UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09005
| Name of Registrant: | Vanguard Massachusetts Tax-Exempt Funds |
| Address of Registrant: | P.O. Box 2600 |
| | Valley Forge, PA 19482 |
| Name and address of agent for service: | Anne E. Robinson, Esquire |
| | P.O. Box 876 |
| | Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: November 30
Date of reporting period: December 1, 2021—November 30, 2022
Item 1: Reports to Shareholders
Annual Report | November 30, 2022
Vanguard Massachusetts
Tax-Exempt Fund
Contents
Your Fund’s Performance at a Glance
| 1 |
Advisor's Report
| 2 |
About Your Fund’s Expenses
| 5 |
Performance Summary
| 7 |
Financial Statements
| 9 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | Despite some relief toward the close of the period, the 12 months ended November 30, 2022, were a volatile, challenging period for financial markets. Vanguard Massachusetts Tax-Exempt Fund returned –10.28%, lagging the –8.42% return of its benchmark, the Bloomberg MA Municipal Bond Index. |
| • | The economic backdrop deteriorated early on as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. Then price increases broadened to other categories of goods and services, adding to concerns that inflation would remain stubbornly high. That prompted aggressive tightening by the Federal Reserve to bring inflation back in check, which weighed on bond prices and increased fears of recession. |
| • | Municipal bonds were not immune to the run-up in U.S. Treasury yields, and the muni market experienced significant cash outflows. As a whole, however, their fundamentals remained solid, and they fared better than the taxable bond market. |
| • | The fund’s overweight positions in hospital and university bonds detracted. Its underweight allocation to state general obligation bonds helped performance, while security selection in AA bonds hurt. |
| • | Overall, the advisor lengthened the fund’s duration late in the period, detracting from returns. |
Market Barometer
| | Average Annual Total Returns
Periods Ended November 30, 2022 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -10.66% | 10.56% | 10.69% |
| Russell 2000 Index (Small-caps) | -13.01 | 6.44 | 5.45 |
| Russell 3000 Index (Broad U.S. market) | -10.80 | 10.28 | 10.33 |
| FTSE All-World ex US Index (International) | -11.40 | 2.23 | 1.86 |
| Bonds | | | |
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) | -12.91% | -2.56% | 0.24% |
Bloomberg Municipal Bond Index
(Broad tax-exempt market) | -8.64 | -0.77 | 1.40 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.16 | 0.64 | 1.19 |
| CPI | | | |
| Consumer Price Index | 7.11% | 5.00% | 3.83% |
For the 12 months ended November 30, 2022, Vanguard Massachusetts Tax-Exempt Fund returned –10.28%. The fund underperformed its benchmark, the Bloomberg MA Municipal Bond Index, which returned –8.42%.
The fund’s 30-day SEC yield increased 253 basis points to 3.68% during the period. (A basis point is one-hundredth of a percentage point.) The 30-day SEC yield is a proxy for a fund’s potential annualized rate of income.
Please note that the fund is permitted to invest in securities that would generate income distributions subject to the alternative minimum tax (AMT). During the fiscal year, the fund did not own such securities.
The investment environment
The period was defined by a historic rise in interest rates, which caused ripple effects across every sector of the financial markets and brought with it renewed volatility.
Concerns that had been weighing on market sentiment in late 2021 carried into 2022. Supply-chain bottlenecks persisted, labor remained in short supply in some sectors of the economy as unemployment rates continued to fall, and year-on-year inflation readings—which had been accelerating—climbed to multidecade highs across much of the world.
In late February, Russia’s invasion of Ukraine injected more uncertainty into the markets. Oil headed north of $100 per barrel and staple food prices soared.
Yields of Tax-Exempt Municipal Securities
(National Averages, AAA-Rated General Obligation Issues)
| | |
| Maturity | November 30,
2021 | November 30,
2022 |
| 2 years | 0.24% | 2.59% |
| 5 years | 0.61 | 2.65 |
| 10 years | 1.07 | 2.75 |
| 30 years | 1.55 | 3.57 |
| Source: Vanguard. |
While energy prices eventually began to cool amid slowing economic growth and the U.S. government’s release of some of its strategic oil reserves to boost supply, price increases broadened to other categories of goods and services, heightening concerns that inflation might remain stubbornly high.
In response, major central banks wound down their bond-purchasing programs and began raising short-term interest rates. The Federal Reserve was especially aggressive, raising the federal funds rate target by 3.75 percentage points over eight months.
That created a challenging environment for bonds. Muni yields rose sharply even as the credit profile of many issuers remained solid overall. With muni returns turning negative, investors pulled large amounts of cash out of the asset class, which put more pressure on muni prices. As a whole, the U.S. muni market finished the period down close to –9%, as measured by the Bloomberg Municipal Bond Index.
Massachusetts had a near-peak financial position for the 12 months, given exceptionally strong tax revenues primed by federal stimulus, high wage growth, historically low unemployment, and capital gains from 2021 equity market performance. A large budget surplus for the fiscal year ended June 30 helped lift the commonwealth’s rainy-day fund to a record high of $8.4 billion and provide a cushion against the possibility of recession in the year ahead.
In November 2022, voters approved a “millionaires tax,” a 4% tax on annual income above $1 million, in addition to the state’s current 5% flat income tax. Proceeds from the new tax, which are expected to exceed $1 billion per year, will be used to fund education, roads, bridges, and public transportation.
In October, Standard & Poor’s affirmed its state general obligation rating of AA and revised the outlook to positive from stable, based on the commonwealth’s improved reserves. Moody’s affirmed its rating of Aa1, and Fitch kept its rating at AA+.
Management of the fund
The main driver of the fund’s underperformance was its longer duration relative to its benchmark index. We were defensively positioned early in the period in the expectation that rates would rise and spreads would decompress. That positioning included a duration similar to the benchmark’s, which is generally shorter than the fund’s because it includes municipals across the maturity spectrum. Although that worked out well during the first wave of rate increases, our duration drifted longer as relative valuations improved, a stance that weighed on performance as the Fed continued raising rates.
We were lighter than we typically are on credit exposure early in the period as well but were still carrying more than the benchmark. The widening in credit spreads that took place therefore
dampened the fund’s relative performance.
In the second half of the period, we seized opportunities to cycle out of shorter call bonds and into bonds with a call of closer to 10 years, as they offer a better convexity profile, which will position the fund to capture more upside price performance in the future.
The fund was well-prepared in terms of liquidity going into 2022. With the Fed having been expected to initiate a hiking cycle, and with municipal valuations at rich levels, we didn’t predict the magnitude of outflows that occurred, but we had increased our liquidity buffer in anticipation that some investors could head for the exits.
Outlook
Although the bond market may continue to see volatility if, as expected, the Fed enacts more rate hikes in the coming year, today’s higher yields mean munis can offer more of a cushion against further price declines.
Energy supply-and-demand concerns, diminishing capital flows, declining trade volumes, and falling output per person in all likelihood will lead to a global recession in the coming year. Although we had upgraded the portfolio’s credit quality because of that outlook, we are open to opportunistically increasing our credit exposure given the widening in spreads that has taken place. At the same time, we are favoring some sectors that tend to be more defensive in downturns.
Whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to navigate this large, fragmented market to seek attractive investment opportunities that will add to the fund’s performance.
Stephen M. McFee, CFA,
Portfolio Manager
Vanguard Fixed Income Group
December 15, 2022
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
| Six Months Ended November 30, 2022 | | | |
| Massachusetts Tax-Exempt Fund | Beginning
Account Value
5/31/2022 | Ending
Account Value
11/30/2022 | Expenses
Paid During
Period |
| Based on Actual Fund Return | $1,000.00 | $981.20 | $0.65 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,024.42 | 0.66 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.13%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/365).
Massachusetts Tax-Exempt Fund
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: November 30, 2012, Through November 30, 2022
Initial Investment of $10,000
| | | Average Annual Total Returns
Periods Ended November 30, 2022 | |
| | | One
Year | Five
Years | Ten
Years | Final Value
of a $10,000
Investment |
 | Massachusetts Tax-Exempt Fund | -10.28% | 1.46% | 2.06% | $12,259 |
 | Bloomberg MA Municipal Bond Index | -8.42 | 1.26 | 1.78 | 11,931 |
 | Bloomberg Municipal Bond Index | -8.64 | 1.40 | 1.98 | 12,161 |
See Financial Highlights for dividend and capital gains information.
Massachusetts Tax-Exempt Fund
Distribution by Stated Maturity
| Under 1 Year | 8.4% |
| 1 - 3 Years | 1.7 |
| 3 - 5 Years | 3.2 |
| 5 - 10 Years | 11.8 |
| 10 - 20 Years | 39.2 |
| 20 - 30 Years | 31.3 |
| Over 30 Years | 4.4 |
The table reflects the fund’s investments, except for short-term investments and derivatives.
Massachusetts Tax-Exempt Fund
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| Tax-Exempt Municipal Bonds (99.4%) |
| Massachusetts (98.5%) |
| | Acton & Boxborough Regional School District GO | 2.125% | 3/1/43 | 150 | 103 |
| | Andover MA GO | 4.000% | 11/15/31 | 535 | 563 |
| | Andover MA GO | 4.000% | 11/15/32 | 545 | 573 |
| | Andover MA GO | 4.000% | 11/15/33 | 560 | 587 |
| | Andover MA GO | 4.000% | 11/15/34 | 455 | 472 |
| | Arlington MA GO | 3.000% | 9/1/34 | 2,155 | 2,040 |
| | Ashland KY GO | 3.000% | 8/1/47 | 3,180 | 2,619 |
| | Ashland KY GO | 3.000% | 8/1/52 | 2,890 | 2,294 |
| | Ashland MA GO | 2.250% | 5/15/51 | 1,930 | 1,217 |
| | Attleboro MA GO | 2.625% | 10/15/50 | 3,335 | 2,278 |
| | Berkshire Wind Power Cooperative Corp. Electric Power & Light Revenue (Berkshire Wind Project) | 5.000% | 7/1/29 | 420 | 458 |
| | Berkshire Wind Power Cooperative Corp. Electric Power & Light Revenue (Berkshire Wind Project) | 5.000% | 7/1/30 | 450 | 490 |
| 1,2 | Billerica MA GO TOB VRDO | 1.100% | 12/1/22 | 2,690 | 2,690 |
| | Blue Hills Regional Technical High School District (School Project Loan-Chapter 70B) GO | 3.375% | 7/15/39 | 100 | 91 |
| | Boston MA GO | 5.000% | 5/1/36 | 5,725 | 6,302 |
| | Boston MA GO | 5.000% | 11/1/39 | 14,995 | 17,269 |
| | Boston MA GO | 5.000% | 11/1/40 | 5,205 | 5,828 |
| | Boston MA GO | 5.000% | 11/1/41 | 1,600 | 1,824 |
| | Braintree MA GO | 3.000% | 6/1/33 | 1,865 | 1,796 |
| | Braintree MA GO | 3.000% | 6/1/34 | 1,910 | 1,805 |
| | Braintree MA GO | 3.000% | 6/1/36 | 1,790 | 1,600 |
| | Braintree MA GO | 3.000% | 6/1/37 | 395 | 344 |
| | Braintree MA GO | 3.375% | 6/1/37 | 120 | 110 |
| | Braintree MA GO | 4.000% | 6/1/42 | 625 | 623 |
| | Bristol County MA GO | 5.250% | 6/1/45 | 4,405 | 4,929 |
| | Bristol County MA GO | 4.000% | 6/1/51 | 4,000 | 3,785 |
| | Brockton MA GO | 4.000% | 8/1/47 | 4,470 | 4,314 |
| | Brockton MA GO | 4.000% | 8/1/52 | 12,290 | 11,566 |
| | Burlington MA GO | 2.750% | 1/15/41 | 600 | 481 |
| | Burlington MA GO | 2.750% | 1/15/42 | 620 | 493 |
| | Burlington MA GO | 2.750% | 1/15/43 | 635 | 499 |
| | Burlington MA GO | 2.750% | 1/15/44 | 655 | 508 |
| | Burlington MA GO | 2.750% | 1/15/46 | 1,360 | 1,031 |
| | Burlington MA GO | 2.750% | 1/15/50 | 2,565 | 1,870 |
| | Canton MA GO | 2.500% | 3/15/38 | 150 | 121 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Cape Cod Regional Technical High School District (School Project Loan-Chapter 70B) GO | 4.000% | 11/15/31 | 485 | 506 |
| | Cape Cod Regional Technical High School District (School Project Loan-Chapter 70B) GO | 4.000% | 11/15/32 | 2,060 | 2,136 |
| | Central Berkshire MA Regional School District GO | 3.000% | 6/1/32 | 1,125 | 1,104 |
| | Central Berkshire MA Regional School District GO | 3.000% | 6/1/33 | 1,210 | 1,154 |
| | Central Berkshire MA Regional School District GO | 3.000% | 6/1/34 | 1,000 | 935 |
| | Central Berkshire MA Regional School District GO | 3.000% | 6/1/35 | 1,280 | 1,169 |
| | Central Berkshire MA Regional School District GO | 3.000% | 6/1/36 | 1,120 | 1,002 |
| | Chicopee MA GO | 3.000% | 8/15/35 | 380 | 348 |
| | Collegiate Charter School of Lowell Charter School Aid Revenue | 5.000% | 6/15/39 | 605 | 592 |
| | Collegiate Charter School of Lowell Charter School Aid Revenue | 5.000% | 6/15/49 | 3,250 | 3,020 |
| | Collegiate Charter School of Lowell Charter School Aid Revenue | 5.000% | 6/15/54 | 2,620 | 2,385 |
| | Commonwealth of Massachusetts Federal Highway Government Fund/Grant Revenue | 5.000% | 6/15/24 | 2,500 | 2,591 |
| | Commonwealth of Massachusetts GO | 5.250% | 8/1/28 | 520 | 590 |
| | Commonwealth of Massachusetts GO | 5.000% | 9/1/29 | 2,160 | 2,466 |
| 3 | Commonwealth of Massachusetts GO | 5.500% | 8/1/30 | 300 | 356 |
| | Commonwealth of Massachusetts GO | 5.000% | 3/1/31 | 5,250 | 5,399 |
| | Commonwealth of Massachusetts GO | 4.000% | 3/1/32 | 7,650 | 8,162 |
| | Commonwealth of Massachusetts GO | 4.000% | 9/1/32 | 550 | 570 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/33 | 5,500 | 5,899 |
| | Commonwealth of Massachusetts GO | 4.500% | 7/1/34 | 16,295 | 16,824 |
| | Commonwealth of Massachusetts GO | 3.000% | 7/1/35 | 3,000 | 2,799 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/35 | 5,000 | 5,317 |
| | Commonwealth of Massachusetts GO | 3.000% | 11/1/35 | 2,875 | 2,676 |
| | Commonwealth of Massachusetts GO | 5.000% | 1/1/36 | 5,115 | 5,634 |
| | Commonwealth of Massachusetts GO | 3.000% | 3/1/36 | 1,160 | 1,066 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/36 | 145 | 163 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/36 | 5,795 | 6,129 |
| | Commonwealth of Massachusetts GO | 3.000% | 9/1/36 | 10,000 | 9,133 |
| | Commonwealth of Massachusetts GO | 4.000% | 11/1/36 | 5,235 | 5,434 |
| | Commonwealth of Massachusetts GO | 5.000% | 12/1/36 | 3,070 | 3,264 |
| | Commonwealth of Massachusetts GO | 5.000% | 1/1/38 | 1,205 | 1,295 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/38 | 1,250 | 1,392 |
| | Commonwealth of Massachusetts GO | 5.000% | 5/1/39 | 610 | 668 |
| | Commonwealth of Massachusetts GO | 3.000% | 7/1/39 | 6,500 | 5,664 |
| | Commonwealth of Massachusetts GO | 3.000% | 11/1/39 | 3,505 | 3,049 |
| | Commonwealth of Massachusetts GO | 5.000% | 11/1/39 | 1,115 | 1,191 |
| | Commonwealth of Massachusetts GO | 4.000% | 2/1/40 | 5,000 | 5,034 |
| | Commonwealth of Massachusetts GO | 4.000% | 5/1/40 | 5,000 | 5,022 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/40 | 200 | 221 |
| | Commonwealth of Massachusetts GO | 3.000% | 11/1/40 | 1,670 | 1,430 |
| | Commonwealth of Massachusetts GO | 5.000% | 11/1/40 | 1,145 | 1,219 |
| | Commonwealth of Massachusetts GO | 3.000% | 2/1/41 | 245 | 207 |
| | Commonwealth of Massachusetts GO | 5.000% | 3/1/41 | 8,150 | 8,286 |
| | Commonwealth of Massachusetts GO | 3.000% | 11/1/41 | 4,500 | 3,782 |
| | Commonwealth of Massachusetts GO | 4.000% | 2/1/42 | 1,475 | 1,481 |
| | Commonwealth of Massachusetts GO | 5.000% | 4/1/42 | 8,650 | 9,117 |
| | Commonwealth of Massachusetts GO | 5.250% | 4/1/42 | 3,000 | 3,196 |
| | Commonwealth of Massachusetts GO | 3.000% | 11/1/42 | 300 | 250 |
| | Commonwealth of Massachusetts GO | 5.000% | 11/1/42 | 1,860 | 1,973 |
| | Commonwealth of Massachusetts GO | 2.500% | 3/1/43 | 750 | 566 |
| | Commonwealth of Massachusetts GO | 5.000% | 5/1/43 | 1,970 | 2,125 |
| | Commonwealth of Massachusetts GO | 5.250% | 1/1/44 | 9,705 | 10,528 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/45 | 6,155 | 6,675 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Commonwealth of Massachusetts GO | 5.000% | 11/1/45 | 3,860 | 4,199 |
| | Commonwealth of Massachusetts GO | 5.000% | 5/1/46 | 2,250 | 2,408 |
| | Commonwealth of Massachusetts GO | 4.000% | 12/1/46 | 10,700 | 10,573 |
| | Commonwealth of Massachusetts GO | 3.000% | 3/1/47 | 9,680 | 7,559 |
| | Commonwealth of Massachusetts GO | 3.000% | 4/1/47 | 7,500 | 5,854 |
| | Commonwealth of Massachusetts GO | 5.250% | 4/1/47 | 4,500 | 4,766 |
| | Commonwealth of Massachusetts GO | 3.000% | 3/1/48 | 5,555 | 4,303 |
| | Commonwealth of Massachusetts GO | 3.000% | 4/1/48 | 2,685 | 2,079 |
| | Commonwealth of Massachusetts GO | 3.000% | 7/1/48 | 915 | 708 |
| | Commonwealth of Massachusetts GO | 5.000% | 7/1/48 | 10,000 | 10,745 |
| | Commonwealth of Massachusetts GO | 5.000% | 9/1/48 | 7,500 | 8,132 |
| | Commonwealth of Massachusetts GO | 5.000% | 1/1/49 | 4,650 | 4,932 |
| | Commonwealth of Massachusetts GO | 3.000% | 3/1/49 | 1,255 | 965 |
| | Commonwealth of Massachusetts GO | 3.000% | 4/1/49 | 12,055 | 9,266 |
| | Commonwealth of Massachusetts GO | 2.750% | 3/1/50 | 2,500 | 1,825 |
| | Commonwealth of Massachusetts GO | 2.000% | 4/1/50 | 13,780 | 8,284 |
| | Commonwealth of Massachusetts GO | 5.000% | 11/1/50 | 3,595 | 3,866 |
| | Commonwealth of Massachusetts GO | 2.125% | 4/1/51 | 9,205 | 5,647 |
| | Commonwealth of Massachusetts GO PUT | 5.000% | 6/1/23 | 5,000 | 5,063 |
| 1,2 | Commonwealth of Massachusetts GO TOB VRDO | 1.930% | 12/1/22 | 5,500 | 5,500 |
| 4 | Commonwealth of Massachusetts Hotel Occupancy Tax Revenue | 5.500% | 1/1/27 | 310 | 340 |
| 4 | Commonwealth of Massachusetts Hotel Occupancy Tax Revenue | 5.500% | 1/1/28 | 3,470 | 3,872 |
| 5 | Commonwealth of Massachusetts Hotel Occupancy Tax Revenue | 5.500% | 1/1/34 | 27,115 | 32,621 |
| 1,2 | Commonwealth of Massachusetts Miscellaneous Revenue TOB VRDO | 1.930% | 12/1/22 | 2,125 | 2,125 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/32 | 1,815 | 1,874 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 4.000% | 6/1/35 | 190 | 198 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/37 | 8,500 | 9,568 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 3.000% | 6/1/39 | 4,545 | 3,969 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/41 | 7,900 | 8,390 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/41 | 5,000 | 5,535 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/42 | 14,000 | 14,772 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/42 | 9,750 | 10,772 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/43 | 420 | 463 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.250% | 6/1/43 | 4,000 | 4,328 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/48 | 1,100 | 1,167 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 5.000% | 6/1/49 | 26,565 | 28,400 |
| | Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue | 4.000% | 6/1/50 | 15,060 | 14,608 |
| | Dedham MA GO | 3.000% | 6/1/32 | 890 | 879 |
| | Dedham MA GO | 3.000% | 6/1/33 | 890 | 872 |
| | Dedham MA GO | 3.000% | 6/1/34 | 890 | 846 |
| | Dedham MA GO | 3.000% | 6/1/35 | 880 | 813 |
| | Dedham MA GO | 3.000% | 6/1/36 | 880 | 802 |
| | Dennis & Yarmouth Regional School District GO | 2.250% | 10/1/46 | 3,615 | 2,404 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Easthampton MA GO | 3.000% | 6/1/37 | 1,190 | 1,069 |
| | Easthampton MA GO | 3.000% | 6/1/38 | 1,895 | 1,684 |
| | Easthampton MA GO | 3.000% | 6/1/39 | 70 | 61 |
| 6 | Easton MA GO | 5.000% | 6/1/37 | 245 | 274 |
| | Easton MA GO | 2.000% | 10/15/37 | 265 | 195 |
| 6 | Easton MA GO | 5.000% | 6/1/38 | 830 | 925 |
| | Easton MA GO | 2.125% | 10/15/38 | 1,155 | 847 |
| 6 | Easton MA GO | 5.000% | 6/1/39 | 1,015 | 1,126 |
| | Easton MA GO | 2.250% | 10/15/40 | 810 | 586 |
| 6 | Easton MA GO | 4.000% | 6/1/41 | 1,090 | 1,091 |
| | Easton MA GO | 2.250% | 10/15/41 | 615 | 436 |
| | Easton MA GO | 2.500% | 10/15/46 | 2,000 | 1,395 |
| | Fall River MA GO | 3.000% | 12/1/36 | 2,265 | 2,000 |
| | Fall River MA GO | 3.000% | 12/1/37 | 2,335 | 2,037 |
| | Fall River MA GO | 2.000% | 12/1/40 | 155 | 107 |
| | Framingham MA GO | 2.000% | 12/15/39 | 1,215 | 860 |
| | Framingham MA GO | 2.000% | 12/15/40 | 1,235 | 855 |
| | Framingham MA GO | 2.000% | 12/15/41 | 1,245 | 843 |
| 6 | Gardner MA GO | 2.000% | 8/1/39 | 1,230 | 874 |
| | Gardner MA GO | 4.000% | 1/15/45 | 1,650 | 1,612 |
| 6 | Gardner MA GO | 2.125% | 8/1/46 | 1,160 | 746 |
| | Gardner MA GO | 4.125% | 1/15/48 | 2,930 | 2,884 |
| | Gloucester MA GO | 2.000% | 9/15/40 | 855 | 596 |
| | Gloucester MA GO | 2.125% | 9/15/42 | 885 | 608 |
| | Gloucester MA GO | 2.125% | 9/15/43 | 655 | 443 |
| | Harvard MA GO | 3.000% | 8/15/33 | 1,265 | 1,238 |
| | Harvard MA GO | 3.000% | 8/15/35 | 1,260 | 1,161 |
| | Lawrence MA GO | 5.000% | 2/1/31 | 260 | 302 |
| | Lawrence MA GO | 5.000% | 6/1/31 | 970 | 1,132 |
| | Lawrence MA GO | 5.000% | 6/1/33 | 1,070 | 1,236 |
| | Lawrence MA GO | 4.000% | 2/1/35 | 2,390 | 2,478 |
| | Lawrence MA GO | 3.000% | 2/1/49 | 3,790 | 2,921 |
| | Lawrence MA GO | 4.000% | 6/1/49 | 1,800 | 1,712 |
| | Lawrence MA GO | 4.125% | 6/1/51 | 2,165 | 2,089 |
| | Lawrence MA GO | 4.125% | 6/1/52 | 2,175 | 2,092 |
| | Leominster MA GO | 4.000% | 3/1/34 | 400 | 417 |
| | Leominster MA GO | 4.000% | 3/1/36 | 675 | 692 |
| | Leominster MA GO | 3.000% | 3/1/42 | 125 | 104 |
| | Leominster MA GO | 3.000% | 3/1/52 | 4,000 | 3,059 |
| | Lexington MA GO | 3.625% | 2/1/49 | 450 | 406 |
| | Lincoln MA GO | 3.125% | 3/1/37 | 1,880 | 1,733 |
| | Lincoln MA GO | 3.250% | 3/1/40 | 1,150 | 1,042 |
| | Littleton MA GO | 3.250% | 6/15/38 | 205 | 190 |
| | Longmeadow MA GO | 4.000% | 5/15/31 | 1,300 | 1,359 |
| | Lowell MA GO | 4.000% | 9/1/30 | 1,935 | 2,030 |
| | Lowell MA GO | 3.000% | 9/1/33 | 2,170 | 2,084 |
| | Lowell MA GO | 5.000% | 8/1/34 | 1,455 | 1,665 |
| | Lowell MA GO | 3.000% | 9/1/34 | 2,215 | 2,084 |
| | Lowell MA GO | 5.000% | 8/1/35 | 1,150 | 1,305 |
| | Lowell MA GO | 2.125% | 9/1/42 | 1,040 | 714 |
| | Lowell MA GO | 2.125% | 9/1/43 | 895 | 605 |
| | Ludlow MA GO | 4.000% | 2/1/29 | 825 | 856 |
| | Ludlow MA GO | 4.000% | 2/1/30 | 855 | 886 |
| | Ludlow MA GO | 4.000% | 2/1/31 | 685 | 710 |
| | Ludlow MA GO | 3.000% | 2/1/49 | 250 | 195 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 0.000% | 7/1/28 | 7,000 | 5,802 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/30 | 3,805 | 4,461 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/31 | 645 | 753 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/33 | 2,480 | 2,820 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/33 | 4,500 | 5,274 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/34 | 105 | 118 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/34 | 1,240 | 1,507 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/34 | 210 | 255 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/35 | 1,270 | 1,367 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/35 | 895 | 1,015 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 4.000% | 7/1/36 | 125 | 128 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/38 | 360 | 385 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/39 | 1,045 | 1,114 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/40 | 7,145 | 7,421 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/40 | 5,305 | 5,639 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/40 | 3,500 | 3,720 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/42 | 5,000 | 5,295 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/42 | 2,950 | 3,192 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/43 | 1,680 | 1,777 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/45 | 7,620 | 8,119 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/45 | 2,020 | 2,131 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/46 | 3,815 | 4,019 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/50 | 7,440 | 7,891 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue | 4.000% | 7/1/51 | 16,155 | 15,465 |
| | Massachusetts Bay Transportation Authority Sales Tax Revenue, Prere. | 5.000% | 7/1/25 | 300 | 318 |
| | Massachusetts Bay Transportation Authority Special Assessment Revenue | 5.000% | 7/1/52 | 10,000 | 11,010 |
| | Massachusetts Clean Water Trust Lease Revenue | 5.000% | 8/1/31 | 230 | 267 |
| | Massachusetts Clean Water Trust Lease Revenue | 5.000% | 8/1/39 | 4,865 | 5,386 |
| | Massachusetts Clean Water Trust Lease Revenue | 3.000% | 8/1/40 | 1,635 | 1,406 |
| | Massachusetts Clean Water Trust Water Revenue | 5.000% | 2/1/40 | 2,540 | 2,852 |
| | Massachusetts Clean Water Trust Water Revenue (Unrefunded BAL-MWRA Program) | 5.750% | 8/1/29 | 190 | 190 |
| 4 | Massachusetts Department of Transportation Highway Revenue | 0.000% | 1/1/25 | 5,035 | 4,708 |
| 4 | Massachusetts Department of Transportation Highway Revenue | 0.000% | 1/1/28 | 7,110 | 5,981 |
| | Massachusetts Development Finance Agency Charter School Aid Revenue | 5.000% | 7/1/37 | 1,260 | 1,271 |
| | Massachusetts Development Finance Agency Charter School Aid Revenue | 4.000% | 11/1/46 | 2,500 | 2,281 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/23 | 910 | 911 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/23 | 2,500 | 2,526 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/23 | 675 | 682 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/24 | 990 | 1,005 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/24 | 25 | 26 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/24 | 610 | 619 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/24 | 100 | 103 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/24 | 650 | 666 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/24 | 185 | 190 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/24 | 1,090 | 1,121 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/25 | 100 | 103 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/25 | 2,580 | 2,659 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/25 | 265 | 272 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/25 | 225 | 233 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/25 | 1,205 | 1,251 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/25 | 355 | 369 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/25 | 55 | 57 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/26 | 1,240 | 1,292 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/26 | 550 | 575 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/26 | 1,190 | 1,249 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/26 | 175 | 186 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/26 | 100 | 107 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/27 | 2,160 | 2,275 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/27 | 775 | 819 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/27 | 1,550 | 1,638 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/27 | 1,150 | 1,190 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/28 | 1,875 | 1,929 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/28 | 255 | 271 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/28 | 4,540 | 4,823 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/28 | 1,575 | 1,678 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/28 | 1,300 | 1,371 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.500% | 10/1/28 | 1,000 | 1,015 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/29 | 4,125 | 4,369 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/29 | 3,000 | 3,083 |
| 3 | Massachusetts Development Finance Agency College & University Revenue | 6.000% | 5/15/29 | 1,400 | 1,576 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 6/1/29 | 1,945 | 2,072 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/29 | 340 | 321 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/29 | 2,120 | 2,230 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/29 | 1,200 | 1,286 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/29 | 1,820 | 1,881 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/29 | 40 | 42 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/29 | 390 | 439 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/30 | 210 | 221 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/30 | 3,120 | 3,202 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 6/1/30 | 2,040 | 2,182 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/30 | 355 | 331 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/30 | 3,500 | 3,675 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/30 | 715 | 765 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/30 | 165 | 169 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/30 | 750 | 769 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/30 | 1,080 | 1,147 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/30 | 230 | 262 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/31 | 500 | 522 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/31 | 370 | 340 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/31 | 440 | 461 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/31 | 1,235 | 1,305 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/31 | 635 | 649 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/31 | 1,120 | 1,288 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/32 | 1,500 | 1,575 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 3/1/32 | 950 | 961 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/32 | 1,110 | 1,286 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/32 | 1,300 | 1,357 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/32 | 465 | 476 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/32 | 125 | 131 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/32 | 500 | 527 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/32 | 1,000 | 1,161 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/33 | 305 | 318 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 6/1/33 | 105 | 115 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/33 | 1,615 | 1,679 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/33 | 3,000 | 3,159 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/33 | 770 | 788 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/33 | 1,265 | 1,418 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/15/33 | 5,155 | 5,562 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.125% | 10/1/33 | 2,000 | 2,021 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/34 | 700 | 723 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/34 | 1,000 | 1,002 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/34 | 2,000 | 2,070 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/34 | 2,390 | 2,516 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/34 | 500 | 524 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/34 | 1,395 | 1,610 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/34 | 2,070 | 2,113 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/34 | 350 | 356 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/35 | 1,000 | 1,035 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/35 | 4,580 | 4,650 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 6/1/35 | 2,300 | 2,208 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/35 | 1,000 | 993 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/35 | 2,170 | 2,239 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/35 | 470 | 491 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/35 | 1,620 | 1,855 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/35 | 350 | 354 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/35 | 3,375 | 3,416 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/35 | 570 | 591 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/35 | 750 | 845 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/36 | 630 | 650 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/36 | 1,750 | 1,727 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/36 | 1,750 | 1,787 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/36 | 3,065 | 3,156 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/36 | 1,160 | 1,179 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/36 | 485 | 505 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/15/36 | 5,660 | 6,647 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/36 | 375 | 375 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/36 | 2,420 | 2,479 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/36 | 4,785 | 4,834 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/36 | 2,330 | 2,618 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.250% | 3/1/37 | 20 | 20 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/37 | 1,230 | 1,204 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/37 | 1,250 | 1,266 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/37 | 725 | 740 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/37 | 605 | 628 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/37 | 1,455 | 1,650 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/37 | 3,095 | 2,877 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/37 | 400 | 399 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/38 | 1,000 | 973 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/38 | 340 | 352 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/38 | 755 | 850 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/38 | 2,020 | 1,861 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/38 | 700 | 691 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.375% | 5/15/39 | 1,585 | 1,826 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/39 | 2,985 | 2,771 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/39 | 305 | 283 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/39 | 735 | 711 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/39 | 4,000 | 4,041 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/39 | 665 | 750 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/39 | 400 | 392 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/39 | 1,700 | 1,747 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.250% | 10/1/39 | 3,235 | 3,262 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/40 | 145 | 148 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/40 | 3,510 | 2,836 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/40 | 1,000 | 961 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/40 | 150 | 157 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/40 | 535 | 603 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/15/40 | 19,420 | 22,693 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/40 | 1,150 | 1,158 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/40 | 435 | 422 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/40 | 4,790 | 4,908 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/41 | 7,925 | 7,983 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 6/1/41 | 1,000 | 904 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/41 | 925 | 891 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/42 | 300 | 305 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.250% | 1/1/42 | 5,700 | 5,826 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/42 | 7,000 | 7,380 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/42 | 500 | 508 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 6/1/43 | 2,770 | 2,967 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/43 | 9,000 | 9,023 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/44 | 2,705 | 2,718 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/44 | 1,945 | 1,810 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/45 | 530 | 533 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/45 | 100 | 76 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/45 | 2,605 | 2,609 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/45 | 2,000 | 2,057 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 10/1/46 | 4,120 | 3,500 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 10/1/46 | 4,050 | 4,101 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/47 | 9,330 | 9,399 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/47 | 8,500 | 8,600 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/48 | 9,855 | 9,856 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 6/1/50 | 5,050 | 4,290 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 7/1/50 | 3,500 | 2,569 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/50 | 12,385 | 14,409 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/53 | 850 | 856 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 1/1/53 | 6,420 | 6,464 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 7/1/55 | 10,100 | 11,555 |
| | Massachusetts Development Finance Agency College & University Revenue | 4.000% | 6/1/56 | 1,550 | 1,274 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.450% | 5/15/59 | 1,130 | 1,288 |
| 7 | Massachusetts Development Finance Agency College & University Revenue | 6.000% | 5/15/59 | 6,075 | 7,116 |
| | Massachusetts Development Finance Agency College & University Revenue | 5.000% | 9/1/59 | 16,765 | 17,183 |
| | Massachusetts Development Finance Agency College & University Revenue (Suffolk University Project) | 4.000% | 7/1/46 | 4,050 | 3,539 |
| | Massachusetts Development Finance Agency College & University Revenue (Suffolk University Project) | 4.000% | 7/1/51 | 9,060 | 7,702 |
| 1,2 | Massachusetts Development Finance Agency College & University Revenue TOB VRDO | 1.960% | 12/1/22 | 11,630 | 11,630 |
| | Massachusetts Development Finance Agency College & University Revenue, ETM | 5.000% | 1/1/24 | 80 | 82 |
| | Massachusetts Development Finance Agency College & University Revenue, ETM | 5.000% | 1/1/25 | 275 | 288 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 12/1/22 | 410 | 410 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/22 | 1,950 | 1,950 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/23 | 705 | 713 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 12/1/23 | 425 | 426 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/24 | 985 | 1,010 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/24 | 1,000 | 1,032 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/24 | 725 | 741 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/24 | 100 | 103 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/24 | 815 | 837 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.250% | 7/1/24 | 1,610 | 1,614 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/24 | 225 | 232 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 12/1/24 | 440 | 442 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/25 | 1,650 | 1,709 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/25 | 1,000 | 1,050 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/25 | 125 | 131 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 9/1/25 | 7,815 | 7,497 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/25 | 460 | 476 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/26 | 1,180 | 1,169 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/26 | 1,150 | 1,213 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/26 | 1,175 | 1,233 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/26 | 2,510 | 2,639 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.250% | 7/1/26 | 1,175 | 1,177 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/26 | 1,200 | 1,280 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/26 | 485 | 505 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 2,235 | 2,345 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 1,885 | 1,992 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 1,420 | 1,487 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 3,960 | 4,119 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 1,630 | 1,719 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 1,605 | 1,697 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 335 | 343 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/27 | 400 | 419 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/27 | 1,400 | 1,513 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/27 | 505 | 530 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 3,485 | 3,682 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 540 | 565 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 550 | 575 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 1,370 | 1,434 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 3,000 | 3,163 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 1,500 | 1,630 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/28 | 2,120 | 2,248 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/28 | 1,165 | 1,270 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/28 | 775 | 846 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 11/15/28 | 1,500 | 1,580 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/28 | 535 | 566 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 110 | 119 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 2,555 | 2,558 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 600 | ��� 626 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 1,565 | 1,634 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 255 | 267 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 3,100 | 3,211 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 1,055 | 1,111 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 2,000 | 2,126 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/29 | 465 | 524 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/29 | 1,860 | 1,944 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/29 | 560 | 590 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 1,795 | 1,867 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 3,520 | 3,843 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 3,450 | 3,567 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 2,470 | 2,600 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 1,350 | 1,467 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/30 | 160 | 170 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/30 | 2,525 | 2,633 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/30 | 1,000 | 1,111 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/30 | 290 | 305 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/31 | 1,000 | 945 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 3,240 | 3,532 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 1,000 | 1,046 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 1,000 | 1,041 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 2,120 | 2,186 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 770 | 829 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 2,260 | 2,452 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 155 | 173 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/31 | 2,000 | 2,111 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/31 | 1,585 | 1,651 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/31 | 600 | 669 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/32 | 8,000 | 8,131 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/32 | 3,000 | 3,084 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/32 | 1,000 | 1,083 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/32 | 1,000 | 1,038 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/32 | 1,200 | 1,254 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/32 | 2,505 | 2,686 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/32 | 445 | 463 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 9/1/32 | 500 | 502 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/32 | 1,575 | 1,714 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/32 | 975 | 1,026 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/33 | 1,690 | 1,826 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/33 | 1,000 | 1,036 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/33 | 310 | 318 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/33 | 650 | 703 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/33 | 500 | 524 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/15/33 | 640 | 650 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/33 | 1,080 | 1,121 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/34 | 145 | 148 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/34 | 1,130 | 1,213 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/34 | 1,500 | 1,527 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/34 | 300 | 323 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/15/34 | 600 | 608 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 8/15/34 | 30 | 31 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/35 | 3,450 | 3,473 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/35 | 565 | 575 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/35 | 200 | 214 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/15/35 | 550 | 554 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 9/1/35 | 2,300 | 2,302 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/36 | 5,000 | 5,019 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/36 | 6,470 | 6,164 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/36 | 310 | 318 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/36 | 200 | 211 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/36 | 1,255 | 1,282 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/15/36 | 470 | 472 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.625% | 7/15/36 | 1,000 | 1,009 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/37 | 4,800 | 4,818 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/37 | 1,250 | 1,296 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/37 | 6,190 | 6,591 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/37 | 350 | 367 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 3.000% | 10/1/37 | 1,980 | 1,684 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/38 | 1,470 | 1,375 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/38 | 8,000 | 8,144 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/38 | 1,000 | 1,035 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/38 | 385 | 391 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/38 | 5,500 | 5,805 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/38 | 985 | 1,018 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 3.000% | 10/1/38 | 1,995 | 1,672 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/39 | 800 | 808 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/39 | 275 | 288 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/39 | 1,420 | 1,476 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 3.000% | 10/1/39 | 2,045 | 1,690 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/41 | 445 | 387 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/41 | 485 | 414 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/41 | 13,210 | 12,900 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/41 | 2,500 | 2,441 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/41 | 710 | 720 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/41 | 1,850 | 1,872 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 12/1/41 | 7,760 | 7,940 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 12/1/42 | 485 | 444 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/43 | 5,000 | 5,119 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/43 | 2,180 | 2,232 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.750% | 7/15/43 | 5,830 | 5,878 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/44 | 3,430 | 3,069 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/44 | 15,145 | 13,308 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/44 | 1,300 | 1,314 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/44 | 2,125 | 2,127 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/45 | 2,000 | 1,884 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 3.000% | 10/1/45 | 4,445 | 3,321 |
| 6 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 10/1/45 | 7,800 | 7,121 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 7/1/46 | 2,080 | 1,847 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/46 | 5,335 | 5,386 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/15/46 | 1,150 | 1,101 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.125% | 11/15/46 | 4,435 | 4,518 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/47 | 4,650 | 3,839 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/47 | 1,860 | 1,897 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/47 | 2,265 | 2,303 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/48 | 4,480 | 4,557 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/48 | 6,500 | 6,612 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/50 | 7,225 | 7,303 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/51 | 100 | 81 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 4.000% | 1/1/51 | 520 | 411 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 7/1/53 | 4,230 | 4,257 |
| 1 | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue | 5.000% | 10/1/57 | 6,765 | 6,848 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue PUT | 5.000% | 1/30/25 | 1,000 | 1,044 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue PUT | 5.000% | 1/31/30 | 1,160 | 1,289 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue, Prere. | 6.000% | 1/3/23 | 2,215 | 2,259 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue, Prere. | 5.250% | 11/15/23 | 10 | 10 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue, Prere. | 4.000% | 6/1/29 | 3,760 | 4,034 |
| | Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue, Prere. | 5.000% | 6/1/29 | 8,245 | 9,345 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/32 | 500 | 491 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/33 | 320 | 307 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/34 | 345 | 328 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/34 | 315 | 300 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 5.000% | 5/1/35 | 1,765 | 1,846 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/37 | 825 | 740 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/39 | 1,015 | 888 |
| | Massachusetts Development Finance Agency Intergovernmental Agreement Revenue | 3.000% | 5/1/39 | 840 | 734 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/30 | 1,200 | 1,206 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/31 | 1,200 | 1,203 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/32 | 1,240 | 1,240 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/33 | 1,500 | 1,488 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/34 | 900 | 869 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/34 | 2,170 | 2,132 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/38 | 3,215 | 3,011 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 7/1/42 | 475 | 429 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/48 | 1,000 | 872 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 7/1/50 | 1,625 | 1,397 |
| | Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 10/1/54 | 7,350 | 6,274 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/23 | 135 | 136 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/26 | 185 | 190 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/27 | 200 | 206 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/28 | 220 | 226 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 1/1/29 | 505 | 558 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/29 | 245 | 250 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/30 | 255 | 259 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 9/1/31 | 285 | 288 |
| 7 | Massachusetts Development Finance Agency Miscellaneous Revenue | 0.000% | 1/1/32 | 1,630 | 1,170 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 1/1/32 | 1,500 | 1,555 |
| 7 | Massachusetts Development Finance Agency Miscellaneous Revenue | 0.000% | 1/1/33 | 3,090 | 2,123 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 1/1/33 | 1,510 | 1,563 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 1/1/34 | 1,000 | 1,031 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 4/1/34 | 250 | 270 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 9/1/34 | 480 | 439 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 1/1/35 | 1,700 | 1,742 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 1/1/35 | 1,720 | 1,831 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 5.000% | 1/1/36 | 1,000 | 1,060 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 9/1/39 | 245 | 215 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 4/1/41 | 7,500 | 7,481 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 4.000% | 9/1/48 | 780 | 635 |
| | Massachusetts Development Finance Agency Miscellaneous Revenue | 3.000% | 9/1/51 | 2,040 | 1,272 |
| | Massachusetts Development Finance Agency Private Schools Revenue | 5.000% | 5/1/31 | 500 | 520 |
| | Massachusetts Development Finance Agency Private Schools Revenue | 5.000% | 5/1/32 | 1,695 | 1,760 |
| | Massachusetts Development Finance Agency Recreational Revenue | 5.000% | 7/1/34 | 1,040 | 1,091 |
| | Massachusetts Development Finance Agency Recreational Revenue | 5.000% | 7/1/35 | 2,000 | 2,093 |
| | Massachusetts Development Finance Agency Recreational Revenue | 4.000% | 7/1/41 | 3,310 | 3,312 |
| 1,2 | Massachusetts GO TOB VRDO | 1.900% | 12/1/22 | 10,600 | 10,600 |
| | Massachusetts Health & Educational Facilities Authority College & University Revenue | 5.250% | 7/1/33 | 165 | 203 |
| | Massachusetts Health & Educational Facilities Authority College & University Revenue | 5.500% | 6/1/35 | 2,955 | 3,536 |
| | Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO | 1.850% | 12/7/22 | 10,550 | 10,550 |
| | Massachusetts Health & Educational Facilities Authority Recreational Revenue VRDO | 1.040% | 12/1/22 | 73,730 | 73,730 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 6/1/26 | 29,645 | 30,211 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.250% | 12/1/32 | 940 | 802 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.000% | 12/1/35 | 175 | 138 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.000% | 12/1/36 | 125 | 95 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.150% | 12/1/36 | 355 | 271 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.450% | 12/1/37 | 880 | 820 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.150% | 12/1/37 | 600 | 589 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.600% | 12/1/37 | 625 | 652 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.900% | 12/1/37 | 3,340 | 3,505 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 12/1/38 | 445 | 438 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.350% | 6/1/39 | 2,615 | 1,939 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.300% | 12/1/40 | 500 | 354 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.300% | 12/1/41 | 8,250 | 5,921 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.500% | 6/1/42 | 215 | 214 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.900% | 12/1/42 | 500 | 465 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.350% | 12/1/42 | 1,000 | 982 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.875% | 12/1/42 | 2,300 | 2,401 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 5.150% | 12/1/42 | 6,490 | 6,829 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 12/1/43 | 85 | 85 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.100% | 12/1/44 | 1,000 | 790 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 12/1/44 | 240 | 240 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 6/1/45 | 180 | 180 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.000% | 6/1/47 | 4,000 | 3,865 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.000% | 12/1/48 | 2,810 | 2,812 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.500% | 12/1/48 | 1,660 | 1,678 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.200% | 12/1/49 | 2,910 | 2,269 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.400% | 12/1/49 | 1,000 | 810 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 5.000% | 6/1/50 | 1,750 | 1,817 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 2.550% | 12/1/50 | 100 | 67 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.000% | 12/1/50 | 2,410 | 2,339 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.000% | 12/1/50 | 2,500 | 1,810 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.050% | 12/1/52 | 4,490 | 4,033 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.200% | 12/1/52 | 1,540 | 1,409 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 5.500% | 12/1/52 | 12,825 | 13,741 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 3.500% | 12/1/54 | 5,000 | 3,987 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.300% | 12/1/57 | 4,445 | 4,052 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.450% | 12/1/58 | 1,000 | 959 |
| | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 4.400% | 12/1/64 | 1,575 | 1,452 |
| 8 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue | 5.250% | 6/1/66 | 4,540 | 4,752 |
| 1,2 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 1.010% | 12/1/22 | 8,745 | 8,745 |
| 1,2 | Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue VRDO | 1.010% | 12/1/22 | 8,745 | 8,745 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 5.000% | 7/1/34 | 655 | 748 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/35 | 650 | 659 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/36 | 600 | 601 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/37 | 1,055 | 1,049 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/38 | 750 | 736 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/39 | 600 | 586 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/40 | 1,000 | 968 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/41 | 1,000 | 959 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/46 | 4,500 | 4,146 |
| | Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) | 4.000% | 7/1/51 | 3,840 | 3,475 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/36 | 1,000 | 1,132 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/36 | 500 | 566 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/37 | 1,060 | 1,121 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/37 | 1,845 | 2,079 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/37 | 850 | 958 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/38 | 1,000 | 1,123 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/38 | 600 | 674 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/39 | 700 | 783 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/39 | 670 | 749 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/40 | 6,850 | 7,124 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/40 | 500 | 556 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/40 | 615 | 684 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/41 | 500 | 554 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/44 | 6,960 | 7,492 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/46 | 4,340 | 4,739 |
| | Massachusetts Port Authority Port, Airport & Marina Revenue | 5.000% | 7/1/49 | 10,690 | 11,437 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 8/15/29 | 1,630 | 1,727 |
| | Massachusetts School Building Authority Sales Tax Revenue | 4.000% | 11/15/35 | 6,500 | 6,637 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 11/15/35 | 2,500 | 2,671 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 11/15/36 | 3,680 | 3,924 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 8/15/37 | 10,000 | 10,469 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 2/15/44 | 5,765 | 6,150 |
| | Massachusetts School Building Authority Sales Tax Revenue | 4.000% | 8/15/45 | 2,650 | 2,630 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 8/15/45 | 120 | 130 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.250% | 2/15/48 | 24,560 | 26,182 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.250% | 2/15/48 | 5,110 | 5,448 |
| | Massachusetts School Building Authority Sales Tax Revenue | 3.000% | 8/15/50 | 12,000 | 9,231 |
| | Massachusetts School Building Authority Sales Tax Revenue | 5.000% | 8/15/50 | 1,460 | 1,576 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/30 | 730 | 771 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/31 | 855 | 901 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/32 | 3,435 | 3,595 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/34 | 675 | 697 |
| | Massachusetts State College Building Authority College & University Revenue | 5.000% | 5/1/34 | 500 | 577 |
| | Massachusetts State College Building Authority College & University Revenue | 5.000% | 5/1/35 | 1,060 | 1,209 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/36 | 2,000 | 2,040 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/36 | 570 | 590 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/37 | 775 | 782 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/37 | 2,000 | 2,020 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/37 | 630 | 643 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/38 | 250 | 252 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/39 | 2,000 | 1,999 |
| 7 | Massachusetts State College Building Authority College & University Revenue | 5.500% | 5/1/39 | 3,475 | 4,149 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/40 | 4,475 | 4,433 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/40 | 600 | 594 |
| | Massachusetts State College Building Authority College & University Revenue | 2.000% | 5/1/41 | 1,280 | 862 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/41 | 1,500 | 1,483 |
| | Massachusetts State College Building Authority College & University Revenue | 4.000% | 5/1/42 | 555 | 543 |
| | Massachusetts State College Building Authority College & University Revenue | 2.000% | 5/1/43 | 1,335 | 873 |
| | Massachusetts State College Building Authority College & University Revenue | 2.125% | 5/1/46 | 2,100 | 1,347 |
| | Massachusetts State College Building Authority College & University Revenue | 2.125% | 5/1/51 | 3,810 | 2,280 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue | 5.000% | 1/1/32 | 280 | 314 |
| | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue | 5.000% | 1/1/33 | 795 | 883 |
| | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue | 5.000% | 1/1/33 | 305 | 340 |
| | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue | 5.000% | 1/1/35 | 2,145 | 2,353 |
| | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue PUT | 5.000% | 1/1/23 | 8,650 | 8,667 |
| 2 | Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue VRDO | 1.850% | 12/7/22 | 9,725 | 9,725 |
| 6 | Massachusetts Water Resources Authority Water Revenue | 5.250% | 8/1/30 | 1,220 | 1,428 |
| 6 | Massachusetts Water Resources Authority Water Revenue | 5.250% | 8/1/33 | 3,305 | 3,989 |
| 6 | Massachusetts Water Resources Authority Water Revenue | 5.250% | 8/1/35 | 8,000 | 9,731 |
| 6 | Massachusetts Water Resources Authority Water Revenue | 5.250% | 8/1/36 | 1,530 | 1,871 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/37 | 2,000 | 2,230 |
| 6 | Massachusetts Water Resources Authority Water Revenue | 5.250% | 8/1/37 | 2,000 | 2,452 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/38 | 1,000 | 1,124 |
| 9 | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/39 | 7,600 | 8,413 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/39 | 1,350 | 1,511 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/40 | 1,500 | 1,670 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/40 | 4,000 | 4,409 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/41 | 800 | 887 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/42 | 380 | 416 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/44 | 220 | 240 |
| | Massachusetts Water Resources Authority Water Revenue | 5.000% | 8/1/44 | 5,000 | 5,402 |
| | Massachusetts Water Resources Authority Water Revenue VRDO | 1.940% | 12/7/22 | 4,800 | 4,800 |
| | Massachusetts Water Resources Authority Water Revenue VRDO | 1.950% | 12/7/22 | 7,000 | 7,000 |
| | Massachusetts Water Resources Authority Water Revenue, Prere. | 5.000% | 8/1/26 | 1,000 | 1,082 |
| | Medford MA GO | 3.000% | 7/15/30 | 755 | 747 |
| | Medford MA GO | 3.000% | 7/15/31 | 780 | 769 |
| | Medford MA GO | 3.000% | 7/15/32 | 810 | 795 |
| | Medford MA GO | 3.000% | 7/15/33 | 830 | 797 |
| | Medford MA GO | 3.000% | 7/15/34 | 860 | 809 |
| | Medford MA GO | 3.000% | 7/15/35 | 885 | 814 |
| | Medford MA GO | 3.000% | 7/15/36 | 910 | 827 |
| | Medway MA GO | 4.000% | 8/1/52 | 2,800 | 2,797 |
| | Middleborough MA GO | 2.000% | 10/1/39 | 1,450 | 1,038 |
| | Middleborough MA GO | 2.000% | 10/1/40 | 1,450 | 1,015 |
| | Middleborough MA GO | 2.000% | 10/1/41 | 1,450 | 993 |
| | Middleborough MA GO | 2.250% | 10/1/45 | 5,800 | 3,843 |
| | Middleborough MA GO | 2.350% | 10/1/49 | 5,050 | 3,276 |
| | Middleton MA GO | 2.125% | 12/15/42 | 2,635 | 1,813 |
| | Milford MA GO | 2.250% | 12/1/44 | 6,600 | 4,468 |
| | Milford MA GO | 2.125% | 12/1/48 | 6,200 | 3,866 |
| | Milford MA GO | 2.500% | 12/1/51 | 5,335 | 3,531 |
| | Millbury MA GO | 4.000% | 8/15/41 | 905 | 906 |
| | Millbury MA GO | 4.000% | 8/15/42 | 905 | 906 |
| | Millbury MA GO | 4.000% | 8/15/47 | 4,390 | 4,250 |
| | Minuteman Regional Vocational Technical School District GO | 2.500% | 1/15/43 | 20 | 15 |
| | Montague MA GO | 2.375% | 2/1/38 | 140 | 109 |
| | Natick MA GO | 4.000% | 7/15/31 | 4,760 | 4,998 |
| | Needham MA GO | 3.000% | 7/15/35 | 765 | 708 |
| | New Bedford MA GO | 3.000% | 3/1/34 | 335 | 315 |
| | New Bedford MA GO | 3.000% | 3/1/35 | 395 | 362 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | New Bedford MA GO | 3.000% | 3/1/37 | 235 | 208 |
| | New Bedford MA GO | 4.000% | 9/1/40 | 1,460 | 1,462 |
| | New Bedford MA GO | 4.000% | 9/1/41 | 1,520 | 1,511 |
| | New Bedford MA GO | 4.000% | 9/1/42 | 1,565 | 1,550 |
| | New Bedford MA GO | 2.250% | 9/1/43 | 825 | 573 |
| | New Bedford MA GO | 3.250% | 3/1/44 | 885 | 748 |
| | New Bedford MA GO | 4.000% | 9/1/52 | 7,500 | 7,057 |
| | Newton MA GO | 3.000% | 4/1/33 | 3,440 | 3,386 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/35 | 900 | 933 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/36 | 935 | 961 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/37 | 975 | 993 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/38 | 1,015 | 1,027 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/39 | 1,055 | 1,063 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/40 | 1,095 | 1,098 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/41 | 1,140 | 1,141 |
| | Northeast Metropolitan Regional Vocational School District GO | 4.000% | 4/15/42 | 1,185 | 1,187 |
| | Northeast Metropolitan Regional Vocational School District GO | 3.000% | 4/15/52 | 1,500 | 1,161 |
| | Norwood MA GO | 4.000% | 3/15/33 | 1,155 | 1,225 |
| | Norwood MA GO | 3.000% | 3/15/42 | 595 | 499 |
| | Norwood MA GO | 4.000% | 9/15/42 | 4,285 | 4,326 |
| | Norwood MA GO | 4.000% | 9/15/47 | 10,000 | 9,878 |
| | Orange MA GO | 3.000% | 6/1/36 | 400 | 356 |
| | Orange MA GO | 3.000% | 6/1/51 | 2,795 | 2,122 |
| | Palmer MA GO | 4.000% | 11/30/23 | 770 | 780 |
| | Peabody MA GO | 3.500% | 7/1/37 | 115 | 110 |
| | Plymouth MA GO | 3.000% | 5/1/32 | 1,625 | 1,596 |
| | Plymouth MA GO | 3.000% | 5/1/33 | 2,020 | 1,944 |
| | Quincy MA GO | 4.000% | 7/7/23 | 10,000 | 10,088 |
| | Quincy MA GO | 4.000% | 6/1/31 | 1,235 | 1,310 |
| | Quincy MA GO | 5.000% | 6/1/31 | 300 | 350 |
| | Quincy MA GO | 5.000% | 7/1/31 | 500 | 584 |
| | Quincy MA GO | 4.000% | 1/15/32 | 1,425 | 1,496 |
| | Quincy MA GO | 3.000% | 6/1/32 | 1,285 | 1,250 |
| | Quincy MA GO | 5.000% | 6/1/32 | 275 | 325 |
| | Quincy MA GO | 5.000% | 7/1/32 | 450 | 532 |
| | Quincy MA GO | 3.000% | 6/1/33 | 1,330 | 1,281 |
| | Quincy MA GO | 5.000% | 6/1/33 | 400 | 468 |
| | Quincy MA GO | 5.000% | 7/1/33 | 555 | 650 |
| | Quincy MA GO | 3.000% | 6/1/34 | 1,360 | 1,285 |
| | Quincy MA GO | 5.000% | 6/1/34 | 600 | 695 |
| | Quincy MA GO | 3.000% | 7/1/34 | 200 | 189 |
| | Quincy MA GO | 5.000% | 7/1/34 | 500 | 579 |
| | Quincy MA GO | 5.000% | 6/1/35 | 1,000 | 1,145 |
| | Quincy MA GO | 5.000% | 7/1/35 | 900 | 1,031 |
| | Quincy MA GO | 5.000% | 6/1/36 | 750 | 853 |
| | Quincy MA GO | 5.000% | 7/1/36 | 470 | 535 |
| | Quincy MA GO | 4.000% | 6/1/37 | 500 | 510 |
| | Quincy MA GO | 2.000% | 7/1/37 | 170 | 127 |
| | Quincy MA GO | 5.000% | 7/1/37 | 660 | 746 |
| | Quincy MA GO | 5.000% | 9/15/37 | 600 | 680 |
| | Quincy MA GO | 4.000% | 6/1/38 | 500 | 507 |
| | Quincy MA GO | 5.000% | 7/1/38 | 685 | 772 |
| | Quincy MA GO | 4.000% | 9/15/38 | 715 | 725 |
| | Quincy MA GO | 4.000% | 6/1/39 | 500 | 504 |
| | Quincy MA GO | 5.000% | 7/1/39 | 750 | 841 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Quincy MA GO | 4.000% | 6/1/40 | 750 | 752 |
| | Quincy MA GO | 5.000% | 7/1/40 | 785 | 875 |
| | Quincy MA GO | 4.000% | 9/15/40 | 650 | 652 |
| | Quincy MA GO | 4.000% | 6/1/41 | 260 | 260 |
| | Quincy MA GO | 5.000% | 7/1/41 | 620 | 688 |
| | Quincy MA GO | 4.000% | 9/15/41 | 355 | 355 |
| | Quincy MA GO | 4.000% | 6/1/42 | 390 | 391 |
| | Quincy MA GO | 5.000% | 7/1/42 | 600 | 665 |
| | Quincy MA GO | 4.000% | 9/15/42 | 275 | 275 |
| | Quincy MA GO | 2.000% | 1/15/46 | 3,000 | 1,866 |
| | Quincy MA GO | 2.000% | 6/1/46 | 5,155 | 3,220 |
| | Quincy MA GO | 5.000% | 6/1/47 | 1,000 | 1,132 |
| | Quincy MA GO | 5.000% | 6/1/50 | 2,000 | 2,181 |
| | Quincy MA GO | 4.000% | 7/1/51 | 1,000 | 956 |
| | Quincy MA GO | 5.000% | 7/1/51 | 1,500 | 1,635 |
| | Randolph MA GO | 3.375% | 9/15/35 | 830 | 806 |
| | Randolph MA GO | 3.375% | 9/15/36 | 785 | 741 |
| | Rowley MA GO | 3.500% | 7/15/43 | 1,625 | 1,484 |
| | Salem MA GO | 3.000% | 9/15/34 | 620 | 583 |
| | Salem MA GO | 3.000% | 9/15/35 | 585 | 535 |
| | Salem MA GO | 3.000% | 9/15/36 | 605 | 539 |
| | Salisbury MA GO | 2.000% | 8/1/28 | 400 | 371 |
| | Saugus MA GO | 3.000% | 9/15/31 | 930 | 916 |
| | Saugus MA GO | 3.000% | 9/15/32 | 800 | 784 |
| | Saugus MA GO | 3.000% | 9/15/33 | 980 | 939 |
| | Saugus MA GO | 3.000% | 9/15/35 | 135 | 124 |
| | Saugus MA GO | 3.000% | 9/15/36 | 1,500 | 1,360 |
| | Sharon MA GO | 4.000% | 2/15/31 | 5,875 | 6,181 |
| | Sharon MA GO | 3.000% | 2/15/32 | 2,040 | 1,986 |
| | Shrewsbury MA GO | 4.000% | 7/15/33 | 2,370 | 2,499 |
| | Somerville MA GO | 4.000% | 6/1/31 | 730 | 774 |
| | Somerville MA GO | 3.000% | 6/1/32 | 1,050 | 1,031 |
| | Somerville MA GO | 3.000% | 6/1/33 | 750 | 721 |
| | Somerville MA GO | 2.000% | 6/1/40 | 1,755 | 1,219 |
| | Springfield MA GO | 4.000% | 3/1/31 | 1,250 | 1,300 |
| | Springfield MA GO | 4.000% | 3/1/32 | 1,285 | 1,333 |
| | Springfield MA GO | 4.000% | 3/1/39 | 965 | 971 |
| | Springfield MA GO | 4.000% | 3/1/40 | 1,400 | 1,402 |
| | Springfield MA GO | 4.000% | 3/1/41 | 2,080 | 2,069 |
| | Springfield MA GO | 4.000% | 3/1/42 | 1,155 | 1,144 |
| 6 | Springfield MA GO | 3.500% | 3/1/47 | 210 | 183 |
| | Springfield MA Water & Sewer Commission Water Revenue | 4.000% | 4/15/30 | 150 | 159 |
| | Springfield MA Water & Sewer Commission Water Revenue | 4.000% | 4/15/31 | 345 | 362 |
| | Springfield MA Water & Sewer Commission Water Revenue | 4.000% | 4/15/32 | 325 | 339 |
| | Springfield MA Water & Sewer Commission Water Revenue | 4.000% | 4/15/33 | 350 | 365 |
| | Springfield MA Water & Sewer Commission Water Revenue | 4.000% | 4/15/34 | 400 | 415 |
| | Stoneham MA GO | 2.500% | 1/15/52 | 1,960 | 1,309 |
| | Stoughton MA GO | 3.000% | 10/15/32 | 1,920 | 1,860 |
| | Stoughton MA GO | 3.000% | 10/15/35 | 370 | 339 |
| | Swampscott MA GO | 3.000% | 3/1/52 | 2,500 | 1,916 |
| | Taunton MA GO | 4.000% | 8/15/31 | 915 | 958 |
| | Taunton MA GO | 4.000% | 8/15/33 | 775 | 807 |
| | Tewksbury MA GO | 3.000% | 6/1/33 | 2,720 | 2,616 |
| | Tewksbury MA GO | 3.000% | 6/1/35 | 2,720 | 2,507 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/28 | 1,695 | 1,794 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/32 | 3,420 | 3,821 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/33 | 5,085 | 5,659 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/33 | 335 | 381 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/34 | 1,150 | 1,241 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/34 | 345 | 390 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/35 | 5,360 | 5,782 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/35 | 3,035 | 3,342 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 5/1/36 | 3,400 | 3,715 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/38 | 3,790 | 4,043 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 5/1/39 | 1,000 | 1,082 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/40 | 10,180 | 10,648 |
| | University of Massachusetts Building Authority College & University Revenue | 4.000% | 11/1/46 | 5,000 | 4,882 |
| | University of Massachusetts Building Authority College & University Revenue | 5.250% | 11/1/47 | 13,080 | 13,845 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/50 | 8,450 | 8,969 |
| | University of Massachusetts Building Authority College & University Revenue | 5.000% | 11/1/52 | 19,000 | 20,176 |
| | Upton MA GO | 2.250% | 8/15/46 | 150 | 100 |
| | Wakefield MA GO | 4.000% | 9/15/47 | 3,095 | 3,109 |
| | Watertown MA GO | 3.375% | 4/15/42 | 100 | 91 |
| | Webster MA GO | 5.000% | 12/1/25 | 340 | 363 |
| | Webster MA GO | 5.000% | 12/1/26 | 255 | 277 |
| | Webster Town MA GO | 5.000% | 12/1/24 | 355 | 371 |
| | West Springfield MA GO | 2.000% | 5/15/37 | 840 | 628 |
| | West Springfield MA GO | 2.000% | 5/15/38 | 840 | 616 |
| | West Springfield MA GO | 2.000% | 5/15/39 | 835 | 599 |
| | West Springfield MA GO | 2.000% | 5/15/40 | 835 | 585 |
| | West Springfield MA GO | 2.000% | 5/15/41 | 835 | 572 |
| | West Springfield MA GO | 2.125% | 5/15/42 | 705 | 487 |
| | West Springfield MA GO | 2.125% | 5/15/43 | 705 | 479 |
| | West Springfield MA GO | 2.250% | 5/15/46 | 2,115 | 1,388 |
| | Weymouth MA GO | 2.000% | 9/15/40 | 505 | 350 |
| | Weymouth MA GO | 2.000% | 9/15/45 | 2,355 | 1,493 |
| | Weymouth MA GO | 2.250% | 9/15/50 | 5,000 | 3,102 |
| | Worcester MA GO | 3.000% | 2/1/32 | 230 | 224 |
| | Worcester MA GO | 3.000% | 2/1/33 | 2,155 | 2,086 |
| 6 | Worcester MA GO | 4.000% | 2/1/33 | 4,900 | 5,131 |
| 6 | Worcester MA GO | 4.000% | 2/1/35 | 4,325 | 4,467 |
| | Worcester MA GO | 2.250% | 2/1/40 | 100 | 73 |
| 6 | Worcester MA GO | 2.000% | 2/15/43 | 300 | 198 |
| 6 | Worcester MA GO | 2.500% | 2/1/44 | 4,550 | 3,305 |
| 6 | Worcester MA GO | 2.000% | 2/15/44 | 1,940 | 1,253 |
Massachusetts Tax-Exempt Fund
| | | Coupon | Maturity
Date | Face
Amount
($000) | Market
Value•
($000) |
| | Worcester MA GO | 4.000% | 6/1/44 | 535 | 526 |
| | Worcester MA GO | 4.000% | 6/1/46 | 480 | 467 |
| | Worcester MA GO | 2.000% | 2/1/48 | 3,140 | 1,941 |
| | Worcester MA GO | 2.000% | 2/1/49 | 3,200 | 2,036 |
| | Worcester MA GO | 2.125% | 2/1/50 | 3,325 | 2,067 |
| | Worcester MA GO | 4.000% | 6/1/50 | 2,100 | 2,014 |
| | | | | | 2,272,812 |
| Guam (0.1%) |
| | Guam Miscellaneous Taxes Revenue | 4.000% | 1/1/42 | 315 | 273 |
| | Guam Power Authority Electric Power & Light Revenue | 5.000% | 10/1/23 | 1,000 | 1,012 |
| | Guam Power Authority Electric Power & Light Revenue | 5.000% | 10/1/25 | 745 | 761 |
| | Guam Power Authority Electric Power & Light Revenue | 5.000% | 10/1/31 | 300 | 306 |
| | | | | | 2,352 |
| Puerto Rico (0.8%) |
| | Commonwealth of Puerto Rico GO | 5.250% | 7/1/23 | 2,469 | 2,479 |
| | Commonwealth of Puerto Rico GO | 5.375% | 7/1/25 | 2,838 | 2,877 |
| | Commonwealth of Puerto Rico GO | 5.625% | 7/1/27 | 4,313 | 4,412 |
| | Commonwealth of Puerto Rico GO | 5.625% | 7/1/29 | 642 | 658 |
| | Commonwealth of Puerto Rico GO | 5.750% | 7/1/31 | 2,006 | 2,057 |
| | Commonwealth of Puerto Rico GO | 0.000% | 7/1/33 | 686 | 375 |
| | Commonwealth of Puerto Rico GO | 4.000% | 7/1/35 | 293 | 249 |
| | Commonwealth of Puerto Rico GO | 4.000% | 7/1/46 | 86 | 66 |
| | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 0.000% | 7/1/24 | 279 | 259 |
| | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 0.000% | 7/1/27 | 844 | 679 |
| | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 0.000% | 7/1/29 | 887 | 644 |
| | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 0.000% | 7/1/31 | 1,500 | 972 |
| | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 4.329% | 7/1/40 | 3,893 | 3,517 |
| | | | | | 19,244 |
| Total Tax-Exempt Municipal Bonds (Cost $2,455,545) | 2,294,408 |
| Total Investments (99.4%) (Cost $2,455,545) | 2,294,408 |
| Other Assets and Liabilities—Net (0.6%) | 14,255 |
| Net Assets (100%) | 2,308,663 |
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| 1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2022, the aggregate value was $69,305,000, representing 3.0% of net assets. |
| 2 | Scheduled principal and interest payments are guaranteed by bank letter of credit. |
| 3 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
| 4 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
| 5 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
| 6 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
| 7 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Corp. |
| 8 | Scheduled principal and interest payments are guaranteed by Federal Housing Authority. |
| 9 | Securities with a value of $1,798,000 have been segregated as initial margin for open futures contracts. |
| | ETM—Escrowed to Maturity. |
| | GO—General Obligation Bond. |
| | Prere.—Prerefunded. |
| | PUT—Put Option Obligation. |
| | TOB—Tender Option Bond. |
| | VRDO—Variable Rate Demand Obligation. |
Massachusetts Tax-Exempt Fund
Derivative Financial Instruments Outstanding as of Period End
| Futures Contracts |
| | | | ($000) |
| | Expiration | Number of
Long (Short)
Contracts | Notional
Amount | Value and
Unrealized
Appreciation
(Depreciation) |
| Long Futures Contracts | | | | |
| 2-Year U.S. Treasury Note | March 2023 | 164 | 33,679 | 87 |
| |
| Short Futures Contracts | | | | |
| Long U.S. Treasury Bond | March 2023 | (58) | (7,366) | (87) |
| Ultra Long U.S. Treasury Bond | March 2023 | (157) | (21,396) | (215) |
| | | | | (302) |
| | | | | (215) |
See accompanying Notes, which are an integral part of the Financial Statements.
Massachusetts Tax-Exempt Fund
Statement of Assets and Liabilities
|
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value—Unaffiliated Issuers (Cost $2,455,545) | 2,294,408 |
| Investment in Vanguard | 81 |
| Cash | 94 |
| Receivables for Investment Securities Sold | 1,188 |
| Receivables for Accrued Income | 31,113 |
| Receivables for Capital Shares Issued | 2,502 |
| Variation Margin Receivable—Futures Contracts | 136 |
| Other Assets | 24 |
| Total Assets | 2,329,546 |
| Liabilities | |
| Payables for Investment Securities Purchased | 16,356 |
| Payables for Capital Shares Redeemed | 3,093 |
| Payables for Distributions | 1,311 |
| Payables to Vanguard | 123 |
| Total Liabilities | 20,883 |
| Net Assets | 2,308,663 |
| At November 30, 2022, net assets consisted of: | |
| | |
| Paid-in Capital | 2,499,855 |
| Total Distributable Earnings (Loss) | (191,192) |
| Net Assets | 2,308,663 |
| |
| Net Assets | |
Applicable to 232,217,675 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | 2,308,663 |
| Net Asset Value Per Share | $9.94 |
See accompanying Notes, which are an integral part of the Financial Statements.
Massachusetts Tax-Exempt Fund
|
| | Year Ended
November 30, 2022 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 65,496 |
| Total Income | 65,496 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 136 |
| Management and Administrative | 2,734 |
| Marketing and Distribution | 217 |
| Custodian Fees | 17 |
| Auditing Fees | 30 |
| Shareholders’ Reports | 44 |
| Trustees’ Fees and Expenses | 1 |
| Other Expenses | 15 |
| Total Expenses | 3,194 |
| Expenses Paid Indirectly | (6) |
| Net Expenses | 3,188 |
| Net Investment Income | 62,308 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (32,599) |
| Futures Contracts | 3,618 |
| Realized Net Gain (Loss) | (28,981) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (316,251) |
| Futures Contracts | (183) |
| Change in Unrealized Appreciation (Depreciation) | (316,434) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (283,107) |
See accompanying Notes, which are an integral part of the Financial Statements.
Massachusetts Tax-Exempt Fund
Statement of Changes in Net Assets
|
| | Year Ended November 30, |
| | 2022
($000) | 2021
($000) |
| | | |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 62,308 | 60,271 |
| Realized Net Gain (Loss) | (28,981) | 11,442 |
| Change in Unrealized Appreciation (Depreciation) | (316,434) | (7,536) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (283,107) | 64,177 |
| Distributions | | |
| Total Distributions | (72,817) | (79,148) |
| Capital Share Transactions | | |
| Issued | 1,413,753 | 567,069 |
| Issued in Lieu of Cash Distributions | 55,539 | 61,186 |
| Redeemed | (1,581,007) | (331,445) |
| Net Increase (Decrease) from Capital Share Transactions | (111,715) | 296,810 |
| Total Increase (Decrease) | (467,639) | 281,839 |
| Net Assets | | |
| Beginning of Period | 2,776,302 | 2,494,463 |
| End of Period | 2,308,663 | 2,776,302 |
See accompanying Notes, which are an integral part of the Financial Statements.
Massachusetts Tax-Exempt Fund
For a Share Outstanding
Throughout Each Period | Year Ended November 30, |
| 2022 | 2021 | 2020 | 2019 | 2018 |
| Net Asset Value, Beginning of Period | $11.41 | $11.47 | $11.16 | $10.45 | $10.74 |
| Investment Operations | | | | | |
| Net Investment Income1 | .263 | .259 | .286 | .315 | .322 |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.427) | .026 | .374 | .711 | (.290) |
| Total from Investment Operations | (1.164) | .285 | .660 | 1.026 | .032 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.261) | (.259) | (.285) | (.316) | (.322) |
| Distributions from Realized Capital Gains | (.045) | (.086) | (.065) | — | (.000)2 |
| Total Distributions | (.306) | (.345) | (.350) | (.316) | (.322) |
| Net Asset Value, End of Period | $9.94 | $11.41 | $11.47 | $11.16 | $10.45 |
| Total Return3 | -10.28% | 2.53% | 6.03% | 9.91% | 0.31% |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $2,309 | $2,776 | $2,494 | $2,234 | $1,805 |
| Ratio of Total Expenses to Average Net Assets | 0.13%4 | 0.13% | 0.13% | 0.13% | 0.13% |
| Ratio of Net Investment Income to Average Net Assets | 2.54% | 2.27% | 2.55% | 2.88% | 3.04% |
| Portfolio Turnover Rate | 80% | 37% | 27% | 31% | 33% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Distribution was less than $.001 per share. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.13%. |
See accompanying Notes, which are an integral part of the Financial Statements.
Massachusetts Tax-Exempt Fund
Notes to Financial Statements
Vanguard Massachusetts Tax-Exempt Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in debt instruments of municipal issuers whose ability to meet their obligations may be affected by economic and political developments in the state. Many municipalities insure repayment of their bonds. The insurance does not guarantee the market value of the municipal bonds. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended November 30, 2022, the fund’s average investments in long and short futures contracts represented 1% and 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is
Massachusetts Tax-Exempt Fund
generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended November 30, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
| B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, |
Massachusetts Tax-Exempt Fund
administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At November 30, 2022, the fund had contributed to Vanguard capital in the amount of $81,000, representing less than 0.01% of the fund’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended November 30, 2022, custodian fee offset arrangements reduced the fund’s expenses by $6,000 (an annual rate of less than 0.01% of average net assets). |
| D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of November 30, 2022, based on the inputs used to value them:
| | Level 1
($000) | Level 2
($000) | Level 3
($000) | Total
($000) |
| Investments | | | | |
| Assets | | | | |
| Tax-Exempt Municipal Bonds | — | 2,294,408 | — | 2,294,408 |
| Derivative Financial Instruments | | | | |
| Assets | | | | |
| Futures Contracts1 | 87 | — | — | 87 |
| Liabilities | | | | |
| Futures Contracts1 | 302 | — | — | 302 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods
Massachusetts Tax-Exempt Fund
for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; the recognition of unrealized gains or losses from certain derivative contracts; the inclusion of payables for distributions; and the treatment of amortization adjustments from certain fixed income securities. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | Amount
($000) |
| Undistributed Ordinary Income | 1,311 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (29,715) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | (161,499) |
The tax character of distributions paid was as follows:
| | Year Ended November 30, |
| | 2022
Amount
($000) | 2021
Amount
($000) |
| Tax-Exempt Income | 61,868 | 60,174 |
| Ordinary Income* | 533 | 7,299 |
| Long-Term Capital Gains | 10,416 | 11,675 |
| Total | 72,817 | 79,148 |
| * | Includes short-term capital gains, if any. |
As of November 30, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount
($000) |
| Tax Cost | 2,455,907 |
| Gross Unrealized Appreciation | 15,342 |
| Gross Unrealized Depreciation | (176,841) |
| Net Unrealized Appreciation (Depreciation) | (161,499) |
| F. | During the year ended November 30, 2022, the fund purchased $1,972,022,000 of investment securities and sold $2,104,426,000 of investment securities, other than temporary cash investments. |
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended November 30, 2022, such purchases were $325,830,000 and sales were $349,205,000, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
Massachusetts Tax-Exempt Fund
| G. | Capital shares issued and redeemed were: |
| | Year Ended November 30, |
| | 2022
Shares
(000) | 2021
Shares
(000) |
| | | |
| Issued | 140,400 | 49,622 |
| Issued in Lieu of Cash Distributions | 5,337 | 5,361 |
| Redeemed | (156,859) | (29,058) |
| Net Increase (Decrease) in Shares Outstanding | (11,122) | 25,925 |
| H. | Management has determined that no events or transactions occurred subsequent to November 30, 2022, that would require recognition or disclosure in these financial statements. |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Massachusetts Tax-Exempt Funds and Shareholders of Vanguard Massachusetts Tax-Exempt Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Massachusetts Tax-Exempt Fund (the “Fund”) as of November 30, 2022, the related statement of operations for the year ended November 30, 2022, the statement of changes in net assets for each of the two years in the period ended November 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended November 30, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2022 and the financial highlights for each of the five years in the period ended November 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2022 by correspondence with the custodian, the transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 19, 2023
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Tax information (unaudited)
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund for the fiscal year are qualified short-term capital gains.
The fund distributed $10,416,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
The fund designates 100% of its income dividends as exempt-interest dividends.
"Bloomberg®" and Bloomberg MA Municipal Bond Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL), the administrator of the index (collectively, Bloomberg), and have been licensed for use for certain purposes by The Vanguard Group, Inc. (Vanguard).
The Massachusetts Tax-Exempt Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Massachusetts Tax-Exempt Fund or any member of the public regarding the advisability of investing in securities generally or in the Massachusetts Tax-Exempt Fund particularly. The only relationship of Bloomberg to Vanguard is the licensing of certain trademarks, trade names and service marks and of the Bloomberg MA Municipal Bond Index, which is determined, composed and calculated by BISL without regard to Vanguard or the Massachusetts Tax-Exempt Fund. Bloomberg has no obligation to take the needs of Vanguard or the owners of the Massachusetts Tax-Exempt Fund into consideration in determining, composing or calculating the Bloomberg MA Municipal Bond Index. Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Massachusetts Tax-Exempt Fund to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to Massachusetts Tax-Exempt Fund customers, in connection with the administration, marketing or trading of the Massachusetts Tax-Exempt Fund.
BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG MA MUNICIPAL BOND INDEX OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE MASSACHUSETTS TAX-EXEMPT FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG MA MUNICIPAL BOND INDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG MA MUNICIPAL BOND INDEX OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES—WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE—ARISING IN CONNECTION WITH THE MASSACHUSETTS TAX-EXEMPT FUND OR BLOOMBERG MA MUNICIPAL BOND INDEX OR ANY DATA OR VALUES RELATING THERETO—WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
© 2023 Bloomberg.
Used with Permission. Source: Bloomberg Index Services Limited. Copyright 2023, Bloomberg. All rights reserved.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 206 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA. Trustee and vice chair of The Shipley School.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal (2002–2006), the advisory board of the University of California, Berkeley School of Engineering (2020–present), and the advisory board of Santa Clara University’s Leavey School of Business (2018–present).
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: adjunct professor of finance at the University of Notre Dame (2020–present). Chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Assistant professor (retired June 2020) of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of superintendence of the Institute for the Works of Religion, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law (2021–present), professor (2020–present), Distinguished Fellow of the Global Financial Markets Center (2020–present), and
Rubenstein Fellow (2017–2020) at Duke University. Trustee (2017–present) of Amherst College and member of Amherst College Investment Committee (2019–present). Member of the Regenerative Crisis Response Committee (2020–present).
David A. Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company (2013–present). Trustee of Common Fund (2019–present).
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.
Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) and deputy chief compliance officer (2017–2019) of State Street Corporation.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Matthew Benchener | Thomas M. Rampulla |
| Joseph Brennan | Karin A. Risi |
| Mortimer J. Buckley | Anne E. Robinson |
| Gregory Davis | Michael Rollings |
| John James | Nitin Tandon |
| Chris D. Mclsaac | Lauren Valente |
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All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
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Q1680 012023
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
Audit Fees of the Registrant.
Fiscal Year Ended November 30, 2022: $30,000
Fiscal Year Ended November 30, 2021: $30,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended November 30, 2022: $10,494,508
Fiscal Year Ended November 30, 2021: $11,244,694
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
Fiscal Year Ended November 30, 2022: $2,757,764
Fiscal Year Ended November 30, 2021: $2,955,181
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
Fiscal Year Ended November 30, 2022: $5,202,689
Fiscal Year Ended November 30, 2021: $2,047,574
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
Fiscal Year Ended November 30, 2022: $298,000
Fiscal Year Ended November 30, 2021: $280,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended November 30, 2022: $5,500,689
Fiscal Year Ended November 30, 2021: $2,327,574
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
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.
| | VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS |
| | | |
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| | | |
| | MORTIMER J. BUCKLEY | |
| | CHIEF EXECUTIVE OFFICER | |
Date: January 23, 2023
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.
| | VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS |
| | | |
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| | | |
| | MORTIMER J. BUCKLEY | |
| | CHIEF EXECUTIVE OFFICER | |
Date: January 23, 2023
| | VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS |
| | | |
| BY: | /s/ CHRISTINE BUCHANAN* | |
| | | |
| | CHRISTINE BUCHANAN | |
| | CHIEF FINANCIAL OFFICER | |
Date: January 23, 2023
| * By: | /s/ Anne E. Robinson | |
Anne E. Robinson, pursuant to a Power of Attorney filed on October 11, 2022 (see File Number 333-11763), Incorporated by Reference.
