N-Q 1 d86853dnq.htm BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST

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

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2016

Date of reporting period: 11/30/2015


Item 1 – Schedule of Investments


Schedule of Investments November 30, 2015 (Unaudited)

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Massachusetts — 152.6%

                

County/City/Special District/School District — 3.5%

  

 

Town of Holyoke Massachusetts, GO, Refunding, 5.00%, 9/01/26

   $ 1,000      $ 1,173,860   

Education — 68.8%

  

Massachusetts Development Finance Agency, RB:

    

Foxborough Regional Charter School, Series A, 7.00%, 7/01/42

     250        281,688   

Mount Holyoke College, Series B, 5.00%, 7/01/41

     500        547,295   

Wellesley College, Series J, 5.00%, 7/01/42

     1,950        2,218,905   

WGBH Educational Foundation, Series A (AMBAC), 5.75%, 1/01/42

     650        804,687   

Massachusetts Development Finance Agency, Refunding RB:

    

Boston University, Series P, 5.45%, 5/15/59

     1,500        1,777,680   

Emerson College, Series A, 5.00%, 1/01/40

     200        210,234   

International Charter School, 5.00%, 4/15/40

     1,000        1,062,220   

Trustees of Deerfield Academy, 5.00%, 10/01/40

     1,675        1,918,578   

Wheelock College, Series C, 5.25%, 10/01/37

     1,000        1,054,280   

Worcester Polytechnic Institute (NPFGC), 5.00%, 9/01/27

     1,985        2,106,403   

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/27

     1,000        1,117,510   

Massachusetts Health & Educational Facilities Authority, RB:

    

Northeastern University, Series R, 5.00%, 10/01/33

     225        245,093   

Tufts University, Series O, 5.38%, 8/15/18 (a)

     1,000        1,118,810   

Massachusetts Health & Educational Facilities Authority, Refunding RB:

    

Berklee College of Music, Series A, 5.00%, 10/01/37

     1,000        1,065,670   

Harvard University, Series A, 5.50%, 11/15/36

     100        113,356   

Harvard University, Series B, 5.00%, 10/01/38

     400        429,528   
Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (continued)

                

Education (continued)

  

Massachusetts Health & Educational Facilities Authority, Refunding RB (continued):

    

Northeastern University, Series T-1, 5.00%, 10/01/31

   $ 500      $ 564,010   

Northeastern University, Series T-2, 5.00%, 10/01/32

     500        561,375   

Springfield College, 5.63%, 10/15/40

     500        535,175   

Tufts University, Series M, 5.50%, 2/15/27

     1,000        1,279,520   

Massachusetts State College Building Authority, RB, Series A (AMBAC), 5.00%, 5/01/16 (a)

     1,000        1,019,900   

Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 5/01/39

     825        1,048,690   

University of Massachusetts Building Authority, RB, Senior-Series 2, 5.00%, 11/01/39

     500        561,390   

University of Massachusetts Building Authority, Refunding RB, Series 1, 5.00%, 11/01/40

     1,000        1,160,230   
    

 

 

 
               22,802,227   

Health — 22.1%

    

Massachusetts Development Finance Agency, Refunding RB:

    

Carleton-Willard Village, 5.63%, 12/01/30

     500        559,975   

Partners Healthcare System, Series L, 5.00%, 7/01/36

     1,000        1,140,200   

Massachusetts Health & Educational Facilities Authority, RB:

    

Cape Cod Healthcare Obligated Group, Series D (AGC), 5.00%, 11/15/31

     1,000        1,118,070   

Caregroup, Series E-1, 5.00%, 7/01/28

     500        543,710   

Children’s Hospital, Series M, 5.25%, 12/01/39

     600        673,236   

Children’s Hospital, Series M, 5.50%, 12/01/39

     500        565,400   

Lahey Clinic Medical Center, Series D, 5.25%, 8/15/17 (a)

     1,000        1,077,530   
 

 

                
   BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST    NOVEMBER 30, 2015    1


Schedule of Investments (continued)

  

BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (continued)

                

Health (continued)

    

Massachusetts Health & Educational Facilities Authority, RB (continued):

    

Southcoast Health Obligation Group, Series D, 5.00%, 7/01/39

   $ 500      $ 535,505   

Massachusetts Health & Educational Facilities Authority, Refunding RB, Winchester Hospital, Series H, 5.25%, 7/01/38

     1,000        1,098,410   
    

 

 

 
               7,312,036   

Housing — 11.2%

    

Massachusetts HFA, RB, M/F Housing, Series A (FHA), 5.25%, 12/01/35

     185        200,296   

Massachusetts HFA, Refunding RB, AMT:

    

Series C, 5.00%, 12/01/30

     490        510,007   

Series C, 5.35%, 12/01/42

     2,000        2,076,580   

Series F, 5.70%, 6/01/40

     880        923,454   
    

 

 

 
               3,710,337   

State — 21.8%

    

Commonwealth of Massachusetts, GO, Series C, 5.00%, 7/01/45

     1,000        1,153,810   

Massachusetts Bay Transportation Authority, RB, Series A, 5.00%, 7/01/45

     500        576,010   

Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 7/01/29

     730        942,445   

Massachusetts School Building Authority, RB:

    

Dedicated Sales Tax, Senior Series A, 5.00%, 5/15/43

     500        571,765   

Senior Series B, 5.00%, 10/15/41

     1,000        1,154,920   

Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/39

     2,500        2,801,025   
    

 

 

 
               7,199,975   
Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (continued)

                

Transportation — 25.2%

    

Commonwealth of Massachusetts, Refunding RB, Series A, 5.00%, 6/01/38

   $ 500      $ 577,790   

Commonwealth of Massachusetts, RB, Series A, 5.00%, 6/15/27

     1,000        1,181,560   

Massachusetts Department of Transportation, Refunding RB, Senior Series B:

    

5.00%, 1/01/32

     1,120        1,254,926   

5.00%, 1/01/37

     1,000        1,115,050   

Massachusetts Port Authority, RB, AMT:

    

Series A, 5.00%, 7/01/42

     1,000        1,107,980   

Series B, 5.00%, 7/01/45

     1,750        1,957,620   

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36

     1,000        1,164,930   
    

 

 

 
               8,359,856   

Total Municipal Bonds

(Cost — $46,415,201) — 152.6%

             50,558,291   
    
                  

Short-Term Securities

    

BIF Massachusetts Municipal Money Fund, 0.00% (b)(c)

     500,616        500,616   

Total Short-Term Securities

(Cost — $500,616) — 1.5%

  

  

    500,616   

Total Investments

(Cost — $46,915,817*) — 154.1%

  

  

    51,058,907   
Other Assets Less Liabilities 1.7%        582,268   
VRDP Shares, at Liquidation Value (55.8)%        (18,500,000
    

 

 

 
Net Assets Applicable to Common Shares 100.0%      $ 33,141,175   
    

 

 

 

*     As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

   

Tax cost

     $ 46,906,249   
    

 

 

 

Gross unrealized appreciation

     $ 4,143,090   

Gross unrealized depreciation

       9,568   
    

 

 

 

Net unrealized appreciation

     $ 4,152,658   
    

 

 

 
 
Notes to Schedule of Investments

 

* Cost for federal income tax purposes.

 

(a)   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.

 

                
2    BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST    NOVEMBER 30, 2015   


Schedule of Investments (continued)

  

BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

 

(b)   During the period ended November 30, 2015, investments in issuers considered to be an affiliate of the Trust 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,
2015
     Net
Activity
     Shares Held
at November 30,
2015
    

Net

Income

 
BIF Massachusetts Municipal Money Fund      254,118      246,498      500,616          

 

(c)   Represents the current yield as of period end.

For Trust compliance purposes, the Trust’s 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.

 

Portfolio Abbreviations
AGC    Assured Guarantee 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.
RB    Revenue Bonds
Syncora    Syncora Guarantee

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts

Short

    Issue     Expiration     Notional
Value
    Unrealized
Depreciation
 
  (3)        10-Year U.S. Treasury Note        March 2016      $ 379,313      $ (899
  (1)        Long U.S. Treasury Bond        March 2016      $ 154,000        (532
  (2)        5-Year U.S. Treasury Note        March 2016      $ 237,359        (425

 

Total

  

  $ (1,856
       

 

 

 

 

                
   BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST    NOVEMBER 30, 2015    3


Schedule of Investments (continued)

  

BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value 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 Trust’s 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value 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 investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 50,558,291                   $ 50,558,291   

Short-Term Securities

  $ 500,616                               500,616   
 

 

 

 

Total

  $ 500,616         $ 50,558,291                   $ 51,058,907   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 

Liabilities:

                

Interest Rate Contracts

  $ (1,856                          $ (1,856

1    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

       

 

                
4    BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST    NOVEMBER 30, 2015   


Schedule of Investments (concluded)

  

BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 10,050                             $ 10,050   

Liabilities:

                

VRDP Shares

            $ (18,500,000                  (18,500,000
 

 

 

 

Total

  $ 10,050         $ (18,500,000                $ (18,489,950
 

 

 

 

During the period ended November 30, 2015, there were no transfers between levels.

 

                
   BLACKROCK MASSACHUSETTS TAX-EXEMPT TRUST    NOVEMBER 30, 2015    5


Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s 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:    January 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/ John M. Perlowski                
   John M. Perlowski
   Chief Executive Officer (principal executive officer) of
   BlackRock Massachusetts Tax-Exempt Trust
Date:    January 22, 2016
By:    /s/ Neal J. Andrews                    
   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of
   BlackRock Massachusetts Tax-Exempt Trust
Date:    January 22, 2016