- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21216

 

Nuveen Massachusetts AMT-Free Municipal Income Fund

(Exact name of registrant as specified in charter)

 

Nuveen Investments

        333 West Wacker Drive, Chicago, Illinois 60606         

(Address of principal executive offices) (Zip code)

 

Kevin J. McCarthy

Vice President and Secretary

        333 West Wacker Drive, Chicago, Illinois 60606         

(Name and address of agent for service)

 

Registrant's telephone number, including area code:         312-917-7700        

 

Date of fiscal year end:             5/31          

 

Date of reporting period:          8/31/12         

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

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Item 1. Schedule of Investments

 

		Portfolio of Investments (Unaudited)
		Nuveen Massachusetts AMT-Free Municipal Income Fund (NGX)
		August 31, 2012
Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Education and Civic Organizations – 30.0% (19.6% of Total Investments)
$ 650		Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and	7/21 at 100.00	AA–	$ 747,747
		B-2, 5.250%, 7/01/33 – AGM Insured
1,135		Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1,	10/15 at 100.00	A	1,180,775
		5.000%, 10/01/39 – AMBAC Insured
300		Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2012A,	7/22 at 100.00	BBB–	324,141
		5.250%, 7/01/42
600		Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,	9/17 at 100.00	A+	642,804
		Series 2007, 5.000%, 9/01/37 – NPFG Insured
1,250		Massachusetts Development Finance Authority, Revenue Bonds, Middlesex School, Series 2003,	9/13 at 100.00	A1	1,269,813
		5.000%, 9/01/33
1,000		Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,	No Opt. Call	A	1,316,230
		Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
3,000		Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,	1/18 at 100.00	AA–	3,199,767
		Series 2008A, 5.000%, 1/01/42 – AGC Insured
1,750		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,	6/13 at 100.00	AA–	1,802,063
		Series 2003N, 5.125%, 6/01/37
250		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern	10/20 at 100.00	A2	277,075
		University, Series 2010A, 4.875%, 10/01/35
1,500		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State	11/12 at 100.00	A	1,503,645
		College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured
11,435		Total Education and Civic Organizations			12,264,060
		Health Care – 16.4% (10.7% of Total Investments)
1,000		Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated	7/22 at 100.00	A	1,092,920
		Group, Series 2012, 5.000%, 7/01/31
1,000		Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series	7/21 at 100.00	AA	1,126,440
		2012L, 5.000%, 7/01/36
500		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare	11/19 at 100.00	AA–	546,495
		Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured
		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc.,
		Series B1 Capital Asset Program Converted June 13,2008:
480		5.375%, 2/01/26 – NPFG Insured	8/18 at 100.00	A–	542,064
600		5.375%, 2/01/27 – NPFG Insured	8/18 at 100.00	A–	675,468
1,500		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc.,	8/18 at 100.00	A–	1,681,845
		Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/28 – NPFG Insured
585		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional	7/17 at 100.00	BBB–	590,125
		Medical Center, Series 2007E, 5.000%, 7/15/32
200		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital	7/15 at 100.00	BB–	202,080
		Project, Series 2005D, 5.250%, 7/01/30
250		Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial	7/15 at 100.00	A–	256,520
		Health Care, Series 2005D, 5.000%, 7/01/33
6,115		Total Health Care			6,713,957
		Housing/Multifamily – 11.2% (7.4% of Total Investments)
500		Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%,	4/18 at 100.00	AA–	568,185
		4/01/20 – AGM Insured
740		Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor	7/17 at 100.00	BB	769,504
		Project, Series 2007, 4.800%, 7/20/48
2,000		Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43	12/12 at 100.00	AA–	2,005,720
1,265		Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2002H,	11/12 at 100.00	AA–	1,266,316
		5.200%, 7/01/42 – AGM Insured
4,505		Total Housing/Multifamily			4,609,725
		Industrials – 7.3% (4.8% of Total Investments)
		Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
		Redevelopment, M/SRBC Project, Series 2002A:
1,475		5.125%, 8/01/28 – NPFG Insured	11/12 at 100.00	BBB	1,476,298
1,500		5.125%, 2/01/34 – NPFG Insured	11/12 at 100.00	BBB	1,501,425
2,975		Total Industrials			2,977,723
		Long-Term Care – 4.5% (3.0% of Total Investments)
1,750		Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, Neville	12/12 at 105.00	AA+	1,852,305
		Communities, Series 2002A, 6.000%, 6/20/44
		Tax Obligation/General – 15.9% (10.4% of Total Investments)
1,280		Littleton, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 1/15/21 – FGIC Insured	1/13 at 101.00	AA	1,312,653
1,500		Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21 –	No Opt. Call	AA+	1,927,800
		AGM Insured
1,705		North Attleborough, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 7/15/15 –	7/14 at 101.00	Aa2	1,866,770
		FGIC Insured
1,200		North Reading, Massachusetts, General Obligation Bonds, Series 2012, 5.000%, 5/15/35 –	5/22 at 100.00	Aa2	1,402,392
		AMBAC Insured
5,685		Total Tax Obligation/General			6,509,615
		Tax Obligation/Limited – 20.2% (13.2% of Total Investments)
400		Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37	1/22 at 100.00	A	442,536
3,000		Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2002, 5.000%, 5/01/32 –	5/13 at 100.00	A–	3,072,960
		AMBAC Insured
1,000		Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41	7/22 at 100.00	AAA	1,165,940
750		Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,	5/18 at 100.00	Aa2	835,253
		5/01/33 – AGC Insured
300		Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%,	No Opt. Call	A1	357,825
		1/01/20 – FGIC Insured
1,500		Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series	8/21 at 100.00	A+	1,576,470
		2011A-1, 5.000%, 8/01/43
5,000		Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 0.000%,	No Opt. Call	AA–	806,050
		8/01/45 – NPFG Insured
11,950		Total Tax Obligation/Limited			8,257,034
		Transportation – 2.9% (1.9% of Total Investments)
1,000		Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33	7/22 at 100.00	AA	1,176,170
		U.S. Guaranteed – 19.7% (12.9% of Total Investments) (4)
1,790		Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003A,	5/13 at 100.00	Aa2 (4)	1,848,855
		5.250%, 5/01/22 (Pre-refunded 5/01/13) – SYNCORA GTY Insured
500		Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy	7/13 at 101.00	A (4)	530,530
		and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13)
155		Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM)	11/12 at 100.00	AAA	169,908
1,000		Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 (Pre-refunded	7/13 at 100.00	AA (4)	1,039,640
		7/01/13) – NPFG Insured
1,000		Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%,	1/14 at 100.00	A1 (4)	1,064,770
		1/01/21 (Pre-refunded 1/01/14) – FGIC Insured
1,000		Massachusetts Water Resources Authority, General Revenue Bonds, Series 2004D, 5.000%, 8/01/24	8/13 at 100.00	AA+ (4)	1,044,050
		(Pre-refunded 8/01/13) – NPFG Insured
2,140		University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series	11/14 at 100.00	AA (4)	2,371,805
		2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) – AMBAC Insured
7,585		Total U.S. Guaranteed			8,069,558
		Utilities – 7.5% (4.9% of Total Investments)
1,710		Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured	10/20 at 100.00	AA–	1,877,187
1,150		Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A,	7/22 at 100.00	BBB+	1,181,786
		5.050%, 7/01/42
2,860		Total Utilities			3,058,973
		Water and Sewer – 17.2% (11.2% of Total Investments)
1,900		Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%,	12/13 at 100.00	A1	1,939,729
		12/01/32 – NPFG Insured
600		Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,	8/16 at 100.00	AAA	639,288
		4.375%, 8/01/31 (UB)
1,000		Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%,	No Opt. Call	AA+	1,253,170
		8/01/19 – AGM Insured
		Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A:
1,500		5.000%, 8/01/31 – AMBAC Insured	8/16 at 100.00	AA+	1,692,000
125		4.000%, 8/01/46	8/16 at 100.00	AA+	126,394
720		Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Refunding	11/20 at 100.00	AA–	844,308
		Series 2010B, 5.000%, 11/15/30 – AGC Insured
495		Springfield Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Series 2003A,	7/14 at 100.00	A+	531,392
		5.000%, 7/01/16 – NPFG Insured
6,340		Total Water and Sewer			7,026,281
$ 62,200		Total Investments (cost $59,218,527) – 152.8%			62,515,401
		Floating Rate Obligations – (0.8)%			(340,000)
		MuniFund Term Preferred Shares, at Liquidation Value – (54.0)% (5)			(22,075,000)
		Other Assets Less Liabilities – 2.0%			812,461
		Net Assets Applicable to Common Shares – 100%			$ 40,912,862

 

 

 

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Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

     Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.

     Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

     Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

		Level 1				Level 2				Level 3				Total
Long-Term Investments:
Municipal Bonds		$	—			$	62,515,401			$	—			$	62,515,401

 

The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

 

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

 

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.

 

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

 

At August 31, 2012, the cost of investments was $58,866,960.

 

Gross unrealized appreciation and gross unrealized depreciation of investments at August 31, 2012, were as follows:

Gross unrealized:
Appreciation	$3,308,514
Depreciation	—
Net unrealized appreciation (depreciation) of investments	$3,308,514

 

(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common
		shares unless otherwise noted.
(2)		Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
		There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities
		may be subject to periodic principal paydowns.
(3)		Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service,
		Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s
		or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by
		any of these national rating agencies.
(4)		Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities,
		which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or
		agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)		MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 35.3%.
(ETM)		Escrowed to maturity.
(UB)		Underlying bond of an inverse floating rate trust reflected as a financing transaction.

 

 

 

 

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Item 2. Controls and Procedures.

a.

The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

 

b.

There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT attached hereto.

 

 

 

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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.

 

(Registrant)   Nuveen Massachusetts AMT-Free Municipal Income Fund 

 

By (Signature and Title)     /s/ Kevin J. McCarthy                    

                                                   Kevin J. McCarthy

                                                   Vice President and Secretary

 

Date:          October 30, 2012        

 

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 (Signature and Title)     /s/ Gifford R. Zimmerman                    

                                                    Gifford R. Zimmerman

                                                  Chief Administrative Officer (principal executive officer) 

 

Date:          October 30, 2012        

 

By (Signature and Title)     /s/ Stephen D. Foy                              

                                                   Stephen D. Foy

                                                  Vice President and Controller (principal financial officer) 

 

Date:          October 30, 2012