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, 2011
Date of Reporting Period
 
 

 

 

Item 1. Schedule of Investments

 

 

Eaton Vance
Massachusetts Municipal Bond Fund
December 31, 2011
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Tax-Exempt Investments — 163.4%
 
                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Bond Bank — 6.1%
               
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33
  $ 585     $ 749,028  
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/34
    640       817,920  
                 
            $ 1,566,948  
                 
Education — 27.3%
               
Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33
  $ 750     $ 759,593  
Massachusetts Development Finance Agency, (Milton Academy), 5.00%, 9/1/35
    750       812,737  
Massachusetts Health and Educational Facilities Authority, (Harvard University), 5.00%, 10/1/38(1)
    2,000       2,213,720  
Massachusetts Health and Educational Facilities Authority, (Massachusetts Institute of Technology), 5.50%, 7/1/36(2)
    1,000       1,149,120  
Massachusetts Health and Educational Facilities Authority, (Northeastern University), 5.00%, 10/1/35
    870       910,420  
Massachusetts Health and Educational Facilities Authority, (Tufts University), 5.375%, 8/15/38
    1,025       1,144,392  
                 
            $ 6,989,982  
                 
Escrowed/Prerefunded — 4.6%
               
Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), Prerefunded to 7/1/13, 5.75%, 7/1/33
  $ 500     $ 545,050  
Massachusetts Development Finance Agency, (Western New England College), Prefunded to 12/1/12, 6.125%, 12/1/32
    600       637,824  
                 
            $ 1,182,874  
                 
General Obligations — 12.7%
               
Boston, 4.00%, 4/1/24
  $ 200     $ 222,942  
Cambridge, 4.00%, 2/15/21
    395       471,891  
Danvers, 5.25%, 7/1/36
    565       636,314  
Plymouth, 5.00%, 5/1/26
    250       292,327  
Plymouth, 5.00%, 5/1/31
    225       252,149  
Plymouth, 5.00%, 5/1/32
    205       228,350  
Wayland, 5.00%, 2/1/33
    340       385,475  
Wayland, 5.00%, 2/1/36
    510       573,097  
Winchester, 5.00%, 4/15/36
    160       180,173  
                 
            $ 3,242,718  
                 
Hospital — 15.3%
               
Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute), 5.00%, 12/1/37
  $ 775     $ 798,490  
Massachusetts Health and Educational Facilities Authority, (Lahey Clinic Medical Center), 5.25%, 8/15/28
    400       415,444  
Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System), 5.00%, 7/1/34
    500       522,405  
Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System), 5.00%, 7/1/39
    750       777,765  
Massachusetts Health and Educational Facilities Authority, (South Shore Hospital), 5.75%, 7/1/29
    370       370,200  
Massachusetts Health and Educational Facilities Authority, (Southcoast Hospitals Group, Inc.), 5.00%, 7/1/29
    1,000       1,026,730  
                 
            $ 3,911,034  
                 
Insured-Education — 18.0%
               
Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39
  $ 700     $ 850,185  
Massachusetts Development Finance Agency, (Boston College), (NPFG), 5.00%, 7/1/38
    750       775,297  
Massachusetts Development Finance Agency, (Boston University), (XLCA), 6.00%, 5/15/59
    1,105       1,288,165  
Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(1)
    750       922,440  
 
1

 

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/35
  $ 750     $ 770,213  
                 
            $ 4,606,300  
                 
Insured-Electric Utilities — 4.9%
               
Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/23
  $ 1,095     $ 1,246,778  
                 
            $ 1,246,778  
                 
Insured-Escrowed/Prerefunded — 7.1%
               
Massachusetts College Building Authority, (NPFG), Escrowed to Maturity, 0.00%, 5/1/26
  $ 2,900     $ 1,813,399  
                 
            $ 1,813,399  
                 
Insured-General Obligations — 13.6%
               
Massachusetts, (AMBAC), 5.50%, 8/1/30
  $ 1,900     $ 2,435,648  
Revere, (AGC), 5.00%, 4/1/39
    1,000       1,046,010  
                 
            $ 3,481,658  
                 
Insured-Hospital — 0.9%
               
Massachusetts Health and Educational Facilities Authority, (Cape Cod Healthcare), (AGC), 5.00%, 11/15/25
  $ 220     $ 234,788  
                 
            $ 234,788  
                 
Insured-Lease Revenue/Certificates of Participation — 5.1%
               
Puerto Rico Public Finance Corp., (AMBAC), Escrowed to Maturity, 5.50%, 8/1/27
  $ 1,000     $ 1,318,960  
                 
            $ 1,318,960  
                 
Insured-Other Revenue — 2.2%
               
Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42
  $ 495     $ 569,795  
                 
            $ 569,795  
                 
Insured-Special Tax Revenue — 17.3%
               
Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32
  $ 1,225     $ 1,269,700  
Massachusetts Bay Transportation Authority, Sales Tax Revenue, (NPFG), 5.50%, 7/1/28
    400       513,956  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 5.00%, 8/15/37(1)
    1,160       1,228,951  
Massachusetts, Special Obligation, Dedicated Tax Revenue, (FGIC), (NPFG), 5.50%, 1/1/29
    750       873,128  
Puerto Rico Sales Tax Financing Corp., (AMBAC), 0.00%, 8/1/54
    5,220       366,287  
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45
    1,460       188,734  
                 
            $ 4,440,756  
                 
Insured-Water and Sewer — 4.1%
               
Massachusetts Water Resources Authority, (AGM), 5.25%, 8/1/36
  $ 860     $ 1,063,596  
                 
            $ 1,063,596  
                 
Other Revenue — 3.5%
               
Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/25
  $ 320     $ 355,066  
Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/29
    490       529,430  
                 
            $ 884,496  
                 
Senior Living/Life Care — 2.7%
               
Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc.), 5.15%, 7/1/31
  $ 745     $ 680,766  
                 
            $ 680,766  
                 
Special Tax Revenue — 5.5%
               
Massachusetts Bay Transportation Authority, 5.25%, 7/1/34
  $ 95     $ 103,930  
Massachusetts Bay Transportation Authority, Special Tax Revenue, 5.00%, 7/1/35
    1,210       1,316,952  
                 
            $ 1,420,882  
                 
 
2

 

                 
    Principal
 		       
    Amount
 		       
Security   (000’s omitted)     Value  
Transportation — 9.1%                
Massachusetts Department of Transportation, (Metropolitan Highway System), 5.00%, 1/1/32   $ 1,000     $ 1,065,440  
Massachusetts Department of Transportation, (Metropolitan Highway System), 5.00%, 1/1/37     500       527,820  
Massachusetts Port Authority, 5.00%, 7/1/28     250       280,007  
Massachusetts Port Authority, 5.00%, 7/1/34     435       466,255  
                 
            $ 2,339,522  
                 
Water and Sewer — 3.4%                
Boston Water & Sewer Commission, 5.00%, 11/1/27   $ 750     $ 862,785  
                 
            $ 862,785  
                 
                 
Total Tax-Exempt Investments — 163.4%
(identified cost $38,621,788) 		          $ 41,858,037  
                 
                 
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (53.0)%           $ (13,575,114 )
                 
                 
Other Assets, Less Liabilities — (10.4)%           $ (2,668,910 )
                 
                 
Net Assets Applicable to Common Shares — 100.0%           $ 25,614,013  
                 
 
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, 2011, 44.9% 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 ranged from 2.1% to 19.4% 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 to cover margin requirements on open financial futures contracts.
 
A summary of open financial instruments at December 31, 2011 is as follows:
 
Futures Contracts
 
                                 
Expiration
 		          Aggregate
 		          Net Unrealized
 		 
Month/Year   Contracts   Position   Cost     Value     Depreciation  
3/12
  14 U.S. 30-Year Treasury Bond   Short   $ (1,979,224 )   $ (2,027,375 )   $ (48,151 )
 
At December 31, 2011, 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, 2011, 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 $48,151.
 
The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2011, as determined on a federal income tax basis, were as follows:
 
         
Aggregate cost
  $ 35,275,909  
         
Gross unrealized appreciation
  $ 3,610,007  
Gross unrealized depreciation
    (357,879 )
         
Net unrealized appreciation
  $ 3,252,128  
         
 
3

 

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, 2011, 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
  $ —     $ 41,858,037     $ —     $ 41,858,037  
 
 
Total Investments
  $ —     $ 41,858,037     $ —     $ 41,858,037  
 
 
                                 
Liability Description                        
   
Futures Contracts
  $ (48,151 )   $ —     $ —     $ (48,151 )
 
 
Total
  $ (48,151 )   $ —     $ —     $ (48,151 )
 
 
 
The Fund held no investments or other financial instruments as of September 30, 2011 whose fair value was determined using Level 3 inputs. At December 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.
 
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 23, 2012    
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 23, 2012    
 
        
By:
  /s/ Barbara E. Campbell
 
Barbara E. Campbell 		   
 
  Treasurer    
 
        
Date:
  February 23, 2012