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 811-3361
Fidelity Massachusetts Municipal Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | January 31 |
Date of reporting period: | January 31, 2007 |
Item 1. Reports to Stockholders
Fidelity® Massachusetts
Municipal Income Fund
Fidelity Massachusetts AMT
Tax-Free Money Market Fund
Fidelity Massachusetts Municipal
Money Market Fund
Annual Report
January 31, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders | |
Shareholder Expense Example | An example of shareholder expenses. | |
Fidelity Massachusetts Municipal Income Fund | ||
Performance | ||
Management's Discussion | ||
Investment Changes | ||
Investments | ||
Financial Statements | ||
Fidelity Massachusetts AMT Tax-Free Money Market Fund | ||
Investment Changes/Performance | ||
Investments | ||
Financial Statements | ||
Fidelity Massachusetts Municipal Money Market Fund | ||
Investment Changes/Performance | ||
Investments | ||
Financial Statements | ||
Notes | Notes to the financial statements | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results | ||
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
We have seen consistently strong performance from stocks and bonds of late, and some relief in energy prices, but the housing market slowdown bears watching for how it might affect the consumer. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2006 to January 31, 2007).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
Beginning | Ending | Expenses Paid | |
Fidelity Massachusetts Municipal Income Fund | |||
Actual | $ 1,000.00 | $ 1,032.10 | $ 2.36 |
HypotheticalA | $ 1,000.00 | $ 1,022.89 | $ 2.35 |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | |||
Actual | $ 1,000.00 | $ 1,016.30 | $ 2.03** |
HypotheticalA | $ 1,000.00 | $ 1,023.19 | $ 2.04 |
Fidelity Massachusetts Municipal Money Market Fund | |||
Actual | $ 1,000.00 | $ 1,015.70 | $ 2.59 |
HypotheticalA | $ 1,000.00 | $ 1,022.63 | $ 2.60 |
A 5% return per year before expenses
* Expenses are equal to each Fund's annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annualized | |
Fidelity Massachusetts Municipal Income Fund | .46% |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | .40%** |
Fidelity Massachusetts Municipal Money Market Fund | .51% |
** If fees, effective April 1, 2007 had been in effect during the entire period, the annualized expense ratio would have been .30% and the expenses paid in the actual and hypothetical examples above would have been $1.53 and $1.53, respectively.
Annual Report
Fidelity Massachusetts Municipal Income Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended January 31, 2007 | Past 1 | Past 5 | Past 10 |
Fidelity® MA Municipal Income Fund | 4.17% | 5.12% | 5.57% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Massachusetts Municipal Income Fund on January 31, 1997. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Municipal Bond Index performed over the same period.
Annual Report
Fidelity Massachusetts Municipal Income Fund
Management's Discussion of Fund Performance
Comments from Christine Thompson, Portfolio Manager of Fidelity® Massachusetts Municipal Income Fund
Growing investor demand and a strong mid- to late-period rally helped municipal bonds post solid returns and take their place as one of the best performing investment-grade debt classes for the year ending January 31, 2007. Throughout much of the first half of the period, muni bond prices declined as the Federal Reserve Board raised short-term interest rates to return them to a more neutral level and fend off inflation. Beginning in mid-summer 2006, however, munis rebounded amid hopes that the Fed would pause its rate hike campaign. The central bank left rates unchanged at its August, September, October, December and January Open Market Committee meetings. Demand - amplified by non-traditional investors such as hedge funds - increased substantially, as investors sought out munis for their attractive after-tax yields. Investors also were drawn to the relatively steep muni yield curve - meaning long-term rates were higher than short rates - and the opportunity to lock in attractive long-term yields. Bond markets sold off coming into 2007, precipitated by stronger-than-expected economic data that prompted investors to scale back their interest-rate-cut expectations. Against this backdrop, the Lehman Brothers® Municipal Bond Index - a performance measure of nearly 40,000 investment-grade, fixed-rate, tax-exempt bonds - returned 4.29%. In comparison, the overall taxable bond market, as measured by the Lehman Brothers Aggregate Bond Index, rose 4.28%.
During the past year, the fund gained 4.17% and the Lehman Brothers Massachusetts 3 Plus Year Enhanced Municipal Bond Index gained 4.18%. The Massachusetts muni market performed roughly in line with the national municipal bond market average. Aiding the fund's performance relative to the index was its overweighting in bonds that were prerefunded during the period, a process that helped boost the bonds' returns. My overweighting in hospital bonds and longer-term securities in general also helped, thanks largely to investors' search for high-yielding securities. My underweighting in housing bonds worked out well. They lagged other sectors after accounting for differences in duration - meaning the sector's sensitivity to interest rate changes - due to prepayment concerns. In contrast, my overweighting in premium bonds - which trade above their face value - and underweighting in discount securities - which trade below their face value - detracted from returns, because premiums underperformed discount bonds. I kept the fund's duration in line with the index, a strategy that had no meaningful impact on relative performance.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Fidelity Massachusetts Municipal Income Fund
Investment Changes
Top Five Sectors as of January 31, 2007 | ||
% of fund's | % of fund's net assets | |
General Obligations | 18.8 | 23.8 |
Escrowed/Pre-Refunded | 16.7 | 8.5 |
Special Tax | 16.2 | 15.4 |
Transportation | 14.7 | 15.3 |
Education | 12.8 | 10.8 |
Average Years to Maturity as of January 31, 2007 | ||
6 months ago | ||
Years | 14.2 | 14.9 |
Average years to maturity is based on the average time remaining to the stated maturity date of each bond, weighted by the market value of each bond. |
Duration as of January 31, 2007 | ||
6 months ago | ||
Years | 6.7 | 6.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Quality Diversification (% of fund's net assets) | |||||||
As of January 31, 2007 | As of July 31, 2006 | ||||||
![]() | AAA 71.2% | ![]() | AAA 64.5% | ||||
![]() | AA,A 26.5% | ![]() | AA,A 30.1% | ||||
![]() | BBB 1.1% | ![]() | BBB 1.3% | ||||
![]() | BB and Below 1.1% | ![]() | BB and Below 1.1% | ||||
![]() | Not Rated 0.8% | ![]() | Not Rated 1.0% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. |
*Short-term Investments and Net Other Assets are not included in the pie chart. |
Annual Report
Fidelity Massachusetts Municipal Income Fund
Investments January 31, 2007
Showing Percentage of Net Assets
Municipal Bonds - 100.7% | ||||
Principal | Value | |||
Guam - 0.1% | ||||
Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev. 5.875% 7/1/35 | $ 2,115,000 | $ 2,257,043 | ||
Massachusetts - 97.5% | ||||
Ashland Gen. Oblig. 5.25% 5/15/19 (AMBAC Insured) | 1,300,000 | 1,413,477 | ||
Auburn Gen. Oblig. 5.125% 6/1/23 (AMBAC Insured) | 1,305,000 | 1,390,491 | ||
Boston Gen. Oblig. Series A, 5% 1/1/17 | 1,005,000 | 1,076,727 | ||
Boston Spl. Oblig. (Boston City Hosp. Issue Proj.): | ||||
5% 8/1/16 (MBIA Insured) | 9,705,000 | 10,169,287 | ||
5% 8/1/17 (MBIA Insured) | 7,990,000 | 8,356,182 | ||
5% 8/1/18 (MBIA Insured) | 6,200,000 | 6,505,908 | ||
Boston Wtr. & Swr. Commission Rev.: | ||||
Sr. Series A: | ||||
5.25% 11/1/19 | 10,325,000 | 11,400,555 | ||
5.75% 11/1/13 | 1,975,000 | 2,097,529 | ||
Sr. Series C, 5.2% 11/1/21 (FGIC Insured) | 2,045,000 | 2,104,796 | ||
Bridgewater-Raynham Reg'l. School District: | ||||
5% 6/15/18 (FSA Insured) | 1,475,000 | 1,571,362 | ||
5% 6/15/19 (FSA Insured) | 1,535,000 | 1,632,212 | ||
Brockton Gen. Oblig. 5.1% 4/1/12 (MBIA Insured) | 1,550,000 | 1,588,223 | ||
Brookline Gen. Oblig. 5.75% 4/1/15 | 1,045,000 | 1,113,312 | ||
Dracut Gen. Oblig.: | ||||
5% 5/15/16 (AMBAC Insured) | 1,400,000 | 1,491,896 | ||
5% 5/15/19 (AMBAC Insured) | 1,000,000 | 1,069,670 | ||
Foxborough Stadium Infrastructure Impt.: | ||||
5.75% 6/1/25 | 11,695,000 | 12,420,090 | ||
6% 6/1/15 | 2,545,000 | 2,735,544 | ||
6% 6/1/16 | 3,015,000 | 3,237,809 | ||
6% 6/1/17 | 3,195,000 | 3,429,034 | ||
6% 6/1/18 | 3,390,000 | 3,635,029 | ||
6% 6/1/19 | 3,590,000 | 3,847,152 | ||
6% 6/1/20 | 3,785,000 | 4,054,908 | ||
Freetown Lakeville Reg'l. School District 5% 1/1/21 (MBIA Insured) | 2,265,000 | 2,418,182 | ||
Hopedale Gen. Oblig. 5% 11/15/19 (AMBAC Insured) | 1,000,000 | 1,077,740 | ||
Littleton Gen. Oblig. 5% 1/15/19 (FGIC Insured) | 1,380,000 | 1,467,768 | ||
Lowell Gen. Oblig.: | ||||
5% 12/15/17 (MBIA Insured) | 1,410,000 | 1,518,626 | ||
5% 12/15/19 (MBIA Insured) | 1,310,000 | 1,402,827 | ||
Lynn Gen. Oblig.: | ||||
5.375% 8/15/14 (FGIC Insured) | 2,120,000 | 2,273,721 | ||
5.375% 8/15/15 (FGIC Insured) | 2,235,000 | 2,395,138 | ||
5.375% 8/15/16 (FGIC Insured) | 2,345,000 | 2,509,971 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Lynn Wtr. & Swr. Commission Gen. Rev. Series A: | ||||
5% 6/1/18 (MBIA Insured) | $ 2,055,000 | $ 2,193,137 | ||
5% 6/1/19 (MBIA Insured) | 1,560,000 | 1,661,462 | ||
5% 12/1/32 (MBIA Insured) | 2,000,000 | 2,087,900 | ||
Marblehead Gen. Oblig.: | ||||
5% 8/15/19 | 1,510,000 | 1,609,328 | ||
5% 8/15/20 | 1,465,000 | 1,565,294 | ||
Martha's Vineyard Land Bank Rev.: | ||||
5% 5/1/18 (AMBAC Insured) | 2,070,000 | 2,235,165 | ||
5% 5/1/34 (AMBAC Insured) | 1,000,000 | 1,045,620 | ||
Massachusetts Bay Trans. Auth.: | ||||
Series 1991 A, 7% 3/1/21 (FGIC Insured) | 3,000,000 | 3,671,370 | ||
Series 2000 A, 5.25% 7/1/30 | 17,665,000 | 18,440,847 | ||
Series A: | ||||
5% 7/1/31 (Pre-Refunded to 7/1/15 @ 100) (d) | 18,000,000 | 19,460,340 | ||
5.5% 3/1/12 | 4,350,000 | 4,563,150 | ||
5.75% 7/1/15 | 85,000 | 90,329 | ||
5.75% 7/1/18 | 330,000 | 349,820 | ||
7% 3/1/21 | 1,500,000 | 1,829,040 | ||
Series B, 6.2% 3/1/16 | 27,525,000 | 31,120,316 | ||
Series C, 5% 3/1/24 (Pre-Refunded to 3/1/07 @ 101) (d) | 17,950,000 | 18,146,732 | ||
Massachusetts Bay Trans. Auth. Sales Tax Rev.: | ||||
Series C, 5.25% 7/1/19 | 4,430,000 | 4,935,064 | ||
Sr. Series B, 5.5% 7/1/29 (MBIA Insured) | 4,000,000 | 4,730,640 | ||
Sr. Series C: | ||||
5.25% 7/1/21 | 4,000,000 | 4,491,880 | ||
5.25% 7/1/23 | 3,950,000 | 4,463,145 | ||
5.25% 7/1/32 | 7,745,000 | 8,901,406 | ||
Massachusetts College Bldg. Auth. Proj. Rev.: | ||||
Series A: | ||||
0% 5/1/22 (Escrowed to Maturity) (d) | 2,250,000 | 1,166,085 | ||
0% 5/1/28 (XL Cap. Assurance, Inc. Insured) | 6,080,000 | 2,343,232 | ||
5% 5/1/18 (MBIA Insured) | 2,270,000 | 2,405,451 | ||
5% 5/1/31 (AMBAC Insured) | 5,000,000 | 5,275,900 | ||
5% 5/1/43 (MBIA Insured) | 11,410,000 | 11,836,848 | ||
5.25% 5/1/14 (XL Cap. Assurance, Inc. Insured) | 2,075,000 | 2,222,740 | ||
5.25% 5/1/15 (XL Cap. Assurance, Inc. Insured) | 2,030,000 | 2,175,693 | ||
5.25% 5/1/16 (XL Cap. Assurance, Inc. Insured) | 1,295,000 | 1,388,680 | ||
5.25% 5/1/19 (XL Cap. Assurance, Inc. Insured) | 2,680,000 | 2,867,761 | ||
5.25% 5/1/21 (XL Cap. Assurance, Inc. Insured) | 1,965,000 | 2,098,188 | ||
5.25% 5/1/23 (XL Cap. Assurance, Inc. Insured) | 2,665,000 | 2,833,535 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts College Bldg. Auth. Proj. Rev.: - continued | ||||
Series B: | ||||
5.375% 5/1/18 (XL Cap. Assurance, Inc. Insured) | $ 1,100,000 | $ 1,226,269 | ||
5.375% 5/1/20 (XL Cap. Assurance, Inc. Insured) | 1,825,000 | 2,062,779 | ||
Massachusetts Dept. of Agricultural Resources Higher Ed. Rev.: | ||||
5% 1/1/14 | 1,500,000 | 1,586,895 | ||
5% 1/1/17 | 1,250,000 | 1,335,538 | ||
5% 1/1/19 | 2,000,000 | 2,125,160 | ||
5% 1/1/20 | 3,000,000 | 3,182,730 | ||
Massachusetts Dev. Fin. Agcy. Rev.: | ||||
(Boston Univ. Proj.) Series T1, 5% 10/1/39 | 10,000,000 | 10,508,300 | ||
(Mount Holyoke College Proj.): | ||||
5.125% 7/1/21 | 5,715,000 | 5,986,234 | ||
5.25% 7/1/31 | 11,785,000 | 12,388,746 | ||
5.5% 7/1/14 | 750,000 | 799,365 | ||
5.5% 7/1/15 | 910,000 | 969,514 | ||
5.5% 7/1/16 | 590,000 | 627,607 | ||
(Regis College Proj.): | ||||
5.25% 10/1/18 | 2,240,000 | 2,241,299 | ||
5.5% 10/1/28 | 5,660,000 | 5,663,226 | ||
Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. (Waste Mgmt., Inc. Proj.) 5.5%, tender 5/1/14 (b)(c) | 10,250,000 | 10,870,023 | ||
Massachusetts Ed. Ln. Auth. Ed. Ln. Rev.: | ||||
Series A: | ||||
Issue E: | ||||
4.4% 7/1/07 (AMBAC Insured) (c) | 2,410,000 | 2,409,301 | ||
4.55% 7/1/09 (AMBAC Insured) (c) | 765,000 | 765,145 | ||
4.65% 7/1/10 (AMBAC Insured) (c) | 1,825,000 | 1,831,205 | ||
4.75% 7/1/11 (AMBAC Insured) (c) | 3,140,000 | 3,154,318 | ||
4.8% 7/1/12 (AMBAC Insured) (c) | 815,000 | 823,052 | ||
4.95% 7/1/14 (AMBAC Insured) (c) | 1,535,000 | 1,563,275 | ||
5% 7/1/15 (AMBAC Insured) (c) | 725,000 | 740,421 | ||
Issue G, 5% 12/1/11 (MBIA Insured) (c) | 1,485,000 | 1,498,172 | ||
Series B Issue E, 5.75% 7/1/07 (AMBAC Insured) (c) | 970,000 | 970,728 | ||
Series C Issue G: | ||||
4.7% 12/1/09 (MBIA Insured) (c) | 1,305,000 | 1,306,279 | ||
4.9% 12/1/11 (AMBAC Insured) (c) | 1,870,000 | 1,887,522 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Fed. Hwy.: | ||||
Series 1998 A: | ||||
0% 6/15/15 | $ 1,455,000 | $ 1,027,012 | ||
5.25% 12/15/11 (Pre-Refunded to 12/15/08 @ 101) (d) | 3,050,000 | 3,160,380 | ||
5.25% 6/15/12 (Pre-Refunded to 12/15/08 @ 101) (d) | 7,320,000 | 7,584,911 | ||
5.5% 6/15/14 (Pre-Refunded to 12/15/08 @ 101) (d) | 8,310,000 | 8,647,718 | ||
Series 1998 B, 5.125% 6/15/15 (MBIA Insured) (Pre-Refunded to 12/15/08 @ 101) (d) | 5,820,000 | 6,017,647 | ||
Series 2000 A: | ||||
5.75% 6/15/11 | 13,660,000 | 14,561,970 | ||
5.75% 12/15/11 | 9,510,000 | 10,123,966 | ||
5.75% 6/15/12 | 5,000,000 | 5,311,750 | ||
5.75% 6/15/13 | 8,000,000 | 8,543,040 | ||
5.75% 12/15/14 (Pre-Refunded to 12/15/10 @ 100) (d) | 5,035,000 | 5,369,324 | ||
Series B, 5.125% 12/15/14 (Pre-Refunded to 12/15/08 @ 101) (d) | 660,000 | 682,414 | ||
Massachusetts Gen. Oblig.: | ||||
Series 06D: | ||||
5% 8/1/19 | 4,250,000 | 4,551,623 | ||
5% 8/1/20 | 4,000,000 | 4,277,360 | ||
5% 8/1/26 (Pre-Refunded to 8/1/16 @ 100) (d) | 4,610,000 | 5,008,949 | ||
Series 1992 D: | ||||
6% 5/1/08 | 1,835,000 | 1,844,689 | ||
6% 5/1/08 (Escrowed to Maturity) (d) | 685,000 | 697,008 | ||
Series 2000 C, 5.5% 10/1/22 (Pre-Refunded to 10/1/10 @ 100) (d) | 1,720,000 | 1,818,831 | ||
Series 2001 A, 5% 1/1/21 (Pre-Refunded to 1/1/11 | 21,955,000 | 22,894,015 | ||
Series 2001 D: | ||||
5.5% 11/1/18 | 2,000,000 | 2,260,680 | ||
5.5% 11/1/20 | 1,000,000 | 1,141,350 | ||
Series 2002 B, 5.5% 3/1/19 (Pre-Refunded to 3/1/12 @ 100) (d) | 2,650,000 | 2,853,441 | ||
Series 2003 D, 5.5% 10/1/19 (AMBAC Insured) | 7,000,000 | 7,982,030 | ||
Series 2004 A, 5.25% 8/1/20 (FSA Insured) | 5,000,000 | 5,596,700 | ||
Series 2004 D, 5% 12/1/23 (Pre-Refunded to 12/1/14 @ 100) (d) | 4,850,000 | 5,213,217 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Gen. Oblig.: - continued | ||||
Series 2005 A: | ||||
5% 3/1/19 | $ 1,295,000 | $ 1,375,316 | ||
5% 3/1/23 (Pre-Refunded to 3/1/15 @ 100) (d) | 15,420,000 | 16,628,774 | ||
5% 3/1/25 (Pre-Refunded to 3/1/15 @ 100) (d) | 35,405,000 | 38,180,398 | ||
Series 2005 C, 5% 9/1/25 (Pre-Refunded to 9/1/15 @ 100) (d) | 26,835,000 | 29,048,888 | ||
Series 6D, 5% 8/1/22 | 8,700,000 | 9,303,258 | ||
Series A: | ||||
5% 8/1/16 (Pre-Refunded to 8/1/14 @ 100) (d) | 5,000,000 | 5,344,150 | ||
5% 3/1/18 (FSA Insured) | 15,000,000 | 16,079,100 | ||
5% 3/1/21 (Pre-Refunded to 3/1/15 @ 100) (d) | 4,135,000 | 4,459,143 | ||
Series C, 5.25% 11/1/30 (Pre-Refunded to 11/1/12 @ 100) (d) | 1,795,000 | 1,921,278 | ||
Series D: | ||||
5% 8/1/21 | 5,750,000 | 6,144,048 | ||
5.25% 10/1/22 (Pre-Refunded to 10/1/13 @ 100) (d) | 3,800,000 | 4,097,958 | ||
5.375% 8/1/22 (Pre-Refunded to 8/1/12 @ 100) (d) | 4,800,000 | 5,166,432 | ||
5.375% 8/1/22 (Pre-Refunded to 8/1/12 @ 100) (d) | 240,000 | 258,322 | ||
5.5% 10/1/18 | 6,000,000 | 6,777,780 | ||
Series E, 5% 11/1/24 (AMBAC Insured) | 25,300,000 | 27,027,737 | ||
5.25% 9/1/20 (FSA Insured) | 4,255,000 | 4,765,047 | ||
5.25% 1/1/21 (Pre-Refunded to 1/1/13 @ 100) (d) | 4,315,000 | 4,631,246 | ||
5.25% 1/1/21 (Pre-Refunded to 1/1/13 @ 100) (d) | 695,000 | 745,937 | ||
5.25% 9/1/22 (FSA Insured) | 15,000,000 | 16,915,050 | ||
Massachusetts Health & Edl. Facilities Auth. Rev.: | ||||
(Baystate Med. Ctr. Proj.) Series F: | ||||
5.75% 7/1/17 | 1,305,000 | 1,394,053 | ||
5.75% 7/1/18 | 1,300,000 | 1,378,429 | ||
5.75% 7/1/19 | 1,455,000 | 1,537,775 | ||
5.75% 7/1/20 | 500,000 | 527,465 | ||
5.75% 7/1/33 | 3,000,000 | 3,180,990 | ||
(Blood Research Institute Proj.) Series A, 6.5% 2/1/22 | 12,270,000 | 12,298,712 | ||
(Brandeis Univ. Proj.) Series I: | ||||
5.25% 10/1/14 (MBIA Insured) | 2,780,000 | 2,870,517 | ||
5.25% 10/1/16 (MBIA Insured) | 1,400,000 | 1,444,674 | ||
(Emerson Hosp. Proj.) Series E, 5% 8/15/35 (Radian Asset Assurance, Inc. Insured) | 2,500,000 | 2,569,850 | ||
(Harvard Univ. Proj.) Series FF, 5.125% 7/15/37 | 39,135,000 | 41,112,492 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Health & Edl. Facilities Auth. Rev.: - continued | ||||
(Massachusetts Eye & Ear Infirmary Proj.) Series B: | ||||
5.25% 7/1/08 | $ 2,000,000 | $ 2,023,120 | ||
5.25% 7/1/09 | 2,540,000 | 2,581,123 | ||
5.25% 7/1/10 | 2,000,000 | 2,040,000 | ||
5.25% 7/1/11 | 3,025,000 | 3,083,836 | ||
(Massachusetts Gen. Hosp. Proj.) Series F, 6.25% 7/1/12 (AMBAC Insured) | 12,905,000 | 13,665,879 | ||
(Massachusetts Institute of Technology Proj.): | ||||
Series I1, 5.2% 1/1/28 | 6,500,000 | 7,487,155 | ||
Series K, 5.375% 7/1/17 | 6,805,000 | 7,594,788 | ||
Series L: | ||||
5% 7/1/18 | 4,315,000 | 4,698,690 | ||
5% 7/1/23 | 3,990,000 | 4,405,559 | ||
5.25% 7/1/33 | 14,000,000 | 16,184,000 | ||
(Med. Academic & Scientific Proj.) Series A, 6.625% 1/1/15 | 5,650,000 | 5,658,193 | ||
(New England Med. Ctr. Hosp. Proj.) Series G, 5.375% 7/1/24 (MBIA Insured) | 1,000,000 | 1,000,500 | ||
(Newton-Wellesley Hosp. Proj.) Series G: | ||||
6% 7/1/12 (MBIA Insured) | 4,070,000 | 4,185,588 | ||
6.125% 7/1/15 (MBIA Insured) | 4,500,000 | 4,629,825 | ||
(Northeastern Univ. Proj.) Series 1998 G, 5% 10/1/28 (MBIA Insured) | 6,500,000 | 6,671,015 | ||
(Partners HealthCare Sys., Inc. Proj.): | ||||
Series 1997 A: | ||||
5.125% 7/1/11 (MBIA Insured) | 3,885,000 | 3,943,547 | ||
5.375% 7/1/24 (MBIA Insured) | 7,600,000 | 7,716,204 | ||
Series 2001 C, 5.75% 7/1/32 | 5,000,000 | 5,360,600 | ||
Series C, 5.75% 7/1/21 | 2,500,000 | 2,701,275 | ||
Series E: | ||||
5% 7/1/17 | 1,255,000 | 1,324,527 | ||
5% 7/1/19 | 1,390,000 | 1,460,598 | ||
Series F: | ||||
5% 7/1/17 | 1,410,000 | 1,503,539 | ||
5% 7/1/19 | 1,760,000 | 1,866,462 | ||
5% 7/1/20 | 2,350,000 | 2,490,436 | ||
5% 7/1/21 | 1,150,000 | 1,216,217 | ||
5% 7/1/22 | 1,855,000 | 1,959,121 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Health & Edl. Facilities Auth. Rev.: - continued | ||||
(South Shore Hosp. Proj.) Series F: | ||||
5.125% 7/1/08 | $ 2,000,000 | $ 2,032,580 | ||
5.25% 7/1/09 | 2,120,000 | 2,183,558 | ||
5.5% 7/1/12 | 2,165,000 | 2,262,425 | ||
5.625% 7/1/19 | 1,000,000 | 1,048,320 | ||
5.75% 7/1/29 | 4,350,000 | 4,564,368 | ||
(Tufts Univ. Proj.): | ||||
Series I, 5.5% 2/15/36 | 5,000,000 | 5,263,100 | ||
Series J, 5.5% 8/15/17 | 500,000 | 563,920 | ||
(Univ. of Massachusetts-Worcester Campus Proj.) | 1,000,000 | 1,058,220 | ||
(Wellesley College Proj.): | ||||
5% 7/1/19 | 1,975,000 | 2,085,561 | ||
5% 7/1/20 | 2,075,000 | 2,189,955 | ||
(Williams College Issue Proj.): | ||||
Series 2003 H, 5% 7/1/20 | 1,005,000 | 1,060,677 | ||
Series G, 5.5% 7/1/14 | 3,665,000 | 3,848,067 | ||
Series 2006 L: | ||||
5% 7/1/17 | 1,000,000 | 1,077,710 | ||
5% 7/1/18 | 1,000,000 | 1,074,460 | ||
5% 7/1/19 | 1,695,000 | 1,817,108 | ||
5% 7/1/20 | 2,410,000 | 2,579,712 | ||
5% 7/1/21 | 2,535,000 | 2,709,433 | ||
5% 7/1/36 | 9,205,000 | 9,691,484 | ||
Series C, 5% 8/15/30 (FGIC Insured) | 5,190,000 | 5,424,380 | ||
5% 10/1/17 (FGIC Insured) | 2,130,000 | 2,295,565 | ||
5% 10/1/18 (FGIC Insured) | 1,985,000 | 2,132,724 | ||
5% 10/1/19 (FGIC Insured) | 1,350,000 | 1,447,119 | ||
5% 10/1/20 (FGIC Insured) | 2,465,000 | 2,638,265 | ||
6.55% 6/23/22 (AMBAC Insured) | 17,250,000 | 17,805,105 | ||
Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. (Boston Edison Co. Proj.) Series A, 5.75% 2/1/14 | 9,900,000 | 9,917,028 | ||
Massachusetts Indl. Fin. Agcy. Resource Recovery Rev. (Ogden Haverhill Proj.) Series 1998 A, 5.2% 12/1/08 (c) | 1,300,000 | 1,323,647 | ||
Massachusetts Indl. Fin. Agcy. Rev.: | ||||
(Massachusetts Biomedical Research Corp. Proj.) | 15,000,000 | 14,165,850 | ||
(Whitehead Institute Biomedical Research Proj.) 5.125% 7/1/26 | 14,600,000 | 14,606,132 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply Sys. Rev.: | ||||
(Nuclear Mix #1 Proj.) Series A, 5.25% 7/1/12 | $ 8,000,000 | $ 8,501,440 | ||
(Nuclear Mix #4 Proj.) Series A, 5.25% 7/1/12 | 8,510,000 | 9,026,472 | ||
Massachusetts Port Auth. Rev.: | ||||
(Spl. Facilities-US Air Proj.) Series A, 5.5% 9/1/10 (MBIA Insured) (c) | 2,030,000 | 2,070,905 | ||
Series 1998 A: | ||||
5% 7/1/23 (FSA Insured) | 8,750,000 | 8,956,938 | ||
5.5% 7/1/17 (FSA Insured) | 2,105,000 | 2,174,886 | ||
Series 1998 B: | ||||
5% 7/1/10 (FSA Insured) (c) | 2,275,000 | 2,328,804 | ||
5% 7/1/15 (FSA Insured) (c) | 3,310,000 | 3,380,966 | ||
Series A: | ||||
5% 7/1/18 (AMBAC Insured) | 5,205,000 | 5,538,849 | ||
5% 7/1/18 (MBIA Insured) | 2,000,000 | 2,103,880 | ||
5% 7/1/19 (MBIA Insured) | 6,915,000 | 7,262,202 | ||
5% 7/1/20 (MBIA Insured) | 2,505,000 | 2,627,895 | ||
5% 7/1/21 (AMBAC Insured) | 5,010,000 | 5,316,712 | ||
5% 7/1/21 (MBIA Insured) | 3,000,000 | 3,145,470 | ||
5% 7/1/22 (MBIA Insured) | 2,000,000 | 2,095,840 | ||
5% 7/1/35 (AMBAC Insured) | 10,000,000 | 10,496,200 | ||
5.125% 7/1/16 (FSA Insured) | 3,000,000 | 3,115,050 | ||
5.125% 7/1/17 (FSA Insured) | 3,000,000 | 3,113,640 | ||
Series B: | ||||
5.5% 7/1/10 (FSA Insured) (c) | 11,470,000 | 11,980,759 | ||
5.5% 7/1/11 (FSA Insured) (c) | 5,500,000 | 5,742,385 | ||
5.5% 7/1/12 (FSA Insured) (c) | 4,000,000 | 4,172,520 | ||
5.625% 7/1/12 (Escrowed to Maturity) (d) | 1,210,000 | 1,272,363 | ||
Massachusetts Port Auth. Spl. Facilities Rev. | ||||
5.5% 1/1/12 (AMBAC Insured) (c) | 10,395,000 | 10,984,293 | ||
5.5% 1/1/13 (AMBAC Insured) (c) | 7,015,000 | 7,399,703 | ||
5.5% 1/1/14 (AMBAC Insured) (c) | 6,040,000 | 6,364,529 | ||
5.5% 1/1/15 (AMBAC Insured) (c) | 5,000,000 | 5,261,250 | ||
5.5% 1/1/16 (AMBAC Insured) (c) | 5,000,000 | 5,257,600 | ||
5.5% 1/1/17 (AMBAC Insured) (c) | 6,470,000 | 6,793,759 | ||
5.5% 1/1/18 (AMBAC Insured) (c) | 6,000,000 | 6,291,420 | ||
5.5% 1/1/19 (AMBAC Insured) (c) | 5,000,000 | 5,237,350 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A: | ||||
5% 8/15/22 (FSA Insured) | $ 5,540,000 | $ 5,887,524 | ||
5% 8/15/23 (FSA Insured) | 6,000,000 | 6,363,060 | ||
5% 8/15/24 (FSA Insured) | 7,100,000 | 7,519,184 | ||
5% 8/15/25 (FSA Insured) | 2,350,000 | 2,483,551 | ||
5% 8/15/27 (MBIA Insured) | 10,000,000 | 10,546,300 | ||
5% 8/15/30 (FSA Insured) | 88,900,000 | 93,561,897 | ||
Massachusetts Spl. Oblig. Dedicated Tax Rev.: | ||||
5.25% 1/1/19 (FGIC Insured) | 3,500,000 | 3,886,505 | ||
5.5% 1/1/28 (FGIC Insured) | 1,000,000 | 1,168,920 | ||
5.5% 1/1/34 (FGIC Insured) | 9,000,000 | 10,724,220 | ||
Massachusetts Spl. Oblig. Rev.: | ||||
(Consolidated Ln. Prog.) Series A: | ||||
5% 6/1/23 (FSA Insured) | 2,000,000 | 2,124,280 | ||
5.5% 6/1/16 (FSA Insured) | 3,000,000 | 3,357,030 | ||
5.5% 6/1/18 (FSA Insured) | 9,740,000 | 11,021,297 | ||
5.5% 6/1/19 (FSA Insured) | 10,000,000 | 11,374,300 | ||
Series A: | ||||
5.5% 6/1/15 (FGIC Insured) | 11,070,000 | 12,301,205 | ||
5.5% 6/1/16 (FGIC Insured) | 2,520,000 | 2,819,905 | ||
Massachusetts Tpk. Auth. Metropolitan Hwy. Sys. Rev.: | ||||
Series 1997 A, 5.125% 1/1/17 (MBIA Insured) | 3,575,000 | 3,650,290 | ||
Series 1999 A: | ||||
5% 1/1/39 (AMBAC Insured) | 6,925,000 | 7,070,979 | ||
5.25% 1/1/29 (AMBAC Insured) | 45,615,000 | 47,038,644 | ||
Sr. Series A: | ||||
0% 1/1/25 (MBIA Insured) | 5,110,000 | 2,291,324 | ||
0% 1/1/28 (MBIA Insured) | 5,130,000 | 1,982,489 | ||
0% 1/1/29 (MBIA Insured) | 33,195,000 | 12,231,362 | ||
5% 1/1/37 (MBIA Insured) | 24,480,000 | 24,967,642 | ||
5.125% 1/1/23 (MBIA Insured) | 3,460,000 | 3,532,868 | ||
Sr. Series C: | ||||
0% 1/1/16 (MBIA Insured) | 3,000,000 | 2,059,260 | ||
0% 1/1/17 (MBIA Insured) | 7,705,000 | 5,040,688 | ||
0% 1/1/18 (MBIA Insured) | 2,025,000 | 1,262,466 | ||
0% 1/1/19 (MBIA Insured) | 13,815,000 | 8,218,820 | ||
Massachusetts Tpk. Auth. Western Tpk. Rev. Series A, 5.55% 1/1/17 (MBIA Insured) | 15,510,000 | 16,274,333 | ||
Massachusetts Wtr. Poll. Abatement Trust: | ||||
(MWRA Prog.) Series A, 5.25% 8/1/20 | 1,700,000 | 1,808,953 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Wtr. Poll. Abatement Trust: - continued | ||||
(Pool Prog.): | ||||
Series 10, 5.25% 8/1/15 | $ 2,435,000 | $ 2,643,412 | ||
Series 2004 A: | ||||
5.25% 2/1/16 | 6,110,000 | 6,701,204 | ||
5.25% 2/1/17 | 6,435,000 | 7,092,014 | ||
5.25% 2/1/18 | 6,300,000 | 6,971,076 | ||
5.25% 2/1/22 | 1,170,000 | 1,322,369 | ||
5.25% 8/1/22 | 6,525,000 | 7,387,083 | ||
5.25% 2/1/23 | 1,390,000 | 1,576,121 | ||
5.25% 2/1/24 | 1,170,000 | 1,331,940 | ||
5.25% 8/1/24 | 3,780,000 | 4,318,839 | ||
Series 3, 5.4% 2/1/10 | 300,000 | 303,423 | ||
Series 4, 5.125% 8/1/14 | 70,000 | 71,910 | ||
Series 5, 5.25% 8/1/15 | 75,000 | 78,024 | ||
Series 6: | ||||
5.25% 8/1/19 | 30,000 | 31,551 | ||
5.5% 8/1/30 | 17,580,000 | 18,589,619 | ||
5.625% 8/1/14 | 115,000 | 122,805 | ||
5.625% 8/1/15 | 25,000 | 26,680 | ||
5.625% 8/1/15 (Pre-Refunded to 8/1/10 @ 101) (d) | 975,000 | 1,042,821 | ||
5.625% 8/1/16 | 485,000 | 517,097 | ||
Series 7: | ||||
5.25% 2/1/16 | 4,495,000 | 4,731,302 | ||
5.25% 2/1/17 | 2,795,000 | 2,943,107 | ||
Series 8: | ||||
5% 8/1/17 | 110,000 | 115,372 | ||
5% 8/1/17 (Pre-Refunded to 8/1/12 @ 100) (d) | 5,540,000 | 5,860,932 | ||
5% 8/1/20 | 105,000 | 110,339 | ||
5% 8/1/20 (Pre-Refunded to 8/1/12 @ 100) (d) | 5,395,000 | 5,707,532 | ||
Series A, 5.25% 8/1/16 | 21,700,000 | 23,896,257 | ||
Series 10: | ||||
5% 8/1/22 | 305,000 | 323,959 | ||
5% 8/1/22 (Pre-Refunded to 8/1/14 @ 100) (d) | 5,695,000 | 6,125,257 | ||
5% 8/1/34 | 150,000 | 156,662 | ||
5% 8/1/34 (Pre-Refunded to 8/1/14 @ 100) (d) | 905,000 | 973,373 | ||
Series 12: | ||||
5% 8/1/19 | 13,995,000 | 15,010,897 | ||
5% 8/1/20 | 7,000,000 | 7,496,790 | ||
Series 9, 5.25% 8/1/33 | 595,000 | 635,383 | ||
5.25% 8/1/33 (Pre-Refunded to 8/1/13 @ 100) (d) | 2,580,000 | 2,793,340 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. (MWRA Ln. Prog.) Series A: | ||||
5% 8/1/15 | $ 50,000 | $ 50,056 | ||
5% 8/1/15 (Escrowed to Maturity) (d) | 950,000 | 1,027,758 | ||
5.25% 8/1/12 | 565,000 | 582,170 | ||
5.25% 8/1/13 | 330,000 | 339,933 | ||
5.45% 2/1/13 (Escrowed to Maturity) (d) | 1,960,000 | 2,056,020 | ||
Massachusetts Wtr. Resources Auth.: | ||||
Series A: | ||||
5% 8/1/23 (FSA Insured) (a) | 2,000,000 | 2,137,860 | ||
5% 8/1/25 (FSA Insured) (a) | 2,000,000 | 2,131,120 | ||
5% 8/1/26 (FSA Insured) (a) | 2,000,000 | 2,127,760 | ||
5% 8/1/27 (FSA Insured) (a) | 2,000,000 | 2,124,400 | ||
5% 8/1/28 (FSA Insured) (a) | 2,000,000 | 2,122,720 | ||
5.25% 8/1/21 (MBIA Insured) | 12,645,000 | 13,863,219 | ||
5.25% 8/1/24 (MBIA Insured) | 9,000,000 | 9,826,920 | ||
6.5% 7/15/19 (Escrowed to Maturity) (d) | 21,960,000 | 25,951,669 | ||
Series B: | ||||
5.125% 8/1/27 (MBIA Insured) | 6,960,000 | 7,301,945 | ||
5.5% 8/1/15 (FSA Insured) | 1,500,000 | 1,656,060 | ||
5.5% 8/1/16 (FSA Insured) | 1,425,000 | 1,597,169 | ||
Series D, 5% 8/1/24 (MBIA Insured) | 1,510,000 | 1,542,767 | ||
Series J: | ||||
5% 8/1/42 | 8,160,000 | 8,436,624 | ||
5.5% 8/1/20 (FSA Insured) | 1,000,000 | 1,139,490 | ||
Maynard Gen. Oblig.: | ||||
5.5% 2/1/17 (MBIA Insured) | 1,030,000 | 1,124,276 | ||
5.5% 2/1/20 (MBIA Insured) | 1,025,000 | 1,115,959 | ||
5.5% 2/1/23 (MBIA Insured) | 1,000,000 | 1,086,510 | ||
Monson Gen. Oblig.: | ||||
5.25% 5/15/17 (AMBAC Insured) | 2,120,000 | 2,277,749 | ||
5.25% 5/15/19 (AMBAC Insured) | 2,335,000 | 2,508,747 | ||
5.25% 11/1/21 (AMBAC Insured) | 1,000,000 | 1,094,440 | ||
5.25% 5/15/22 (AMBAC Insured) | 2,985,000 | 3,195,293 | ||
Pioneer Valley Reg'l. School District: | ||||
5.375% 6/15/15 (AMBAC Insured) | 1,235,000 | 1,329,848 | ||
5.375% 6/15/16 (AMBAC Insured) | 1,000,000 | 1,081,840 | ||
Pittsfield Gen. Oblig.: | ||||
5% 4/15/19 (MBIA Insured) | 1,140,000 | 1,209,928 | ||
5.5% 4/15/17 (MBIA Insured) | 1,930,000 | 2,088,665 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Randolph Gen. Oblig.: | ||||
5% 9/1/16 (AMBAC Insured) | $ 1,170,000 | $ 1,259,189 | ||
5% 9/1/18 (AMBAC Insured) | 1,090,000 | 1,170,050 | ||
5% 9/1/19 (AMBAC Insured) | 1,085,000 | 1,162,241 | ||
Reading Gen. Oblig.: | ||||
5% 3/15/20 (MBIA Insured) | 2,100,000 | 2,219,448 | ||
5% 3/15/21 (MBIA Insured) | 2,190,000 | 2,311,808 | ||
Route 3 North Trans. Impt. Assoc. Lease Rev.: | ||||
5.75% 6/15/12 (MBIA Insured) | 1,000,000 | 1,060,280 | ||
5.75% 6/15/14 (MBIA Insured) | 2,515,000 | 2,664,995 | ||
5.75% 6/15/15 (MBIA Insured) | 4,105,000 | 4,347,154 | ||
Salem Gen. Oblig.: | ||||
5% 1/15/19 (FGIC Insured) | 1,525,000 | 1,620,313 | ||
5% 1/15/20 (FGIC Insured) | 1,350,000 | 1,429,448 | ||
Springfield Gen. Oblig.: | ||||
5% 8/1/15 (FSA Insured) (a) | 1,000,000 | 1,075,850 | ||
5% 8/1/16 (FSA Insured) (a) | 8,000,000 | 8,639,600 | ||
5% 8/1/17 (FSA Insured) (a) | 5,000,000 | 5,415,950 | ||
5% 8/1/18 (FSA Insured) (a) | 7,210,000 | 7,761,998 | ||
5% 8/1/22 (MBIA Insured) | 3,610,000 | 3,827,647 | ||
5% 8/1/23 (MBIA Insured) | 2,050,000 | 2,170,581 | ||
5.25% 1/15/16 (Pre-Refunded to 1/15/13 @ 100) (d) | 2,195,000 | 2,347,223 | ||
5.25% 1/15/17 (Pre-Refunded to 1/15/13 @ 100) (d) | 1,510,000 | 1,615,534 | ||
5.25% 1/15/18 (Pre-Refunded to 1/15/13 @ 100) (d) | 1,000,000 | 1,070,440 | ||
5.25% 1/15/21 (Pre-Refunded to 1/15/13 @ 100) (d) | 4,600,000 | 4,931,568 | ||
5.375% 8/1/17 (Pre-Refunded to 8/1/11 @ 101) (d) | 1,875,000 | 2,000,438 | ||
5.5% 8/1/16 (Pre-Refunded to 8/1/11 @ 101) (d) | 1,000,000 | 1,072,850 | ||
5.75% 8/1/14 (FSA Insured) (a) | 4,000,000 | 4,476,560 | ||
Univ. of Massachusetts Bldg. Auth. Facilities Rev. | 1,000,000 | 1,102,570 | ||
Univ. of Massachusetts Bldg. Auth. Proj. Rev. | ||||
5.375% 11/1/16 (AMBAC Insured) | 1,305,000 | 1,429,706 | ||
5.375% 11/1/16 (Pre-Refunded to 11/1/14 @ 100) (d) | 4,860,000 | 5,358,490 | ||
Woods Hole, Martha's Vineyard & Nantucket Steamship Series 2004 B, 5% 3/1/17 | 3,300,000 | 3,525,654 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Massachusetts - continued | ||||
Worcester Gen. Oblig.: | ||||
Series 2001 A: | ||||
5.25% 8/15/21 (FGIC Insured) | $ 1,465,000 | $ 1,555,083 | ||
5.5% 8/15/13 (FGIC Insured) | 1,285,000 | 1,374,513 | ||
5.5% 8/15/18 (FGIC Insured) | 1,000,000 | 1,064,960 | ||
Series 2001 B, 5.5% 10/1/14 (FGIC Insured) | 1,070,000 | 1,145,949 | ||
1,798,736,352 | ||||
Puerto Rico - 3.0% | ||||
Puerto Rico Commonwealth Gen. Oblig.: | ||||
Series 2006A, 2.205% 7/1/21 (FGIC Insured) (b) | 5,400,000 | 5,327,694 | ||
Series A: | ||||
5.25% 7/1/18 | 3,500,000 | 3,712,450 | ||
5.25% 7/1/18 (CIFG North America Insured) | 2,500,000 | 2,679,325 | ||
Puerto Rico Commonwealth Hwy. & Trans. Auth. Hwy. Rev.: | ||||
Series 1996 Y, 5% 7/1/36 (FSA Insured) | 1,800,000 | 1,912,302 | ||
Series Y, 5.5% 7/1/36 (MBIA Insured) | 2,425,000 | 2,709,719 | ||
Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev.: | ||||
Series 1998, 5.75% 7/1/22 (CIFG North America Insured) | 3,000,000 | 3,297,510 | ||
Series 2002 E, 5.5% 7/1/21 (FSA Insured) | 1,700,000 | 1,960,933 | ||
Series L, 5.25% 7/1/41 (CIFG North America Insured) | 3,010,000 | 3,508,938 | ||
Puerto Rico Commonwealth Infrastructure Fing. Auth.: | ||||
Series 2000 A, 5.5% 10/1/40 (Escrowed to Maturity) (d) | 14,045,000 | 14,910,032 | ||
Series C, 5.5% 7/1/25 (AMBAC Insured) | 7,500,000 | 8,783,250 | ||
Puerto Rico Elec. Pwr. Auth. Pwr. Rev. Series HH, 5.25% 7/1/29 (FSA Insured) | 3,230,000 | 3,407,650 | ||
Puerto Rico Govt. Dev. Bank Series B, 5% 12/1/12 | 2,500,000 | 2,619,300 | ||
54,829,103 | ||||
Virgin Islands - 0.1% | ||||
Virgin Islands Pub. Fin. Auth. Rev. Series A: | ||||
5% 10/1/11 | 805,000 | 835,035 | ||
Municipal Bonds - continued | ||||
Principal | Value | |||
Virgin Islands - continued | ||||
Virgin Islands Pub. Fin. Auth. Rev. Series A: - continued | ||||
5% 10/1/13 | $ 700,000 | $ 734,258 | ||
5.25% 10/1/16 | 750,000 | 799,035 | ||
2,368,328 |
TOTAL INVESTMENT PORTFOLIO - 100.7% (Cost $1,812,474,690) | 1,858,190,826 | ||
NET OTHER ASSETS - (0.7)% | (13,130,048) | ||
NET ASSETS - 100% | $ 1,845,060,778 |
Legend |
(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(d) Security collateralized by an amount sufficient to pay interest and principal. |
Other Information |
The distribution of municipal securities by revenue source, as a percentage of total net assets, is as follows: |
General Obligations | 18.8% |
Escrowed/Pre-Refunded | 16.7% |
Special Tax | 16.2% |
Transportation | 14.7% |
Education | 12.8% |
Water & Sewer | 10.5% |
Health Care | 6.9% |
Others* (individually less than 5%) | 3.4% |
100.0% |
* Includes net other assets |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts Municipal Income Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2007 | ||
Assets | ||
Investment in securities, at value - Unaffiliated issuers (cost $1,812,474,690) | $ 1,858,190,826 | |
Cash | 11,738,577 | |
Receivable for fund shares sold | 1,796,713 | |
Interest receivable | 20,931,755 | |
Prepaid expenses | 8,154 | |
Other receivables | 73,704 | |
Total assets | 1,892,739,729 | |
Liabilities | ||
Payable for investments purchased | $ 6,023,821 | |
Delayed delivery | 38,077,947 | |
Payable for fund shares redeemed | 852,572 | |
Distributions payable | 1,838,932 | |
Accrued management fee | 565,009 | |
Other affiliated payables | 270,652 | |
Other payables and accrued expenses | 50,018 | |
Total liabilities | 47,678,951 | |
Net Assets | $ 1,845,060,778 | |
Net Assets consist of: | ||
Paid in capital | $ 1,796,909,119 | |
Undistributed net investment income | 365,005 | |
Accumulated undistributed net realized gain (loss) on investments | 2,070,518 | |
Net unrealized appreciation (depreciation) on investments | 45,716,136 | |
Net Assets, for 155,870,416 shares outstanding | $ 1,845,060,778 | |
Net Asset Value, offering price and redemption price per share ($1,845,060,778 ÷ 155,870,416 shares) | $ 11.84 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
Year ended January 31, 2007 | ||
Investment Income | ||
Interest | $ 82,795,868 | |
Expenses | ||
Management fee | $ 6,759,822 | |
Transfer agent fees | 1,262,067 | |
Accounting fees and expenses | 325,382 | |
Custodian fees and expenses | 27,967 | |
Independent trustees' compensation | 6,780 | |
Registration fees | 20,200 | |
Audit | 60,505 | |
Legal | 10,703 | |
Miscellaneous | 88,344 | |
Total expenses before reductions | 8,561,770 | |
Expense reductions | (560,908) | 8,000,862 |
Net investment income | 74,795,006 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,011,299 | |
Futures contracts | (187,150) | |
Total net realized gain (loss) | 6,824,149 | |
Change in net unrealized appreciation (depreciation) on investment securities | (7,965,271) | |
Net gain (loss) | (1,141,122) | |
Net increase (decrease) in net assets resulting from operations | $ 73,653,884 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts Municipal Income Fund
Financial Statements - continued
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 74,795,006 | $ 74,987,148 |
Net realized gain (loss) | 6,824,149 | 26,363,702 |
Change in net unrealized appreciation (depreciation) | (7,965,271) | (52,158,641) |
Net increase (decrease) in net assets resulting | 73,653,884 | 49,192,209 |
Distributions to shareholders from net investment income | (73,900,905) | (75,076,272) |
Distributions to shareholders from net realized gain | (5,580,754) | (24,660,494) |
Total distributions | (79,481,659) | (99,736,766) |
Share transactions | 337,892,247 | 344,150,228 |
Reinvestment of distributions | 57,327,195 | 71,978,038 |
Cost of shares redeemed | (394,435,017) | (291,286,184) |
Net increase (decrease) in net assets resulting from share transactions | 784,425 | 124,842,082 |
Redemption fees | 19,206 | 13,266 |
Total increase (decrease) in net assets | (5,024,144) | 74,310,791 |
Net Assets | ||
Beginning of period | 1,850,084,922 | 1,775,774,131 |
End of period (including undistributed net investment income of $365,005 and distributions in excess of net investment income of $327,502, respectively) | $ 1,845,060,778 | $ 1,850,084,922 |
Other Information Shares | ||
Sold | 28,561,187 | 28,505,409 |
Issued in reinvestment of distributions | 4,839,639 | 5,996,208 |
Redeemed | (33,400,044) | (24,209,445) |
Net increase (decrease) | 782 | 10,292,172 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended January 31, | 2007 | 2006 | 2005 | 2004 | 2003 |
Selected Per-Share Data | |||||
Net asset value, | $ 11.87 | $ 12.20 | $ 12.30 | $ 12.22 | $ 11.94 |
Income from Investment Operations | |||||
Net investment income B | .484 | .497 | .519 | .523 | .535 |
Net realized and unrealized gain (loss) | - | (.169) | .051 | .244 | .343 |
Total from investment operations | .484 | .328 | .570 | .767 | .878 |
Distributions from net investment income | (.478) | (.498) | (.521) | (.526) | (.531) |
Distributions from net realized gain | (.036) | (.160) | (.149) | (.161) | (.067) |
Total distributions | (.514) | (.658) | (.670) | (.687) | (.598) |
Redemption fees added to paid in capital B, D | - | - | - | - | - |
Net asset value, | $ 11.84 | $ 11.87 | $ 12.20 | $ 12.30 | $ 12.22 |
Total Return A | 4.17% | 2.76% | 4.80% | 6.43% | 7.51% |
Ratios to Average Net Assets C | |||||
Expenses before reductions | .47% | .47% | .47% | .47% | .48% |
Expenses net of fee waivers, if any | .47% | .47% | .47% | .47% | .48% |
Expenses net of all reductions | .44% | .44% | .46% | .47% | .46% |
Net investment income | 4.09% | 4.11% | 4.27% | 4.25% | 4.41% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 1,845,061 | $ 1,850,085 | $ 1,775,774 | $ 1,851,994 | $ 1,988,509 |
Portfolio turnover rate | 14% | 21% | 22% | 14% | 15% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
D Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts AMT Tax-Free Money Market Fund
Investment Changes/Performance
Maturity Diversification | |||
Days | % of fund's investments 1/31/07 | % of fund's investments 7/31/06 | % of fund's investments 1/31/06 |
0 - 30 | 92.7 | 92.8 | 85.9 |
31 - 90 | 3.8 | 2.9 | 5.8 |
91 - 180 | 0.5 | 2.5 | 5.7 |
181 - 397 | 3.0 | 1.8 | 2.6 |
Weighted Average Maturity | |||
1/31/07 | 7/31/06 | 1/31/06 | |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | 17 Days | 15 Days | 24 Days |
Massachusetts Tax-Free Money Market Funds Average* | 18 Days | 15 Days | 24 Days |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2007 | As of July 31, 2006 | ||||||
![]() | Variable Rate | ![]() | Variable Rate | ||||
![]() | Commercial Paper (including | ![]() | Commercial Paper (including | ||||
![]() | Tender Bonds 0.6% | ![]() | Tender Bonds 1.3% | ||||
![]() | Municipal Notes 2.2% | ![]() | Municipal Notes 3.0% | ||||
![]() | Fidelity Tax-Free | ![]() | Fidelity Tax-Free | ||||
![]() | Other Investments 1.6% | ![]() | Other Investments 1.3% | ||||
![]() | Net Other Assets 2.8% | ![]() | Net Other Assets 1.1% |
Current and Historical Seven-Day Yields
1/29/07 | 10/30/06 | 7/31/06 | 5/1/06 | 1/30/06 | |
Fidelity Massachusestts AMT Tax-Free Money Market Fund | 3.23% | 3.17% | 3.27% | 3.28% | 2.69% |
If Fidelity had not reimbursed certain fund expenses | 3.21% | 3.15% | 3.25% | 3.24% | 2.67% |
Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. Past performance is no guarantee of future results. Yield will vary and it is possible to lose money by investing in the fund.
*Source: iMoneyNet, Inc.
Annual Report
Fidelity Massachusetts AMT Tax-Free Money Market Fund
Investments January 31, 2007
Showing Percentage of Net Assets
Municipal Securities - 97.2% | |||
Principal | Value | ||
Massachusetts - 91.5% | |||
Amesbury BAN 4.5% 8/9/07 | $ 5,600,000 | $ 5,621,516 | |
Bedford BAN 4.25% 5/24/07 | 7,685,000 | 7,696,419 | |
Clipper Tax-Exempt Trust Participating VRDN 3.64% (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(c) | 16,900,000 | 16,900,000 | |
Eclipse Fdg. Trust Var States Participating VRDN: | |||
Series Solar 05 03, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(c) | 10,610,000 | 10,610,000 | |
Series Solar 06 108, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(c) | 9,360,000 | 9,360,000 | |
Series Solar 07 001, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(c) | 4,200,000 | 4,200,000 | |
Haverhill Gen. Oblig. BAN: | |||
4.5% 9/28/07 | 2,400,000 | 2,413,647 | |
4.5% 11/9/07 | 4,169,589 | 4,199,009 | |
Macon Trust Pooled Variable Ctfs. Participating VRDN | 10,890,000 | 10,890,000 | |
Malden BAN 4% 12/14/07 | 5,000,000 | 5,014,626 | |
Massachusetts Bay Trans. Auth.: | |||
Participating VRDN: | |||
Series EGL 04 24, Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 2,800,000 | 2,800,000 | |
Series EGL 04 31, Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 5,000,000 | 5,000,000 | |
Series EGL 99 2101, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 4,645,000 | 4,645,000 | |
Series Merlots 00 H, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 8,400,000 | 8,400,000 | |
Series PT 2250, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 6,290,000 | 6,290,000 | |
Series PT 3616, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 8,020,000 | 8,020,000 | |
Series PT 3619, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 13,360,000 | 13,360,000 | |
Series Putters 1062, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(c) | 12,170,000 | 12,170,000 | |
Series TOC 04 D, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(c) | 2,200,000 | 2,200,000 | |
Gen.Trans. Sys. 3.45% (Liquidity Facility WestLB AG), VRDN (b) | 48,200,000 | 48,200,000 | |
Series 1999, 3.56% (Liquidity Facility Landesbank Baden-Wuert), VRDN (b) | 21,505,000 | 21,505,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Bay Trans. Auth. Sales Tax Rev. Participating VRDN: | |||
Series Covers 06 02, 3.64% (Liquidity Facility Bank of New York, New York) (b)(c) | $ 10,925,000 | $ 10,925,000 | |
Series Merlots 06 B35, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 7,800,000 | 7,800,000 | |
Series PT 1580, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 9,430,000 | 9,430,000 | |
Series PT 2459, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 8,680,000 | 8,680,000 | |
Series PT 2581, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 46,760,000 | 46,760,000 | |
Series PT 2625, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 5,800,000 | 5,800,000 | |
Series PT 3585, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 9,400,000 | 9,400,000 | |
Series PT 3626, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 14,335,000 | 14,335,000 | |
Series PT 3630, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 10,680,000 | 10,680,000 | |
Series ROC 9021, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(c) | 4,530,000 | 4,530,000 | |
Series ROC II R 7026, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(c) | 11,380,000 | 11,380,000 | |
Massachusetts Dev. Fin. Agcy. Indl. Dev. Rev. 3.64%, LOC Keybank Nat'l. Assoc., VRDN (b) | 7,500,000 | 7,500,000 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
Participating VRDN: | |||
Series EGL 7053024 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(c) | 13,000,000 | 13,000,000 | |
Series LB 05 K10, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(c) | 8,180,000 | 8,180,000 | |
Series MACN 06 P, 3.64% (Liquidity Facility Bank of America NA) (b)(c) | 5,100,000 | 5,100,000 | |
Series MS 974, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 2,781,500 | 2,781,500 | |
(Alliance of Massachusetts, Inc. Proj.) Series 2001 A, 3.66%, LOC PNC Bank NA, Pittsburgh, VRDN (b) | 3,800,000 | 3,800,000 | |
(Boston Renaissance Charter School Proj.) 3.61%, LOC Bank of America NA, VRDN (b) | 8,700,000 | 8,700,000 | |
(Boston Univ. Proj.): | |||
Series R1, 3.57% (XL Cap. Assurance, Inc. Insured), VRDN (b) | 3,700,000 | 3,700,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Dev. Fin. Agcy. Rev.: - continued | |||
(Boston Univ. Proj.): | |||
Series R2, 3.69% (XL Cap. Assurance, Inc. Insured), VRDN (b) | $ 4,500,000 | $ 4,500,000 | |
Series R3, 3.57% (XL Cap. Assurance, Inc. Insured), VRDN (b) | 13,800,000 | 13,800,000 | |
Series R4, 3.69% (XL Cap. Assurance, Inc. Insured), VRDN (b) | 14,870,000 | 14,870,000 | |
(Childrens Museum Proj.) 3.48%, LOC Citizens Bank of Massachusetts, VRDN (b) | 11,000,000 | 11,000,000 | |
(City Year Proj.) 3.48%, LOC Bank of America NA, VRDN (b) | 8,900,000 | 8,900,000 | |
(Draper Lab. Issue Proj.) Series 2000, 3.48% (MBIA Insured), VRDN (b) | 23,090,000 | 23,090,000 | |
(Eaglebrook School Proj.) 3.48%, LOC Bank of America NA, VRDN (b) | 1,000,000 | 1,000,000 | |
(Edgewood Retirement Proj.) Series A, 3.56%, LOC Lloyds TSB Bank PLC, VRDN (b) | 5,000,000 | 5,000,000 | |
(Int'l. Fund For Animal Welfare, Inc. Proj.) 3.48%, LOC Bank of America NA, VRDN (b) | 13,600,000 | 13,600,000 | |
(Lasell Village, Inc. Proj.) 3.48%, LOC Bank of America NA, VRDN (b) | 6,785,000 | 6,785,000 | |
(Masonic Nursing Home, Inc. Proj.) 3.46%, LOC Citizens Bank of Massachusetts, VRDN (b) | 9,860,000 | 9,860,000 | |
(Saint Mark's School Proj.) 3.61%, LOC Bank of America NA, VRDN (b) | 7,715,000 | 7,715,000 | |
(Sherburne Commons, Inc. Proj.) 3.62%, LOC Comerica Bank, Detroit, VRDN (b) | 3,400,000 | 3,400,000 | |
(Thayer Academy Proj.) 3.61%, LOC Allied Irish Banks PLC, VRDN (b) | 14,670,000 | 14,670,000 | |
(WGBH Edl. Foundation Proj.) Series 2006 A, 3.5% (AMBAC Insured), VRDN (b) | 6,900,000 | 6,900,000 | |
3.52% 2/8/07, LOC Bank of America NA, CP | 4,300,000 | 4,300,000 | |
Massachusetts Gen. Oblig.: | |||
Bonds: | |||
Series 2003 C, 5% 12/1/07 (XL Cap. Assurance, Inc. Insured) | 1,000,000 | 1,010,898 | |
Series 2006 C, 5% 5/1/07 (CIFG North America Insured) | 20,605,000 | 20,672,331 | |
Series PT 2367, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) (b)(c)(d) | 5,465,000 | 5,465,000 | |
Participating VRDN: | |||
Series AAB 00 18, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(c) | 4,600,000 | 4,600,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series AAB 02 18, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(c) | $ 4,500,000 | $ 4,500,000 | |
Series EGL 00 2102, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 2,500,000 | 2,500,000 | |
Series EGL 01 2104, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 4,690,000 | 4,690,000 | |
Series EGL 01 2105, 3.66% (Liquidity Facility Bayerische Landesbank (UNGTD)) (b)(c) | 11,700,000 | 11,700,000 | |
Series LB 05 P1U, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(c) | 3,775,000 | 3,775,000 | |
Series MACN 05 C, 3.64% (Liquidity Facility Bank of America NA) (b)(c) | 3,950,000 | 3,950,000 | |
Series Merlots 04 B12, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 2,180,000 | 2,180,000 | |
Series Merlots 06 B30, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 10,400,000 | 10,400,000 | |
Series Merlots 06 B7, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 10,000,000 | 10,000,000 | |
Series MS 01 535, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 5,400,000 | 5,400,000 | |
Series MS 1015, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 3,000,000 | 3,000,000 | |
Series MS 1186, 3.64% (Liquidity Facility Rabobank Nederland Coop. Central) (b)(c) | 5,500,000 | 5,500,000 | |
Series MS 1279, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 5,239,500 | 5,239,500 | |
Series MS 903, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 6,500,000 | 6,500,000 | |
Series PT 1281, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 3,000,000 | 3,000,000 | |
Series PT 2279, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 5,270,000 | 5,270,000 | |
Series PT 2299, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 5,165,000 | 5,165,000 | |
Series PT 2332, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 5,430,000 | 5,430,000 | |
Series PT 2426, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 4,800,000 | 4,800,000 | |
Series PT 2618, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 9,960,000 | 9,960,000 | |
Series PT 2623, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 7,305,000 | 7,305,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series PT 3202, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | $ 6,270,000 | $ 6,270,000 | |
Series PT 3222, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 17,940,000 | 17,940,000 | |
Series PT 3381, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 2,540,000 | 2,540,000 | |
Series PT 3423, 3.63% (Liquidity Facility DEPFA BANK PLC) (b)(c) | 5,500,000 | 5,500,000 | |
Series PT 3544, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 16,585,000 | 16,585,000 | |
Series PT 3613, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 7,040,000 | 7,040,000 | |
Series PT 3625, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 7,670,000 | 7,670,000 | |
Series PT 3650, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 13,200,000 | 13,200,000 | |
Series PT 3673, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 7,565,000 | 7,565,000 | |
Series PT 391, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 12,130,000 | 12,130,000 | |
Series PT 921, 3.63% (Liquidity Facility BNP Paribas SA) (b)(c) | 5,430,000 | 5,430,000 | |
Series PT 983, 3.63% (Liquidity Facility DEPFA BANK PLC) (b)(c) | 7,395,000 | 7,395,000 | |
Series PT 987, 3.63% (Liquidity Facility DEPFA BANK PLC) (b)(c) | 8,140,000 | 8,140,000 | |
Series Putters 301, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(c) | 4,620,000 | 4,620,000 | |
Series ROC II R102, 3.65% (Liquidity Facility Citibank NA) (b)(c) | 4,865,000 | 4,865,000 | |
Series SG 126, 3.63% (Liquidity Facility Societe Generale) (b)(c) | 3,255,000 | 3,255,000 | |
Series Stars 100, 3.63% (Liquidity Facility BNP Paribas SA) (b)(c) | 7,705,000 | 7,705,000 | |
Series TOC 05 BB, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(c) | 7,950,000 | 7,950,000 | |
Series 1997 B, 3.6% (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (b) | 27,000,000 | 27,000,000 | |
Series 1998 A, 3.58% (Liquidity Facility WestLB AG), VRDN (b) | 7,500,000 | 7,500,000 | |
Series 2005 A, 3.51% (Liquidity Facility Citibank NA), VRDN (b) | 31,275,000 | 31,275,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series 2006 A, 3.71% (Liquidity Facility Dexia Cr. Local de France), VRDN (b) | $ 9,200,000 | $ 9,200,000 | |
Massachusetts Health & Edl. Facilities Auth. Rev.: | |||
Bonds (South Shore Hosp. Proj.) Series F, 5% 7/1/07 | 1,915,000 | 1,925,667 | |
Participating VRDN: | |||
Series 01 834, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 11,400,000 | 11,400,000 | |
Series EGL 03 18 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 9,995,000 | 9,995,000 | |
Series Merlots 00 T, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 1,575,000 | 1,575,000 | |
Series Merlots 00 WW, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 13,000,000 | 13,000,000 | |
Series Merlots 97 Y, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 4,435,000 | 4,435,000 | |
Series PA 1385, 3.67% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 2,610,000 | 2,610,000 | |
Series PA 595R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 4,000,000 | 4,000,000 | |
Series PA 973R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 3,300,000 | 3,300,000 | |
Series PT 2664, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 7,030,000 | 7,030,000 | |
Series PT 2665, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 9,600,000 | 9,600,000 | |
Series PT 2872, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 6,940,000 | 6,940,000 | |
Series PT 3621, 3.61% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 3,300,000 | 3,300,000 | |
Series PT 904, 3.63% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(c) | 10,900,000 | 10,900,000 | |
Series SGB 42, 3.65% (Liquidity Facility Societe Generale) (b)(c) | 8,700,000 | 8,700,000 | |
(Baystate Med. Ctr. Proj.) Series G, 3.5%, LOC Bank of America NA, VRDN (b) | 40,290,000 | 40,290,000 | |
(Bentley College Proj.) Series K, 3.48%, LOC Bank of America NA, VRDN (b) | 4,900,000 | 4,900,000 | |
(Children's Hosp. Proj.) Series L-2, 3.67% (AMBAC Insured), VRDN (b) | 16,000,000 | 16,000,000 | |
(Fairview Extended Care Proj.) Series B, 3.58%, LOC Bank of America NA, VRDN (b) | 3,055,000 | 3,055,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Health & Edl. Facilities Auth. Rev.: - continued | |||
(Harvard Univ. Proj.): | |||
Series BB 3.59%, VRDN (b) | $ 14,200,000 | $ 14,200,000 | |
Series GG1, 3.59%, VRDN (b) | 22,185,000 | 22,185,000 | |
(Harvard Vanguard Med. Associates Proj.) 3.61%, LOC Bank of America NA, VRDN (b) | 2,530,000 | 2,530,000 | |
(Home for Little Wanderers Proj.) Series B, 3.61%, LOC Citizens Bank of Massachusetts, VRDN (b) | 4,345,000 | 4,345,000 | |
(Northeast Hosp. Corp. Proj.) Series H, 3.47%, LOC Bank of America NA, VRDN (b) | 5,600,000 | 5,600,000 | |
(Partners HealthCare Sys., Inc. Proj.): | |||
Series P1, 3.48% (FSA Insured), VRDN (b) | 19,270,000 | 19,270,000 | |
Series P2, 3.5% (FSA Insured), VRDN (b) | 44,700,000 | 44,700,000 | |
(Simmons College Proj.) Series E, 3.48% (AMBAC Insured), VRDN (b) | 9,170,000 | 9,170,000 | |
(Wellesley College) Issue B, 3.5%, VRDN (b) | 2,200,000 | 2,200,000 | |
(Williams College Proj.) Series E, 3.46%, VRDN (b) | 7,050,000 | 7,050,000 | |
Series B, 3.61%, LOC Citizens Bank of Massachusetts, VRDN (b) | 7,925,000 | 7,925,000 | |
3.57% 4/10/07, CP | 26,900,000 | 26,900,000 | |
3.61% 3/6/07, CP | 15,900,000 | 15,900,000 | |
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.: | |||
Participating VRDN Series Merlots H, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 8,375,000 | 8,375,000 | |
Series 2003 F, 3.45% (FSA Insured), VRDN (b) | 4,200,000 | 4,200,000 | |
Massachusetts Indl. Fin. Agcy. Rev.: | |||
(JHC Assisted Living Corp. Proj.) Series 1998 A, 3.62%, LOC SunTrust Banks, Inc., VRDN (b) | 2,000,000 | 2,000,000 | |
(Mary Ann Morse Nursing Home Proj.): | |||
Series 1994 A, 3.62%, LOC Bank of America NA, VRDN (b) | 2,500,000 | 2,500,000 | |
Series 1994 B, 3.62%, LOC Bank of America NA, VRDN (b) | 3,800,000 | 3,800,000 | |
(Society for the Prevention of Cruelty to Animals Proj.) | 3,555,000 | 3,555,000 | |
(Youville Place Proj.) Series 1996, 3.67% (AMBAC Insured), VRDN (b) | 3,700,000 | 3,700,000 | |
Cap. Apprec. Bonds (Massachusetts Biomedical Research Corp. Proj.) Series A2, 0% 8/1/07 | 5,800,000 | 5,694,983 | |
Massachusetts Port Auth. Rev.: | |||
Participating VRDN: | |||
Series PA 599R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 4,850,000 | 4,850,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Port Auth. Rev.: - continued | |||
Participating VRDN: | |||
Series Putters 893, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(c) | $ 12,365,000 | $ 12,365,000 | |
Series 2003 B, 3.58% 3/6/07, LOC WestLB AG, CP | 4,000,000 | 4,000,000 | |
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN: | |||
Series EGL 7050070 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 10,000,000 | 10,000,000 | |
Series PT 3105, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 6,320,000 | 6,320,000 | |
Series Putters 1197, 3.66% (Liquidity Facility Deutsche Postbank AG) (b)(c) | 7,720,000 | 7,720,000 | |
Series Putters 1376, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(c) | 9,635,000 | 9,635,000 | |
Series Putters 1430, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(c) | 10,250,000 | 10,250,000 | |
Series ROC II R414, 3.65% (Liquidity Facility Citibank NA) (b)(c) | 2,600,000 | 2,600,000 | |
3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 8,270,000 | 8,270,000 | |
Massachusetts Spl. Oblig. Dedicated Tax Rev. | |||
Series EGL 04 25 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 2,015,000 | 2,015,000 | |
Series MACN 05 K, 3.64% (Liquidity Facility Bank of America NA) (b)(c) | 7,000,000 | 7,000,000 | |
Series PT 3058, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 18,940,000 | 18,940,000 | |
Series PT 3511, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(c) | 6,980,000 | 6,980,000 | |
Massachusetts Tpk. Auth. Metropolitan Hwy. Sys. Rev. Participating VRDN Series SG 124, 3.63% (Liquidity Facility Societe Generale) (b)(c) | 16,985,000 | 16,985,000 | |
Massachusetts Tpk. Auth. Tpk. Rev. Participating VRDN | 19,885,000 | 19,885,000 | |
Massachusetts Wtr. Poll. Abatement Trust: | |||
Bonds Series PT 2365, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) (b)(c)(d) | 5,840,000 | 5,840,000 | |
Participating VRDN: | |||
Series Putters 1627, 3.63% (Liquidity Facility JPMorgan Chase Bank) (b)(c) | 5,045,000 | 5,045,000 | |
Series Putters 578, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(c) | 4,965,000 | 4,965,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Wtr. Poll. Abatement Trust: - continued | |||
Participating VRDN: | |||
Series Putters 867T, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(c) | $ 3,825,000 | $ 3,825,000 | |
Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. Participating VRDN: | |||
Series Merlots 99 N, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(c) | 5,070,000 | 5,070,000 | |
Series SGA 87, 3.73% (Liquidity Facility Societe Generale) (b)(c) | 2,000,000 | 2,000,000 | |
Massachusetts Wtr. Resources Auth.: | |||
Participating VRDN: | |||
Series 06 97 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(c) | 3,700,000 | 3,700,000 | |
Series AAB 05 10, 3.64% (Liquidity Facility ABN-AMRO Bank NV) (b)(c) | 5,500,000 | 5,500,000 | |
Series EGL 02 2101, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 4,600,000 | 4,600,000 | |
Series EGL 06 35 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 7,300,000 | 7,300,000 | |
Series EGL 7050015 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(c) | 7,000,000 | 7,000,000 | |
Series MS 04 1038, 3.64% (Liquidity Facility Morgan Stanley) (b)(c) | 8,870,000 | 8,870,000 | |
Series Putters 826, 3.64% (Liquidity Facility Dresdner Bank AG) (b)(c) | 3,325,000 | 3,325,000 | |
Series ROC II R252, 3.65% (Liquidity Facility Citibank NA) (b)(c) | 6,585,000 | 6,585,000 | |
Series 1997 B, 3.48% (AMBAC Insured), VRDN (b) | 13,655,000 | 13,655,000 | |
Series 1998 D, 3.48% (FGIC Insured), VRDN (b) | 30,900,000 | 30,900,000 | |
Series 2000 B, 3.48% (FGIC Insured), VRDN (b) | 14,455,000 | 14,455,000 | |
Series 2000 C, 3.48% (FGIC Insured), VRDN (b) | 9,475,000 | 9,475,000 | |
Series 2001 A, 3.5% (FGIC Insured), VRDN (b) | 5,255,000 | 5,255,000 | |
Series 99, 3.6% 3/2/07, LOC State Street Bank & Trust Co., Boston, CP | 3,000,000 | 3,000,000 | |
Peabody Gen. Oblig. BAN 4.35% 9/26/07 | 5,985,000 | 6,013,874 | |
Route 3 North Trans. Impt. Assoc. Lease Rev. | |||
Series AAB 00 14, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(c) | 6,535,000 | 6,535,000 | |
Series EGL 01 2101, 3.66% (Liquidity Facility Citibank NA) (b)(c) | 2,200,000 | 2,200,000 | |
Shrewsbury Gen. Oblig. BAN 4% 11/21/07 | 6,000,000 | 6,020,107 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Springfield Pub. Util. Rev. Participating VRDN Series AAB 05 34, 3.64% (Liquidity Facility ABN-AMRO Bank NV) (b)(c) | $ 13,395,000 | $ 13,395,000 | |
Univ. of Massachusetts Bldg. Auth. Facilities Rev. Participating VRDN Series PT 2242, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 2,600,000 | 2,600,000 | |
Univ. of Massachusetts Bldg. Auth. Proj. Rev.: | |||
Participating VRDN Series ROC II 2038, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(c) | 5,090,000 | 5,090,000 | |
Series 1, 3.51% (AMBAC Insured), VRDN (b) | 26,300,000 | 26,300,000 | |
Worcester Gen. Oblig. BAN Series A, 4% 11/8/07 | 6,200,000 | 6,219,738 | |
1,675,463,815 | |||
Puerto Rico - 5.7% | |||
Puerto Rico Commonwealth Gen. Oblig. Participating VRDN: | |||
Series LB 05 F2, 3.56% (Lehman Brothers Hldgs., Inc. Guaranteed) (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(c) | 12,800,000 | 12,800,000 | |
Series Merlots 01 A107, 3.5% (Liquidity Facility Bank of New York, New York) (b)(c) | 24,460,000 | 24,460,000 | |
Series MT 218, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 7,300,000 | 7,300,000 | |
Series MT 251, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 9,000,000 | 9,000,000 | |
Series ROC II R185, 3.59% (Liquidity Facility Citibank NA) (b)(c) | 4,000,000 | 4,000,000 | |
Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev. Participating VRDN Series ROC II 99 2, 3.59% (Liquidity Facility Citibank NA) (b)(c) | 1,500,000 | 1,500,000 | |
Puerto Rico Commonwealth Infrastructure Fing. Auth. Participating VRDN Series Merlots 00 A15, 3.5% (Liquidity Facility Bank of New York, New York) (b)(c) | 14,160,000 | 14,160,000 | |
Puerto Rico Elec. Pwr. Auth. Pwr. Rev. Participating VRDN: | |||
Series EGL 06 102 Class A, 3.6% (Liquidity Facility Citibank NA) (b)(c) | 8,000,000 | 8,000,000 | |
Series Merlots B03, 3.5% (Liquidity Facility Wachovia Bank NA) (b)(c) | 10,240,000 | 10,240,000 | |
Series MS 1276, 3.6% (Liquidity Facility Morgan Stanley) (b)(c) | 6,700,000 | 6,700,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Puerto Rico - continued | |||
Puerto Rico Indl., Tourist, Edl., Med. & Envir. Cont. Facilities Fing. Auth. (Ana G. Mendez Univ. Sys. Proj.) Series 1998, 3.55%, LOC Banco Santander Central Hispano SA, VRDN (b) | $ 1,100,000 | $ 1,100,000 | |
Puerto Rico Muni. Fin. Agcy. Participating VRDN Series MT 213, 3.61% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c) | 5,580,000 | 5,580,000 | |
104,840,000 | |||
TOTAL INVESTMENT PORTFOLIO - 97.2% (Cost $1,780,303,815) | 1,780,303,815 | ||
NET OTHER ASSETS - 2.8% | 51,560,620 | ||
NET ASSETS - 100% | $ 1,831,864,435 |
Security Type Abbreviations |
BAN - BOND ANTICIPATION NOTE |
CP - COMMERCIAL PAPER |
VRDN - VARIABLE RATE DEMAND NOTE |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $16,900,000 or 0.9% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Provides evidence of ownership in one or more underlying municipal bonds. |
(d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $11,305,000 or 0.6% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Cost |
Massachusetts Gen. Oblig. Bonds Series PT 2367, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) | 9/9/04 | $ 5,465,000 |
Massachusetts Wtr. Poll. Abatement Trust Bonds Series PT 2365, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) | 9/9/04 | $ 5,840,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Tax-Free Cash Central Fund | $ 287,304 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts AMT Tax-Free Money Market Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2007 | ||
Assets | ||
Investment in securities, at value - Unaffiliated issuers (cost $1,780,303,815) | $ 1,780,303,815 | |
Cash | 18,997,053 | |
Receivable for investments sold | 21,717,890 | |
Receivable for fund shares sold | 6,863,978 | |
Interest receivable | 13,353,396 | |
Receivable from investment adviser for expense reductions | 33,507 | |
Other receivables | 237,550 | |
Total assets | 1,841,507,189 | |
Liabilities | ||
Payable for investments purchased | $ 7,565,730 | |
Payable for fund shares redeemed | 883,443 | |
Distributions payable | 546,330 | |
Accrued management fee | 646,340 | |
Other affiliated payables | 911 | |
Total liabilities | 9,642,754 | |
Net Assets | $ 1,831,864,435 | |
Net Assets consist of: | ||
Paid in capital | $ 1,831,594,719 | |
Distributions in excess of net investment income | (909) | |
Accumulated undistributed net realized gain (loss) on investments | 270,625 | |
Net Assets, for 1,831,268,043 shares outstanding | $ 1,831,864,435 | |
Net Asset Value, offering price and redemption price per share ($1,831,864,435 ÷ 1,831,268,043 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts AMT Tax-Free Money Market Fund
Financial Statements - continued
Statement of Operations
Year ended January 31, 2007 | ||
Investment Income | ||
Interest | $ 54,767,968 | |
Income from Fidelity Central Funds | 287,304 | |
Total income | 55,055,272 | |
Expenses | ||
Management fee | $ 6,903,267 | |
Independent trustees' compensation | 5,798 | |
Total expenses before reductions | 6,909,065 | |
Expense reductions | (1,808,373) | 5,100,692 |
Net investment income | 49,954,580 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 389,261 | |
Net increase in net assets resulting from operations | $ 50,343,841 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 49,954,580 | $ 26,675,753 |
Net realized gain (loss) | 389,261 | (64,707) |
Net increase in net assets resulting | 50,343,841 | 26,611,046 |
Distributions to shareholders from net investment income | (49,955,001) | (26,675,309) |
Distributions to shareholders from net realized gain | (174,209) | - |
Total distributions | (50,129,210) | (26,675,309) |
Share transactions at net asset value of $1.00 per share | 1,479,862,698 | 1,199,435,944 |
Reinvestment of distributions | 44,263,825 | 23,862,563 |
Cost of shares redeemed | (1,080,993,567) | (821,685,519) |
Net increase (decrease) in net assets and shares resulting from share transactions | 443,132,956 | 401,612,988 |
Total increase (decrease) in net assets | 443,347,587 | 401,548,725 |
Net Assets | ||
Beginning of period | 1,388,516,848 | 986,968,123 |
End of period (including distributions in excess of net investment income of $909 and distributions in excess of net investment income of $1,159, respectively) | $ 1,831,864,435 | $ 1,388,516,848 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended January 31, | 2007 | 2006 | 2005 | 2004 | 2003 |
Selected Per-Share Data | |||||
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | |||||
Net investment income | .031 | .022 | .009 | .007 | .011 |
Net realized and unrealized gain (loss) D | - | - | - | - | - |
Total from investment operations | .031 | .022 | .009 | .007 | .011 |
Distributions from net investment income | (.031) | (.022) | (.009) | (.007) | (.011) |
Distributions from net realized gain | - D | - | - D | - D | - |
Total distributions | (.031) | (.022) | (.009) | (.007) | (.011) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return A | 3.15% | 2.19% | .95% | .69% | 1.11% |
Ratios to Average Net Assets B, C | |||||
Expenses before reductions | .43% | .43% | .43% | .43% | .43% |
Expenses net of fee waivers, if any | .40% | .40% | .40% | .40% | .40% |
Expenses net of all reductions | .32% | .32% | .38% | .39% | .37% |
Net investment income | 3.11% | 2.20% | .90% | .68% | 1.11% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 1,831,864 | $ 1,388,517 | $ 986,968 | $ 999,019 | $ 1,031,989 |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
C Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
D Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts Municipal Money Market Fund
Investment Changes/Performance
Maturity Diversification | |||
Days | % of fund's investments 1/31/07 | % of fund's investments 7/31/06 | % of fund's investments 1/31/06 |
0 - 30 | 95.1 | 95.3 | 88.2 |
31 - 90 | 1.9 | 3.2 | 4.6 |
91 - 180 | 0.6 | 1.0 | 3.7 |
181 - 397 | 2.4 | 0.5 | 3.5 |
Weighted Average Maturity | |||
1/31/07 | 7/31/06 | 1/31/06 | |
Fidelity Massachusetts Municipal Money Market Fund | 15 Days | 11 Days | 23 Days |
Massachusetts Tax-Free Money Market Funds Average* | 18 Days | 15 Days | 24 Days |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2007 | As of July 31, 2006 | ||||||
![]() | Variable Rate | ![]() | Variable Rate | ||||
![]() | Commercial Paper (including | ![]() | Commercial Paper (including | ||||
![]() | Tender Bonds 0.6% | ![]() | Tender Bonds 1.6% | ||||
![]() | Municipal Notes 1.8% | ![]() | Municipal Notes 2.7% | ||||
![]() | Fidelity Municipal | ![]() | Fidelity Municipal | ||||
![]() | Other Investments 0.6% | ![]() | Other Investments 0.7% | ||||
![]() | Net Other Assets 4.9% | ![]() | Net Other Assets 3.1% |
Current and Historical Seven-Day Yields
1/29/07 | 10/30/06 | 7/31/06 | 5/1/06 | 1/30/06 | |
Fidelity Massachusestts Municipal Money Market Fund | 3.10% | 3.09% | 3.06% | 3.28% | 2.53% |
Yield refers to the income paid by the fund over a given period. Yields for money market funds are usually for seven-day periods, as they are here, though they are expressed as annual percentage rates. Past performance is no guarantee of future results. Yield will vary and it is possible to lose money by investing in the fund.
*Source: iMoneyNet, Inc.
Annual Report
Fidelity Massachusetts Municipal Money Market Fund
Investments January 31, 2007
Showing Percentage of Net Assets
Municipal Securities - 95.1% | |||
Principal | Value | ||
Massachusetts - 90.1% | |||
Bedford BAN 4.5% 7/27/07 | $ 20,000,000 | $ 20,066,822 | |
Boston Indl. Dev. Rev. (New Boston Seafood Ctr., Inc. Proj.) Series 1997, 3.66%, LOC Bank of America NA, VRDN (b)(c) | 3,360,000 | 3,360,000 | |
Boston Wtr. & Swr. Commission Rev. Participating VRDN: | |||
Series MS 00 434, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 5,530,000 | 5,530,000 | |
Series SG 75, 3.63% (Liquidity Facility Societe Generale) (b)(d) | 13,480,000 | 13,480,000 | |
Clipper Tax-Exempt Trust Participating VRDN: | |||
Series Clipper 05 36, 3.64% (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(d) | 11,835,000 | 11,835,000 | |
3.64% (Liquidity Facility State Street Bank & Trust Co., Boston) (a)(b)(d) | 46,500,000 | 46,500,000 | |
Dudley Charlton Reg'l. School District Participating VRDN Series PA 521, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 5,675,000 | 5,675,000 | |
Eclipse Fdg. Trust Var States Participating VRDN: | |||
Series Solar 05 03, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(d) | 29,025,000 | 29,025,000 | |
Series Solar 06 108, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(d) | 14,700,000 | 14,700,000 | |
Series Solar 07 001, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(d) | 11,800,000 | 11,800,000 | |
Series Solar 07 10, 3.63% (Liquidity Facility U.S. Bank NA, Minnesota) (b)(d) | 13,800,000 | 13,800,000 | |
Haverhill Gen. Oblig. BAN 4.25% 12/14/07 | 7,000,000 | 7,043,875 | |
Hull Gen. Oblig. BAN Series A, 4.5% 7/13/07 | 3,299,379 | 3,308,395 | |
Lehman Muni. Trust Rcpts Various States Participating VRDN Series LB 06 P51U, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(d) | 11,360,000 | 11,360,000 | |
Massachusetts Bay Trans. Auth.: | |||
Participating VRDN: | |||
Series EGL 04 24, Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 10,070,000 | 10,070,000 | |
Series EGL 99 2101, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 12,600,000 | 12,600,000 | |
Series Merlots 00 H, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 24,930,000 | 24,930,000 | |
Series MS 00 431, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 1,895,000 | 1,895,000 | |
Series MS 98 107, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 5,565,000 | 5,565,000 | |
Series PA 675, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,670,000 | 4,670,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Bay Trans. Auth.: - continued | |||
Participating VRDN: | |||
Series PT 3619, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | $ 9,985,000 | $ 9,985,000 | |
Series PT 3827, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 5,775,000 | 5,775,000 | |
Series Putters 1062, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 12,315,000 | 12,315,000 | |
Series ROC II R6522, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 10,405,000 | 10,405,000 | |
Series TOC 04 D, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 17,800,000 | 17,800,000 | |
Gen.Trans. Sys. 3.45% (Liquidity Facility WestLB AG), VRDN (b) | 63,100,000 | 63,100,000 | |
Massachusetts Bay Trans. Auth. Sales Tax Rev. Participating VRDN: | |||
Series Covers 06 02, 3.64% (Liquidity Facility Bank of New York, New York) (b)(d) | 2,000,000 | 2,000,000 | |
Series DB 163, 3.63% (Liquidity Facility Deutsche Bank AG) (b)(d) | 5,525,000 | 5,525,000 | |
Series DB 183, 3.63% (Liquidity Facility Deutsche Bank AG) (b)(d) | 8,480,000 | 8,480,000 | |
Series MACN 05 E, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 7,600,000 | 7,600,000 | |
Series Merlots 06 B35, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 48,400,000 | 48,400,000 | |
Series MS 01 723, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 34,210,000 | 34,210,000 | |
Series MS 1195, 3.65% (Liquidity Facility Morgan Stanley) (b)(d) | 9,905,500 | 9,905,500 | |
Series PT 1580, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 10,000,000 | 10,000,000 | |
Series PT 2459, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 37,595,000 | 37,595,000 | |
Series PT 2581, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 136,605,000 | 136,605,000 | |
Series PT 2625, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 15,990,000 | 15,990,000 | |
Series PT 3585, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 25,060,000 | 25,060,000 | |
Series PT 3603, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 16,390,000 | 16,390,000 | |
Series Putters 1387, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 6,590,000 | 6,590,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Bay Trans. Auth. Sales Tax Rev. | |||
Series Putters 733T, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | $ 10,095,000 | $ 10,095,000 | |
Series ROC II R1034, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 7,995,000 | 7,995,000 | |
Massachusetts College Bldg. Auth. Proj. Rev. Participating VRDN Series Merlots 00 B11, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 8,100,000 | 8,100,000 | |
Massachusetts Dev. Fin. Agcy. Assisted Living Facility Rev. (Whalers Cove Proj.) Series 2001 A, 3.67%, LOC Wachovia Bank NA, VRDN (b)(c) | 3,250,000 | 3,250,000 | |
Massachusetts Dev. Fin. Agcy. Indl. Dev. Rev.: | |||
(Charm Sciences, Inc. Proj.) Series 1999 A, 3.63%, LOC Bank of America NA, VRDN (b)(c) | 3,200,000 | 3,200,000 | |
(Monkiewicz Realty Trust Proj.) 3.53%, LOC Bank of America NA, VRDN (b)(c) | 5,060,000 | 5,060,000 | |
Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev.: | |||
(Archstone Reading Apartments Proj.) Series A, 3.55%, LOC PNC Bank NA, Pittsburgh, VRDN (b)(c) | 21,400,000 | 21,400,000 | |
(Casco Crossing Proj.) 3.69%, LOC Fannie Mae, VRDN (b)(c) | 13,000,000 | 13,000,000 | |
(Georgetown Village Apts. Proj.) 3.69%, LOC Fannie Mae, VRDN (b)(c) | 9,750,000 | 9,750,000 | |
(Salem Heights Apts. Proj.) Series A, 3.61%, LOC Fed. Home Ln. Bank of Boston, VRDN (b)(c) | 17,000,000 | 17,000,000 | |
Series A, 3.58%, LOC Bayerische Landesbank (UNGTD), VRDN (b)(c) | 23,000,000 | 23,000,000 | |
3.63%, LOC Fannie Mae, VRDN (b)(c) | 18,000,000 | 18,000,000 | |
Massachusetts Dev. Fin. Agcy. Resource Recovery Rev. (Waste Mgmt., Inc. Proj.) Series 1999, 3.67%, LOC SunTrust Banks, Inc., VRDN (b)(c) | 4,500,000 | 4,500,000 | |
Massachusetts Dev. Fin. Agcy. Rev.: | |||
Participating VRDN: | |||
Series EGL 7053024 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(d) | 20,835,000 | 20,835,000 | |
Series LB 05 K10, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(d) | 3,500,000 | 3,500,000 | |
Series MACN 05 J, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 17,195,000 | 17,195,000 | |
Series MACN 06 P, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 8,760,000 | 8,760,000 | |
(Alliance of Massachusetts, Inc. Proj.) Series 2001 A, 3.66%, LOC PNC Bank NA, Pittsburgh, VRDN (b) | 6,705,000 | 6,705,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Dev. Fin. Agcy. Rev.: - continued | |||
(Beaver Country Day School Proj.) 3.61%, LOC Allied Irish Banks PLC, VRDN (b) | $ 7,700,000 | $ 7,700,000 | |
(Boston Renaissance Charter School Proj.) 3.61%, LOC Bank of America NA, VRDN (b) | 13,090,000 | 13,090,000 | |
(Childrens Museum Proj.) 3.48%, LOC Citizens Bank of Massachusetts, VRDN (b) | 15,000,000 | 15,000,000 | |
(Edgewood Retirement Proj.) Series A, 3.56%, LOC Lloyds TSB Bank PLC, VRDN (b) | 10,745,000 | 10,745,000 | |
(Judge Rotenburg Ctr. Proj.) 3.48%, LOC Bank of America NA, VRDN (b) | 4,380,000 | 4,380,000 | |
(Neighborhood House Charter Proj.) Series A, 3.61%, LOC Bank of America NA, VRDN (b) | 7,100,000 | 7,100,000 | |
(Newton Country Day School Proj.): | |||
3.61%, LOC Bank of America NA, VRDN (b) | 7,535,000 | 7,535,000 | |
3.61%, LOC Bank of America NA, VRDN (b) | 10,280,000 | 10,280,000 | |
(Sherburne Commons, Inc. Proj.) 3.62%, LOC Comerica Bank, Detroit, VRDN (b) | 24,100,000 | 24,100,000 | |
(The May Institute, Inc. Proj.) Series H, 3.61%, LOC Banco Santander Central Hispano SA, VRDN (b) | 6,500,000 | 6,500,000 | |
(The Rivers School Proj.) 3.62%, LOC Citizens Bank of Massachusetts, VRDN (b) | 7,000,000 | 7,000,000 | |
(Third Sector New England, Inc. Proj.) Series A, 3.61%, LOC Bank of America NA, VRDN (b) | 17,600,000 | 17,600,000 | |
(WGBH Edl. Foundation Proj.): | |||
Series 2005 A, 3.5% (AMBAC Insured), VRDN (b) | 15,910,000 | 15,910,000 | |
Series 2006 A, 3.5% (AMBAC Insured), VRDN (b) | 45,425,000 | 45,425,000 | |
Series B, 3.5% (AMBAC Insured), VRDN (b) | 28,300,000 | 28,300,000 | |
(YMCA of Greater Boston Proj.): | |||
Series A, 3.62%, LOC Citizens Bank of Massachusetts, VRDN (b) | 25,680,000 | 25,680,000 | |
Series B, 3.62%, LOC Citizens Bank of Massachusetts, VRDN (b) | 5,000,000 | 5,000,000 | |
Series A, 3.58%, LOC Bank of America NA, VRDN (b) | 17,600,000 | 17,600,000 | |
3.6%, LOC Fifth Third Bank, Cincinnati, VRDN (b) | 9,000,000 | 9,000,000 | |
3.64%, LOC Keybank Nat'l. Assoc., VRDN (b) | 19,000,000 | 19,000,000 | |
Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. (Wheelabrator Millbury Proj.) 3.78%, LOC JPMorgan Chase Bank, VRDN (b)(c) | 10,000,000 | 10,000,000 | |
Massachusetts Dev. Fin. Agcy. Sr. Living Facility Rev. (New England Deaconess Assoc. Proj.) 3.6%, LOC Lloyds TSB Bank PLC, VRDN (b) | 18,750,000 | 18,750,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Fed. Hwy. Participating VRDN Series PT 393, 3.63% (Liquidity Facility BNP Paribas SA) (b)(d) | $ 8,010,000 | $ 8,010,000 | |
Massachusetts Gen. Oblig.: | |||
Bonds: | |||
Series A, 5.25% 1/1/08 | 5,100,000 | 5,179,684 | |
Series PT 2289, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) (b)(d)(e) | 11,180,000 | 11,180,000 | |
Participating VRDN: | |||
Series AAB 00 18, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(d) | 14,740,000 | 14,740,000 | |
Series AAB 02 18, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(d) | 14,375,000 | 14,375,000 | |
Series BA 01 O, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 2,785,000 | 2,785,000 | |
Series BA 02 C, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 3,490,000 | 3,490,000 | |
Series EGL 00 2102, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 7,400,000 | 7,400,000 | |
Series EGL 01 2104, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 16,100,000 | 16,100,000 | |
Series EGL 01 2105, 3.66% (Liquidity Facility Bayerische Landesbank (UNGTD)) (b)(d) | 14,585,000 | 14,585,000 | |
Series EGL 02 6008 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 7,860,000 | 7,860,000 | |
Series GS 06 67, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 8,810,000 | 8,810,000 | |
Series IXIS 04 9, 3.65% (Liquidity Facility CDC Fin.-CDC IXIS) (b)(d) | 22,620,000 | 22,620,000 | |
Series LB 05 P1U, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(d) | 18,195,000 | 18,195,000 | |
Series LB 06 K16, 3.52% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(d) | 5,825,000 | 5,825,000 | |
Series MACN 05 C, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 3,950,000 | 3,950,000 | |
Series Merlots 04 B12, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 10,615,000 | 10,615,000 | |
Series Merlots 06 B30, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 25,600,000 | 25,600,000 | |
Series Merlots 06 B8, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 15,000,000 | 15,000,000 | |
Series MS 01 535, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 19,897,000 | 19,897,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series MS 01 785 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | $ 8,795,000 | $ 8,795,000 | |
Series MS 06 1496, 3.64% (Liquidity Facility Rabobank Nederland Coop. Central) (b)(d) | 5,125,000 | 5,125,000 | |
Series MS 1015, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 7,100,500 | 7,100,500 | |
Series MS 1186, 3.64% (Liquidity Facility Rabobank Nederland Coop. Central) (b)(d) | 16,260,000 | 16,260,000 | |
Series MS 1279, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 5,155,500 | 5,155,500 | |
Series MS 903, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 1,495,000 | 1,495,000 | |
Series MSTC 06 7011 Class A, 3.63% (Liquidity Facility Bear Stearns Companies, Inc.) (b)(d) | 5,000,000 | 5,000,000 | |
Series MT 127, 3.63% (Liquidity Facility BNP Paribas SA) (b)(d) | 5,495,000 | 5,495,000 | |
Series PA 1059, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,900,000 | 4,900,000 | |
Series PA 945R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,995,000 | 4,995,000 | |
Series PA 993R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 3,505,000 | 3,505,000 | |
Series PT 1390, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 10,100,000 | 10,100,000 | |
Series PT 1609, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 10,015,000 | 10,015,000 | |
Series PT 1611, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 15,625,000 | 15,625,000 | |
Series PT 1618, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 8,020,000 | 8,020,000 | |
Series PT 1802, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,945,000 | 4,945,000 | |
Series PT 2008, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 11,000,000 | 11,000,000 | |
Series PT 2015, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 11,095,000 | 11,095,000 | |
Series PT 2118, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 10,430,000 | 10,430,000 | |
Series PT 2252, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 11,325,000 | 11,325,000 | |
Series PT 2421, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 26,305,000 | 26,305,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series PT 2426, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | $ 21,695,000 | $ 21,695,000 | |
Series PT 2427, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 6,765,000 | 6,765,000 | |
Series PT 2618, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 6,000,000 | 6,000,000 | |
Series PT 3202, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 19,920,000 | 19,920,000 | |
Series PT 3222, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 2,860,000 | 2,860,000 | |
Series PT 3381, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,360,000 | 9,360,000 | |
Series PT 3423, 3.63% (Liquidity Facility DEPFA BANK PLC) (b)(d) | 37,045,000 | 37,045,000 | |
Series PT 3613, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 24,375,000 | 24,375,000 | |
Series PT 3650, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 32,405,000 | 32,405,000 | |
Series PT 3651, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 118,395,000 | 118,395,000 | |
Series PT 3673, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 20,400,000 | 20,400,000 | |
Series PT 3742, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 6,390,000 | 6,390,000 | |
Series PT 3745, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 40,650,000 | 40,650,000 | |
Series PT 3841, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 11,295,000 | 11,295,000 | |
Series PT 921, 3.63% (Liquidity Facility BNP Paribas SA) (b)(d) | 18,700,000 | 18,700,000 | |
Series PT 983, 3.63% (Liquidity Facility DEPFA BANK PLC) (b)(d) | 25,800,000 | 25,800,000 | |
Series Putter 1457, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 8,650,000 | 8,650,000 | |
Series Putters 300, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 24,105,000 | 24,105,000 | |
Series Putters 301, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 19,310,000 | 19,310,000 | |
Series Putters 317, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 13,090,000 | 13,090,000 | |
Series Putters 340, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 6,365,000 | 6,365,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Gen. Oblig.: - continued | |||
Participating VRDN: | |||
Series Putters 343, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | $ 7,775,000 | $ 7,775,000 | |
Series Putters 402, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 29,860,000 | 29,860,000 | |
Series Putters 571, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 5,125,000 | 5,125,000 | |
Series Putters 794, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 5,420,000 | 5,420,000 | |
Series ROC II 4526, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 5,115,000 | 5,115,000 | |
Series ROC II R191, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 5,995,000 | 5,995,000 | |
Series ROC II R2042, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 5,115,000 | 5,115,000 | |
Series ROC II R6050, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 8,765,000 | 8,765,000 | |
Series ROC II RR 587, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 4,995,000 | 4,995,000 | |
Series TOC 05 B, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 20,000,000 | 20,000,000 | |
Series TOC 05 BB, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 8,000,000 | 8,000,000 | |
Series TOC 05 C, 3.63% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 9,900,000 | 9,900,000 | |
Series 1997 B, 3.6% (Liquidity Facility Landesbank Hessen-Thuringen), VRDN (b) | 70,835,000 | 70,835,000 | |
Series 1998 A, 3.58% (Liquidity Facility WestLB AG), VRDN (b) | 121,475,000 | 121,475,000 | |
Series 1998 B, 3.58% (Liquidity Facility DEPFA BANK PLC), VRDN (b) | 57,860,000 | 57,860,000 | |
Series 2005 A, 3.51% (Liquidity Facility Citibank NA), VRDN (b) | 28,900,000 | 28,900,000 | |
Massachusetts Health & Edl. Facilities Auth. Rev.: | |||
Participating VRDN: | |||
Series 01 834, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 26,435,000 | 26,435,000 | |
Series BA 02 D, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 10,505,000 | 10,505,000 | |
Series EGL 04 13 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 9,100,000 | 9,100,000 | |
Series EGL 7050044 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 11,325,000 | 11,325,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Health & Edl. Facilities Auth. Rev.: - continued | |||
Participating VRDN: | |||
Series LB 05 F5, 3.57% (Lehman Brothers Hldgs., Inc. Guaranteed) (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(d) | $ 6,135,000 | $ 6,135,000 | |
Series Merlots 00 T, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 3,960,000 | 3,960,000 | |
Series Merlots 00 WW, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 27,895,000 | 27,895,000 | |
Series Merlots 97 Y, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 6,500,000 | 6,500,000 | |
Series MS 01 587, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 11,610,500 | 11,610,500 | |
Series MS 1123, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 15,705,500 | 15,705,500 | |
Series PA 1385, 3.67% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 2,615,000 | 2,615,000 | |
Series PA 595R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,155,000 | 4,155,000 | |
Series PA 973R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,195,000 | 9,195,000 | |
Series PT 2256, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,340,000 | 9,340,000 | |
Series PT 3621, 3.61% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 8,385,000 | 8,385,000 | |
Series PT 3808, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,645,000 | 9,645,000 | |
Series PT 904, 3.63% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(d) | 27,415,000 | 27,415,000 | |
Series ROC II R294, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 4,995,000 | 4,995,000 | |
Series SGB 42, 3.65% (Liquidity Facility Societe Generale) (b)(d) | 27,080,000 | 27,080,000 | |
(Harvard Univ. Proj.): | |||
Series BB 3.59%, VRDN (b) | 42,050,000 | 42,050,000 | |
Series GG1, 3.59%, VRDN (b) | 73,600,000 | 73,600,000 | |
(Harvard Vanguard Med. Associates Proj.) 3.61%, LOC Bank of America NA, VRDN (b) | 23,950,000 | 23,950,000 | |
(Northeast Hosp. Corp. Proj.) Series H, 3.47%, LOC Bank of America NA, VRDN (b) | 15,400,000 | 15,400,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Health & Edl. Facilities Auth. Rev.: - continued | |||
(Winchester Hosp. Proj.): | |||
Series F, 3.5%, LOC Bank of America NA, VRDN (b) | $ 15,170,000 | $ 15,170,000 | |
Series G, 3.5%, LOC Bank of America NA, VRDN (b) | 4,885,000 | 4,885,000 | |
3.61% 3/6/07, CP | 45,500,000 | 45,500,000 | |
Massachusetts Hsg. Fin. Agcy.: | |||
Multi Family Dev. Rev. (Princeton Crossing LP Proj.) | 18,900,000 | 18,900,000 | |
Rent Hsg. Mtg. Rev. Series A, 3.55% (FSA Insured), VRDN (b)(c) | 7,900,000 | 7,900,000 | |
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.: | |||
Bonds Series S, 4% 12/1/07 (c) | 3,500,000 | 3,513,271 | |
Participating VRDN: | |||
Series Floaters 06 0101, 3.66% (Liquidity Facility Bank of New York, New York) (b)(c)(d) | 3,380,000 | 3,380,000 | |
Series LB 05 L27, 3.6% (Liquidity Facility Lehman Brothers Hldgs., Inc.) (b)(c)(d) | 14,430,000 | 14,430,000 | |
Series Merlots H, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 19,000,000 | 19,000,000 | |
Series ROC II R421, 3.67% (Liquidity Facility Citibank NA) (b)(c)(d) | 4,600,000 | 4,600,000 | |
Series 2003 F, 3.45% (FSA Insured), VRDN (b) | 57,522,000 | 57,522,000 | |
Series A, 3.62%, LOC Lloyds TSB Bank PLC, VRDN (b)(c) | 29,290,000 | 29,290,000 | |
Massachusetts Indl. Fin. Agcy. Indl. Dev. Rev.: | |||
(346 Univ. LLC Proj.) Series 1996, 3.63%, LOC Bank of America NA, VRDN (b)(c) | 2,000,000 | 2,000,000 | |
(Abbott Box Co. Proj.) Series 1997, 3.53%, LOC Bank of America NA, VRDN (b)(c) | 2,115,000 | 2,115,000 | |
(Barbour Corp. Proj.) Series 1998, 3.53%, LOC Bank of America NA, VRDN (b)(c) | 3,790,000 | 3,790,000 | |
(BBB Esq. LLC Proj.) Series 1996, 3.63%, LOC Bank of America NA, VRDN (b)(c) | 1,300,000 | 1,300,000 | |
(Boutwell Owens & Co., Inc. Proj.) Series 1998, 3.53%, LOC Wells Fargo Bank NA, VRDN (b)(c) | 1,750,000 | 1,750,000 | |
(Brady Enterprises Proj.) Series 1996, 3.53%, LOC Bank of America NA, VRDN (b)(c) | 2,050,000 | 2,050,000 | |
(Decas Cranberry Proj.) Series 1997, 3.53%, LOC Bank of America NA, VRDN (b)(c) | 4,125,000 | 4,125,000 | |
(Interpolymer Corp. Proj.) Series 1992, 3.63%, LOC Bank of America NA, VRDN (b)(c) | 1,400,000 | 1,400,000 | |
(Riverdale Mills Corp. Proj.) Series 1995, 3.63%, LOC Bank of America NA, VRDN (b)(c) | 2,300,000 | 2,300,000 | |
(United Plastics Proj.) Series 1997, 3.53%, LOC Wells Fargo Bank NA, VRDN (b)(c) | 2,555,000 | 2,555,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Indl. Fin. Agcy. Rev.: | |||
(Goddard House Proj.) 3.64%, LOC Bank of America NA, VRDN (b) | $ 9,700,000 | $ 9,700,000 | |
(Heritage at Dartmouth Proj.) Series 1996, 3.64%, LOC Bank of America NA, VRDN (b)(c) | 4,475,000 | 4,475,000 | |
(JHC Assisted Living Corp. Proj.) Series 1998 A, 3.62%, LOC SunTrust Banks, Inc., VRDN (b) | 3,205,000 | 3,205,000 | |
(Mary Ann Morse Nursing Home Proj.): | |||
Series 1994 A, 3.62%, LOC Bank of America NA, VRDN (b) | 4,400,000 | 4,400,000 | |
Series 1994 B, 3.62%, LOC Bank of America NA, VRDN (b) | 5,400,000 | 5,400,000 | |
(Society for the Prevention of Cruelty to Animals Proj.) Series 1997, 3.61%, LOC Bank of America NA, VRDN (b) | 2,765,000 | 2,765,000 | |
(Youville Place Proj.) Series 1996, 3.67% (AMBAC Insured), VRDN (b) | 4,500,000 | 4,500,000 | |
Cap. Apprec. Bonds (Massachusetts Biomedical Research Corp. Proj.) Series A2, 0% 8/1/07 | 19,000,000 | 18,657,578 | |
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply Sys. Rev. Participating VRDN Series MS 01 674, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 23,960,000 | 23,960,000 | |
Massachusetts Port Auth. Rev.: | |||
Participating VRDN: | |||
Series Merlots 00 Q, 3.67% (Liquidity Facility Wachovia Bank NA) (b)(c)(d) | 21,345,000 | 21,345,000 | |
Series PA 592, 3.64% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c)(d) | 4,850,000 | 4,850,000 | |
Series PA 600R, 3.64% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c)(d) | 4,850,000 | 4,850,000 | |
Series PT 895, 3.64% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c)(d) | 5,930,000 | 5,930,000 | |
Series Putters 892, 3.63% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 5,155,000 | 5,155,000 | |
Series ROC II R2031, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 7,285,000 | 7,285,000 | |
Series SGA 64, 3.56% (Liquidity Facility Societe Generale) (b)(c)(d) | 8,705,000 | 8,705,000 | |
Series 2003 B: | |||
3.6% 3/6/07, LOC WestLB AG, CP (c) | 5,000,000 | 5,000,000 | |
3.6% 3/6/07, LOC WestLB AG, CP (c) | 29,050,000 | 29,050,000 | |
Massachusetts Port Auth. Spl. Proj. Rev. (Harborside Hyatt Proj.) Series 2001 A, 3.53%, LOC Royal Bank of Scotland PLC, VRDN (b)(c) | 37,100,000 | 37,100,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN: | |||
Series EGL 06 55 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | $ 6,800,000 | $ 6,800,000 | |
Series EGL 06 92 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 13,305,000 | 13,305,000 | |
Series PT 3105, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 14,530,000 | 14,530,000 | |
Series PT 3399, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 32,215,000 | 32,215,000 | |
Series Putters 1052Z, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 8,850,000 | 8,850,000 | |
Series Putters 1185, 3.66% (Liquidity Facility Deutsche Postbank AG) (b)(d) | 10,170,000 | 10,170,000 | |
Series Putters 1376, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 9,810,000 | 9,810,000 | |
Series Putters 1377 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 68,150,000 | 68,150,000 | |
Series ROC II R 613, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 7,610,000 | 7,610,000 | |
Series ROC II R414, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 23,935,000 | 23,935,000 | |
Massachusetts Spl. Oblig. Dedicated Tax Rev. Participating VRDN: | |||
Series EGL 04 25 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 6,015,000 | 6,015,000 | |
Series MACN 05 K, 3.64% (Liquidity Facility Bank of America NA) (b)(d) | 22,700,000 | 22,700,000 | |
Series Merlots 05 A14, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 17,475,000 | 17,475,000 | |
Series Merlots B19, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 4,965,000 | 4,965,000 | |
Series PT 3058, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 59,490,000 | 59,490,000 | |
Series PT 3511, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 37,300,000 | 37,300,000 | |
Series PT 3573, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 5,435,000 | 5,435,000 | |
Series PT 3612, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 11,610,000 | 11,610,000 | |
Massachusetts Spl. Oblig. Rev. Participating VRDN: | |||
Series MSTC 7002, 3.63% (Liquidity Facility Bear Stearns Companies, Inc.) (b)(d) | 4,995,000 | 4,995,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Spl. Oblig. Rev. Participating VRDN: - continued | |||
Series PT 1427, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | $ 10,010,000 | $ 10,010,000 | |
Series PT 2484, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 16,000,000 | 16,000,000 | |
Massachusetts Tpk. Auth. Metropolitan Hwy. Sys. Rev. Participating VRDN: | |||
Series MS 00 489, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 11,860,000 | 11,860,000 | |
Series PA 672, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 6,840,000 | 6,840,000 | |
Series PT 135, 3.63% (Liquidity Facility Lloyds TSB Bank PLC) (b)(d) | 14,485,000 | 14,485,000 | |
Series SG 124, 3.63% (Liquidity Facility Societe Generale) (b)(d) | 21,505,000 | 21,505,000 | |
Massachusetts Tpk. Auth. Tpk. Rev. Participating VRDN Series Putters 140, 3.64% (Liquidity Facility JPMorgan Chase Bank) (b)(d) | 9,405,000 | 9,405,000 | |
Massachusetts Wtr. Poll. Abatement Trust: | |||
Bonds Series PT 2365, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) (b)(d)(e) | 21,270,000 | 21,270,000 | |
Participating VRDN: | |||
Series PT 1990, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 5,210,000 | 5,210,000 | |
Series PT 2368, 3.63% (Liquidity Facility Dexia Cr. Local de France) (b)(d) | 7,790,000 | 7,790,000 | |
Series Putters 577, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 10,380,000 | 10,380,000 | |
Series Putters 578, 3.64% (Liquidity Facility JPMorgan Chase & Co.) (b)(d) | 17,880,000 | 17,880,000 | |
Series PZ 155, 3.66% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 10,020,000 | 10,020,000 | |
Series ROC II R1027, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 7,880,000 | 7,880,000 | |
Series ROC II R1036, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 10,110,000 | 10,110,000 | |
Massachusetts Wtr. Poll. Abatement Trust Wtr. Poll. Abatement Rev. Participating VRDN Series Merlots 99 N, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 13,300,000 | 13,300,000 | |
Massachusetts Wtr. Resource Auth. Participating VRDN | 6,770,000 | 6,770,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Massachusetts Wtr. Resources Auth.: | |||
Participating VRDN: | |||
Series 06 97 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(d) | $ 11,645,000 | $ 11,645,000 | |
Series AAB 05 10, 3.64% (Liquidity Facility ABN-AMRO Bank NV) (b)(d) | 16,995,000 | 16,995,000 | |
Series EGL 00 2103, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 5,600,000 | 5,600,000 | |
Series EGL 02 2101, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 14,660,000 | 14,660,000 | |
Series EGL 06 68 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 7,400,000 | 7,400,000 | |
Series EGL 7050011 Class A, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 10,990,000 | 10,990,000 | |
Series EGL 7050015 Class A, 3.66% (Liquidity Facility Landesbank Hessen-Thuringen) (b)(d) | 26,660,000 | 26,660,000 | |
Series Merlots 06 A1, 3.52% (Liquidity Facility Wachovia Bank NA) (b)(d) | 10,015,000 | 10,015,000 | |
Series MS 1080, 3.64% (Liquidity Facility Morgan Stanley) (b)(d) | 5,770,000 | 5,770,000 | |
Series PA 637, 3.64% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 4,625,000 | 4,625,000 | |
Series PA 999R, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 5,210,000 | 5,210,000 | |
Series PT 1382, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 6,540,000 | 6,540,000 | |
Series PT 2175, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 8,560,000 | 8,560,000 | |
Series Putters 826, 3.64% (Liquidity Facility Dresdner Bank AG) (b)(d) | 12,575,000 | 12,575,000 | |
Stars 07 05, 3.54% (Liquidity Facility BNP Paribas SA) (b)(d) | 28,845,000 | 28,845,000 | |
Series 1998 D, 3.48% (FGIC Insured), VRDN (b) | 10,865,000 | 10,865,000 | |
Series 2000 B, 3.48% (FGIC Insured), VRDN (b) | 24,730,000 | 24,730,000 | |
Middleborough Gen. Oblig. BAN Series A, 4% 9/28/07 | 7,083,674 | 7,102,464 | |
Muni. Secs Trust Ctfs. (BEAR) Participating VRDN: | |||
Series MSTC 7030, 3.63% (Liquidity Facility Bear Stearns Companies, Inc.) (b)(d) | 5,500,000 | 5,500,000 | |
Series MSTC 7034, 3.63% (Liquidity Facility Bear Stearns Companies, Inc.) (b)(d) | 4,665,000 | 4,665,000 | |
Norton Massachusetts BAN 4% 10/2/07 | 5,000,000 | 5,013,482 | |
Plymouth Gen. Oblig. BAN 4% 7/26/07 | 5,060,000 | 5,070,644 | |
Revere BAN 4% 12/14/07 | 7,000,000 | 7,024,680 | |
Municipal Securities - continued | |||
Principal | Value | ||
Massachusetts - continued | |||
Route 3 North Trans. Impt. Assoc. Lease Rev. Participating VRDN: | |||
Series AAB 00 14, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(d) | $ 19,900,000 | $ 19,900,000 | |
Series EGL 01 2101, 3.66% (Liquidity Facility Citibank NA) (b)(d) | 7,600,000 | 7,600,000 | |
Series ROC II R26, 3.65% (Liquidity Facility Citibank NA) (b)(d) | 11,285,000 | 11,285,000 | |
Salem Gen. Oblig. BAN 4% 10/23/07 | 7,967,000 | 7,990,616 | |
Springfield Pub. Util. Rev. Participating VRDN Series AAB 00 2, 3.63% (Liquidity Facility ABN-AMRO Bank NV) (b)(d) | 15,360,000 | 15,360,000 | |
Univ. of Massachusetts Bldg. Auth. Proj. Rev.: | |||
Participating VRDN: | |||
Series ROC II 4044, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 9,475,000 | 9,475,000 | |
Series ROC II R4555, 3.65% (Liquidity Facility Citigroup, Inc.) (b)(d) | 5,935,000 | 5,935,000 | |
Series 1, 3.51% (AMBAC Insured), VRDN (b) | 168,190,000 | 168,190,000 | |
Weymouth Gen. Oblig. BAN Series 6A, 4.35% 9/21/07 | 5,800,000 | 5,827,760 | |
Woburn Gen. Oblig. BAN 3.75% 4/5/07 | 10,000,000 | 10,004,246 | |
Worcester Gen. Oblig. BAN Series A, 4% 11/8/07 | 15,220,000 | 15,268,454 | |
4,489,373,471 | |||
Puerto Rico - 5.0% | |||
Puerto Rico Commonwealth Gen. Oblig. Participating VRDN: | |||
Series Floater 53G, 3.64% (Liquidity Facility Goldman Sachs Group, Inc.) (b)(d) | 11,505,000 | 11,505,000 | |
Series Merlots 01 A107, 3.5% (Liquidity Facility Bank of New York, New York) (b)(d) | 18,860,000 | 18,860,000 | |
Series MS 934, 3.6% (Liquidity Facility Morgan Stanley) (b)(d) | 16,495,000 | 16,495,000 | |
Series MS 975, 3.6% (Liquidity Facility Morgan Stanley) (b)(d) | 3,110,000 | 3,110,000 | |
Series MT 218, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 19,440,000 | 19,440,000 | |
Series MT 251, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 17,675,000 | 17,675,000 | |
Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev. Participating VRDN: | |||
Series MACN 05 N, 3.61% (Liquidity Facility Bank of America NA) (b)(d) | 28,325,000 | 28,325,000 | |
Series MACN 06 H, 3.61% (Liquidity Facility Bank of America NA) (b)(d) | 23,945,000 | 23,945,000 | |
Municipal Securities - continued | |||
Principal | Value | ||
Puerto Rico - continued | |||
Puerto Rico Commonwealth Hwy. & Trans. Auth. Trans. Rev. Participating VRDN: - continued | |||
Series MACN 06 R, 3.61% (Liquidity Facility Bank of America NA) (b)(d) | $ 7,395,000 | $ 7,395,000 | |
Series ROC II 99 2, 3.59% (Liquidity Facility Citibank NA) (b)(d) | 3,500,000 | 3,500,000 | |
Puerto Rico Commonwealth Infrastructure Fing. Auth. Participating VRDN Series MT 258, 3.6% (Liquidity Facility Bayerische Landesbank (UNGTD)) (b)(d) | 7,700,000 | 7,700,000 | |
Puerto Rico Convention Ctr. District Auth. Hotel Occupancy Tax Rev. Participating VRDN Series MS 1290, 3.6% (Liquidity Facility Morgan Stanley) (b)(d) | 6,120,000 | 6,120,000 | |
Puerto Rico Elec. Pwr. Auth. Pwr. Rev. Participating VRDN: | |||
Series Floaters 682, 3.6% (Liquidity Facility Morgan Stanley) (b)(d) | 3,580,000 | 3,580,000 | |
Series MS 1276, 3.6% (Liquidity Facility Morgan Stanley) (b)(d) | 20,425,500 | 20,425,500 | |
Puerto Rico Govt. Dev. Bank Participating VRDN: | |||
Series MT 254, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 26,720,000 | 26,720,000 | |
Series MT 255, 3.68% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(c)(d) | 10,750,000 | 10,750,000 | |
Puerto Rico Muni. Fin. Agcy. Participating VRDN Series PA 645, 3.6% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 6,860,000 | 6,860,000 | |
Puerto Rico Pub. Fin. Corp. Commonwealth Appropriation Participating VRDN: | |||
Series MT 195, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,165,000 | 9,165,000 | |
Series MT 206, 3.63% (Liquidity Facility Merrill Lynch & Co., Inc.) (b)(d) | 9,895,000 | 9,895,000 | |
251,465,500 | |||
TOTAL INVESTMENT PORTFOLIO - 95.1% (Cost $4,740,838,971) | 4,740,838,971 | ||
NET OTHER ASSETS - 4.9% | 242,893,831 | ||
NET ASSETS - 100% | $ 4,983,732,802 |
Security Type Abbreviations |
BAN - BOND ANTICIPATION NOTE |
CP - COMMERCIAL PAPER |
VRDN - VARIABLE RATE DEMAND NOTE |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $46,500,000 or 0.9% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(d) Provides evidence of ownership in one or more underlying municipal bonds. |
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $32,450,000 or 0.7% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Cost |
Massachusetts Gen. Oblig. Bonds Series PT 2289, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) | 7/22/04 | $ 11,180,000 |
Massachusetts Wtr. Poll. Abatement Trust Bonds Series PT 2365, 3.55%, tender 10/11/07 (Liquidity Facility Dexia Cr. Local de France) | 9/9/04 | $ 21,270,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Municipal Cash Central Fund | $ 2,361,257 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts Municipal Money Market Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2007 | ||
Assets | ||
Investment in securities, at value - Unaffiliated issuers (cost $4,740,838,971) | $ 4,740,838,971 | |
Cash | 213,087,580 | |
Receivable for investments sold | 37,380,175 | |
Receivable for fund shares sold | 71,746,099 | |
Interest receivable | 34,850,844 | |
Prepaid expenses | 20,051 | |
Other receivables | 889,859 | |
Total assets | 5,098,813,579 | |
Liabilities | ||
Payable for investments purchased | $ 57,370,858 | |
Payable for fund shares redeemed | 54,832,211 | |
Distributions payable | 189,909 | |
Accrued management fee | 1,525,976 | |
Other affiliated payables | 1,039,897 | |
Other payables and accrued expenses | 121,926 | |
Total liabilities | 115,080,777 | |
Net Assets | $ 4,983,732,802 | |
Net Assets consist of: | ||
Paid in capital | $ 4,982,289,830 | |
Undistributed net investment income | 181,475 | |
Accumulated undistributed net realized gain (loss) on investments | 1,261,497 | |
Net Assets, for 4,981,150,746 shares outstanding | $ 4,983,732,802 | |
Net Asset Value, offering price and redemption price per share ($4,983,732,802 ÷ 4,981,150,746 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Fidelity Massachusetts Municipal Money Market Fund
Financial Statements - continued
Statement of Operations
Year ended January 31, 2007 | ||
Investment Income | ||
Interest | $ 147,979,900 | |
Income from Fidelity Central Funds | 2,361,257 | |
Total income | 150,341,157 | |
Expenses | ||
Management fee | $ 16,410,261 | |
Transfer agent fees | 5,433,532 | |
Accounting fees and expenses | 371,771 | |
Custodian fees and expenses | 66,696 | |
Independent trustees' compensation | 15,813 | |
Registration fees | 121,286 | |
Audit | 53,973 | |
Legal | 24,316 | |
Miscellaneous | 338,734 | |
Total expenses before reductions | 22,836,382 | |
Expense reductions | (5,418,780) | 17,417,602 |
Net investment income | 132,923,555 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,066,676 | |
Net increase in net assets resulting from operations | $ 133,990,231 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 132,923,555 | $ 80,384,636 |
Net realized gain (loss) | 1,066,676 | (93,956) |
Net increase in net assets resulting from operations | 133,990,231 | 80,290,680 |
Distributions to shareholders from net investment income | (132,922,224) | (80,200,937) |
Share transactions at net asset value of $1.00 per share | 13,561,686,424 | 10,777,996,713 |
Reinvestment of distributions | 130,909,063 | 79,319,419 |
Cost of shares redeemed | (12,876,654,521) | (10,368,698,446) |
Net increase (decrease) in net assets and shares resulting from share transactions | 815,940,966 | 488,617,686 |
Total increase (decrease) in net assets | 817,008,973 | 488,707,429 |
Net Assets | ||
Beginning of period | 4,166,723,829 | 3,678,016,400 |
End of period (including undistributed net investment income of $181,475 and distributions in excess of net investment income of $3,787, respectively) | $ 4,983,732,802 | $ 4,166,723,829 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended January 31, | 2007 | 2006 | 2005 | 2004 | 2003 |
Selected Per-Share Data | |||||
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | |||||
Net investment income | .030 | .021 | .008 | .006 | .010 |
Net realized and unrealized gain (loss) D | - | - | - | - | - |
Total from investment operations | .030 | .021 | .008 | .006 | .010 |
Distributions from net investment income | (.030) | (.021) | (.008) | (.006) | (.010) |
Distributions from net realized gain | - | - | - D | - | - |
Total distributions | (.030) | (.021) | (.008) | (.006) | (.010) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return A | 3.03% | 2.07% | .84% | .58% | 1.02% |
Ratios to Average Net Assets B, C | |||||
Expenses before reductions | .51% | .51% | .51% | .50% | .51% |
Expenses net of fee waivers, if any | .51% | .51% | .51% | .50% | .51% |
Expenses net of all reductions | .39% | .42% | .49% | .49% | .48% |
Net investment income | 2.99% | 2.07% | .79% | .58% | 1.01% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 4,983,733 | $ 4,166,724 | $ 3,678,016 | $ 3,262,714 | $ 3,262,761 |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
C Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
D Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended January 31, 2007
1. Significant Accounting Policies.
Fidelity Massachusetts Municipal Income Fund (the Income Fund), Fidelity Massachusetts AMT Tax-Free Money Market Fund and Fidelity Massachusetts Municipal Money Market Fund (the Money Market Funds) are funds of Fidelity Massachusetts Municipal Trust (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. On January 18, 2007, the Board of Trustees of Fidelity Massachusetts AMT Tax-Free Money Market Fund approved the creation of additional classes of shares. The Fund is expected to commence sale of shares of Institutional Class and Service Class and the existing class will be designated Massachusetts AMT Tax-Free Money Market on or about April 25, 2007. The Income Fund is a non-diversified fund. Each Fund is authorized to issue an unlimited number of shares. Each Fund may be affected by economic and political developments in the state of Massachusetts. The Funds may invest in Fidelity Central Funds which are open-end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Income Fund and the Money Market Funds, which are also consistently followed by the Fidelity Central Funds:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, each Fund uses independent pricing services approved by the Board of Trustees to value their investments. For the Income Fund, debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities owned by the Money Market Funds are valued at amortized cost which approximates value.
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day for the Income Fund and trades executed through the end of the current business day for the Money Market Funds. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income distributions from the Fidelity Central Funds are accrued as earned, with any income distributions receivable as of period end included in Interest Receivable on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Funds will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to futures transactions.
The Funds purchase municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the Internal Revenue Service (IRS) will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows for each Fund:
Cost for Federal | Unrealized | Unrealized | Net Unrealized Appreciation/ | |
Fidelity Massachusetts Municipal Income Fund | $ 1,812,557,496 | $ 49,642,256 | $ (4,008,926) | $ 45,633,330 |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | 1,780,303,815 | - | - | - |
Fidelity Massachusetts Municipal Money Market Fund | 4,740,838,971 | - | - | - |
Undistributed Ordinary | Undistributed Long-term | Capital Loss | |
Fidelity Massachusetts Municipal Income Fund | $ 210,455 | $ 1,797,908 | $ - |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | 119,873 | 40,823 | - |
Fidelity Massachusetts Municipal Money Market Fund | 473,243 | 69,936 | - |
The tax character of distributions paid was as follows.
January 31, 2007 | Tax-exempt | Ordinary | Long-term | Total |
Fidelity Massachusetts Municipal Income Fund | $ 73,900,905 | $ - | $ 5,580,754 | $ 79,481,659 |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | 49,955,001 | - | 174,209 | 50,129,210 |
Fidelity Massachusetts Municipal Money Market Fund | 132,922,224 | - | - | 132,922,224 |
January 31, 2006 | Tax-exempt | Ordinary | Long-term | Total |
Fidelity Massachusetts Municipal Income Fund | $ 75,076,272 | $ - | $ 24,660,494 | $ 99,736,766 |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | 26,675,309 | - | - | 26,675,309 |
Fidelity Massachusetts Municipal Money Market Fund | 80,200,937 | - | - | 80,200,937 |
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Short-Term Trading (Redemption) Fees. Shares held in the Income Fund less than 30 days are subject to a redemption fee equal to .50% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Funds' net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.
2. Operating Policies.
Delayed Delivery Transactions and When-Issued Securities. Certain Funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund's Schedule of Investments. Certain Funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Annual Report
2. Operating Policies - continued
Futures Contracts. The Income Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin")equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Income Funds' Schedule of Investments. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. Certain Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of each applicable Fund's Schedule of Investments.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, for the Income Fund aggregated $298,617,718 and $252,244,857, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. FMR and its affiliates provide Fidelity Massachusetts Municipal Income Fund and Fidelity Massachusetts Municipal Money Market Fund with investment management related services for which the Funds pay a monthly management fee. The management fee is the sum of an individual fund fee rate and a group fee rate. The individual fund fee rate is applied to each Fund's average net assets. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and
Annual Report
Notes to Financial Statements - continued
4. Fees and Other Transactions with Affiliates - continued
Management Fee and Expense Contract - continued
increases as assets under management decrease. For the period, each Fund's annual management fee rate expressed as a percentage of each Fund's average net assets was as follows:
Individual Rate | Group Rate | Total | |
Fidelity Massachusetts Municipal Income Fund | .25% | .12% | .37% |
Fidelity Massachusetts Municipal Money Market Fund | .25% | .12% | .37% |
FMR and its affiliates provide Fidelity Massachusetts AMT Tax-Free Money Market Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .43% of the Fund's average net assets. FMR pays all other expenses, except the compensation of the independent Trustees and certain exceptions such as interest expense, including commitment fees. The management fee paid to FMR by the Fund is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.
On March 15, 2007, the Board of Trustees approved an amendment to the Fidelity Massachusetts AMT Tax-Free Money Market Fund's management contract lowering the management fee from .43% to .20% of average net assets. Under the amended management contract, effective April 1, 2007, FMR will pay all other fund-level expenses except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees.
In addition, on March 15, 2007, the Board of Trustees of Fidelity Massachusetts AMT Tax-Free Money Market Fund approved a new expense contract with FMR for the existing class, effective April 1, 2007. Under the expense contract, FMR will pay class-level expenses so that total expenses do not exceed .35% of the class' average net assets with certain exceptions such as interest expense, including commitment fees.
Transfer Agent and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent and shareholder servicing agent for the Funds. Citibank has entered into a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of FMR, under which FSC performs the activities associated with the Funds' transfer and shareholder servicing agent and accounting functions. Under the terms of the management fee contract, FMR pays transfer agent fees on behalf of the Fidelity Massachusetts AMT
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent and Accounting Fees - continued
Tax-Free Money Market Fund. The Income Fund and Fidelity Massachusetts Municipal Money Market Fund pay account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. The accounting fee is based on the level of average net assets for the month. For the period, the transfer agent fees were equivalent to the following annual rates expressed as a percentage of average net assets:
Fidelity Massachusetts Municipal Income Fund | .07% | | |
Fidelity Massachusetts Municipal Money Market Fund | .12% |
On March 15, 2007, the Board of Trustees of Fidelity Massachusetts AMT Tax-Free Money Market Fund approved a new transfer agent contract with Citibank and a new sub-arrangement with Fidelity Service Company, Inc. (FSC). Effective April 1, 2007, the existing class will pay a transfer agent fee of .10% of average net assets. FSC will pay for typesetting, printing and mailing of shareholder reports, except proxy statements.
Investments in Fidelity Central Funds. The Funds may invest in Fidelity Central Funds. The Funds' Schedule of Investments lists each of the Fidelity Central Funds as an investment of each Fund but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
5. Committed Line of Credit.
The Income Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit, which is reflected in Miscellaneous Expense on the Statement of Operations, and is as follows:
Fidelity Massachusetts Municipal Income Fund | $ 4,440 |
During the period, there were no borrowings on this line of credit.
Annual Report
Notes to Financial Statements - continued
6. Expense Reductions.
FMR voluntarily agreed to reimburse funds to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.
The following funds were in reimbursement during the period:
Expense | Reimbursement | |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | .40% | $ 477,806 |
Through arrangements with the Income Fund's and Fidelity Massachusetts Municipal Money Market Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce fund expenses. All of the applicable expense reductions are noted in the table below.
Custody | Transfer | Accounting | |
Fidelity Massachusetts Municipal | $ 27,967 | $ 532,941 | $ - |
Fidelity Massachusetts Municipal Money Market Fund | 66,696 | 5,142,310 | 209,774 |
In addition, through an arrangement with Fidelity Massachusetts AMT Tax-Free Money Market's fund custodian and transfer agent, $1,330,567 of credits realized as a result of uninvested cash balances were used to reduce the Fund's management fee.
7. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Massachusetts Municipal Trust and Shareholders of Fidelity Massachusetts Municipal Income Fund, Fidelity Massachusetts AMT Tax-Free Money Market Fund and Fidelity Massachusetts Municipal Money Market Fund:
We have audited the accompanying statements of assets and liabilities of Fidelity Massachusetts Municipal Income Fund, Fidelity Massachusetts AMT Tax-Free Money Market Fund and Fidelity Massachusetts Municipal Money Market Fund (the Funds), funds of Fidelity Massachusetts Municipal Trust, including the schedules of investments, as of January 31, 2007, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of January 31, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of Fidelity Massachusetts Municipal Income Fund, Fidelity Massachusetts AMT Tax-Free Money Market Fund and Fidelity Massachusetts Municipal Money Market Fund as of January 31, 2007, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
March 15, 2007
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and executive officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, and review each fund's performance. Each of the Trustees oversees 348 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The funds' Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (76) | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL). | |
Robert L. Reynolds (54) | |
Year of Election or Appointment: 2003 Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as Vice Chairman (2006- |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Dennis J. Dirks (58) | |
Year of Election or Appointment: 2005 Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present). | |
Albert R. Gamper, Jr. (64) | |
Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. | |
George H. Heilmeier (70) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame. | |
James H. Keyes (66) | |
Year of Election or Appointment: 2007 Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions). | |
Marie L. Knowles (60) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (62) | |
Year of Election or Appointment: 2000 Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. | |
Cornelia M. Small (62) | |
Year of Election or Appointment: 2005 Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
William S. Stavropoulos (67) | |
Year of Election or Appointment: 2002 Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), and Metalmark Capital (private equity investment firm, 2005-present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Kenneth L. Wolfe (67) | |
Year of Election or Appointment: 2005 Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present). |
Advisory Board Member and Executive Officers:
Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Peter S. Lynch (63) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Massachusetts Municipal Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. | |
Kimberley H. Monasterio (43) | |
Year of Election or Appointment: 2007 President and Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
Boyce I. Greer (50) | |
Year of Election or Appointment: 2006 Vice President of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Greer also serves as Vice President of certain Equity Funds (2005-present), certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). He is an Executive Vice President of FMR (2005- | |
Charles S. Morrison (46) | |
Year of Election or Appointment: 2005 Vice President of Massachusetts Municipal Money Market and Massachusetts AMT Tax-Free Money Market. Mr. Morrison also serves as Vice President of Fidelity's Money Market Funds (2005-present) and certain Asset Allocation Funds (2002-present). Previously, he served as Vice President of Fidelity's Bond Funds (2002-2005) and certain Balanced Funds (2002-2005). He served as Vice President (2002-2005) and Bond Group Leader (2002-2005) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002-present) and FMR (2002-present). Mr. Morrison joined Fidelity Investments in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division. | |
David L. Murphy (59) | |
Year of Election or Appointment: 2002 Vice President of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), certain Asset Allocation Funds (2003-present), Fixed-Income Funds (2005-present), and Balanced Funds (2005-present). He serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). | |
Thomas J. Silvia (45) | |
Year of Election or Appointment: 2005 Vice President of Massachusetts Municipal Income. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present), certain Balanced Funds (2005-present), certain Asset Allocation Funds (2005-present), and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004). | |
Christine J. Thompson (48) | |
Year of Election or Appointment: 1998 Vice President of Massachusetts Municipal Income. Ms. Thompson also serves as Vice President of other funds advised by FMR. Prior to assuming her current responsibilities, Ms. Thompson worked as an analyst and manager. | |
Eric D. Roiter (58) | |
Year of Election or Appointment: 1998 Secretary of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005). | |
R. Stephen Ganis (40) | |
Year of Election or Appointment: 2006 Anti-Money Laundering (AML) officer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002). | |
Joseph B. Hollis (58) | |
Year of Election or Appointment: 2006 Chief Financial Officer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005). | |
Kenneth A. Rathgeber (59) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
Bryan A. Mehrmann (45) | |
Year of Election or Appointment: 2005 Deputy Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004). | |
Kenneth B. Robins (37) | |
Year of Election or Appointment: 2005 Deputy Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Robert G. Byrnes (40) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003). | |
John H. Costello (60) | |
Year of Election or Appointment: 1986 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Peter L. Lydecker (53) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (51) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Gary W. Ryan (48) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005). | |
Salvatore Schiavone (41) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Massachusetts Municipal Money Market, Massachusetts AMT Tax-Free Money Market, and Massachusetts Municipal Income. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003). |
Annual Report
Distributions
The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
Fund | Pay Date | Record Date | Capital Gains |
Fidelity Massachusetts Municipal Income Fund | 03/05/07 | 03/02/07 | $0.013 |
The funds hereby designate as capital gain dividends the amounts noted below for the taxable year ended January 31, 2007, or, if subsequently determined to be different, the net capital gain of such year.
Fund | |
Fidelity Massachusetts Municipal Income Fund | $6,103,531 |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | $324,961 |
Fidelity Massachusetts Municipal Money Market Fund | $866,502 |
During fiscal year ended 2007, 100% of each fund's income dividends were free from federal income tax, and 6.95%, 0.00% and 8.54% of Massachusetts Municipal Income, Massachusetts AMT Tax-Free Money Market Fund, and Massachusetts Municipal Money Market Fund's income dividends were subject to the federal alternative minimum tax.
Shareholder Notification:
The fund will notify shareholders in January 2008 of amounts for use in preparing 2007 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of each fund's shareholders was held on September 20, 2006. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Dennis J. Dirks | ||
Affirmative | 3,741,515,762.76 | 96.171 |
Withheld | 148,982,091.19 | 3.829 |
TOTAL | 3,890,497,853.95 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 3,741,422,072.85 | 96.168 |
Withheld | 149,075,781.10 | 3.832 |
TOTAL | 3,890,497,853.95 | 100.000 |
Robert M. Gates | ||
Affirmative | 3,735,945,139.14 | 96.027 |
Withheld | 154,552,714.81 | 3.973 |
TOTAL | 3,890,497,853.95 | 100.000 |
George H. Heilmeier | ||
Affirmative | 3,732,781,573.46 | 95.946 |
Withheld | 157,716,280.49 | 4.054 |
TOTAL | 3,890,497,853.95 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 3,718,535,372.65 | 95.580 |
Withheld | 171,962,481.30 | 4.420 |
TOTAL | 3,890,497,853.95 | 100.000 |
Stephen P. Jonas | ||
Affirmative | 3,731,074,585.03 | 95.902 |
Withheld | 159,423,268.92 | 4.098 |
TOTAL | 3,890,497,853.95 | 100.000 |
James H. KeyesB | ||
Affirmative | 3,738,992,667.80 | 96.106 |
Withheld | 151,505,186.15 | 3.894 |
TOTAL | 3,890,497,853.95 | 100.000 |
# of | % of | |
Marie L. Knowles | ||
Affirmative | 3,737,611,290.20 | 96.070 |
Withheld | 152,886,563.75 | 3.930 |
TOTAL | 3,890,497,853.95 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 3,739,495,494.59 | 96.119 |
Withheld | 151,002,359.36 | 3.881 |
TOTAL | 3,890,497,853.95 | 100.000 |
William O. McCoy | ||
Affirmative | 3,733,408,878.52 | 95.962 |
Withheld | 157,088,975.43 | 4.038 |
TOTAL | 3,890,497,853.95 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 3,730,719,398.40 | 95.893 |
Withheld | 159,778,455.55 | 4.107 |
TOTAL | 3,890,497,853.95 | 100.000 |
Cornelia M. Small | ||
Affirmative | 3,720,365,487.80 | 95.627 |
Withheld | 170,132,366.15 | 4.373 |
TOTAL | 3,890,497,853.95 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 3,734,229,041.46 | 95.983 |
Withheld | 156,268,812.49 | 4.017 |
TOTAL | 3,890,497,853.95 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 3,721,105,476.52 | 95.646 |
Withheld | 169,392,377.43 | 4.354 |
TOTAL | 3,890,497,853.95 | 100.000 |
A Denotes trust-wide proposal and voting results. B Effective on or about January 1, 2007. |
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Annual Report
To Write Fidelity
We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(letter_graphic)
Making Changes
To Your Account
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(letter_graphic)
For Non-Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(letter_graphic)
For Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
Annual Report
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
Arizona
7001 West Ray Road
Chandler, AZ
15445 N. Scottsdale Road
Scottsdale, AZ
California
815 East Birch Street
Brea, CA
1411 Chapin Avenue
Burlingame, CA
851 East Hamilton Avenue
Campbell, CA
19200 Von Karman Avenue
Irvine, CA
601 Larkspur Landing Circle
Larkspur, CA
10100 Santa Monica Blvd.
Los Angeles, CA
27101 Puerta Real
Mission Viejo, CA
73-575 El Paseo
Palm Desert, CA
251 University Avenue
Palo Alto, CA
123 South Lake Avenue
Pasadena, CA
16995 Bernardo Ctr. Drive
Rancho Bernardo, CA
1220 Roseville Parkway
Roseville, CA
1740 Arden Way
Sacramento, CA
7676 Hazard Center Drive
San Diego, CA
11943 El Camino Real
San Diego, CA
8 Montgomery Street
San Francisco, CA
3793 State Street
Santa Barbara, CA
1200 Wilshire Boulevard
Santa Monica, CA
21701 Hawthorne Boulevard
Torrance, CA
2001 North Main Street
Walnut Creek, CA
6300 Canoga Avenue
Woodland Hills, CA
Colorado
1625 Broadway
Denver, CO
9185 Westview Road
Lone Tree, CO
Connecticut
48 West Putnam Avenue
Greenwich, CT
265 Church Street
New Haven, CT
300 Atlantic Street
Stamford, CT
29 South Main Street
West Hartford, CT
Delaware
400 Delaware Avenue
Wilmington, DE
Florida
4400 N. Federal Highway
Boca Raton, FL
121 Alhambra Plaza
Coral Gables, FL
2948 N. Federal Highway
Ft. Lauderdale, FL
4671 Town Center Parkway
Jacksonville, FL
1907 West State Road 434
Longwood, FL
8880 Tamiami Trail, North
Naples, FL
3501 PGA Boulevard
Palm Beach Gardens, FL
3550 Tamiami Trail, South
Sarasota, FL
1502 N. Westshore Blvd.
Tampa, FL
2465 State Road 7
Wellington, FL
Georgia
3445 Peachtree Road, N.E.
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
Illinois
One North LaSalle Street
Chicago, IL
875 North Michigan Ave.
Chicago, IL
1415 West 22nd Street
Oak Brook, IL
1572 East Golf Road
Schaumburg, IL
3232 Lake Avenue
Wilmette, IL
Indiana
4729 East 82nd Street
Indianapolis, IN
Kansas
5400 College Boulevard
Overland Park, KS
Maine
Three Canal Plaza
Portland, ME
Maryland
7315 Wisconsin Avenue
Bethesda, MD
One W. Pennsylvania Ave.
Towson, MD
Massachusetts
801 Boylston Street
Boston, MA
155 Congress Street
Boston, MA
300 Granite Street
Braintree, MA
44 Mall Road
Burlington, MA
238 Main Street
Cambridge, MA
405 Cochituate Road
Framingham, MA
416 Belmont Street
Worcester, MA
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Annual Report
Michigan
500 E. Eisenhower Pkwy.
Ann Arbor, MI
280 Old N. Woodward Ave.
Birmingham, MI
43420 Grand River Avenue
Novi, MI
29155 Northwestern Hwy.
Southfield, MI
Minnesota
7600 France Avenue South
Edina, MN
Missouri
1524 South Lindbergh Blvd.
St. Louis, MO
Nevada
2225 Village Walk Drive
Henderson, NV
New Jersey
150 Essex Street
Millburn, NJ
56 South Street
Morristown, NJ
396 Route 17, North
Paramus, NJ
3518 Route 1 North
Princeton, NJ
530 Broad Street
Shrewsbury, NJ
New York
1055 Franklin Avenue
Garden City, NY
37 West Jericho Turnpike
Huntington Station, NY
1271 Avenue of the Americas
New York, NY
980 Madison Avenue
New York, NY
61 Broadway
New York, NY
350 Park Avenue
New York, NY
200 Fifth Avenue
New York, NY
733 Third Avenue
New York, NY
11 Penn Plaza
New York, NY
2070 Broadway
New York, NY
1075 Northern Blvd.
Roslyn, NY
799 Central Park Avenue
Scarsdale, NY
North Carolina
4611 Sharon Road
Charlotte, NC
7011 Fayetteville Road
Durham, NC
Ohio
3805 Edwards Road
Cincinnati, OH
1324 Polaris Parkway
Columbus, OH
28699 Chagrin Boulevard
Woodmere Village, OH
Oregon
7493 SW Bridgeport Road
Tigard, OR
Pennsylvania
600 West DeKalb Pike
King of Prussia, PA
1735 Market Street
Philadelphia, PA
12001 Perry Highway
Wexford, PA
Rhode Island
47 Providence Place
Providence, RI
Tennessee
6150 Poplar Avenue
Memphis, TN
Texas
10000 Research Boulevard
Austin, TX
4001 Northwest Parkway
Dallas, TX
12532 Memorial Drive
Houston, TX
2701 Drexel Drive
Houston, TX
6560 Fannin Street
Houston, TX
6500 N. MacArthur Blvd.
Irving, TX
6005 West Park Boulevard
Plano, TX
14100 San Pedro
San Antonio, TX
1576 East Southlake Blvd.
Southlake, TX
19740 IH 45 North
Spring, TX
Utah
279 West South Temple
Salt Lake City, UT
Virginia
1861 International Drive
McLean, VA
Washington
411 108th Avenue, N.E.
Bellevue, WA
1518 6th Avenue
Seattle, WA
Washington, DC
1900 K Street, N.W.
Washington, DC
Wisconsin
595 North Barker Road
Brookfield, WI
Annual Report
Annual Report
Annual Report
Investment Adviser
Fidelity Management & Research
Company
Boston, MA
Sub-Advisers
Fidelity Investments Money
Management, Inc.
Fidelity International Investment Advisors
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Citibank, N.A.
New York, NY
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774 (8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
MAS-UANN-0307
1.789255.105
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
Item 2. Code of Ethics
As of the end of the period, January 31, 2007, Fidelity Massachusetts Municipal Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees.
For the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Audit Fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for Fidelity Massachusetts AMT Tax-Free Money Market Fund, Fidelity Massachusetts Municipal Income Fund, and Fidelity Massachusetts Municipal Money Market Fund, (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.
Fund | 2007A | 2006A |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | $26,000 | $26,000 |
Fidelity Massachusetts Municipal Income Fund | $44,000 | $39,000 |
Fidelity Massachusetts Municipal Money Market Fund | $29,000 | $29,000 |
All funds in the Fidelity Group of Funds audited by Deloitte Entities | $6,700,000 | $5,700,000 |
A | Aggregate amounts may reflect rounding. |
(b) Audit-Related Fees.
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Audit-Related Fees billed by Deloitte Entities for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Fund | 2007A | 2006A |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | $0 | $0 |
Fidelity Massachusetts Municipal Income Fund | $0 | $0 |
Fidelity Massachusetts Municipal Money Market Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Audit-Related Fees that were billed by Deloitte Entities that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Billed By | 2007A | 2006A |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.
(c) Tax Fees.
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Tax Fees billed by Deloitte Entities for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.
Fund | 2007A | 2006A |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | $4,200 | $3,500 |
Fidelity Massachusetts Municipal Income Fund | $4,200 | $3,700 |
Fidelity Massachusetts Municipal Money Market Fund | $4,200 | $3,500 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Tax Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2007A | 2006A |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) All Other Fees.
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Other Fees billed by Deloitte Entities for all other non-audit services rendered to the funds is shown in the table below.
Fund | 2007A | 2006A |
Fidelity Massachusetts AMT Tax-Free Money Market Fund | $0 | $0 |
Fidelity Massachusetts Municipal Income Fund | $0 | $0 |
Fidelity Massachusetts Municipal Money Market Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate Other Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2007A | 2006A |
Deloitte Entities | $180,000 | $160,000 |
A | Aggregate amounts may reflect rounding. |
Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.
(e) (1) | Audit Committee Pre-Approval Policies and Procedures: |
The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.
All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.
(e) (2) | Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: |
Audit-Related Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006, on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
Tax Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006 on behalf of each fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended January 31, 2007 and January 31, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
(f) Not Applicable.
(g) For the fiscal years ended January 31, 2007 and January 31, 2006, the aggregate fees billed by Deloitte Entities of $730,000A and $425,000A for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.
2007A | 2006A | |
Covered Services | $195,000 | $175,000 |
Non-Covered Services | $535,000 | $250,000 |
A | Aggregate amounts may reflect rounding. |
(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the funds, taking into account representations from Deloitte Entities, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
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
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Massachusetts Municipal Trust
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | March 16, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | March 16, 2007 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | March 16, 2007 |