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: 08/31/2018
Date of reporting period: 05/31/2018
Item 1 – Schedule of Investments
| Schedule of Investments (unaudited) May 31, 2018 |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) May 31, 2018 |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) May 31, 2018 |
BlackRock Massachusetts Tax-Exempt Trust (MHE) (Percentages shown are based on Net Assets) |
| (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. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. |
| (d) | Annualized 7-day yield as of period end. |
| (e) | During the period ended May 31, 2018, 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: |
| Affiliated | Shares Held at 08/31/17 |
Net Activity |
Shares Held at 05/31/18 |
Value at 05/31/18 |
Income | Net Realized Gain (Loss)(a) |
Change in Unrealized Appreciation (Depreciation) |
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| BlackRock Liquidity Funds, |
844,109 | (470,562 | ) | 373,547 | $ | 373,584 | $ | 2,066 | $ | (127 | ) | $ | 66 | |||||||||||||||
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| (a) | Includes net capital gain distributions, if applicable. |
For Trust compliance purposes, the Trust’s sector classifications refer to 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 adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.
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| Schedule of Investments (unaudited) (continued) May 31, 2018 |
BlackRock Massachusetts Tax-Exempt Trust (MHE) |
| Derivative Financial Instruments Outstanding as of Period End |
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| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
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| Short Contracts: |
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| 10-Year U.S. Treasury Note |
9 | 09/19/18 | $ | 1,084 | $ | (7,291 | ) | |||||||||
| Long U.S. Treasury Bond |
10 | 09/19/18 | 1,451 | (25,832 | ) | |||||||||||
| 5-Year U.S. Treasury Note |
3 | 09/28/18 | 342 | (1,410 | ) | |||||||||||
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| $ | (34,533 | ) | ||||||||||||||
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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
RB — Revenue Bonds
Syncora — Syncora Guarantee
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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
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 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 semi-annual report.
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| Schedule of Investments (unaudited) (continued) May 31, 2018 |
BlackRock Massachusetts Tax-Exempt Trust (MHE) |
As of May 31, 2018, 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: |
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| Investments: |
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| Long-Term Investments(a) |
$ | — | $ | 50,968,447 | $ | — | $ | 50,968,447 | ||||||||
| Short-Term Securities |
373,584 | — | — | 373,584 | ||||||||||||
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| $ | 373,584 | $ | 50,968,447 | $ | — | $ | 51,342,031 | |||||||||
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| Derivative Financial Instruments(b) |
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| Liabilities: |
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| Interest rate contracts |
$ | (34,533 | ) | $ | — | $ | — | $ | (34,533 | ) | ||||||
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| (a) | See above Schedule of Investments for values in each sector. |
| (b) | Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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 | |||||||||||||
| Liabilities: |
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| TOB Trust Certificates |
$ | — | $ | (1,635,858 | ) | $ | — | $ | (1,635,858 | ) | ||||||
| VRDP Shares at Liquidation Value |
— | (18,500,000 | ) | — | (18,500,000 | ) | ||||||||||
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| $ | — | $ | (20,135,858 | ) | $ | — | $ | (20,135,858 | ) | |||||||
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During the period ended May 31, 2018, there were no transfers between levels.
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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: July 19, 2018
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 19, 2018
| By: | /s/ Neal J. Andrews | |
| Neal J. Andrews | ||
| Chief Financial Officer (principal financial officer) of BlackRock Massachusetts Tax-Exempt Trust |
Date: July 19, 2018