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, 2012

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Massachusetts Municipal Bond Fund

December 31, 2012

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Investments — 155.9%

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 6.0%

      

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

    $ 585       $ 797,495   

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

      640         875,629   
     

 

 

  
      $ 1,673,124   
     

 

 

  

Education — 26.1%

      

Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33

    $ 750       $ 758,528   

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

      750         851,745   

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

      2,000         2,291,040   

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

      1,000         1,178,300   

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

      870         980,194   

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

      1,025         1,201,228   
     

 

 

  
      $ 7,261,035   
     

 

 

  

Escrowed/Prerefunded — 1.9%

      

Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy),
Prerefunded to 7/1/13, 5.75%, 7/1/33

    $ 500       $ 518,715   
     

 

 

  
      $ 518,715   
     

 

 

  

General Obligations — 12.1%

      

Boston, 4.00%, 4/1/24

    $ 200       $ 231,596   

Cambridge, 4.00%, 2/15/21

      395         472,076   

Danvers, 5.25%, 7/1/36

      565         667,892   

Plymouth, 5.00%, 5/1/26

      250         300,537   

Plymouth, 5.00%, 5/1/31

      225         264,940   

Plymouth, 5.00%, 5/1/32

      205         240,385   

Wayland, 5.00%, 2/1/33

      340         402,540   

Wayland, 5.00%, 2/1/36

      510         595,267   

Winchester, 5.00%, 4/15/36

      160         187,355   
     

 

 

  
      $ 3,362,588   
     

 

 

  

Hospital — 14.8%

      

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

    $ 775       $ 849,718   

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

      400         434,688   

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

      500         553,215   

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

      750         820,597   

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

      370         371,195   

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

      1,000         1,084,420   
     

 

 

  
      $ 4,113,833   
     

 

 

  

 

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Insured-Education — 18.0%

      

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

    $ 700       $ 961,156   

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

      750         841,388   

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

      1,105         1,400,720   

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

      750         1,006,650   

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

      750         798,795   
     

 

 

  
   $ 5,008,709   
     

 

 

  

Insured-Electric Utilities — 4.1%

      

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

    $ 1,095       $ 1,150,955   
     

 

 

  
   $ 1,150,955   
     

 

 

  

Insured-Escrowed/Prerefunded — 7.4%

      

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

    $ 2,900       $ 2,059,870   
     

 

 

  
   $ 2,059,870   
     

 

 

  

Insured-General Obligations — 13.4%

      

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

    $ 1,900       $ 2,635,889   

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

      1,000         1,092,590   
     

 

 

  
   $ 3,728,479   
     

 

 

  

Insured-Hospital — 0.9%

      

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

    $ 220       $ 245,340   
     

 

 

  
   $ 245,340   
     

 

 

  

Insured-Lease Revenue/Certificates of Participation — 5.0%

      

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

    $ 1,000       $ 1,404,410   
     

 

 

  
   $ 1,404,410   
     

 

 

  

Insured-Other Revenue — 2.0%

      

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

    $ 415       $ 554,249   
     

 

 

  
   $ 554,249   
     

 

 

  

Insured-Special Tax Revenue — 15.9%

      

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

    $ 1,225       $ 1,240,227   

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

      400         539,572   

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

      1,160         1,306,496   

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

      750         959,790   

Puerto Rico Sales Tax Financing Corp., (AMBAC), 0.00%, 8/1/54

      2,130         171,785   

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

      1,270         197,180   
     

 

 

  
   $ 4,415,050   
     

 

 

  

Insured-Water and Sewer — 4.7%

      

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

    $ 960       $ 1,306,406   
     

 

 

  
   $ 1,306,406   
     

 

 

  

Other Revenue — 3.3%

      

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

    $ 320       $ 366,499   

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

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

    $ 490       $ 562,471   
     

 

 

  
      $ 928,970   
     

 

 

  

Senior Living/Life Care — 2.7%

      

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

    $ 745       $ 745,171   
     

 

 

  
      $ 745,171   
     

 

 

  

Special Tax Revenue — 5.4%

      

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

    $ 95       $ 109,587   

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

      1,210         1,384,990   
     

 

 

  
      $ 1,494,577   
     

 

 

  

Transportation — 9.0%

      

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

    $ 1,000       $ 1,134,550   

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

      500         559,200   

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

      250         301,705   

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

      435         508,498   
     

 

 

  
      $ 2,503,953   
     

 

 

  

Water and Sewer — 3.2%

      

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

    $ 750       $ 896,033   
     

 

 

  
      $ 896,033   
     

 

 

  

Total Tax-Exempt Investments — 155.9%
(identified cost $37,687,200)

       $ 43,371,467   
     

 

 

  

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

       $ (13,575,316 ) 
     

 

 

  

Other Assets, Less Liabilities — (7.1)%

       $ (1,969,565 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

       $ 27,826,586   
     

 

 

  

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.

FGIC

   -   Financial Guaranty Insurance Company

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, 2012, 45.8% 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 ranged from 2.2% to 19.2% 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 $506,650.

 

3

 

 

A summary of open financial instruments at December 31, 2012 is as follows:

Futures Contracts

 

Expiration
Month/Year		   

Contracts

    Position    Aggregate Cost   Value   Net Unrealized
Appreciation
3/13    14 U.S. 30-Year Treasury Bond    Short    $    (2,099,865)   $    (2,065,000)   $    34,865

At December 31, 2012, 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, 2012, 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 $34,865.

The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2012, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $     34,334,440   
  

 

 

  
Gross unrealized appreciation    $ 5,843,732   
Gross unrealized depreciation      (136,705 ) 
  

 

 

  

Net unrealized appreciation

    $ 5,707,027   
  

 

 

  

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, 2012, 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

    $ —       $     43,371,467       $      —       $     43,371,467   

Total Investments

    $ —       $ 43,371,467       $ —       $ 43,371,467   

Futures Contracts

    $     34,865       $ —       $ —       $ 34,865   

Total

    $ 34,865       $ 43,371,467       $ —       $ 43,406,332   

The Fund held no investments or other financial instruments as of September 30, 2012 whose fair value was determined using Level 3 inputs. At December 31, 2012, 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/ Thomas M. Metzold
  Thomas M. Metzold
  President
Date:   February 22, 2013

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/ Thomas M. Metzold
  Thomas M. Metzold
  President
Date:   February 22, 2013

 

By:   /s/ Barbara E. Campbell
  Barbara E. Campbell
  Treasurer
Date:   February 22, 2013