UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07660
Name of Fund: BlackRock Massachusetts Tax-Exempt Trust (MHE)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Massachusetts Tax-Exempt Trust, 55 East 52nd Street, New York, NY 10055
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2014
Date of reporting period: 05/31/2014
Item 1 Schedule of Investments
Schedule of Investments May 31, 2014 (Unaudited) |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
Municipal Bonds | Par (000) |
Value | ||||||
Massachusetts 155.5% |
||||||||
County/City/Special District/School District 3.6% |
| |||||||
Town of Holyoke Massachusetts, GO, Refunding, 5.00%, 9/01/26 |
$ | 1,000 | $ | 1,164,000 | ||||
Education 77.1% |
| |||||||
Massachusetts Development Finance Agency, RB: |
||||||||
Boston University, Series T-1 (AMBAC), 5.00%, 10/01/39 |
1,000 | 1,046,520 | ||||||
Foxborough Regional Charter School, Series A, 7.00%, 7/01/42 |
250 | 280,398 | ||||||
Mount Holyoke College, Series B, 5.00%, 7/01/41 |
500 | 536,630 | ||||||
Smith College, 5.00%, 7/01/35 |
2,000 | 2,082,880 | ||||||
Wellesley College, Series J, 5.00%, 7/01/42 |
1,950 | 2,168,907 | ||||||
WGBH Educational Foundation, Series A (AMBAC), 5.75%, 1/01/42 |
650 | 794,814 | ||||||
Massachusetts Development Finance Agency, Refunding RB: |
||||||||
Boston University, Series P, 5.45%, 5/15/59 |
1,500 | 1,726,710 | ||||||
Clark University (Syncora), 5.13%, 10/01/35 |
500 | 522,990 | ||||||
Emerson College, Series A, 5.00%, 1/01/40 |
200 | 207,584 | ||||||
Trustees of Deerfield Academy, 5.00%, 10/01/40 |
1,675 | 1,850,640 | ||||||
Wheelock College, Series C, 5.25%, 10/01/37 |
1,000 | 1,025,420 | ||||||
Williston Northampton School Project (Syncora), 5.00%, 10/01/25 |
500 | 508,455 | ||||||
Worcester Polytechnic Institute (NPFGC), 5.00%, 9/01/27 |
1,985 | 2,190,527 | ||||||
Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/27 (a) |
1,000 | 1,093,720 | ||||||
Massachusetts Health & Educational Facilities Authority, RB: |
||||||||
Northeastern University, Series R, 5.00%, 10/01/33 |
225 | 248,029 | ||||||
Tufts University, Series O, 5.38%, 8/15/38 |
1,000 | 1,137,780 |
Municipal Bonds | Par (000) |
Value | ||||||
Massachusetts (continued) |
||||||||
Education (concluded) |
| |||||||
Massachusetts Health & Educational Facilities Authority, Refunding RB: |
||||||||
Berklee College of Music, Series A, 5.00%, 10/01/37 |
$ | 1,000 | $ | 1,097,730 | ||||
Harvard University, Series A, 5.50%, 11/15/36 |
100 | 117,111 | ||||||
Harvard University, Series B, 5.00%, 10/01/38 |
400 | 449,764 | ||||||
Northeastern University, Series T-1, 5.00%, 10/01/31 |
950 | 1,057,302 | ||||||
Northeastern University, Series T-2, 5.00%, 10/01/32 |
500 | 554,180 | ||||||
Springfield College, 5.63%, 10/15/40 |
500 | 535,425 | ||||||
Tufts University, Series M, 5.50%, 2/15/27 |
1,000 | 1,265,690 | ||||||
Massachusetts State College Building Authority, RB, Series A (AMBAC), 5.00%, 5/01/16 (b) |
1,000 | 1,090,560 | ||||||
Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 5/01/39 |
825 | 1,044,813 | ||||||
University of Massachusetts Building Authority, RB, Senior-Series 2, 5.00%, 11/01/39 |
500 | 556,585 | ||||||
|
|
|||||||
25,191,164 | ||||||||
Health 24.5% |
| |||||||
Massachusetts Development Finance Agency, RB, 1st Mortgage, Edgecombe Project, Series A, 6.75%, 7/01/21 |
660 | 661,650 | ||||||
Massachusetts Development Finance Agency, Refunding RB: |
||||||||
Carleton-Willard Village, 5.63%, 12/01/30 |
500 | 539,520 | ||||||
Partners Healthcare System, Series L, 5.00%, 7/01/36 |
1,000 | 1,099,310 | ||||||
Seven Hills Foundation & Affiliates (Radian), 5.00%, 9/01/35 |
240 | 240,473 | ||||||
Massachusetts Health & Educational Facilities Authority, RB: |
||||||||
Cape Cod Healthcare Obligated Group, Series D (AGC), 5.00%, 11/15/31 |
1,000 | 1,072,390 | ||||||
Caregroup, Series E-1, 5.00%, 7/01/28 |
500 | 525,780 |
BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST | MAY 31, 2014 | 1 |
Schedule of Investments (continued) |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
Municipal Bonds | Par (000) |
Value | ||||||
Massachusetts (continued) |
||||||||
Health (concluded) |
||||||||
Massachusetts Health & Educational Facilities Authority, RB (concluded): |
||||||||
Childrens Hospital, Series M, 5.25%, 12/01/39 |
$ | 600 | $ | 665,124 | ||||
Childrens Hospital, Series M, 5.50%, 12/01/39 |
500 | 570,840 | ||||||
Lahey Clinic Medical Center, Series D, 5.25%, 8/15/37 |
1,000 | 1,052,620 | ||||||
Southcoast Health Obligation Group, Series D, 5.00%, 7/01/39 |
500 | 527,735 | ||||||
Massachusetts Health & Educational Facilities Authority, Refunding RB, Winchester Hospital, Series H, 5.25%, 7/01/38 |
1,000 | 1,056,940 | ||||||
|
|
|||||||
8,012,382 | ||||||||
Housing 11.4% |
||||||||
Massachusetts HFA, RB, M/F Housing, Series A (FHA), 5.25%, 12/01/35 |
185 | 198,866 | ||||||
Massachusetts HFA, Refunding RB, AMT: |
||||||||
Series C, 5.00%, 12/01/30 |
490 | 506,929 | ||||||
Series C, 5.35%, 12/01/42 |
2,000 | 2,059,940 | ||||||
Series F, 5.70%, 6/01/40 |
910 | 948,038 | ||||||
|
|
|||||||
3,713,773 | ||||||||
State 19.9% |
||||||||
Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 7/01/29 |
730 | 916,953 | ||||||
Massachusetts School Building Authority, RB: |
||||||||
Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43 |
500 | 559,690 | ||||||
Dedicated Sales Tax, Series A (AGM), 5.00%, 8/15/15 (b) |
1,000 | 1,057,960 | ||||||
Senior Series B, 5.00%, 10/15/41 |
1,000 | 1,108,500 | ||||||
Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/39 |
2,500 | 2,853,075 | ||||||
|
|
|||||||
6,496,178 | ||||||||
Transportation 19.0% |
||||||||
Commonwealth of Massachusetts, RB, Series A, 5.00%, 6/15/27 |
1,000 | 1,181,900 | ||||||
Municipal Bonds | Par (000) |
Value | ||||||
Massachusetts (concluded) |
||||||||
Transportation (concluded) |
||||||||
Commonwealth of Massachusetts, Refunding RB, Series A, 5.00%, 6/01/38 |
$ | 500 | $ | 560,390 | ||||
Massachusetts Department of Transportation, Refunding RB, Senior Series B: |
||||||||
5.00%, 1/01/32 |
1,120 | 1,212,221 | ||||||
5.00%, 1/01/37 |
1,000 | 1,071,290 | ||||||
Massachusetts Port Authority, RB, Series A, AMT, 5.00%, 7/01/42 |
1,000 | 1,074,910 | ||||||
Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36 |
1,000 | 1,118,270 | ||||||
|
|
|||||||
6,218,981 | ||||||||
Total Municipal Bonds (Cost 47,333,943) 155.5% |
|
50,796,478 | ||||||
Short-Term Securities | ||||||||
Municipal Bonds 2.2% |
||||||||
Commonwealth of Massachusetts, GO, Series A, VRDN (Wells Fargo NA SBPA), 0.07%, 6/10/14 (c) |
200 | 200,000 | ||||||
Massachusetts Health & Educational Facilities Authority, RB, Partners Healthcare System, Series P2, VRDN (JPMorgan NA SBPA), 0.05%, 6/02/14 (c) |
500 | 500,000 | ||||||
|
|
|||||||
Total Municipal Bonds 2.2% |
|
700,000 | ||||||
Money Market Fund 0.0% | Shares | |||||||
BIF Massachusetts Municipal Money Fund, 0.00% (d)(e) |
11,633 | 11,633 | ||||||
Total Short-Term Securities (Cost $711,633) 2.2% |
711,633 |
2 | BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST | MAY 31, 2014 |
Schedule of Investments (continued) |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
Value | ||||||
Total Investments (Cost $48,045,576) 157.7% | $ | 51,508,111 | ||||
Liabilities in Excess of Other Assets (1.1)% | (346,808 | ) | ||||
VRDP Shares, at Liquidation Value (56.6%) | (18,500,000 | ) | ||||
|
|
|||||
Net Assets Applicable to Common Shares 100.0% | $ | 32,661,303 | ||||
|
|
* | As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax cost |
$ | 48,030,516 | ||
|
|
|||
Gross unrealized appreciation |
3,482,643 | |||
Gross unrealized depreciation |
(5,048 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 3,477,595 | ||
|
|
|||
Notes to Schedule of Investments |
(a) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation |
||||||
Morgan Stanley & Co. International PLC |
$ | 1,093,720 | $ | 14,680 |
(b) | U.S. government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par. |
(c) | Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand. |
(d) | Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate |
Shares Held at August 31, 2013 |
Net Activity |
Shares Held at May 31, 2014 |
Income | ||||||||||||
BIF Massachusetts Municipal Money Fund |
5 | 11,628 | 11,633 | |
(e) | Represents the current yield as of report date. |
Portfolio Abbreviations |
AGC | Assured Guarantee Corp. | |||||||
AGM | Assured Guaranty Municipal Corp. | |||||||
AMBAC | American Municipal Bond Assurance Corp. | |||||||
AMT | Alternative Minimum Tax (subject to) | |||||||
FHA | Federal Housing Administration | |||||||
GO | General Obligation Bonds | |||||||
HFA | Housing Finance Agency | |||||||
M/F | Multi-Family | |||||||
NPFGC | National Public Finance Guarantee Corp. | |||||||
Radian | Radian Guaranty, Inc. | |||||||
RB | Revenue Bonds | |||||||
SBPA | Stand-by Bond Purchase Agreements | |||||||
Syncora | Syncora Guarantee | |||||||
VRDN | Variable Rate Demand Notes |
BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST | MAY 31, 2014 | 3 |
Schedule of Investments (continued) |
BlackRock Massachusetts Tax-Exempt Trust (MHE) |
| Financial futures contracts outstanding as of May 31, 2014 were as follows: |
Contracts Sold | Issue | Exchange | Expiration | Notional Value |
Unrealized Depreciation |
|||||||||
(39) | 10-Year U.S. Treasury Note | Chicago Board of Trade | September 2014 | $ | 4,895,109 | $ | (18,641 | ) |
| For Trust compliance purposes, the Trusts sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access |
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trusts policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments, please refer to the Trusts most recent financial statements as contained in its semi-annual report.
The following tables summarize the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments1 |
| $ | 50,796,478 | | $ | 50,796,478 | ||||||||||
Short-Term Securities |
$ | 11,633 | 700,000 | | 711,633 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 11,633 | $ | 51,496,478 | | $ | 51,508,111 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
1 See above Schedule of Investments for values in each sector. |
|
4 | BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST | MAY 31, 2014 |
Schedule of Investments (concluded) |
BlackRock Massachusetts Tax-Exempt Trust (MHE) |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Derivative Financial Instruments 2 |
||||||||||||
Liabilities: | ||||||||||||
Interest rate contracts |
$ | (18,641 | ) | | | $ | (18,641 | ) | ||||
2 Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
|
| |||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Cash |
$ | 16,737 | | | $ | 16,737 | ||||||
Cash pledged for financial futures contracts |
51,000 | | | 51,000 | ||||||||
Liabilities: | ||||||||||||
VRDP Shares |
| $(18,500,000) | | (18,500,000 | ) | |||||||
|
|
|||||||||||
Total |
$ | 67,737 | $(18,500,000) | | $ | (18,432,263 | ) | |||||
|
|
There were no transfers between levels during the period ended May 31, 2014.
BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST | MAY 31, 2014 | 5 |
Item 2 Controls and Procedures
2(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
2(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3 Exhibits
Certifications Attached hereto |
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.
BlackRock Massachusetts Tax-Exempt Trust | ||
By: | /s/ John M. Perlowski | |
John M. Perlowski Chief Executive Officer (principal executive officer) of BlackRock Massachusetts Tax-Exempt Trust |
Date: July 23, 2014
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/ John M. Perlowski | |
John M. Perlowski Chief Executive Officer (principal executive officer) of BlackRock Massachusetts Tax-Exempt Trust |
Date: July 23, 2014
By: | /s/ Neal J. Andrews | |
Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock Massachusetts Tax-Exempt Trust |
Date: July 23, 2014