11/1/27 |
$ | 750 | $ | 854,940 | ||||
|
|
|
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| $ | 854,940 | |||||||
|
|
|
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| Total Tax-Exempt Investments — 146.9% |
$ | 42,667,924 | ||||||
|
|
|
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| Auction Preferred Shares Plus Cumulative Unpaid Dividends — (2.1)% |
$ | (625,087 | ) | |||||
|
|
|
|||||||
| Institutional MuniFund Term Preferred Shares, at Liquidation Value — (44.6)% |
$ | (12,950,000 | ) | |||||
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|
|
|||||||
| Other Assets, Less Liabilities — (0.2)% |
$ | (47,227 | ) | |||||
|
|
|
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| Net Assets Applicable to Common Shares — 100.0% |
$ | 29,045,610 | ||||||
|
|
|
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.
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 June 30, 2016, 47.1% 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 3.2% to 16.2% of total investments.
| (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 $553,953. |
Futures Contracts
| Description |
Contracts | Position | Expiration Month/ Year |
Aggregate Cost |
Value | Net Unrealized Depreciation |
||||||||||||||
| Interest Rate Futures |
| |||||||||||||||||||
| U.S. Long Treasury Bond |
9 | Short | Sep-16 | $ | (1,464,053 | ) | $ | (1,551,094 | ) | $ | (87,041 | ) | ||||||||
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| $ | (87,041 | ) | ||||||||||||||||||
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| Abbreviations:
| ||||
| 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. | ||
3
At June 30, 2016, the Fund had sufficient cash and/or securities to cover commitments under open derivative 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 enters into U.S. Treasury futures contracts to hedge against changes in interest rates.
At June 30, 2016, 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 $87,041.
The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2016, as determined on a federal income tax basis, were as follows:
| Aggregate cost |
$ | 34,751,704 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 6,586,884 | ||
| Gross unrealized depreciation |
(40,664 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 6,546,220 | ||
|
|
|
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 June 30, 2016, 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 |
$ | — | $ | 42,667,924 | $ | — | $ | 42,667,924 | ||||||||
| Total Investments |
$ | — | $ | 42,667,924 | $ | — | $ | 42,667,924 | ||||||||
| Liability Description | ||||||||||||||||
| Futures Contracts |
$ | (87,041 | ) | $ | — | $ | — | $ | (87,041 | ) | ||||||
| Total |
$ | (87,041 | ) | $ | — | $ | — | $ | (87,041 | ) | ||||||
The Fund held no investments or other financial instruments as of September 30, 2015 whose fair value was determined using Level 3 inputs. At June 30, 2016, 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: | August 22, 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: | August 22, 2016 | |
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer | ||
| Date: | August 22, 2016 | |