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Fidelity Massachusetts Municipal Trust – ‘N-CSRS’ for 7/31/14

On:  Friday, 9/19/14, at 11:00am ET   ·   Effective:  9/19/14   ·   For:  7/31/14   ·   Accession #:  357057-14-67   ·   File #:  811-03361

Previous ‘N-CSRS’:  ‘N-CSRS’ on 9/23/13 for 7/31/13   ·   Next:  ‘N-CSRS’ on 9/25/15 for 7/31/15   ·   Latest:  ‘N-CSRS’ on 9/21/23 for 7/31/23

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Certified Semi-Annual Shareholder Report of a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSRS      Certified Semi-Annual Shareholder Report of a       HTML    749K 
                          Management Investment Company                          
 3: EX-99.906 CERT  Miscellaneous Exhibit                           HTML      7K 
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     14K 


N-CSRS   —   Certified Semi-Annual Shareholder Report of a Management Investment Company
Document Table of Contents

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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)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(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:

July 31, 2014

Item 1. Reports to Stockholders

Fidelity®

Massachusetts AMT
Tax-Free Money Market Fund -

Fidelity Massachusetts AMT Tax-Free
Money Market Fund

Institutional Class

Service Class

Semiannual Report

July 31, 2014

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes/Performance

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 for Fidelity® Massachusetts AMT Tax-Free Money Market Fund or 1-877-208-0098 for Institutional Class or Service Class 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 LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund 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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report


Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 (February 1, 2014 to July 31, 2014).

Actual Expenses

The first line of the accompanying table for each class of the 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 class of the 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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.

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio
B

Beginning
Account Value
February 1, 2014

Ending
Account Value
July 31, 2014

Expenses Paid
During Period
*
February 1, 2014
to July 31, 2014

Massachusetts AMT Tax-Free Money Market

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .35

HypotheticalA

 

$ 1,000.00

$ 1,024.45

$ .35

Institutional Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .35

HypotheticalA

 

$ 1,000.00

$ 1,024.45

$ .35

Service Class

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .35

HypotheticalA

 

$ 1,000.00

$ 1,024.45

$ .35

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Semiannual Report


Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's investments 7/31/14

% of fund's investments 1/31/14

% of fund's
investments
7/31/13

1 - 7

81.6

76.5

83.8

8 - 30

5.0

1.4

2.9

31 - 60

2.1

0.8

2.4

61 - 90

0.4

7.2

1.2

91 - 180

4.1

9.5

5.2

> 180

6.8

4.6

4.5

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

7/31/14

1/31/14

7/31/13

Fidelity Massachusetts AMT Tax-Free Money Market Fund

33 Days

36 Days

27 Days

Massachusetts Tax-Free Money Market Fund Average*

36 Days

38 Days

28 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

7/31/14

1/31/14

7/31/13

Fidelity Massachusetts AMT Tax-Free Money Market Fund

33 Days

36 Days

29 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

Asset Allocation (% of fund's net assets)

As of July 31, 2014

As of January 31, 2014

ang395561

Variable Rate
Demand Notes
(VRDNs) 64.3%

 

ang395561

Variable Rate
Demand Notes
(VRDNs) 68.6%

 

ang395564

Other
Municipal Debt 22.3%

 

ang395564

Other
Municipal Debt 25.5%

 

ang395567

Investment
Companies 13.8%

 

ang395567

Investment
Companies 6.8%

 

ang395570

Net Other Assets (Liabilities)** (0.4)%

 

ang395570

Net Other Assets (Liabilities)** (0.9)%

 

ang395573

* Source: iMoneyNet, Inc.

** Net other assets (liabilities) are not included in the pie chart.

Current and Historical Seven-Day Yields

 

7/31/14

4/30/14

1/31/14

10/31/13

7/31/13

Massachusetts AMT Tax-Free Money Market

0.01%

0.01%

0.01%

0.01%

0.01%

Institutional Class

0.01%

0.01%

0.01%

0.01%

0.01%

Service Class

0.01%

0.01%

0.01%

0.01%

0.01%

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. A portion of the Fund's expenses were reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending July 31, 2014, the most recent period shown in the table, would have been -0.21% for Massachusetts AMT Tax-Free Money Market, -0.17% for Institutional Class and -0.41% for Service Class.

Semiannual Report


Investments July 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Variable Rate Demand Note - 64.3%

Principal Amount

Value

Delaware - 0.3%

Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1999 A, 0.24% 8/7/14, VRDN (b)

$ 2,300,000

$ 2,300,000

Louisiana - 0.1%

Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 0.28% 8/7/14, VRDN (b)

1,100,000

1,100,000

Massachusetts - 62.4%

Massachusetts Bay Trans. Auth. Sales Tax Rev. Participating VRDN Series Clipper 07 18, 0.09% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(e)

52,100,000

52,100,000

Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev.:

Series 2010 A1, 0.08% 8/7/14, LOC Citibank NA, VRDN (b)

17,150,000

17,150,000

Series 2010 A3, 0.06% 8/7/14, LOC Bank of America NA, VRDN (b)

11,500,000

11,500,000

Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev. (Tammy Brook Apts. Proj.) Series 2009, 0.06% 8/7/14, LOC Freddie Mac, VRDN (b)

3,555,000

3,555,000

Massachusetts Dev. Fin. Agcy. Rev.:

(Babson College Proj.) Series 2008 A, 0.05% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

28,765,000

28,765,000

(Boston Univ. Proj.):

Series U-5B, 0.06% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

2,900,000

2,900,000

Series U3, 0.04% 8/7/14, LOC Northern Trust Co., VRDN (b)

5,400,000

5,400,000

(Briarwood Retirement Cmnty. Proj.) Series 2004 A, 0.06% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

3,700,000

3,700,000

(Governor Dummer Academy Issues Proj.) Series 2006, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

4,800,000

4,800,000

(New England Deaconess Assoc. Proj.) Series 2011 B, 0.08% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

5,430,000

5,430,000

(Olin College Proj.):

Series 2008 C2, 0.24% 8/1/14, LOC RBS Citizens NA, VRDN (b)

3,700,000

3,700,000

Series 2008 C3, 0.24% 8/1/14, LOC RBS Citizens NA, VRDN (b)

1,935,000

1,935,000

(Partners HealthCare Sys. Proj.):

Series 2011 K2, 0.04% 8/7/14 (Liquidity Facility Barclays Bank PLC), VRDN (b)

4,000,000

4,000,000

Series 2014 M1, 0.05% 8/1/14, LOC U.S. Bank NA, Cincinnati, VRDN (b)

4,400,000

4,400,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Rev.: - continued

(Simmons College Proj.) Series G, 0.05% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

$ 4,800,000

$ 4,800,000

(Smith College Proj.):

Series 2001, 0.06% 8/7/14, VRDN (b)

1,600,000

1,600,000

Series 2007, 0.05% 8/7/14 (Liquidity Facility TD Banknorth, NA), VRDN (b)

11,760,000

11,760,000

(Williston Northampton School Proj.) Series 2010, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

1,500,000

1,500,000

(Worcester Polytechnic Institute Proj.) Series 2008 A, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

23,210,000

23,210,000

(YMCA of Greater Worcester Proj.) Series 2006, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

1,900,000

1,900,000

Participating VRDN Series MS 3373, 0.08% 8/7/14 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(e)

900,000

900,000

Series 2010, 0.04% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

1,000,000

1,000,000

Series 2014 M2, 0.05% 8/7/14, LOC Bank of New York, New York, VRDN (b)

3,300,000

3,300,000

Massachusetts Gen. Oblig.:

Participating VRDN:

Series Clipper 07 06, 0.09% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(e)

17,900,000

17,900,000

Series Clipper 07 39, 0.06% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(e)

15,400,000

15,400,000

Series Putters 3699, 0.08% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

4,800,000

4,800,000

Series Putters 3898, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

3,500,000

3,500,000

Series 2001 C, 0.05% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (b)

9,350,000

9,350,000

Massachusetts Health & Edl. Facilities Auth. Rev.:

(Baystate Health Sys. Proj.) Series 2009 J1, 0.06% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

6,000,000

6,000,000

(Baystate Med. Ctr. Proj.) Series 2005 G, 0.04% 8/1/14, LOC Wells Fargo Bank NA, VRDN (b)

12,615,000

12,615,000

(Children's Hosp. Proj.):

Series 2010 N3, 0.04% 8/7/14, LOC U.S. Bank NA, Cincinnati, VRDN (b)

2,500,000

2,500,000

Series 2010 N4, 0.05% 8/1/14, LOC Wells Fargo Bank NA, VRDN (b)

17,500,000

17,500,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

(Dana-Farber Cancer Institute Proj.) Series 2008 L1, 0.04% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

$ 9,250,000

$ 9,250,000

(Fairview Extended Care Proj.) Series B, 0.12% 8/7/14, LOC Bank of America NA, VRDN (b)

2,300,000

2,300,000

(Henry Heywood Memorial Hosp. Proj.) Series 2008 C, 0.06% 8/1/14, LOC TD Banknorth, NA, VRDN (b)

1,000,000

1,000,000

(Massachusetts Institute of Technology Proj.):

Series 2001 J1, 0.04% 8/7/14, VRDN (b)

12,900,000

12,900,000

Series 2001 J2, 0.05% 8/7/14, VRDN (b)

6,925,000

6,925,000

(Northeast Hosp. Corp. Proj.) Series 2004 G, 0.12% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

9,100,000

9,100,000

(Wellesley College Proj.):

Series B, 0.04% 8/7/14, VRDN (b)

1,600,000

1,600,000

Series I, 0.05% 8/1/14, VRDN (b)

4,345,000

4,345,000

Participating VRDN:

Series BA 08 3503, 0.11% 8/7/14 (Liquidity Facility Bank of America NA) (b)(e)

5,550,000

5,550,000

Series BBT 08 54, 0.06% 8/7/14 (Liquidity Facility Branch Banking & Trust Co.) (b)(e)

6,300,000

6,300,000

Series BC 10 20W, 0.08% 8/7/14 (Liquidity Facility Barclays Bank PLC) (b)(e)

2,550,000

2,550,000

Series Putters 3163, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

5,655,000

5,655,000

Series Putters 3529, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

10,000,000

10,000,000

Series Putters 3530, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

11,495,000

11,495,000

Series Putters 3650, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

3,200,000

3,200,000

Series 2009 I, 0.04% 8/7/14, VRDN (b)

2,900,000

2,900,000

Massachusetts Hsg. Fin. Agcy. Multi-Family Rev. Series 2009 A, 0.06% 8/7/14, LOC Bank of New York, New York, VRDN (b)

2,000,000

2,000,000

Massachusetts Indl. Fin. Agcy. Rev. (Society for the Prevention of Cruelty to Animals Proj.) Series 1997, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

3,675,000

3,675,000

Massachusetts Port Auth. Rev.:

Participating VRDN Series Solar 06 108, 0.06% 8/7/14 (Liquidity Facility U.S. Bank NA, Cincinnati) (b)(e)

10,100,000

10,100,000

Series 2008 A, 0.05% 8/7/14, LOC State Street Bank & Trust Co., Boston, VRDN (b)

4,500,000

4,500,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN:

Series BA 08 1082, 0.08% 8/7/14 (Liquidity Facility Bank of America NA) (b)(e)

$ 900,000

$ 900,000

Series EGL 14 0011, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(e)

19,100,000

19,100,000

Series EGL 14 0012, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(e)

7,700,000

7,700,000

Series EGL 14 0045, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(e)

16,800,000

16,800,000

Series Putters 1920, 0.08% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

7,985,000

7,985,000

Series Putters 3691, 0.08% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

1,425,000

1,425,000

Series Putters 4420, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

600,000

600,000

Series RBC O 72, 0.06% 8/7/14 (Liquidity Facility Royal Bank of Canada) (b)(e)

1,000,000

1,000,000

Series ROC II R 14021, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(e)

1,500,000

1,500,000

Massachusetts Wtr. Poll. Abatement Trust Participating VRDN Series BBT 08 58, 0.06% 8/7/14 (Liquidity Facility Branch Banking & Trust Co.) (b)(e)

12,430,000

12,430,000

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 1999 B, 0.07% 8/7/14, LOC Landesbank Hessen-Thuringen, VRDN (b)

5,200,000

5,200,000

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 42, 0.06% 8/7/14 (Liquidity Facility Royal Bank of Canada) (b)(e)

4,600,000

4,600,000

 

483,455,000

New Jersey - 0.6%

JPMorgan Chase NA Letter of Credit Participating VRDN:

Series Putters 4459, 0.1% 8/1/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

1,700,000

1,700,000

Series Putters 4462, 0.1% 8/1/14 (Liquidity Facility JPMorgan Chase Bank) (b)(e)

1,300,000

1,300,000

Salem County Poll. Cont. Fin. Auth. Rev. (Pub. Svc. Elec. and Gas Co. Proj.) Series 2003 B1, 0.2% 8/7/14, VRDN (b)

1,400,000

1,400,000

 

4,400,000

Variable Rate Demand Note - continued

Principal Amount

Value

New York - 0.2%

Dutchess County Indl. Dev. Agcy. Civic Facility Rev. (Lutheran Ctr. at Poughkeepsie, Inc. Proj.) 0.13% 8/7/14, LOC KeyBank NA, VRDN (b)

$ 100,000

$ 100,000

New York City Hsg. Dev. Corp. Multi-family Mtg. Rev. (Beekman Tower Proj.) Series 2008 A, 0.14% 8/7/14, LOC RBS Citizens NA, VRDN (b)

1,200,000

1,200,000

 

1,300,000

Pennsylvania - 0.3%

Bucks County Indl. Dev. Auth. Rev. (Lutheran Cmnty. at Telford Healthcare Ctr., Inc. Proj.) Series 2007 B, 0.25% 8/7/14, LOC Citizens Bank of Pennsylvania, VRDN (b)

2,250,000

2,250,000

Cumberland County Muni. Auth. Rev. (Messiah Village Proj.) Series 2008 B, 0.16% 8/7/14, LOC Citizens Bank of Pennsylvania, VRDN (b)

200,000

200,000

 

2,450,000

Texas - 0.4%

Harris County Indl. Dev. Corp. Solid Waste Disp. Rev. (Deer Park Refining Ltd. Partnership Proj.) Series 2004 A, 0.19% 8/1/14, VRDN (b)

2,900,000

2,900,000

Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):

Series 2001 A, 0.19% 8/1/14, VRDN (b)

200,000

200,000

Series 2009 A, 0.19% 8/1/14, VRDN (b)

300,000

300,000

Series 2010 C, 0.19% 8/1/14, VRDN (b)

150,000

150,000

 

3,550,000

TOTAL VARIABLE RATE DEMAND NOTE

(Cost $498,555,000)


498,555,000

Other Municipal Debt - 22.3%

 

 

 

 

Massachusetts - 22.3%

Andover Gen. Oblig. Bonds Series 2014, 5% 3/1/15

1,471,000

1,512,468

Beverly Gen. Oblig. BAN 1% 4/23/15

1,800,000

1,811,474

Boston Gen. Oblig. Bonds:

Series 2013 A, 5% 3/1/15

200,000

205,598

5% 8/1/14

1,000,000

1,000,000

5% 1/1/15

680,000

693,684

Boston Wtr. & Swr. Commission Rev. Series A, 0.05% 8/25/14, LOC Bank of America NA, CP

2,800,000

2,800,000

Bourne Gen. Oblig. Bonds Series 2012, 2% 12/15/14

1,000,000

1,006,818

Concord & Carlisle Reg'l. School District BAN 0.75% 4/15/15

3,400,000

3,415,546

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Framingham Gen. Oblig.:

BAN 1.25% 12/12/14

$ 3,300,000

$ 3,313,022

Bonds 2% 12/1/14

2,489,000

2,504,114

Hanover Gen. Oblig. BAN 1% 9/12/14

1,600,000

1,601,543

Harvard Gen. Oblig. BAN 1% 6/25/15

2,587,000

2,606,714

Hingham Gen. Oblig. BAN Series 2014, 0.75% 5/22/15

5,200,000

5,226,555

Littleton Gen. Oblig. BAN 1.05% 8/15/14

4,807,900

4,809,684

Marblehead Gen. Oblig. BAN:

1% 8/7/15 (a)

1,700,000

1,715,062

1.25% 8/8/14

2,910,150

2,910,757

Marlborough Gen. Oblig. BAN 0.75% 6/19/15

2,100,000

2,111,834

Marshfield Gen. Oblig. BAN 1% 7/29/15

3,373,000

3,402,037

Massachusetts Bay Trans. Auth. Sales Tax Rev. Bonds Series 2004 C, 5.5% 7/1/15

1,000,000

1,048,944

Massachusetts Dev. Fin. Agcy. Series 5, 0.1% 8/6/14, LOC TD Banknorth, NA, CP

1,865,000

1,865,000

Massachusetts Dev. Fin. Agcy. Rev. 0.09% 8/7/14, LOC JPMorgan Chase Bank, CP

4,100,000

4,100,000

Massachusetts Gen. Oblig. Bonds:

Series 2001 D, 5.5% 11/1/14

500,000

506,661

Series 2002 C, 5.5% 11/1/14

1,435,000

1,454,096

Series 2004 A, 5% 8/1/14

6,400,000

6,400,000

Series 2004 C, 3.7% 8/1/14

2,200,000

2,200,000

Series 2005 A, 5% 3/1/15 (Pre-Refunded to 3/1/15 @ 100)

1,000,000

1,028,126

Series 2005 B, 5% 8/1/14

600,000

600,000

Series 2005 C, 5% 9/1/14

500,000

501,989

Series 2007 B, 5% 11/1/14

150,000

151,782

Series 2008 A, 5% 9/1/14

350,000

351,415

Series 2010 C, 5% 1/1/15

1,000,000

1,020,214

Series 2012 A, 0.23% 1/1/15 (b)

2,370,000

2,370,000

Series Merlots 2008-C54, 0.14%, tender 8/13/14 (Liquidity Facility Wells Fargo Bank NA) (b)(e)(f)

1,900,000

1,900,000

Massachusetts Health & Edl. Facilities Auth. Rev.:

Bonds:

(Partners HealthCare Sys., Inc. Proj.):

Series 2008 H1:

0.08% tender 11/6/14, CP mode

3,600,000

3,600,000

0.08% tender 11/7/14, CP mode

2,400,000

2,400,000

Series 2008 H2, 0.07% tender 8/12/14, CP mode

18,000,000

18,000,000

Series 2010 A, 5% 10/1/14

2,250,000

2,267,760

0.09% tender 8/6/14, CP mode

7,020,000

7,020,000

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

Series EE:

0.06% 8/8/14, CP

$ 3,800,000

$ 3,800,000

0.06% 9/4/14, CP

7,000,000

7,000,000

0.08% 9/10/14, CP

1,000,000

1,000,000

Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.):

Series 1992, 0.27% tender 8/11/14, CP mode

600,000

600,000

Series 1993 A, 0.27% tender 8/11/14, CP mode

3,000,000

3,000,000

Series 1993 B, 0.37% tender 9/12/14, CP mode

200,000

200,000

Massachusetts Port Auth. Rev. Series 2012 A, 0.08% 8/1/14, LOC TD Banknorth, NA, CP

1,600,000

1,600,000

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Bonds:

Series 2005 A, 5% 8/15/14

1,010,000

1,011,852

Series 2009 A, 5% 5/15/15

895,000

928,697

Series 2011 B, 5% 10/15/14

1,000,000

1,010,091

Massachusetts Wtr. Poll. Abatement Trust Bonds:

Series 2004 A, 5.25% 8/1/14

1,325,000

1,325,000

Series 2014, 5% 8/1/15

3,900,000

4,090,244

Milford Gen. Oblig. BAN 0.75% 5/15/15

1,400,000

1,406,937

Monomoy Reg'l. School District BAN 1.5% 9/15/14

3,600,000

3,605,982

Peabody Gen. Oblig. BAN 1% 3/27/15

1,800,000

1,810,192

Pittsfield Gen. Oblig. BAN Series B, 1% 2/6/15

2,956,860

2,968,774

Plymouth Gen. Oblig.:

BAN 1% 5/7/15

2,027,800

2,041,409

Bonds Series 2011, 5% 5/1/15

1,750,000

1,813,241

Quincy Gen. Oblig.:

BAN:

1% 1/23/15

3,400,000

3,413,992

1.25% 9/12/14

2,200,000

2,202,780

Bonds Series 2014, 2.5% 6/1/15

1,245,000

1,268,898

Revere Gen. Oblig. BAN 1% 4/17/15

1,600,000

1,609,741

Somerville Gen. Oblig. BAN 0.75% 6/12/15

2,800,000

2,815,193

Springfield Gen. Oblig. Bonds Series 2007, 5.75% 8/1/14

500,000

500,000

Univ. of Massachusetts Bldg. Auth. Facilities Rev. Bonds Series 2010, 5% 11/1/14

600,000

607,349

Univ. of Massachusetts Bldg. Auth. Rev. Series A1, 0.11% 1/8/15, LOC State Street Bank & Trust Co., Boston, CP

1,400,000

1,400,000

West Springfield Gen. Oblig. BAN 1% 12/19/14

4,223,700

4,238,432

Westborough Gen. Oblig. BAN 1% 8/14/15 (a)

1,600,000

1,613,904

Weston Gen. Oblig. BAN 1% 2/3/15

1,881,698

1,890,021

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Winchester Gen. Oblig. BAN 0.5% 7/2/15

$ 4,700,000

$ 4,717,212

Worcester Gen. Oblig. BAN:

0.5% 12/17/14

3,991,000

3,997,095

1% 12/17/14

1,600,000

1,605,156

TOTAL OTHER MUNICIPAL DEBT

(Cost $172,525,089)


172,525,089

Investment Company - 13.8%

Shares

 

Fidelity Tax-Free Cash Central Fund, 0.07% (c)(d)

(Cost $106,672,689)

106,672,689


106,672,689

TOTAL INVESTMENT PORTFOLIO - 100.4%

(Cost $777,752,778)

777,752,778

NET OTHER ASSETS (LIABILITIES) - (0.4)%

(2,924,469)

NET ASSETS - 100%

$ 774,828,309

Security Type Abbreviations

BAN

-

BOND ANTICIPATION NOTE

CP

-

COMMERCIAL PAPER

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

Legend

(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(e) Provides evidence of ownership in one or more underlying municipal bonds.

(f) 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 $1,900,000 or 0.2% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Cost

Massachusetts Gen. Oblig. Bonds Series Merlots 2008-C54, 0.14%, tender 8/13/14 (Liquidity Facility Wells Fargo Bank NA)

2/2/12

$ 1,900,000

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

$ 21,558

Other Information

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Financial Statements

Statement of Assets and Liabilities

 

July 31, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $671,080,089)

$ 671,080,089

 

Fidelity Central Funds (cost $106,672,689)

106,672,689

 

Total Investments (cost $777,752,778)

 

$ 777,752,778

Cash

 

334,992

Receivable for fund shares sold

143,323

Interest receivable

859,623

Distributions receivable from Fidelity Central Funds

3,094

Receivable from investment adviser for expense reductions

20,420

Other receivables

320

Total assets

779,114,550

 

 

 

Liabilities

Payable for investments purchased on a delayed delivery basis

$ 3,328,966

Payable for fund shares redeemed

803,332

Distributions payable

6,566

Accrued management fee

59,803

Other affiliated payables

87,574

Total liabilities

4,286,241

 

 

 

Net Assets

$ 774,828,309

Net Assets consist of:

 

Paid in capital

$ 774,612,121

Undistributed net investment income

66

Accumulated undistributed net realized gain (loss) on investments

216,122

Net Assets

$ 774,828,309

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

 

July 31, 2014 (Unaudited)

 

 

 

Massachusetts AMT Tax-Free Money Market:
Net Asset Value
, offering price and redemption price per share ($249,825,776 ÷ 249,400,676 shares)

$ 1.00

 

 

 

Institutional Class:
Net Asset Value
, offering price and redemption price per share ($524,856,100 ÷ 524,170,297 shares)

$ 1.00

 

 

 

Service Class:
Net Asset Value
, offering price and redemption price per share ($146,433 ÷ 146,239 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended July 31, 2014 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 316,184

Income from Fidelity Central Funds

 

21,558

Total income

 

337,742

 

 

 

Expenses

Management fee

$ 801,890

Transfer agent fees

263,227

Distribution and service plan fees

183

Independent trustees' compensation

1,597

Total expenses before reductions

1,066,897

Expense reductions

(769,008)

297,889

Net investment income (loss)

39,853

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

202,958

Net increase in net assets resulting from operations

$ 242,811

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended
July 31, 2014
(Unaudited)

Year ended
January 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 39,853

$ 86,629

Net realized gain (loss)

202,958

93,622

Net increase in net assets resulting
from operations

242,811

180,251

Distributions to shareholders from net investment income

(39,787)

(86,626)

Distributions to shareholders from net realized gain

-

(90,439)

Total distributions

(39,787)

(177,065)

Share transactions - net increase (decrease)

(43,265,404)

(115,141,353)

Total increase (decrease) in net assets

(43,062,380)

(115,138,167)

 

 

 

Net Assets

Beginning of period

817,890,689

933,028,856

End of period (including undistributed net investment income of $66 and undistributed net investment income of $0, respectively)

$ 774,828,309

$ 817,890,689

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Massachusetts AMT Tax-Free Money Market

 

Six months ended July 31, 2014

Years ended January 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  -F

  -F

  -F

  -F

  -F

  .002

Net realized and unrealized gain (loss)F

  -

  -

  -

  -

  -

  -

Total from investment operations

  -F

  -F

  -F

  -F

  -F

  .002

Distributions from net investment income

  -F

  -F

  -F

  -F

  -F

  (.002)

Distributions from net realized gain

  -

  -F

  -F

  -

  -

  -F

Total distributions

  -F

  -F

  -F

  -F

  -F

  (.002)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total ReturnB, C

  .00%

  .02%

  .02%

  .01%

  .01%

  .15%

Ratios to Average Net Assets D, E

 

 

 

 

 

 

Expenses before reductions

  .30%A

  .30%

  .30%

  .30%

  .30%

  .34%

Expenses net of fee waivers, if any

  .07%A

  .10%

  .17%

  .17%

  .28%

  .33%

Expenses net of all reductions

  .07%A

  .10%

  .17%

  .17%

  .28%

  .33%

Net investment income (loss)

  .01%A

  .01%

  .01%

  .01%

  .01%

  .16%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 249,826

$ 250,871

$ 272,374

$ 290,104

$ 353,510

$ 441,771

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any 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.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Institutional Class

 

Six months ended July 31, 2014

Years ended January 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  -F

  -F

  -F

  -F

  .001

  .002

Net realized and unrealized gain (loss)F

  -

  -

  -

  -

  -

  -

Total from investment operations

  -F

  -F

  -F

  -F

  .001

  .002

Distributions from net investment income

  -F

  -F

  -F

  -F

  (.001)

  (.002)

Distributions from net realized gain

  -

  -F

  -F

  -

  -

  -F

Total distributions

  -F

  -F

  -F

  -F

  (.001)

  (.002)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total ReturnB, C

  .00%

  .02%

  .02%

  .02%

  .09%

  .25%

Ratios to Average Net Assets D, E

 

 

 

 

 

Expenses before reductions

  .25%A

  .25%

  .25%

  .25%

  .25%

  .29%

Expenses net of fee waivers, if any

  .07%A

  .10%

  .17%

  .15%

  .20%

  .24%

Expenses net of all reductions

  .07%A

  .10%

  .17%

  .15%

  .20%

  .24%

Net investment income (loss)

  .01%A

  .01%

  .01%

  .03%

  .09%

  .25%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 524,856

$ 566,873

$ 660,561

$ 982,481

$ 1,263,867

$ 1,474,463

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any 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.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights - Service Class

 

Six months ended July 31, 2014

Years ended January 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  -F

  -F

  -F

  -F

  -F

  .001

Net realized and unrealized gain (loss)F

  -

  -

  -

  -

  -

  -

Total from investment operations

  -F

  -F

  -F

  -F

  -F

  .001

Distributions from net investment income

  -F

  -F

  -F

  -F

  -F

  (.001)

Distributions from net realized gain

  -

  -F

  -F

  -

  -

  -F

Total distributions

  -F

  -F

  -F

  -F

  -F

  (.001)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total ReturnB, C

  .00%

  .02%

  .02%

  .01%

  .01%

  .07%

Ratios to Average Net Assets D, E

 

 

 

 

 

 

Expenses before reductions

  .50%A

  .50%

  .50%

  .50%

  .50%

  .53%

Expenses net of fee waivers, if any

  .07%A

  .10%

  .18%

  .17%

  .28%

  .41%

Expenses net of all reductions

  .07%A

  .10%

  .18%

  .16%

  .28%

  .41%

Net investment income (loss)

  .01%A

  .01%

  .01%

  .01%

  .01%

  .08%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 146

$ 146

$ 94

$ 534

$ 1,036

$ 8,862

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any 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.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F Amount represents less than $.001 per share.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report


Notes to Financial Statements

For the period ended July 31, 2014 (Unaudited)

1. Organization.

Fidelity Massachusetts AMT Tax-Free Money Market Fund (the Fund) is a fund of Fidelity Massachusetts Municipal Trust (the Trust) and is authorized to issue an unlimited number of shares. 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. The Fund offers Massachusetts AMT Tax-Free Money Market, Institutional Class and Service Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund may be affected by economic and political developments in the state of Massachusetts.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

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 the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of

Semiannual Report

3. Significant Accounting Policies - continued

the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

Investment Transactions and Income. The net asset value per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions, including the Fund's investment activity in the Fidelity Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Class Allocations and Expenses - continued

to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to deferred trustees compensation.

The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the 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.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation

$ -

Gross unrealized depreciation

-

Net unrealized appreciation (depreciation) on securities

$ -

 

 

Tax cost

$ 777,752,778

Semiannual Report

3. Significant Accounting Policies - continued

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the 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.

Restricted Securities. The Fund 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 the Fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of ..20% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense. The management fee paid to the investment adviser by the Fund is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.

In addition, under the expense contract, the investment adviser pays class-level expenses for Massachusetts AMT Tax-Free Money Market so that the total expenses do not exceed .35%, expressed as a percentage of class average net assets, with certain exceptions such as interest expense.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Service Class pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Service Class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Fees and Other Transactions with Affiliates - continued

Distribution and Service Plan Fees - continued

providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:

 

Service
Fee

Total Fees

Retained
by FDC

Service Class

.25%

$ 183

$ -

During the period, the investment adviser or its affiliates waived a portion of these fees.

Transfer Agent and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent, and servicing agent for the Fund. Citibank has entered into a sub-arrangement with Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, under which FIIOC performs the activities associated with the Fund's transfer agency, dividend disbursing and shareholder servicing functions. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. The transfer agent fee for each class is paid to Citibank. For the period, transfer agent fees for each class were as follows:

 

Amount

% of
Average
Net Assets
*

Massachusetts AMT Tax-Free Money Market

$ 124,845

.10

Institutional Class

138,346

.05

Service Class

36

.05

 

$ 263,227

 

* Annualized

During the period, the investment adviser or its affiliates waived a portion of these fees.

Citibank also has a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, under which FSC maintains the Fund's accounting records. The fee is paid to Citibank and is based on the level of average net assets for each month.

5. Expense Reductions.

The investment adviser contractually agreed to reimburse Institutional Class and Service Class to the extent annual operating expenses, expressed as a percentage of each class' average net assets, exceed .20% and .45%, respectively. Some expenses, for example interest expense, are excluded from this reimbursement. During the period, this reimbursement reduced Institutional Class and Service Class expenses by $142,975 and $39, respectively.

Semiannual Report

5. Expense Reductions - continued

Additionally, the investment adviser or its affiliates voluntarily agreed to waive certain fees in order to maintain a minimum annualized yield of .01%. Such arrangements may be discontinued by the investment adviser at any time. For the period, the amount of the waiver for each class was as follows:

 

Amount

Massachusetts AMT Tax-Free Money Market

$ 282,009

Institutional Class

343,317

Service Class

272

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $396.

6. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Six months ended
July 31,
2014

Year ended
January 31,
2014

From net investment income

 

 

Massachusetts AMT Tax-Free Money Market

$ 12,362

$ 26,052

Institutional Class

27,418

60,557

Service Class

7

17

Total

$ 39,787

$ 86,626

From net realized gain

 

 

Massachusetts AMT Tax-Free Money Market

$ -

$ 28,102

Institutional Class

-

62,321

Service Class

-

16

Total

$ -

$ 90,439

7. Share Transactions.

Transactions for each class of shares at a $1.00 per share were as follows:

Six months ended
July 31,
2014

Year ended
January 31,
2014

Massachusetts AMT Tax-Free Money Market

Shares sold

 

36,805,324

 

68,794,392

Reinvestment of distributions

11,627

51,149

Shares redeemed

(37,940,107)

(90,355,888)

Net increase (decrease)

(1,123,156)

(21,510,347)

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

7. Share Transactions - continued

Six months ended
July 31,
2014

Year ended
January 31,
2014

Institutional Class

Shares sold

 

51,418,139

 

112,813,123

Reinvestment of distributions

23,649

105,749

Shares redeemed

(93,584,043)

(206,601,693)

Net increase (decrease)

(42,142,255)

(93,682,821)

Service Class

Shares sold

 

-

 

100,000

Reinvestment of distributions

7

33

Shares redeemed

-

(48,218)

Net increase (decrease)

7

51,815

8. Other.

The Fund's 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 Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Semiannual Report

Investment Adviser

Fidelity Management & Research
Company

Boston, MA

Sub-Advisers

Fidelity Investments Money
Management, Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Citibank, N.A.

New York, NY

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

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®) ang395575
1-800-544-5555

ang395575
Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

SMA-USAN-0914
1.854002.107

Fidelity® Massachusetts
Municipal Income Fund

and

Fidelity Massachusetts Municipal Money Market Fund

Semiannual Report

July 31, 2014

(Fidelity Cover Art)


Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Fidelity® Massachusetts Municipal Income Fund

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Fidelity Massachusetts Municipal Money Market Fund

Investment Changes/
Performance

(Click Here)

A summary of major shifts in the fund's investments over the past six months and one year.

Investments

(Click Here)

A complete list of the fund's investments.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://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 LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.

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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the funds nor Fidelity Distributors Corporation is a bank.

Semiannual 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 (February 1, 2014 to July 31, 2014).

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. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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.

Semiannual Report

 

Annualized
Expense Ratio
B

Beginning
Account Value
February 1, 2014

Ending
Account Value
July 31, 2014

Expenses Paid
During Period
*
February 1, 2014
to July 31, 2014

Fidelity Massachusetts Municipal Income Fund

.46%

 

 

 

Actual

 

$ 1,000.00

$ 1,045.00

$ 2.33

HypotheticalA

 

$ 1,000.00

$ 1,022.51

$ 2.31

Fidelity Massachusetts Municipal Money Market Fund

.07%

 

 

 

Actual

 

$ 1,000.00

$ 1,000.05

$ .35

HypotheticalA

 

$ 1,000.00

$ 1,024.45

$ .35

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Semiannual Report

Fidelity Massachusetts Municipal Income Fund


Investment Changes (Unaudited)

Top Five Sectors as of July 31, 2014

 

% of fund's
net assets

% of fund's net assets
6 months ago

Education

19.6

18.2

Health Care

18.3

16.9

Special Tax

17.3

17.8

General Obligations

13.5

15.0

Water & Sewer

13.0

15.1

Weighted Average Maturity as of July 31, 2014

 

 

6 months ago

Years

6.4

6.9

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Duration as of July 31, 2014

 

 

6 months ago

Years

7.6

8.2

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Quality Diversification (% of fund's net assets)

As of July 31, 2014

As of January 31, 2014

ang395561

AAA 12.6%

 

ang395561

AAA 13.1%

 

ang395588

AA,A 76.5%

 

ang395588

AA,A 74.4%

 

ang395591

BBB 6.0%

 

ang395591

BBB 7.4%

 

ang395594

BB and Below 1.5%

 

ang395594

BB and Below 0.7%

 

ang395597

Not Rated 2.2%

 

ang395597

Not Rated 2.9%

 

ang395567

Short-Term
Investments and
Net Other Assets 1.2%

 

ang395567

Short-Term
Investments and
Net Other Assets 1.5%

 

ang395602

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Semiannual Report

Fidelity Massachusetts Municipal Income Fund


Investments July 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Municipal Bonds - 98.8%

 

Principal
Amount

Value

Guam - 0.2%

Guam Ed. Fing. Foundation Ctfs. of Prtn.:

Series 2006 A, 5% 10/1/23

$ 2,740,000

$ 2,775,538

Series 2008:

5.375% 10/1/14

400,000

401,948

5.875% 10/1/18

1,900,000

2,073,755

 

5,251,241

Massachusetts - 98.1%

Berkshire Wind Pwr. Coop. Corp. (Wind Proj.) Series 1, 5.25% 7/1/30

5,000,000

5,409,450

Boston Gen. Oblig.:

Series 2007 B, 5% 3/1/21

7,335,000

8,086,104

Series 2012 A:

5% 4/1/21

8,130,000

9,834,129

5% 4/1/22

2,050,000

2,492,595

Series A, 5% 1/1/17

480,000

488,856

Boston Wtr. & Swr. Commission Rev.:

Series 2009 A:

5% 11/1/25

1,725,000

1,977,161

5% 11/1/26

1,500,000

1,714,860

5% 11/1/28

2,195,000

2,488,054

Series 2012 A, 4% 11/1/25

2,950,000

3,247,537

Sr. Series A, 5.25% 11/1/19

8,420,000

9,180,915

Braintree Gen. Oblig. Series 2009:

5% 5/15/23

5,000,000

5,813,850

5% 5/15/24

5,050,000

5,861,889

Cambridge Gen. Oblig. Series 12:

5% 1/1/23

865,000

1,038,164

5% 1/1/24

340,000

406,263

Framingham Gen. Oblig. Series 2012 A:

4% 12/1/20

1,260,000

1,433,804

4% 12/1/24

1,360,000

1,514,550

Hopedale Gen. Oblig. 5% 11/15/19 (AMBAC Insured)

1,000,000

1,022,310

Lowell Gen. Oblig.:

5% 12/15/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,410,000

1,496,348

5% 12/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,310,000

1,385,246

Lynn Wtr. & Swr. Commission Gen. Rev.:

Series 2003 A, 5% 12/1/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,000,000

2,003,920

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Lynn Wtr. & Swr. Commission Gen. Rev.: - continued

Series 2005 A:

5% 6/1/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

$ 2,055,000

$ 2,111,451

5% 6/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,560,000

1,597,939

Marshfield Gen. Oblig.:

5% 11/1/20

1,780,000

2,112,362

5% 11/1/21

1,730,000

2,069,080

Martha's Vineyard Land Bank Rev. Series 2006, 5% 5/1/18 (AMBAC Insured)

1,195,000

1,298,057

Massachusetts Bay Trans. Auth.:

Series 1991 A:

7% 3/1/21 (Escrowed to Maturity)

545,000

598,508

7% 3/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,320,000

2,797,433

Series 1992 B, 6.2% 3/1/16

9,930,000

10,418,159

7% 3/1/21

610,000

752,862

Massachusetts Bay Trans. Auth. Assessment Rev.:

Series 2008 A, 5.25% 7/1/34

24,750,000

27,995,963

Series 2012 A, 5% 7/1/22

6,110,000

7,419,190

Massachusetts Bay Trans. Auth. Sales Tax Rev.:

Series 2003 C:

5.25% 7/1/19

4,430,000

5,270,548

5.25% 7/1/23

3,950,000

4,897,803

Series 2005 A, 5% 7/1/24

16,175,000

19,846,725

Series 2005 B, 5.5% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

4,000,000

5,116,680

Series 2006 A:

5.25% 7/1/29

3,005,000

3,775,512

5.25% 7/1/32

6,745,000

8,428,754

Series 2010 B:

5% 7/1/26

1,000,000

1,156,650

5% 7/1/27

865,000

995,321

5% 7/1/28

1,000,000

1,145,310

5% 7/1/30

1,000,000

1,130,000

Massachusetts Clean Energy Coop. Corp. Series 2013:

5% 7/1/25

2,795,000

3,264,644

5% 7/1/30

3,725,000

4,200,869

Massachusetts Commonwealth Trans. Fund Rev.:

(Accelerated Bridge Prog.) Series 2012 A:

5% 6/1/24

11,880,000

13,984,423

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Commonwealth Trans. Fund Rev.: - continued

(Accelerated Bridge Prog.) Series 2012 A:

5% 6/1/25

$ 12,940,000

$ 15,125,048

Series 2013 A, 5% 6/1/43

10,000,000

11,017,600

Massachusetts Dept. of Agricultural Resources Higher Ed. Rev. (Emerson College Proj.) Series 2006 A:

5% 1/1/17

1,250,000

1,340,975

5% 1/1/18

1,920,000

2,102,074

5% 1/1/19

2,225,000

2,432,659

5% 1/1/20

3,000,000

3,269,490

Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2010 B:

5% 1/1/15

100,000

101,887

5% 1/1/22

11,000,000

12,441,550

5% 1/1/25

13,340,000

14,731,896

5% 1/1/26

4,210,000

4,616,139

5% 1/1/27

7,000,000

7,635,250

5% 1/1/30

5,000,000

5,566,700

5% 1/1/32

3,495,000

3,758,174

5% 1/1/35

4,230,000

4,653,592

Massachusetts Dev. Fin. Agcy. Hosp. Rev. Series 2013:

5.25% 11/15/36

3,000,000

3,305,190

5.25% 11/15/41

4,620,000

5,030,025

Massachusetts Dev. Fin. Agcy. Rev.:

(Babson College Proj.) Series 2007 A, 5% 10/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,165,000

1,247,319

(Boston College Proj.) Series P:

5% 7/1/20

2,500,000

2,755,350

5% 7/1/21

3,090,000

3,390,750

(Boston Univ. Proj.):

Series T1, 5% 10/1/39 (AMBAC Insured)

10,000,000

10,311,700

Series U4, 5.7% 10/1/40

3,100,000

3,580,190

(Brandeis Univ. Proj.) Series N:

5% 10/1/23

1,040,000

1,154,140

5% 10/1/24

1,210,000

1,340,257

(Carleton-Willard Village Proj.) Series 2010:

4.75% 12/1/20

3,355,000

3,560,225

5.25% 12/1/25

820,000

875,129

5.625% 12/1/30

1,000,000

1,065,790

(College of the Holy Cross Proj.):

Series 2008 A, 5% 9/1/26

1,500,000

1,676,370

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Rev.: - continued

(College of the Holy Cross Proj.):

Series 2008 B, 5% 9/1/22

$ 1,100,000

$ 1,243,616

(Deerfield Academy Proj.) 5% 10/1/40

10,500,000

11,829,090

(Partners HealthCare Sys. Proj.) Series 2011 K6, 5.375% 7/1/41

7,000,000

7,710,220

(Tufts Med. Ctr. Proj.) Series I, 6.25% 1/1/27

12,485,000

14,408,439

Series 2008, 5.75% 9/1/25

9,500,000

10,975,065

Series 2010 B1, 5% 10/15/40

22,510,000

25,650,820

Series 2010 B2, 5.25% 2/1/34

5,000,000

5,825,400

Series 2011 B, 5% 7/1/41

6,520,000

7,007,500

Series 2011 H:

5.125% 7/1/26

5,500,000

5,815,535

5.5% 7/1/31

7,750,000

8,172,375

Series 2011:

5% 10/1/20

1,215,000

1,400,749

5% 7/1/41

5,000,000

5,373,850

5.25% 10/1/41

5,485,000

6,025,766

Series 2012 C:

5.25% 7/1/25

2,000,000

2,186,940

5.25% 7/1/26

2,000,000

2,165,680

Series 2012 G:

5% 10/1/23

2,245,000

2,510,651

5% 10/1/24

1,625,000

1,800,809

5% 10/1/25

1,600,000

1,762,384

5% 10/1/26

2,170,000

2,375,803

5% 10/1/27

2,235,000

2,432,216

5% 10/1/28

1,240,000

1,341,283

Series 2012 J, 5% 7/1/42

7,000,000

7,734,720

Series 2012 L, 5% 7/1/36

6,000,000

6,578,520

Series 2013 A:

6.25% 11/15/33

2,245,000

2,396,111

6.5% 11/15/43

4,000,000

4,290,240

Series 2013 E:

5% 11/1/38

3,400,000

3,743,026

5% 11/1/43

15,000,000

16,378,350

Series 2013 F:

4% 7/1/32

2,050,000

2,039,566

4% 7/1/43

27,185,000

25,457,393

5% 7/1/27

1,300,000

1,460,758

5% 7/1/37

3,925,000

4,195,236

Series 2013 G, 5% 7/1/44

17,105,000

17,599,677

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Rev.: - continued

Series 2013 P, 5% 7/1/43

$ 8,320,000

$ 9,281,043

Series 2013 X, 5% 10/1/48

14,920,000

16,136,875

Series 2013, 5% 7/1/21

1,085,000

1,228,806

Series 2014 A:

5% 3/1/32

1,700,000

1,904,391

5% 3/1/33

1,250,000

1,395,975

5% 3/1/39

4,000,000

4,398,920

5% 3/1/44

15,730,000

17,192,890

Series 2014 F:

5% 7/15/19

250,000

278,158

5% 7/15/20

300,000

332,439

5% 7/15/21

300,000

328,881

5% 7/15/22

400,000

433,784

5% 7/15/23

350,000

376,093

5% 7/15/24

400,000

425,796

5% 7/15/25

550,000

578,325

5% 7/15/26

500,000

521,220

5% 7/15/27

200,000

206,548

5% 7/15/28

320,000

327,171

5.625% 7/15/36

800,000

846,920

5.75% 7/15/43

4,500,000

4,838,265

Series 2014 M4, 5% 7/1/44

10,000,000

10,922,800

Series 2014 P:

5% 10/1/32

5,000,000

5,695,800

5% 10/1/46

5,000,000

5,554,800

Series I, 6.875% 1/1/41

9,540,000

11,146,345

5% 3/1/34

4,375,000

4,867,144

5.5% 7/1/44

11,295,000

11,957,678

Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. Bonds Series 2009, 5.75%, tender 5/1/19 (a)

2,000,000

2,418,980

Massachusetts Edl. Fing. Auth. Rev.:

Series 2010 A:

5.5% 1/1/17

3,000,000

3,315,870

5.5% 1/1/22

3,500,000

3,919,825

5.5% 1/1/23 (b)

1,580,000

1,682,874

Series 2010 B:

4.5% 1/1/16 (b)

625,000

654,913

4.8% 1/1/17 (b)

1,905,000

2,058,600

Massachusetts Fed. Hwy. Series 2013 A:

5% 6/15/26

5,000,000

5,926,150

5% 6/15/27

5,000,000

5,906,500

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Gen. Oblig.:

Series 2001 D:

5.5% 11/1/20

$ 1,000,000

$ 1,226,000

5.5% 11/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,000,000

2,452,000

Series 2004 A, 5.5% 8/1/30

2,000,000

2,553,080

Series 2006 B:

5.25% 9/1/22

5,360,000

6,616,545

5.25% 9/1/23

9,400,000

11,702,342

Series 2007 A, 0.721% 5/1/37 (a)

20,250,000

18,015,210

Series 2007 C:

5% 8/1/37

36,375,000

39,780,778

5.25% 8/1/21 (Pre-Refunded to 8/1/17 @ 100)

1,080,000

1,229,234

5.25% 8/1/24

6,960,000

7,809,190

5.25% 8/1/25 (FSA Insured)

10,000,000

11,204,400

Series 2008 A:

5% 8/1/22

3,685,000

4,247,478

5% 8/1/24

7,380,000

8,469,067

Series 2009 A, 5% 3/1/39

17,000,000

18,693,880

Series 2011 A:

5% 4/1/26

5,425,000

6,338,570

5% 4/1/28

5,880,000

6,815,038

Series 2011 B:

5% 8/1/23

5,770,000

6,831,795

5% 8/1/24

1,750,000

2,065,490

5% 8/1/25

1,930,000

2,263,581

Series C, 5.5% 12/1/22

7,800,000

9,787,908

Massachusetts Health & Edl. Facilities Auth. Rev.:

(Baystate Health Sys. Proj.) Series 2009 I, 5.75% 7/1/36

7,500,000

8,336,475

(Berklee College of Music Proj.) Series 2007 A:

5% 10/1/16

1,000,000

1,089,340

5% 10/1/19

3,290,000

3,680,293

5% 10/1/21

3,270,000

3,639,608

5% 10/1/23

2,000,000

2,214,260

5% 10/1/25

5,950,000

6,548,749

(Blood Research Institute Proj.) Series A, 6.5% 2/1/22 (c)

7,700,000

7,732,879

(Cape Cod Healthcare Proj.) Series 2004 D:

5% 11/15/31 (Assured Guaranty Corp. Insured)

2,000,000

2,147,320

5.125% 11/15/35 (Assured Guaranty Corp. Insured)

1,000,000

1,068,690

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

(Cape Cod Healthcare Proj.) Series 2004 D:

6% 11/15/28 (Assured Guaranty Corp. Insured)

$ 2,735,000

$ 3,138,358

(CareGroup, Inc. Proj.):

Series 2008 B1, 5.375% 2/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,100,910

Series 2008 B2:

5% 2/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

800,000

863,160

5.375% 2/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,750,000

1,933,575

5.375% 2/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,000,000

2,193,880

Series 2008 D:

5.25% 7/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,500,000

1,696,125

5.25% 7/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,450,000

1,627,915

5.25% 7/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,118,300

5.25% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,900,000

2,108,924

Series 2008 E1:

5% 7/1/28

2,525,000

2,687,686

5.125% 7/1/33

2,000,000

2,121,360

5.125% 7/1/38

4,040,000

4,253,433

5.375% 7/1/21

10,850,000

12,188,565

Series 2008 E2:

5.375% 7/1/23

3,500,000

3,895,570

5.375% 7/1/24

5,015,000

5,560,030

5.375% 7/1/25

3,500,000

3,869,355

(Catholic Health East Proj.) Series 2010, 5% 11/15/18

1,005,000

1,153,348

(Children's Hosp. Proj.) Series 2009 M, 5.5% 12/1/39

20,000,000

22,673,200

(Emerson Hosp. Proj.) Series 2005 E, 5% 8/15/35 (Radian Asset Assurance, Inc. Insured)

2,500,000

2,313,050

(Harvard Univ. Proj.) Series 2009 A, 5.5% 11/15/36

1,025,000

1,191,470

(Lahey Clinic Med. Ctr. Proj.) Series 2005 C:

5% 8/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,190,000

5,305,374

5% 8/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,000,000

5,082,100

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

(Massachusetts Institute of Technology Proj.) Series 2008 O, 6% 7/1/36

$ 20,500,000

$ 24,424,930

(Northeastern Univ. Proj.):

Series 2008 R:

5% 10/1/16

600,000

653,604

5% 10/1/17

775,000

866,938

5% 10/1/18

500,000

571,755

5% 10/1/20

2,000,000

2,266,260

5% 10/1/22

1,160,000

1,302,019

5% 10/1/27

3,030,000

3,334,667

5% 10/1/28

1,000,000

1,096,400

5% 10/1/33

5,000,000

5,333,350

Series 2009 Y1:

5% 10/1/16

1,495,000

1,630,253

5% 10/1/17

1,570,000

1,756,249

5% 10/1/19

1,730,000

2,021,799

Series 2009 Y2:

5% 10/1/16

1,090,000

1,188,612

5% 10/1/17

1,145,000

1,280,831

5% 10/1/18

1,215,000

1,388,842

(Partners HealthCare Sys., Inc. Proj.):

Series 2005 F:

5% 7/1/19

1,760,000

1,827,866

5% 7/1/20

2,350,000

2,441,486

5% 7/1/21

1,150,000

1,194,448

5% 7/1/22

1,855,000

1,926,343

Series 2009 I3:

5% 7/1/21

2,300,000

2,653,395

5% 7/1/22

5,000,000

5,705,000

Series 2010 J1, 5% 7/1/39

23,500,000

25,707,120

(South Shore Hosp. Proj.) Series F:

5.625% 7/1/19

145,000

145,277

5.75% 7/1/29

6,370,000

6,378,536

(Tufts Univ. Proj.):

Series 2008 O, 5.375% 8/15/38

4,500,000

5,051,475

Series J, 5.5% 8/15/17

500,000

571,290

(UMass Memorial Proj.) Series 2010 G, 5% 7/1/17

2,215,000

2,404,892

(Williams College Proj.) Series 2006 L:

5% 7/1/17

1,000,000

1,087,430

5% 7/1/18

1,000,000

1,086,430

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

(Winchester Hosp. Proj.) Series 2010 H, 5.25% 7/1/38

$ 18,995,000

$ 19,856,043

(Woods Hole Oceanographic Institution Proj.) Series 2008 B:

5.25% 6/1/25

1,760,000

1,958,440

5.375% 6/1/30

8,000,000

8,839,280

(Worcester City Campus Proj.) Series 2007 E:

5% 10/1/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,130,000

2,308,345

5% 10/1/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,985,000

2,150,331

5% 10/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,350,000

1,460,322

5% 10/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,465,000

2,657,664

Bonds (Baystate Health Sys. Proj.) Series 2009 K, 5%, tender 7/1/15 (a)

3,000,000

3,121,260

Series 2005 D:

5.25% 7/1/30

7,000,000

7,032,200

5.375% 7/1/35

2,165,000

2,171,993

5.5% 7/1/40

6,150,000

6,167,958

Series 2007 E, 5% 7/15/32

1,155,000

1,163,766

Series 2008 B2, 5.375% 2/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,100,910

Series 2008 E2. 5.375% 7/1/21

2,075,000

2,330,993

Series 2010 C:

5% 7/1/30

4,460,000

4,682,777

5.125% 7/1/35

500,000

519,180

Series 2010 H, 5% 7/1/16

1,000,000

1,061,410

Series E, 5% 7/15/27

7,195,000

7,314,797

5% 7/1/17

115,000

115,366

5% 7/1/19

130,000

130,386

5% 7/1/19

215,000

234,098

5% 7/1/20

310,000

337,227

5% 7/1/21

325,000

353,220

Massachusetts Port Auth. Rev.:

Series 2007 C:

5% 7/1/17 (FSA Insured) (b)

1,660,000

1,859,316

5% 7/1/22 (FSA Insured) (b)

6,140,000

6,768,982

5% 7/1/27 (FSA Insured) (b)

5,000,000

5,403,600

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Port Auth. Rev.: - continued

Series 2010 A:

5% 7/1/34

$ 2,000,000

$ 2,186,640

5% 7/1/40

12,000,000

12,912,720

Series 2012 A:

5% 7/1/37 (b)

2,000,000

2,151,180

5% 7/1/42 (b)

9,600,000

10,258,272

Series 2012 B:

5% 7/1/25

4,150,000

4,851,060

5% 7/1/27

6,570,000

7,553,332

5% 7/1/28

5,030,000

5,740,840

Series 2014 B, 5% 7/1/39 (b)

4,965,000

5,392,983

Series 2014 C:

5% 7/1/28

3,000,000

3,533,310

5% 7/1/29

4,205,000

4,913,122

5% 7/1/30

3,000,000

3,477,330

Massachusetts Port Auth. Spl. Facilities Rev.:

(BosFuel Corp. Proj.) Series 2007:

5% 7/1/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)

1,615,000

1,787,256

5% 7/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)

1,000,000

1,103,950

5% 7/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)

1,560,000

1,722,162

5% 7/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)

1,000,000

1,096,440

(BOSFUEL Proj.) Series 2007, 5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)

5,175,000

5,255,782

(ConRAC Proj.) Series 2011 A, 5.125% 7/1/41

13,000,000

13,923,000

(Delta Air Lines, Inc. Proj.) Series 2001 A:

5.5% 1/1/15 (AMBAC Insured) (b)

5,000,000

5,004,750

5.5% 1/1/16 (AMBAC Insured) (b)

5,000,000

5,004,200

5.5% 1/1/17 (AMBAC Insured) (b)

5,555,000

5,559,444

5.5% 1/1/18 (AMBAC Insured) (b)

6,000,000

6,004,260

5.5% 1/1/19 (AMBAC Insured) (b)

5,000,000

5,003,100

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.:

Series 2007 A, 5% 8/15/37

6,605,000

7,151,894

Series 2011 B:

5% 10/15/41

25,000,000

27,583,000

5.25% 10/15/35

12,500,000

14,333,375

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.: - continued

Series 2012 A:

5% 8/15/23

$ 15,000,000

$ 18,099,600

5% 8/15/24

27,500,000

32,891,925

5% 8/15/25

28,475,000

33,828,585

Series 2012 B:

5% 8/15/27

10,000,000

11,744,500

5% 8/15/28

12,000,000

14,017,680

5% 8/15/30

25,900,000

29,950,760

Massachusetts Spl. Oblig. Dedicated Tax Rev.:

Series 2004, 5.25% 1/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,935,000

6,828,277

Series 2005:

5% 1/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

2,500,000

2,885,175

5.5% 1/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,000,000

1,218,510

5.5% 1/1/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

4,000,000

4,914,880

Massachusetts Spl. Oblig. Rev. Series 2005 A, 5.5% 6/1/19

10,000,000

12,013,900

Massachusetts State College Bldg. Auth. Rev.:

Series 2002 A, 0% 5/1/22 (Escrowed to Maturity)

2,250,000

1,903,883

Series 2003 B:

0% 5/1/28 (XL Cap. Assurance, Inc. Insured)

6,080,000

3,941,421

5.375% 5/1/18 (XL Cap. Assurance, Inc. Insured)

1,100,000

1,277,925

5.375% 5/1/20 (XL Cap. Assurance, Inc. Insured)

1,825,000

2,204,618

Series 2006 A, 5% 5/1/36 (AMBAC Insured)

9,220,000

9,716,128

Series 2008 A:

5% 5/1/19 (Assured Guaranty Corp. Insured)

1,730,000

1,965,540

5% 5/1/20 (Assured Guaranty Corp. Insured)

2,130,000

2,400,020

5% 5/1/21 (Assured Guaranty Corp. Insured)

2,440,000

2,739,852

5% 5/1/22 (Assured Guaranty Corp. Insured)

2,430,000

2,716,424

5% 5/1/23 (Assured Guaranty Corp. Insured)

2,490,000

2,775,827

Series 2009 A:

5.375% 5/1/34

2,305,000

2,588,354

5.5% 5/1/39

7,000,000

7,842,870

5.5% 5/1/49

3,440,000

3,821,909

5.75% 5/1/49

10,000,000

11,314,400

Series 2009 B:

5% 5/1/35

5,560,000

6,229,146

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts State College Bldg. Auth. Rev.: - continued

Series 2009 B:

5% 5/1/40

$ 4,625,000

$ 5,106,555

Series 2012 A:

5% 5/1/36

7,360,000

8,250,707

5% 5/1/41

10,000,000

11,022,900

Series 2012 B:

5% 5/1/29

2,000,000

2,281,740

5% 5/1/30

1,870,000

2,123,740

5% 5/1/37

3,075,000

3,407,162

5% 5/1/43

11,125,000

12,215,584

Massachusetts Tpk. Auth. Metropolitan Hwy. Sys. Rev.:

Series 1997 C, 0% 1/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

1,800,000

1,431,954

Sr. Series A:

0% 1/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

5,110,000

3,736,994

0% 1/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

7,700,000

4,913,062

0% 1/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

33,195,000

20,251,606

Sr. Series C:

0% 1/1/16 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

3,000,000

2,984,040

0% 1/1/17 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

7,705,000

7,565,694

0% 1/1/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

13,815,000

12,923,518

Massachusetts Wtr. Poll. Abatement Trust:

(Pool Prog.):

Series 10:

5% 8/1/22

305,000

305,000

5% 8/1/34

150,000

150,000

Series 13:

5% 8/1/19 (Pre-Refunded to 8/1/17 @ 100)

3,740,000

4,235,101

5% 8/1/21 (Pre-Refunded to 8/1/17 @ 100)

5,350,000

6,058,233

5% 8/1/22 (Pre-Refunded to 8/1/17 @ 100)

8,355,000

9,461,035

5% 8/1/23 (Pre-Refunded to 8/1/17 @ 100)

6,385,000

7,230,246

5% 8/1/24 (Pre-Refunded to 8/1/17 @ 100)

1,000,000

1,132,380

Series 2004 A:

5.25% 8/1/22

6,525,000

8,083,562

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Wtr. Poll. Abatement Trust: - continued

(Pool Prog.):

Series 2004 A:

5.25% 2/1/24

$ 1,170,000

$ 1,460,464

5.25% 8/1/24

3,780,000

4,743,220

Series 6:

5.25% 8/1/19

30,000

30,109

5.625% 8/1/14

115,000

115,000

5.625% 8/1/15

25,000

25,101

5.625% 8/1/16

485,000

486,940

Series 8:

5% 8/1/17

110,000

110,393

5% 8/1/20

105,000

105,360

Series 9, 5.25% 8/1/33

595,000

596,815

Series 14:

5% 8/1/32

5,685,000

6,359,014

5% 8/1/38

8,390,000

9,223,295

Series 2, 5.25% 2/1/17

95,000

95,356

Series 2002 A, 5.25% 8/1/20

680,000

682,455

Series 2010 A, 5% 8/1/21

9,000,000

10,650,600

Series 2012 A:

5% 8/1/27

5,900,000

6,929,491

5% 8/1/28

6,570,000

7,664,759

Series 6, 5.5% 8/1/30

6,745,000

6,767,528

5% 8/1/21

7,520,000

8,812,162

5% 8/1/22

4,290,000

5,006,902

5% 8/1/23

5,000,000

5,788,600

5% 8/1/24

4,215,000

4,866,681

5% 8/1/25

4,965,000

5,709,601

5% 8/1/26

3,205,000

3,677,417

5% 8/1/27

2,460,000

2,815,027

5% 8/1/28

3,480,000

3,973,360

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.:

Series 1992 A, 6.5% 7/15/19 (Escrowed to Maturity)

15,965,000

18,326,543

Series 1998 B, 5.5% 8/1/15 (Escrowed to Maturity)

1,415,000

1,477,996

Series 2002 J, 5.5% 8/1/20

1,000,000

1,221,880

Series 2005 A, 5.25% 8/1/21 (Pre-Refunded to 8/1/17 @ 100)

795,000

904,853

Series 2005:

5.25% 8/1/24

8,435,000

9,456,141

5.25% 8/1/24 (Pre-Refunded to 8/1/17 @ 100)

565,000

643,072

Series 2006 A, 5% 8/1/41

9,000,000

9,611,280

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.: - continued

Series 2007 A:

5% 8/1/23 (FSA Insured)

$ 2,000,000

$ 2,187,880

5% 8/1/25 (FSA Insured)

2,000,000

2,176,540

5% 8/1/26 (FSA Insured)

2,000,000

2,171,920

5% 8/1/27 (FSA Insured)

2,000,000

2,159,160

5% 8/1/28 (FSA Insured)

2,000,000

2,153,060

Series 2009 A:

5% 8/1/34

6,350,000

7,182,485

5% 8/1/39

8,360,000

9,288,963

Series 2009 B, 5% 8/1/22

2,540,000

2,947,213

Series 2011 B:

5% 8/1/36

5,000,000

5,543,100

5% 8/1/41

16,000,000

17,528,480

Series 2011 C:

5% 8/1/23

6,070,000

7,152,524

5% 8/1/24

22,090,000

25,967,016

5% 8/1/25

14,235,000

16,683,278

5.25% 8/1/42

8,425,000

9,448,469

Series 2012 A, 5% 8/1/37

8,000,000

8,918,480

Series J, 5% 8/1/42

100,000

100,258

Monson Gen. Oblig. 5.25% 11/1/21 (AMBAC Insured)

1,000,000

1,009,150

Newton Gen. Oblig. Series 2009 A:

4% 4/1/23

1,490,000

1,644,856

5% 4/1/20

1,840,000

2,183,178

5% 4/1/21

1,915,000

2,254,913

Plymouth Gen. Oblig.:

Series 2009:

5% 5/15/23

1,255,000

1,415,929

5% 5/15/25

1,150,000

1,281,422

5% 10/15/17

1,665,000

1,887,927

5% 10/15/19

500,000

590,695

Randolph Gen. Oblig.:

5% 9/1/16 (AMBAC Insured)

1,170,000

1,185,573

5% 9/1/18 (AMBAC Insured)

1,090,000

1,104,432

5% 9/1/19 (AMBAC Insured)

1,085,000

1,099,311

Reading Gen. Oblig. Series 2012:

5% 2/1/20

1,165,000

1,369,667

5% 2/1/22

1,245,000

1,480,691

5% 2/1/23

1,185,000

1,424,382

Municipal Bonds - continued

 

Principal
Amount

Value

Massachusetts - continued

Revere Gen. Oblig. Series 2009:

5% 4/1/28

$ 515,000

$ 554,320

5% 4/1/39

2,000,000

2,086,680

5.5% 4/1/27

2,510,000

2,770,312

Springfield Gen. Oblig. Series 2007:

5% 8/1/17 (FSA Insured)

5,000,000

5,525,600

5% 8/1/18 (FSA Insured)

7,210,000

7,956,668

Springfield Wtr. & Swr. Commission Rev. Series 2008 A:

5.75% 10/15/26 (Assured Guaranty Corp. Insured)

1,000,000

1,151,860

5.75% 10/15/27 (Assured Guaranty Corp. Insured)

1,000,000

1,145,780

5.75% 10/15/28 (Assured Guaranty Corp. Insured)

1,000,000

1,142,320

Taunton Gen. Oblig. 5% 12/1/17

1,965,000

2,243,362

Univ. of Massachusetts Bldg. Auth. Facilities Rev.:

Series 2004 1, 5.375% 11/1/16 (AMBAC Insured)

1,305,000

1,319,172

Series 2008 2, 5% 5/1/38 (FSA Insured)

20,605,000

22,111,638

Westfield Gen. Oblig. Series 2014:

5% 3/1/26

2,990,000

3,580,585

5% 3/1/27

2,740,000

3,243,037

Woods Hole, Martha's Vineyard & Nantucket Steamship Auth. Series 2004 B, 5% 3/1/17

3,300,000

3,385,701

Worcester Gen. Oblig.:

Series 2001 A:

5.25% 8/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

310,000

311,066

5.5% 8/15/18 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

220,000

220,849

Series 2001 B, 5.5% 10/1/14 (Nat'l. Pub. Fin. Guarantee Corp. Insured)

225,000

225,934

 

2,044,406,108

Virgin Islands - 0.5%

Virgin Islands Pub. Fin. Auth.:

Series 2004 A, 5.25% 10/1/16 (Pre-Refunded to 10/1/14 @ 100)

750,000

755,970

Series 2009 A, 6.75% 10/1/37

4,000,000

4,361,720

Municipal Bonds - continued

 

Principal
Amount

Value

Virgin Islands - continued

Virgin Islands Pub. Fin. Auth.: - continued

Series 2009 A1, 5% 10/1/39

$ 1,500,000

$ 1,552,920

Series 2009 B, 5% 10/1/25

2,800,000

3,005,996

 

9,676,606

TOTAL INVESTMENT PORTFOLIO - 98.8%

(Cost $1,947,961,138)

2,059,333,955

NET OTHER ASSETS (LIABILITIES) - 1.2%

24,142,077

NET ASSETS - 100%

$ 2,083,476,032

Legend

(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(b) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(c) 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 $7,732,879 or 0.4% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Acquisition Cost

Massachusetts Health & Edl. Facilities Auth. Rev. (Blood Research Institute Proj.) Series A, 6.5% 2/1/22

9/3/92

$ 7,222,061

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

The distribution of municipal securities by revenue source, as a percentage of total net assets, is as follows (Unaudited):

Education

19.6%

Health Care

18.3%

Special Tax

17.3%

General Obligations

13.5%

Water & Sewer

13.0%

Transportation

12.0%

Others* (Individually Less Than 5%)

6.3%

 

100.0%

* Includes net other assets

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Fidelity Massachusetts Municipal Income Fund


Financial Statements

Statement of Assets and Liabilities

 

July 31, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $1,947,961,138)

 

$ 2,059,333,955

Cash

 

3,705,901

Receivable for fund shares sold

242,381

Interest receivable

24,405,032

Other receivables

1,950

Total assets

2,087,689,219

 

 

 

Liabilities

Payable for fund shares redeemed

$ 1,006,568

Distributions payable

2,081,525

Accrued management fee

629,087

Transfer agent fee payable

367,890

Other affiliated payables

95,870

Other payables and accrued expenses

32,247

Total liabilities

4,213,187

 

 

 

Net Assets

$ 2,083,476,032

Net Assets consist of:

 

Paid in capital

$ 1,976,031,573

Undistributed net investment income

615,970

Accumulated undistributed net realized gain (loss) on investments

(4,544,328)

Net unrealized appreciation (depreciation) on investments

111,372,817

Net Assets, for 169,455,157 shares outstanding

$ 2,083,476,032

Net Asset Value, offering price and redemption price per share ($2,083,476,032 ÷ 169,455,157 shares)

$ 12.30

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Six months ended July 31, 2014 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 38,983,369

 

 

 

Expenses

Management fee

$ 3,715,346

Transfer agent fees

725,703

Accounting fees and expenses

186,121

Custodian fees and expenses

14,745

Independent trustees' compensation

4,082

Registration fees

18,585

Audit

25,273

Legal

3,568

Miscellaneous

10,099

Total expenses before reductions

4,703,522

Expense reductions

(3,995)

4,699,527

Net investment income (loss)

34,283,842

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

(4,218,975)

Change in net unrealized appreciation (depreciation) on investment securities

59,179,615

Net gain (loss)

54,960,640

Net increase (decrease) in net assets resulting from operations

$ 89,244,482

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Fidelity Massachusetts Municipal Income Fund
Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended
July 31, 2014
(Unaudited)

Year ended
January 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 34,283,842

$ 73,509,600

Net realized gain (loss)

(4,218,975)

8,020,428

Change in net unrealized appreciation (depreciation)

59,179,615

(134,999,431)

Net increase (decrease) in net assets resulting
from operations

89,244,482

(53,469,403)

Distributions to shareholders from net investment income

(34,266,640)

(73,551,045)

Distributions to shareholders from net realized gain

(3,864,615)

(13,825,777)

Total distributions

(38,131,255)

(87,376,822)

Share transactions
Proceeds from sales of shares

136,975,664

352,647,215

Reinvestment of distributions

24,609,406

57,376,054

Cost of shares redeemed

(129,615,281)

(827,933,972)

Net increase (decrease) in net assets resulting from share transactions

31,969,789

(417,910,703)

Redemption fees

5,289

14,726

Total increase (decrease) in net assets

83,088,305

(558,742,202)

 

 

 

Net Assets

Beginning of period

2,000,387,727

2,559,129,929

End of period (including undistributed net investment income of $615,970 and undistributed net investment income of $598,768, respectively)

$ 2,083,476,032

$ 2,000,387,727

Other Information

Shares

Sold

11,280,710

29,256,902

Issued in reinvestment of distributions

2,019,665

4,719,025

Redeemed

(10,642,350)

(68,800,208)

Net increase (decrease)

2,658,025

(34,824,281)

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

 

Six months ended
July 31, 2014

Years ended January 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 11.99

$ 12.69

$ 12.63

$ 11.53

$ 11.83

$ 11.25

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .203

  .399

  .420

  .448

  .453

  .453

Net realized and unrealized gain (loss)

  .333

  (.630)

  .141

  1.142

  (.300)

  .581

Total from investment operations

  .536

  (.231)

  .561

  1.590

  .153

  1.034

Distributions from net investment income

  (.203)

  (.399)

  (.418)

  (.449)

  (.453)

  (.453)

Distributions from net realized gain

  (.023)

  (.070)

  (.083)

  (.041)

  -

  - F

Total distributions

  (.226)

  (.469)

  (.501)

  (.490)

  (.453)

  (.454) G

Net asset value, end of period

$ 12.30

$ 11.99

$ 12.69

$ 12.63

$ 11.53

$ 11.83

Total ReturnB, C

  4.50%

  (1.79)%

  4.51%

  14.09%

  1.22%

  9.34%

Ratios to Average Net Assets E

 

 

 

 

 

 

Expenses before reductions

  .46% A

  .46%

  .46%

  .46%

  .46%

  .47%

Expenses net of fee waivers, if any

  .46% A

  .46%

  .46%

  .46%

  .46%

  .47%

Expenses net of all reductions

  .46% A

  .46%

  .46%

  .46%

  .46%

  .46%

Net investment income (loss)

  3.36% A

  3.28%

  3.31%

  3.74%

  3.79%

  3.91%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,083,476

$ 2,000,388

$ 2,559,130

$ 2,369,960

$ 2,095,212

$ 2,371,417

Portfolio turnover rate

  6% A

  11%

  19%

  11%

  11%

  3%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from 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.

F Amount represents less than $.001 per share.

G Total distributions of $.454 per share is comprised of distributions from net investment income of $.4534 and distributions from net realized gain of $.0003 per share.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.

Fidelity Massachusetts Municipal Money Market Fund


Investment Changes/Performance (Unaudited)

Effective Maturity Diversification

Days

% of fund's
investments
7/31/14

% of fund's
investments
1/31/14

% of fund's
investments
7/31/13

1 - 7

80.1

72.8

84.3

8 - 30

2.4

1.8

3.0

31 - 60

3.0

4.3

2.5

61 - 90

1.9

4.9

1.4

91 - 180

6.4

11.9

4.3

> 180

6.2

4.3

4.5

Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940.

Weighted Average Maturity

 

7/31/14

1/31/14

7/31/13

Fidelity Massachusetts Municipal Money Market Fund

35 Days

38 Days

25 Days

Massachusetts Tax-Free Money Market Funds Average*

36 Days

38 Days

28 Days

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Weighted Average Life

 

7/31/14

1/31/14

7/31/13

Fidelity Massachusetts Municipal Money Market Fund

36 Days

40 Days

26 Days

Weighted Average Life (WAL) is the weighted average of the life of the securities held in a fund or portfolio and can be used as a measure of sensitivity to changes in liquidity and/or credit risk. Generally, the higher the value, the greater the sensitivity. WAL is based on the dollar-weighted average length of time until principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets. The difference between WAM and WAL is that WAM takes into account interest rate resets and WAL does not. WAL for money market funds is not the same as WAL of a mortgage- or asset-backed security.

* Source: iMoneyNet, Inc.

Semiannual Report

Fidelity Massachusetts Municipal Money Market Fund
Investment Changes/Performance (Unaudited) - continued

Asset Allocation (% of fund's net assets)

As of July 31, 2014

As of January 31, 2014

ang395561

Variable Rate
Demand Notes
(VRDNs) 61.2%

 

ang395561

Variable Rate
Demand Notes
(VRDNs) 59.8%

 

ang395606

Other Municipal
Debt 22.9%

 

ang395606

Other Municipal
Debt 29.1%

 

ang395567

Investment
Companies 16.2%

 

ang395567

Investment
Companies 11.3%

 

ang395570

Net Other Assets (Liabilities) (0.3)%

 

ang395570

Net Other Assets (Liabilities) (0.2)%

 

ang395613

Net Other Assets (Liabilities) are not included in the pie chart.

Current and Historical Seven-Day Yields

 

7/31/14

4/30/14

1/31/14

10/31/13

7/31/13

Fidelity Massachusetts Municipal Money Market Fund

0.01%

0.01%

0.01%

0.01%

0.01%

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's possible to lose money investing in the Fund. A portion of the Fund's expenses was reimbursed and/or waived. Absent such reimbursements and/or waivers the yield for the period ending July 31, 2014, the most recent period shown in the table, would have been -0.40%.

Semiannual Report

Fidelity Massachusetts Municipal Money Market Fund


Investments July 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Variable Rate Demand Note - 61.2%

Principal Amount

Value

Alabama - 0.1%

Decatur Indl. Dev. Board Exempt Facilities Rev. (Nucor Steel Decatur LLC Proj.) Series 2003 A, 0.34% 8/7/14, VRDN (b)(e)

$ 3,500,000

$ 3,500,000

Arizona - 0.0%

Maricopa County Poll. Cont. Rev. (Arizona Pub. Svc. Co. Palo Verde Proj.) Series 2009 A, 0.29% 8/7/14, VRDN (b)

1,000,000

1,000,000

Delaware - 0.2%

Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.):

Series 1987, 0.13% 8/1/14, VRDN (b)(e)

1,100,000

1,100,000

Series 1988, 0.13% 8/1/14, VRDN (b)(e)

5,000,000

5,000,000

Series 1994, 0.13% 8/1/14, VRDN (b)(e)

4,300,000

4,300,000

Series 1999 A, 0.24% 8/7/14, VRDN (b)

4,400,000

4,400,000

 

14,800,000

Florida - 0.2%

Florida Gen. Oblig. Participating VRDN Series PZ 130, 0.08% 8/7/14 (Liquidity Facility Wells Fargo & Co.) (b)(f)

3,600,000

3,600,000

Miami-Dade County Indl. Dev. Auth. Rev. (Tarmac America Proj.) Series 2004, 0.08% 8/7/14, LOC HSBC Bank U.S.A., NA, VRDN (b)(e)

9,700,000

9,700,000

 

13,300,000

Indiana - 0.1%

Michigan City Ltd. Oblig. Rev. (Palatek Proj.) 0.16% 8/7/14, LOC Comerica Bank, VRDN (b)(e)

3,785,000

3,785,000

Kansas - 0.0%

Wichita Indl. Rev. Series VII, 0.23% 8/7/14, LOC Bank of America NA, VRDN (b)(e)

145,000

145,000

Louisiana - 0.1%

Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):

Series 2010 A1, 0.28% 8/7/14, VRDN (b)

1,400,000

1,400,000

Series 2010 B1, 0.3% 8/7/14, VRDN (b)

2,000,000

2,000,000

 

3,400,000

Massachusetts - 59.1%

Boston Indl. Dev. Rev. (New Boston Seafood Ctr., Inc. Proj.) Series 1997, 0.08% 8/7/14, LOC Bank of America NA, VRDN (b)(e)

2,150,000

2,150,000

Boston Wtr. & Swr. Commission Rev. Series 1994 A, 0.06% 8/7/14, LOC State Street Bank & Trust Co., Boston, VRDN (b)

18,950,000

18,950,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Bay Trans. Auth. Sales Tax Rev.:

Participating VRDN:

Series Clipper 07 18, 0.09% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(f)

$ 101,175,000

$ 101,175,000

Series PT 4368, 0.07% 8/7/14 (Liquidity Facility Wells Fargo & Co.) (b)(f)

18,830,000

18,830,000

Series ROC II R 11933, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

6,000,000

6,000,000

Series 2008 A1, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)

115,740,000

115,740,000

Series 2008 A2, 0.05% 8/7/14 (Liquidity Facility JPMorgan Chase Bank), VRDN (b)

90,425,000

90,425,000

Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev.:

Series 2010 A1, 0.08% 8/7/14, LOC Citibank NA, VRDN (b)

58,350,000

58,350,000

Series 2010 A3, 0.06% 8/7/14, LOC Bank of America NA, VRDN (b)

79,345,000

79,345,000

Massachusetts Dev. Fin. Agcy. Indl. Dev. Rev.:

(Charm Sciences, Inc. Proj.) Series 1999 A, 0.24% 8/7/14, LOC Bank of America NA, VRDN (b)(e)

1,500,000

1,500,000

(Monkiewicz Realty Trust Proj.) 0.23% 8/7/14, LOC Bank of America NA, VRDN (b)(e)

2,160,000

2,160,000

Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev.:

(Archstone Reading Apts. Proj.) Series 2004 A, 0.08% 8/7/14, LOC Freddie Mac, VRDN (b)(e)

24,840,000

24,840,000

(Avalon Acton Apts. Proj.) Series 2006, 0.08% 8/7/14, LOC Fannie Mae, VRDN (b)(e)

38,500,000

38,500,000

(Casco Crossing Proj.) 0.08% 8/7/14, LOC Fannie Mae, VRDN (b)(e)

10,535,000

10,535,000

(Georgetown Village Apts. Proj.) Series 2003 A, 0.06% 8/7/14, LOC Fannie Mae, VRDN (b)(e)

17,850,000

17,850,000

(Salem Heights Apts. Proj.) Series 2003 A, 0.06% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)(e)

13,700,000

13,700,000

(Tammy Brook Apts. Proj.) Series 2009, 0.06% 8/7/14, LOC Freddie Mac, VRDN (b)

6,300,000

6,300,000

Massachusetts Dev. Fin. Agcy. Rev.:

(Babson College Proj.) Series 2008 A, 0.05% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

1,660,000

1,660,000

(Berkshire School Proj.) Series 2001, 0.07% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

9,485,000

9,485,000

(Boston Univ. Proj.):

Series U-5A, 0.05% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

36,700,000

36,700,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Rev.: - continued

(Boston Univ. Proj.):

Series U-5B, 0.06% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

$ 30,500,000

$ 30,500,000

Series U-6C, 0.07% 8/1/14, LOC TD Banknorth, NA, VRDN (b)

43,730,000

43,730,000

Series U3, 0.04% 8/7/14, LOC Northern Trust Co., VRDN (b)

44,500,000

44,500,000

(Briarwood Retirement Cmnty. Proj.) Series 2004 A, 0.06% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

13,880,000

13,880,000

(Clark Univ. Proj.) 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

34,790,000

34,790,000

(College of the Holy Cross Proj.) Series 2008 A, 0.08% 8/1/14, LOC JPMorgan Chase Bank, VRDN (b)

31,055,000

31,055,000

(Fifteen-O-Five West Housatonic LLC Proj.) Series 2007, 0.08% 8/7/14, LOC HSBC Bank U.S.A., NA, VRDN (b)(e)

2,295,000

2,295,000

(Governor Dummer Academy Issues Proj.) Series 2006, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

4,385,000

4,385,000

(ISO New England, Inc. Proj.) Series 2005, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

32,305,000

32,305,000

(Masonic Nursing Home Proj.) Series 2002 B, 0.03% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

16,060,000

16,060,000

(New England Deaconess Assoc. Proj.) Series 2011 B, 0.08% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

12,625,000

12,625,000

(Olin College Proj.):

Series 2008 C2, 0.24% 8/1/14, LOC RBS Citizens NA, VRDN (b)

19,300,000

19,300,000

Series 2008 C3, 0.24% 8/1/14, LOC RBS Citizens NA, VRDN (b)

21,065,000

21,065,000

(Partners HealthCare Sys. Proj.):

Series 2011 K2, 0.04% 8/7/14 (Liquidity Facility Barclays Bank PLC), VRDN (b)

40,600,000

40,600,000

Series 2014 M1, 0.05% 8/1/14, LOC U.S. Bank NA, Cincinnati, VRDN (b)

42,600,000

42,600,000

(Seven Hills Foundation and Affiliates Proj.):

Series 2008 A, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

8,285,000

8,285,000

Series 2008 B, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

5,010,000

5,010,000

(Simmons College Proj.) Series G, 0.05% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

44,710,000

44,710,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Rev.: - continued

(Smith College Proj.):

Series 2001, 0.06% 8/7/14, VRDN (b)

$ 15,629,000

$ 15,629,000

Series 2002, 0.06% 8/7/14, VRDN (b)

15,359,000

15,359,000

Series 2007, 0.05% 8/7/14 (Liquidity Facility TD Banknorth, NA), VRDN (b)

61,200,000

61,200,000

(Wilber School Apts. Proj.) Series 2008 A, 0.06% 8/7/14, LOC Bank of America NA, VRDN (b)

6,800,000

6,800,000

(Williston Northampton School Proj.) Series 2010, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

7,095,000

7,095,000

(Worcester Polytechnic Institute Proj.) Series 2008 A, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

23,625,000

23,625,000

(YMCA of Greater Worcester Proj.) Series 2006, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

9,170,000

9,170,000

Participating VRDN:

Series MS 3373, 0.08% 8/7/14 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(f)

7,100,000

7,100,000

Series Putters 3840, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

5,000,000

5,000,000

Series ROC II R 11999X, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

6,785,000

6,785,000

Series 2006:

0.05% 8/7/14, LOC PNC Bank NA, VRDN (b)

15,320,000

15,320,000

0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

4,060,000

4,060,000

Series 2007 B, 0.07% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

12,600,000

12,600,000

Series 2010, 0.04% 8/7/14, LOC Manufacturers & Traders Trust Co., VRDN (b)

6,940,000

6,940,000

Series 2011 A, 0.23% 8/7/14, LOC RBS Citizens NA, VRDN (b)

25,025,000

25,025,000

Series 2014 M2, 0.05% 8/7/14, LOC Bank of New York, New York, VRDN (b)

39,200,000

39,200,000

Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. (Wheelabrator Millbury Proj.) 0.06% 8/1/14, LOC JPMorgan Chase Bank, VRDN (b)(e)

10,000,000

10,000,000

Massachusetts Gen. Oblig.:

Participating VRDN:

Series Clipper 07 06, 0.09% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(f)

53,850,000

53,850,000

Series Clipper 07 39, 0.06% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(f)

27,825,000

27,825,000

Series EGL 07 0149, 0.07% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

45,000,000

45,000,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Gen. Oblig.: - continued

Participating VRDN:

Series EGL 14 0046, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

$ 12,235,000

$ 12,235,000

Series Putters 2022, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

35,995,000

35,995,000

Series Putters 2648, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

9,250,000

9,250,000

Series Putters 3699, 0.08% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

10,800,000

10,800,000

Series Putters 3896, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

7,500,000

7,500,000

Series Putters 3898, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

4,000,000

4,000,000

Series Putters 4320, 0.08% 8/1/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

54,960,000

54,960,000

Series 1997 B, 0.05% 8/7/14 (Liquidity Facility TD Banknorth, NA), VRDN (b)

79,525,000

79,525,000

Series 2001 C, 0.05% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (b)

218,200,000

218,200,000

Massachusetts Health & Edl. Facilities Auth. Rev.:

(Baystate Health Sys. Proj.):

Series 2009 J1, 0.06% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

39,000,000

39,000,000

Series 2009 J2, 0.08% 8/1/14, LOC JPMorgan Chase Bank, VRDN (b)

38,550,000

38,550,000

(Baystate Med. Ctr. Proj.) Series 2005 G, 0.04% 8/1/14, LOC Wells Fargo Bank NA, VRDN (b)

33,515,000

33,515,000

(Boston Univ. Proj.) Series H, 0.06% 8/7/14, LOC State Street Bank & Trust Co., Boston, VRDN (b)

20,020,000

20,020,000

(Children's Hosp. Proj.):

Series 2010 N3, 0.04% 8/7/14, LOC U.S. Bank NA, Cincinnati, VRDN (b)

58,500,000

58,500,000

Series 2010 N4, 0.05% 8/1/14, LOC Wells Fargo Bank NA, VRDN (b)

105,640,000

105,640,000

(CIL Realty of Massachusetts Proj.) Series 2007, 0.05% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

10,975,000

10,975,000

(Dana-Farber Cancer Institute Proj.) Series 2008 L1, 0.04% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

42,750,000

42,750,000

(Fairview Extended Care Proj.) Series B, 0.12% 8/7/14, LOC Bank of America NA, VRDN (b)

23,985,000

23,985,000

(Harvard Univ. Proj.):

Series R, 0.03% 8/1/14, VRDN (b)

24,625,000

24,625,000

Series Y, 0.05% 8/7/14, VRDN (b)

22,410,000

22,410,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

(Henry Heywood Memorial Hosp. Proj.):

Series 2008 C, 0.06% 8/1/14, LOC TD Banknorth, NA, VRDN (b)

$ 4,680,000

$ 4,680,000

Series 2009 C, 0.06% 8/1/14, LOC TD Banknorth, NA, VRDN (b)

10,880,000

10,880,000

(Massachusetts Institute of Technology Proj.):

Series 2001 J1, 0.04% 8/7/14, VRDN (b)

110,550,000

110,550,000

Series 2001 J2, 0.05% 8/7/14, VRDN (b)

10,850,000

10,850,000

(Northeast Hosp. Corp. Proj.) Series 2004 G, 0.12% 8/7/14, LOC JPMorgan Chase Bank, VRDN (b)

36,000,000

36,000,000

(Partners HealthCare Sys., Inc. Proj.):

Series 2005 F, 0.05% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

87,530,000

87,530,000

Series D5, 0.06% 8/1/14, VRDN (b)

4,200,000

4,200,000

Series D6, 0.06% 8/1/14, VRDN (b)

5,745,000

5,745,000

(Southcoast Health Sys. Obligated Group Proj.) Series 2008 C, 0.04% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

47,365,000

47,365,000

(Stonehill College Proj.) Series 2008 K, 0.07% 8/1/14, LOC JPMorgan Chase Bank, VRDN (b)

31,685,000

31,685,000

(Wellesley College Proj.):

Series B, 0.04% 8/7/14, VRDN (b)

6,200,000

6,200,000

Series I, 0.05% 8/1/14, VRDN (b)

21,695,000

21,695,000

(Williams College Proj.):

Series I, 0.05% 8/7/14, VRDN (b)

22,800,000

22,800,000

Series J, 0.06% 8/7/14, VRDN (b)

30,894,000

30,894,000

Participating VRDN:

Series BA 08 3320, 0.08% 8/7/14 (Liquidity Facility Bank of America NA) (b)(f)

10,000,000

10,000,000

Series BBT 08 54, 0.06% 8/7/14 (Liquidity Facility Branch Banking & Trust Co.) (b)(f)

12,385,000

12,385,000

Series BBT 08 56, 0.06% 8/7/14 (Liquidity Facility Branch Banking & Trust Co.) (b)(f)

18,895,000

18,895,000

Series BC 10 15W, 0.08% 8/7/14 (Liquidity Facility Barclays Bank PLC) (b)(f)

7,185,000

7,185,000

Series BC 10 20W, 0.08% 8/7/14 (Liquidity Facility Barclays Bank PLC) (b)(f)

9,785,000

9,785,000

Series Clipper 07 08, 0.06% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(f)

15,450,000

15,450,000

Series Putters 3104, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

3,620,000

3,620,000

Series Putters 3529, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

26,660,000

26,660,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

Participating VRDN:

Series Putters 3530, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

$ 1,000,000

$ 1,000,000

Series Putters 3531, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

12,495,000

12,495,000

Series Putters 3548, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

9,925,000

9,925,000

Series Putters 3650, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

11,800,000

11,800,000

Series ROC II R 11824, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

4,665,000

4,665,000

Series ROC II R 11913, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

5,200,000

5,200,000

Series 2009 I, 0.04% 8/7/14, VRDN (b)

44,500,000

44,500,000

Series 2009 O-1, 0.07% 8/7/14, LOC Fed. Home Ln. Bank of Boston, VRDN (b)

35,870,000

35,870,000

Massachusetts Hsg. Fin. Agcy. Multi-Family Rev.:

(Princeton Crossing LP Proj.) Series 1996 A, 0.07% 8/7/14, LOC Fannie Mae, VRDN (b)(e)

20,300,000

20,300,000

Series 2009 A, 0.06% 8/7/14, LOC Bank of New York, New York, VRDN (b)

12,530,000

12,530,000

Series 2013 F, 0.07% 8/7/14, LOC TD Banknorth, NA, VRDN (b)(e)

13,580,000

13,580,000

Massachusetts Indl. Fin. Agcy. Indl. Dev. Rev.:

(346 Univ. LLC Proj.) Series 1996, 0.38% 8/7/14, LOC Bank of America NA, VRDN (b)(e)(g)

400,000

400,000

(Boutwell Owens & Co., Inc. Proj.) Series 1998, 0.33% 8/7/14, LOC Wells Fargo Bank NA, VRDN (b)(e)

320,000

320,000

Massachusetts Indl. Fin. Agcy. Rev. (Governor Dummer Academy Proj.) Series 1996, 0.06% 8/7/14, LOC TD Banknorth, NA, VRDN (b)

4,400,000

4,400,000

Massachusetts Port Auth. Rev.:

Participating VRDN Series Solar 06 108, 0.06% 8/7/14 (Liquidity Facility U.S. Bank NA, Cincinnati) (b)(f)

19,965,000

19,965,000

Series 2008 A, 0.05% 8/7/14, LOC State Street Bank & Trust Co., Boston, VRDN (b)

17,425,000

17,425,000

Series 2010 D, 0.06% 8/7/14, LOC State Street Bank & Trust Co., Boston, VRDN (b)(e)

89,345,000

89,345,000

Massachusetts Port Auth. Spl. Proj. Rev. (Harborside Hyatt Proj.) Series 2001 A, 0.4% 8/7/14, LOC Royal Bank of Scotland PLC, VRDN (b)(e)

37,100,000

37,100,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Participating VRDN:

Series BA 08 1082, 0.08% 8/7/14 (Liquidity Facility Bank of America NA) (b)(f)

$ 14,000,000

$ 14,000,000

Series EGL 07 0031, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

69,100,000

69,100,000

Series EGL 07 0032, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

69,300,000

69,300,000

Series EGL 14 0011, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

43,660,000

43,660,000

Series EGL 14 0012, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

53,095,000

53,095,000

Series EGL 14 0045, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

3,000,000

3,000,000

Series EGL 14 C031A, 0.07% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

4,125,000

4,125,000

Series MS 30911, 0.07% 8/7/14 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(f)

2,700,000

2,700,000

Series MS 3228X, 0.07% 8/7/14 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(f)

2,500,000

2,500,000

Series Putters 3691, 0.08% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

2,885,000

2,885,000

Series Putters 3990, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

3,000,000

3,000,000

Series Putters 4357, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

3,335,000

3,335,000

Series Putters 4366, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

3,750,000

3,750,000

Series Putters 4420, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

4,400,000

4,400,000

Series RBC O 72, 0.06% 8/7/14 (Liquidity Facility Royal Bank of Canada) (b)(f)

10,000,000

10,000,000

Series ROC II R 14021, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

6,000,000

6,000,000

Series Solar 05 03, 0.06% 8/7/14 (Liquidity Facility U.S. Bank NA, Cincinnati) (b)(f)

20,075,000

20,075,000

Massachusetts St. Wtr. Resources Auth. Participating VRDN Series Putters 3690, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

1,300,000

1,300,000

Massachusetts Wtr. Poll. Abatement Trust Participating VRDN:

Series BBT 08 40, 0.06% 8/7/14 (Liquidity Facility Branch Banking & Trust Co.) (b)(f)

15,245,000

15,245,000

Series Clipper 06 11, 0.09% 8/7/14 (Liquidity Facility State Street Bank & Trust Co., Boston) (b)(f)

23,900,000

23,900,000

Variable Rate Demand Note - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Wtr. Poll. Abatement Trust Participating VRDN: - continued

Series Putters 3159, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

$ 15,490,000

$ 15,490,000

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.:

Participating VRDN:

Series EGL 06 0054, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

11,100,000

11,100,000

Series Putters 2848, 0.07% 8/7/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

19,075,000

19,075,000

Series ROC II R 11914, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

10,265,000

10,265,000

Series ROC II R 11968, 0.06% 8/7/14 (Liquidity Facility Citibank NA) (b)(f)

5,185,000

5,185,000

Series Solar 06 86, 0.06% 8/7/14 (Liquidity Facility U.S. Bank NA, Cincinnati) (b)(f)

21,750,000

21,750,000

Series 1999 B, 0.07% 8/7/14, LOC Landesbank Hessen-Thuringen, VRDN (b)

46,000,000

46,000,000

Series 2002 C, 0.05% 8/1/14, LOC Landesbank Hessen-Thuringen, VRDN (b)

20,895,000

20,895,000

RBC Muni. Products, Inc. Trust Participating VRDN Series RBC E 42, 0.06% 8/7/14 (Liquidity Facility Royal Bank of Canada) (b)(f)

23,695,000

23,695,000

 

3,756,607,000

Nebraska - 0.1%

Stanton County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 1996, 0.34% 8/7/14, VRDN (b)(e)

3,400,000

3,400,000

Nevada - 0.1%

Clark County Arpt. Rev. Series 2008 C3, 0.07% 8/7/14, LOC Landesbank Baden-Wurttemberg, VRDN (b)(e)

7,505,000

7,505,000

New Jersey - 0.5%

JPMorgan Chase NA Letter of Credit Participating VRDN:

Series Putters 4459, 0.1% 8/1/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

13,800,000

13,800,000

Series Putters 4462, 0.1% 8/1/14 (Liquidity Facility JPMorgan Chase Bank) (b)(f)

10,200,000

10,200,000

Salem County Poll. Cont. Fin. Auth. Rev. (Pub. Svc. Elec. and Gas Co. Proj.):

Series 2003 B1, 0.2% 8/7/14, VRDN (b)

5,800,000

5,800,000

Series 2012 A, 0.23% 8/7/14, VRDN (b)(e)

3,400,000

3,400,000

 

33,200,000

Variable Rate Demand Note - continued

Principal Amount

Value

New York - 0.1%

Dutchess County Indl. Dev. Agcy. Civic Facility Rev. (Lutheran Ctr. at Poughkeepsie, Inc. Proj.) 0.13% 8/7/14, LOC KeyBank NA, VRDN (b)

$ 500,000

$ 500,000

New York City Hsg. Dev. Corp. Multi-family Mtg. Rev. (Beekman Tower Proj.) Series 2008 A, 0.14% 8/7/14, LOC RBS Citizens NA, VRDN (b)

8,800,000

8,800,000

 

9,300,000

Pennsylvania - 0.0%

Chester County Indl. Dev. Auth. Student Hsg. Rev. (West Chester Univ. Proj.) Series 2008 A1, 0.13% 8/7/14, LOC Citizens Bank of Pennsylvania, VRDN (b)

400,000

400,000

Schuylkill County Indl. Dev. Auth. Rev. (KP Tamaqua LP Proj.) Series 2007, 0.17% 8/7/14, LOC Citizens Bank of Pennsylvania, VRDN (b)(e)

700,000

700,000

 

1,100,000

Tennessee - 0.1%

Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund Proj.) Series 2003, 0.08% 8/1/14, LOC Bank of America NA, VRDN (b)

4,800,000

4,800,000

Texas - 0.5%

Harris County Indl. Dev. Corp. Solid Waste Disp. Rev. (Deer Park Refining Ltd. Partnership Proj.) Series 2002, 0.22% 8/1/14, VRDN (b)(e)

18,000,000

18,000,000

Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):

Series 2001 A, 0.19% 8/1/14, VRDN (b)

4,000,000

4,000,000

Series 2004, 0.2% 8/7/14, VRDN (b)(e)

5,400,000

5,400,000

Series 2009 A, 0.19% 8/1/14, VRDN (b)

1,200,000

1,200,000

Series 2010 D, 0.19% 8/1/14, VRDN (b)

2,300,000

2,300,000

 

30,900,000

Wyoming - 0.0%

Converse County Envir. Impt. Rev. Series 1995, 0.2% 8/7/14, VRDN (b)(e)

200,000

200,000

Sweetwater County Poll. Cont. Rev. (PacifiCorp Proj.) Series 1984, 0.2% 8/7/14, VRDN (b)

200,000

200,000

 

400,000

TOTAL VARIABLE RATE DEMAND NOTE

(Cost $3,887,142,000)


3,887,142,000

Other Municipal Debt - 22.9%

Principal Amount

Value

Massachusetts - 22.9%

Amesbury Gen. Oblig. BAN 1.25% 12/12/14

$ 6,374,000

$ 6,396,451

Attleboro Gen. Oblig. BAN 1% 3/20/15

1,371,760

1,378,427

Auburn Gen. Oblig. BAN:

0.75% 9/30/14

10,000,000

10,010,978

1.25% 9/30/14

5,480,667

5,490,289

Bedford Gen. Oblig. BAN 0.5% 10/17/14

2,309,690

2,311,579

Belmont Gen. Oblig. Bonds Series 2014, 4% 4/15/15

1,262,000

1,296,064

Beverly Gen. Oblig. BAN 1% 4/23/15

14,411,000

14,502,863

Boston Gen. Oblig. Bonds:

Series 2011 D, 4% 4/1/15

1,170,000

1,200,285

5% 3/1/15

8,355,000

8,591,359

Boston Wtr. & Swr. Commission Rev. Series A, 0.05% 8/25/14, LOC Bank of America NA, CP

22,200,000

22,200,000

Bourne Gen. Oblig. BAN 1% 12/2/14

7,286,600

7,308,314

Burlington Gen. Oblig. BAN 1% 7/24/15

9,330,000

9,411,074

Cambridge Gen. Oblig. Bonds Series 2014, 5% 2/15/15

2,565,000

2,632,668

Canton Gen. Oblig.:

BAN 1.5% 3/27/15

2,915,950

2,941,770

Bonds Series 2014, 5% 3/15/15

1,495,000

1,539,931

Concord & Carlisle Reg'l. School District BAN 0.75% 4/15/15

26,600,000

26,721,628

Danvers Gen. Oblig. BAN 1% 6/26/15

3,400,000

3,426,306

Falmouth Gen. Oblig. BAN Series 2013 B, 1.25% 12/19/14

9,900,000

9,940,934

Framingham Gen. Oblig. BAN:

0.75% 12/12/14

12,379,410

12,409,009

1.25% 12/12/14

24,178,989

24,274,403

Gloucester Gen. Oblig. BAN 1% 2/6/15

5,572,145

5,596,332

Hamilton Gen. Oblig. BAN Series 2014, 1% 5/22/15

5,331,000

5,368,288

Hanover Gen. Oblig. BAN 1% 9/12/14

11,685,000

11,696,272

Hingham Gen. Oblig. BAN Series 2014, 0.75% 5/22/15

40,330,618

40,536,576

Holden Massachusetts Gen. Oblig. BAN 0.75% 6/19/15

10,500,000

10,558,239

Lexington Gen. Oblig.:

BAN 0.75% 2/27/15

5,982,487

6,004,998

Bonds Series 2014, 4% 2/15/15

2,836,000

2,895,148

Littleton Gen. Oblig. BAN 1% 4/10/15

485,000

487,166

Marblehead Gen. Oblig. BAN:

1% 8/7/15 (a)

14,066,205

14,190,832

1.25% 8/8/14

20,800,000

20,804,340

Marlborough Gen. Oblig. BAN 0.75% 6/19/15

16,420,000

16,512,527

Massachusetts Dev. Fin. Agcy. Series 5, 0.1% 8/6/14, LOC TD Banknorth, NA, CP

8,158,000

8,158,000

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Dev. Fin. Agcy. Electrical Utils. Rev. Bonds (Nantucket Elec. Co. Proj.) Series 2005, 0.32% tender 8/11/14, CP mode (e)

$ 3,600,000

$ 3,600,000

Massachusetts Dev. Fin. Agcy. Rev.:

Bonds:

Series 2009 V2, 2.875% 10/1/14

8,075,000

8,111,329

Series V3, 2.875% 10/1/14

1,000,000

1,004,470

Series WF 10 56C, 0.12%, tender 9/18/14 (Liquidity Facility Wells Fargo Bank NA) (b)(f)(g)

19,865,000

19,865,000

0.09% 8/7/14, LOC JPMorgan Chase Bank, CP

9,300,000

9,300,000

Massachusetts Gen. Oblig. Bonds:

Series 2001 D, 5.5% 11/1/14

6,000,000

6,080,736

Series 2002 C, 5.5% 11/1/14

32,550,000

32,989,183

Series 2004 A:

5% 8/1/14

6,630,000

6,630,000

5% 8/1/14

1,100,000

1,100,000

Series 2004 B, 5.25% 8/1/14

7,425,000

7,425,000

Series 2004 C, 3.7% 8/1/14

17,800,000

17,800,000

Series 2005 A:

5% 3/1/15 (Pre-Refunded to 3/1/15 @ 100)

895,000

920,072

5% 3/1/15 (Pre-Refunded to 3/1/15 @ 100)

5,000,000

5,142,150

Series 2005 B, 5% 8/1/14

500,000

500,000

Series 2008 A, 5% 9/1/14

3,865,000

3,880,773

Series 2010 B, 2% 1/1/15

1,615,000

1,627,151

Series 2010 C:

4% 1/1/15

1,150,000

1,168,448

5% 1/1/15

7,400,000

7,549,656

Series 2011 B, 5% 8/1/14

1,225,000

1,225,000

Series 2011 D, 5% 10/1/14

3,980,000

4,012,243

Series 2012 A, 0.23% 1/1/15 (b)

10,995,000

10,995,000

Series 2014 A, 0.04% 2/1/15 (b)

25,000,000

24,997,486

Series Merlots 2008-C54, 0.14%, tender 8/13/14 (Liquidity Facility Wells Fargo Bank NA) (b)(f)(g)

13,100,000

13,100,000

Massachusetts Health & Edl. Facilities Auth. Rev.:

Bonds:

(Partners HealthCare Sys., Inc. Proj.):

Series 2008 H1:

0.08% tender 8/5/14, CP mode

20,000,000

20,000,000

0.08% tender 9/4/14, CP mode

12,500,000

12,500,000

0.08% tender 11/6/14, CP mode

16,400,000

16,400,000

0.08% tender 11/7/14, CP mode

15,100,000

15,100,000

0.09% tender 10/6/14, CP mode

15,660,000

15,660,000

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts Health & Edl. Facilities Auth. Rev.: - continued

Bonds:

(Partners HealthCare Sys., Inc. Proj.):

Series 2008 H2:

0.07% tender 10/1/14, CP mode

$ 19,790,000

$ 19,790,000

0.08% tender 9/9/14, CP mode

14,040,000

14,040,000

0.08% tender 11/5/14, CP mode

19,790,000

19,790,000

Series 2008 O, 5% 8/15/14

1,250,000

1,252,325

Series 2010 A, 5% 10/1/14

1,250,000

1,260,108

Series 2010 J2, 4% 7/1/15

1,625,000

1,681,699

0.09% tender 8/6/14, CP mode

7,020,000

7,020,000

Series EE:

0.05% 8/5/14, CP

15,304,000

15,304,000

0.06% 8/6/14, CP

33,803,000

33,803,000

0.06% 8/8/14, CP

29,436,000

29,436,000

0.06% 9/3/14, CP

20,800,000

20,800,000

0.06% 9/10/14, CP

19,450,000

19,450,000

0.08% 9/10/14, CP

41,500,000

41,500,000

Massachusetts Indl. Fin. Agcy. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.):

Series 1992:

0.27% tender 8/8/14, CP mode

450,000

450,000

0.27% tender 8/11/14, CP mode

9,660,000

9,660,000

Series 1993 A, 0.27% tender 8/11/14, CP mode

800,000

800,000

Series 1993 B:

0.37% tender 8/4/14, CP mode

1,800,000

1,800,000

0.37% tender 9/12/14, CP mode

3,300,000

3,300,000

Massachusetts Port Auth. Rev.:

Bonds:

Series 2012 A, 5% 7/1/15 (e)

1,655,000

1,728,010

Series 2014 C, 2% 7/1/15

5,140,000

5,227,314

Series 2012 A:

0.08% 8/1/14, LOC TD Banknorth, NA, CP

12,400,000

12,400,000

0.11% 1/15/15, LOC TD Banknorth, NA, CP

20,000,000

20,000,000

Series 2012 B:

0.11% 10/9/14, LOC TD Banknorth, NA, CP (e)

40,000,000

40,000,000

0.12% 1/15/15, LOC TD Banknorth, NA, CP (e)

40,000,000

40,000,000

Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Bonds:

Series 2005 A, 5% 8/15/14

2,510,000

2,514,637

Series 2009 A, 5% 5/15/15

3,775,000

3,919,992

Series 2011 B, 5% 10/15/14

6,305,000

6,368,626

Other Municipal Debt - continued

Principal Amount

Value

Massachusetts - continued

Massachusetts State Dev. Fin. Agcy. Elec. Util. Rev. Bonds (Nantucket Elec. Co. Proj.) Series 2007, 0.26% tender 8/14/14, CP mode (e)

$ 11,200,000

$ 11,200,000

Massachusetts State Dev. Fing. Agcy. Poll. Cont. Rev. Bonds (Massachusetts Elec. Co. Proj.) Series 2004:

0.32% tender 8/14/14, CP mode

500,000

500,000

0.32% tender 8/14/14, CP mode

500,000

500,000

Massachusetts Wtr. Poll. Abatement Trust Bonds:

Series 15A, 4% 8/1/14

1,500,000

1,500,000

Series 2014, 5% 8/1/15

31,835,000

33,387,931

Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev.:

Bonds Series 2002 J, 5.25% 8/1/14

3,200,000

3,200,000

Series 1999, 0.12% 8/13/14, LOC State Street Bank & Trust Co., Boston, CP

23,000,000

23,000,000

Series 99, 0.1% 10/31/14, LOC State Street Bank & Trust Co., Boston, CP

8,000,000

8,000,000

Milford Gen. Oblig. BAN 0.75% 5/15/15

10,800,000

10,853,513

Monomoy Reg'l. School District BAN 1.5% 9/15/14

26,400,000

26,443,868

Nantucket Gen. Oblig. BAN Series 2014, 1% 6/5/15

4,401,000

4,433,249

Newburyport Gen. Oblig. BAN 1% 10/24/14

6,500,000

6,512,734

Peabody Gen. Oblig. BAN 1% 3/27/15

14,300,000

14,380,971

Pittsfield Gen. Oblig. BAN:

Series 2014 A, 0.75% 2/6/15

4,993,032

5,007,861

Series A, 1% 2/6/15

5,407,500

5,429,288

Plymouth Gen. Oblig. BAN 1% 5/7/15

16,100,000

16,208,052

Quincy Gen. Oblig. BAN:

1% 1/23/15

26,600,000

26,709,469

1% 6/19/15

3,000,000

3,022,982

1% 7/24/15

4,820,000

4,861,884

1.25% 9/12/14

15,800,000

15,819,963

Revere Gen. Oblig. BAN 1% 4/17/15

13,150,000

13,230,061

Salem Gen. Oblig. BAN 0.5% 12/3/14

6,863,000

6,872,474

Somerville Gen. Oblig. BAN 0.75% 6/12/15

22,700,000

22,823,169

Springfield Gen. Oblig. Bonds Series 2007, 5.75% 8/1/14

3,500,000

3,500,000

Stow Gen. Oblig. BAN 0.75% 11/14/14

7,900,000

7,914,400

Univ. of Massachusetts Bldg. Auth. Facilities Rev. Bonds Series 2010, 5% 11/1/14

8,620,000

8,725,400

Univ. of Massachusetts Bldg. Auth. Rev. Series A1, 0.11% 1/8/15, LOC State Street Bank & Trust Co., Boston, CP

27,000,000

27,000,000

Wellesley Gen. Oblig. BAN 0.75% 12/5/14

8,746,030

8,766,011

West Springfield Gen. Oblig. BAN 1% 12/19/14

34,100,000

34,218,941

Other Municipal Debt - continued

Principal
Amount

Value

Massachusetts - continued

Westborough Gen. Oblig. BAN:

0.5% 8/22/14

$ 7,575,000

$ 7,576,864

1% 8/14/15 (a)

13,186,000

13,300,586

1.25% 8/22/14

4,535,000

4,537,813

Westfield Gen. Oblig. BAN 1% 4/2/15

3,250,000

3,268,438

Weston Gen. Oblig.:

BAN 1% 2/3/15

14,500,000

14,564,137

Bonds Series A, 2% 2/1/15

1,990,000

2,008,587

Winchester Gen. Oblig. BAN 0.5% 7/2/15

37,580,715

37,718,338

Winthrop Gen. Oblig. BAN 0.75% 11/14/14

8,000,000

8,014,123

Worcester Gen. Oblig.:

BAN:

0.5% 12/17/14

31,000,000

31,047,340

1% 12/17/14

12,757,500

12,798,598

Bonds:

Series 2004 A, 5.25% 8/15/14

1,000,000

1,001,924

4% 11/1/14

4,211,960

4,252,348

TOTAL OTHER MUNICIPAL DEBT

(Cost $1,452,883,775)


1,452,883,775

Investment Company - 16.2%

Shares

 

Fidelity Municipal Cash Central Fund, 0.07% (c)(d)

(Cost $1,028,944,000)

1,028,944,000


1,028,944,000

TOTAL INVESTMENT PORTFOLIO - 100.3%

(Cost $6,368,969,775)

6,368,969,775

NET OTHER ASSETS (LIABILITIES) - (0.3)%

(15,919,261)

NET ASSETS - 100%

$ 6,353,050,514

Security Type Abbreviations

BAN

-

BOND ANTICIPATION NOTE

CP

-

COMMERCIAL PAPER

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

Legend

(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.

(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(e) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(f) Provides evidence of ownership in one or more underlying municipal bonds.

(g) 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 $33,365,000 or 0.5% of net assets.

Additional information on each restricted holding is as follows:

Security

Acquisition Date

Cost

Massachusetts Dev. Fin. Agcy. Rev. Bonds Series WF 10 56C, 0.12%, tender 9/18/14 (Liquidity Facility Wells Fargo Bank NA)

12/23/10 - 8/4/11

$ 19,865,000

Massachusetts Gen. Oblig. Bonds Series Merlots 2008-C54, 0.14%, tender 8/13/14 (Liquidity Facility Wells Fargo Bank NA)

2/2/12 - 3/5/12

$ 13,100,000

Massachusetts Indl. Fin. Agcy. Indl. Dev. Rev. (346 Univ. LLC Proj.) Series 1996, 0.38% 8/7/14, LOC Bank of America NA, VRDN

12/17/03

$ 400,000

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

$ 211,350

Other Information

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Fidelity Massachusetts Municipal Money Market Fund


Financial Statements

Statement of Assets and Liabilities

 

July 31, 2014 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $5,340,025,775)

$ 5,340,025,775

 

Fidelity Central Funds (cost $1,028,944,000)

1,028,944,000

 

Total Investments (cost $6,368,969,775)

 

$ 6,368,969,775

Cash

 

265,345

Receivable for fund shares sold

58,695,938

Interest receivable

5,438,712

Distributions receivable from Fidelity Central Funds

36,041

Other receivables

5,707

Total assets

6,433,411,518

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 2,681,699

Delayed delivery

27,491,418

Payable for fund shares redeemed

48,402,193

Distributions payable

2,454

Accrued management fee

279,030

Transfer agent fee payable

1,331,010

Other affiliated payables

133,917

Other payables and accrued expenses

39,283

Total liabilities

80,361,004

 

 

 

Net Assets

$ 6,353,050,514

Net Assets consist of:

 

Paid in capital

$ 6,352,508,959

Undistributed net investment income

4,396

Accumulated undistributed net realized gain (loss) on investments

537,159

Net Assets, for 6,347,254,525 shares outstanding

$ 6,353,050,514

Net Asset Value, offering price and redemption price per share ($6,353,050,514 ÷ 6,347,254,525 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

 Six months ended July 31, 2014 (Unaudited)

 

 

 

Investment Income

 

 

Interest

 

$ 2,454,291

Income from Fidelity Central Funds

 

211,350

Total income

 

2,665,641

 

 

 

Expenses

Management fee

$ 11,553,290

Transfer agent fees

3,679,128

Accounting fees and expenses

268,821

Custodian fees and expenses

36,822

Independent trustees' compensation

12,408

Registration fees

31,772

Audit

20,785

Legal

10,649

Miscellaneous

22,621

Total expenses before reductions

15,636,296

Expense reductions

(13,291,867)

2,344,429

Net investment income (loss)

321,212

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

 

536,764

Net increase in net assets resulting from operations

$ 857,976

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Fidelity Massachusetts Municipal Money Market Fund
Financial Statements - continued

Statement of Changes in Net Assets

 

Six months ended
July 31, 2014
(Unaudited)

Year ended
January 31,
2014

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 321,212

$ 603,455

Net realized gain (loss)

536,764

345,046

Net increase in net assets resulting
from operations

857,976

948,501

Distributions to shareholders from net investment income

(316,816)

(603,858)

Share transactions at net asset value of $1.00 per share
Proceeds from sales of shares

6,736,747,935

13,961,180,754

Reinvestment of distributions

302,935

581,587

Cost of shares redeemed

(6,837,791,758)

(13,511,674,377)

Net increase (decrease) in net assets and shares resulting from share transactions

(100,740,888)

450,087,964

Total increase (decrease) in net assets

(100,199,728)

450,432,607

 

 

 

Net Assets

Beginning of period

6,453,250,242

6,002,817,635

End of period (including undistributed net investment income of $4,396 and undistributed net investment income of $0, respectively)

$ 6,353,050,514

$ 6,453,250,242

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

 

Six months ended
July 31, 2014

Years ended January 31,

 

(Unaudited)

2014

2013

2012

2011

2010

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss)

  - F

  - F

  - F

  - F

  - F

  .001

Net realized and unrealized gain (loss) F

  -

  -

  -

  -

  -

  -

Total from investment operations

  - F

  - F

  - F

  - F

  - F

  .001

Distributions from net investment income

  - F

  - F

  - F

  - F

  - F

  (.001)

Distributions from net realized gain

  -

  -

  -

  -

  - F

  -

Total distributions

  - F

  - F

  - F

  - F

  - F

  (.001)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total ReturnB, C

  -%

  .01%

  .01%

  .01%

  .02%

  .06%

Ratios to Average Net AssetsD, E

 

 

 

 

 

 

Expenses before reductions

  .49% A

  .50%

  .50%

  .50%

  .50%

  .55%

Expenses net of fee waivers, if any

  .07% A

  .10%

  .17%

  .17%

  .29%

  .45%

Expenses net of all reductions

  .07% A

  .10%

  .17%

  .17%

  .29%

  .45%

Net investment income (loss)

  .01% A

  .01%

  .01%

  .01%

  .01%

  .06%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 6,353,051

$ 6,453,250

$ 6,002,818

$ 5,353,515

$ 5,223,001

$ 4,885,554

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Fees and expenses of any 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.

E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed or waived or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements, waivers or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement and waivers but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

F Amount represents less than $.001 per share.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.


Notes to Financial Statements

For the period ended July 31, 2014 (Unaudited)

1. Organization.

Fidelity® Massachusetts Municipal Income Fund (the Income Fund) and Fidelity Massachusetts Municipal Money Market Fund (the Money Market Fund) 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. 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.

2. Investments in Fidelity Central Funds.

The Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

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 the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Funds:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Income Fund attempts to obtain prices

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Income Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value each Fund's investments by major category are as follows:

For the Income Fund, debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

For the Money Market Fund, as permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Valuation - continued

For the Income Fund, changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and net asset value (NAV) include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and 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 Fund. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Income Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Income Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Book-tax differences are primarily due to market discount and deferred trustees compensation.

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 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.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:

 

Tax cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation)
on securities

Fidelity Massachusetts Municipal Income Fund

$ 1,947,471,029

$ 120,289,218

$ (8,426,292)

$ 111,862,926

Fidelity Massachusetts Municipal Money Market Fund

6,368,969,775

-

-

-

Short-Term Trading (Redemption) Fees. Shares held by investors in the Income Fund less than 30 days may be subject to a redemption fee equal to .50% of the NAV of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Funds transacted in 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund's Schedule of Investments. The 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Restricted Securities. The 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.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, for the Income Fund aggregated $101,635,592 and $61,499,761, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Funds 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 an annualized 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 the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease.. For the reporting period, each Fund's annualized management fee rate expressed as a percentage of each Fund's average net assets was as follows.

Fund Name

Individual Rate

Group Rate

Total

Fidelity Massachusetts Municipal Income Fund

.25%

.11%

.36%

Fidelity Massachusetts Municipal Money Market Fund

.25%

.11%

.36%

Transfer Agent and Accounting Fees. Citibank, N.A. (Citibank) is the custodian, transfer agent and servicing agent for the Funds. Citibank has entered into a sub-arrangement with Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, under which FIIOC performs the activities associated with the Funds' transfer agency, dividend disbursing and shareholder servicing functions. The Funds pay Citibank account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Transfer Agent and Accounting Fees - continued

shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to the following annualized rates expressed as a percentage of average net assets:

Fidelity Massachusetts Municipal Income Fund

.07%

Fidelity Massachusetts Municipal Money Market Fund

.12%

Citibank also has a sub-arrangement with Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, under which FSC maintains the Fund's accounting records. The fee is paid to Citibank and is based on the level of average net assets for each month.

6. Committed Line of Credit.

The Income Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 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 are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

Fidelity Massachusetts Municipal Income Fund

$ 2,600

During the period, the Income Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser or its affiliates voluntarily agreed to waive certain fees for the Money Market Fund in order to maintain a minimum annualized yield of .01%. Such arrangements may be discontinued by the investment adviser at any time. For the period, the amount of the waiver was $13,285,779.

Through arrangements with the Income Fund's and Money Market Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce fund expenses. These expense reductions are noted in the table below.

 

Custody
expense
reduction

 

 

Fidelity Massachusetts Municipal Income Fund

$ 3,995

Fidelity Massachusetts Municipal Money Market Fund

6,088

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. 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.

Semiannual Report

Investment Adviser

Fidelity Management & Research
Company

Boston, MA

Sub-Advisers

Fidelity Investments Money
Management, Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Citibank, N.A.

New York, NY

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

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®) ang395575
1-800-544-5555

ang395575
Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

MAS-USAN-0914
1.789293.111

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) 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 Fidelity Massachusetts Municipal 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 Fidelity Massachusetts Municipal Trust's (the "Trust") 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)

Not applicable.

(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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

September 19, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

September 19, 2014

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

September 19, 2014


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-CSRS’ Filing    Date    Other Filings
Filed on / Effective on:9/19/14
For Period End:7/31/14N-MFP,  NSAR-A
2/1/14
1/31/1424F-2NT,  N-CSR,  N-MFP,  NSAR-B
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