UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-09005

 

Name of Registrant: Vanguard Massachusetts Tax-Exempt Funds
Address of Registrant: P.O. Box 2600
  Valley Forge, PA 19482

 

Name and address of agent for service: Natalie Lamarque, Esquire
  P.O. Box 876
  Valley Forge, PA 19482

 

Registrant’s telephone number, including area code: (610) 669-1000

 

Date of fiscal year end: November 30

 

Date of reporting period: December 1, 2025—May 31, 2026

 

 

 

 

 

 

 

Item 1: Reports to Shareholders.

 

 

 

 

 

TABLE OF CONTENTS

 

Massachusetts Tax-Exempt Fund
Investor Shares - VMATX

   

 

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Vanguard Massachusetts Tax-Exempt Fund

Image

Investor Shares (VMATX) 

Semi-Annual Shareholder Report | May 31, 2026

This semi-annual shareholder report contains important information about Vanguard Massachusetts Tax-Exempt Fund (the "Fund") for the period of December 1, 2025, to May 31, 2026. You can find additional information about the Fund at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature. You can also request this information by contacting us at 800-662-7447. The report describes changes to the Fund that occurred during the reporting period.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Table Summary
Share Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Shares
$5
0.09%Footnote Reference1
FootnoteDescription
Footnote1
Annualized.

Fund Statistics (as of May 31, 2026)

Table Summary
Fund Net Assets (in millions)
$3,691
Number of Portfolio Holdings
1,051
Portfolio Turnover Rate
7%

Distribution by Stated Maturity % of Net Assets (as of May 31, 2026) 

Table Summary
Less than 1 Year
7.6%
1 to 3 Years
2.0%
3 to 5 Years
2.8%
5 to 10 Years
14.1%
10 to 20 Years
34.7%
20 to 30 Years
35.9%
Greater than 30 Years
4.1%
Other Assets and Liabilities—Net
(1.2%)

This table reflects the Fund's investments, including short-term investments, derivatives and other assets and liabilities.

How has the Fund changed?

Effective January 12, 2026, The Vanguard Group, Inc. exercises portfolio management responsibilities for the fund through its wholly-owned subsidiary, Vanguard Capital Management, LLC.

  

This is a summary of certain changes to the Fund since November 30, 2025. For more complete information, you may review the Fund’s prospectus, at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature or upon request at 800-662-7447.

Where can I find additional information about the Fund?

Additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information is available at https://personal1.vanguard.com/ngf-next-gen-form-webapp/fund-literature.

Connect with Vanguard® • vanguard.com

 

Fund Information • 800-662-7447

Direct Investor Account Services • 800-662-2739

Text Telephone for People Who Are Deaf or Hard of Hearing •

800-749-7273

 

© 2026 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

 

SR168 

 

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.

 

Not applicable. The complete schedule of investments is included in the financial statements filed under Item 7 of this Form.

 

 

 

 

Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

 

 

 

Financial Statements
For the six-months ended May 31, 2026
Vanguard Massachusetts Tax-Exempt Fund

 

Contents
Financial Statements
1
   

 

Massachusetts Tax-Exempt Fund
Financial Statements (unaudited)
Schedule of Investments
As of May 31, 2026
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Tax-Exempt Municipal Bonds (101.1%)
Massachusetts (99.7%)
  Abington MA BAN GO 4.000%  4/22/2027  1,000     1,008
  Acton & Boxborough MA Regional School District GO 2.125%   3/1/2043    150       112
  Andover MA GO 2.000%  9/15/2034  1,075       951
  Andover MA GO 2.000%  9/15/2035  1,085       939
  Andover MA GO 2.000%  9/15/2036  1,085       918
  Andover MA GO 2.000%  9/15/2037  1,090       901
  Andover MA GO 2.000%  9/15/2039  1,110       876
  Andover MA GO 2.000%  9/15/2040  1,115       867
  Andover MA GO 2.000%  9/15/2041  1,025       782
  Andover MA GO 3.000%  12/1/2042  1,400     1,251
  Andover MA GO 3.000%  12/1/2043  1,375     1,211
  Andover MA GO 3.000%  12/1/2044  1,285     1,108
  Arlington MA GO 2.000%  9/15/2040  2,790     2,162
  Arlington MA GO 2.000%  9/15/2041  2,800     2,124
  Ashland MA GO 3.000%   8/1/2047  3,180     2,606
  Ashland MA GO 2.250%  5/15/2051  1,930     1,236
  Ashland MA GO 3.000%   8/1/2052  2,890     2,206
  Attleboro MA GO 2.625% 10/15/2050  3,335     2,281
  Bedford MA GO 3.000%  9/15/2030  1,200     1,201
1 Berkley MA GO 5.000%   4/1/2044    570       619
1 Berkley MA GO 5.000%   4/1/2045    250       270
1 Berkley MA GO 5.000%   4/1/2046    250       267
1 Berkley MA GO 5.000%   4/1/2047    500       528
1 Berkley MA GO 5.250%   4/1/2055  1,000     1,056
  Berkshire Wind Power Cooperative Corp. Electric Power & Light Revenue (Berkshire Wind Project) 5.000%   7/1/2028  1,120     1,146
  Boston MA GO 2.000%  11/1/2036  2,250     1,900
  Boston MA GO 2.000%  11/1/2037  2,205     1,819
2 Boston MA GO 5.000%   6/1/2038  3,000     3,473
2 Boston MA GO 5.000%   6/1/2040  3,000     3,434
2 Boston MA GO 5.000%   6/1/2042  7,000     7,898
2 Boston MA GO 5.000%   6/1/2043 10,000    11,202
2 Boston MA GO 5.000%   6/1/2044  4,735     5,259
2 Boston MA GO 5.000%   6/1/2045  2,350     2,587
2 Boston MA GO 5.000%   6/1/2046  2,500     2,725
  Boston Water & Sewer Commission Water Revenue 3.000%  11/1/2041  3,000     2,675
  Braintree MA GO 1.750% 10/15/2032  1,755     1,544
  Braintree MA GO 1.750% 10/15/2033  1,600     1,378
  Braintree MA GO 1.750% 10/15/2034  1,600     1,348
  Braintree MA GO 2.000% 10/15/2036  2,160     1,818
  Braintree MA GO 3.000%   6/1/2037    395       368
1 Bridgewater-Raynham MA Regional School District GO 2.000%   2/1/2036  1,000       835
  Bristol County MA GO 4.000%   6/1/2051  7,000     6,496
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2042  4,425     4,452
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2043  4,600     4,620
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2046  3,905     3,770
3 Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2047    500       475
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2048  5,570     5,252
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2051  6,120     5,709
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2052  3,500     3,247
  Bristol-Plymouth MA Regional Vocational Technical School District GO 4.000%   4/1/2053  6,145     5,699
  Brockton MA GO 4.000%   8/1/2052    830       771
  Brookline MA GO 3.000%  3/15/2035  3,800     3,745
  Brookline MA GO 2.000%  2/15/2039  5,725     4,585
  Brookline MA GO 2.000%  2/15/2040  6,645     5,205
  Brookline MA GO 2.000%  2/15/2041  6,755     5,189
  Burlington MA GO 2.750%  1/15/2041    600       506
  Burlington MA GO 2.750%  1/15/2042    620       509
  Burlington MA GO 2.750%  1/15/2043    635       513
  Burlington MA GO 2.750%  1/15/2044    655       514
  Burlington MA GO 2.750%  1/15/2046    310       241
1

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Burlington MA GO 2.750%  1/15/2050  2,565     1,861
  Canton MA GO 2.500%  3/15/2038    150       129
  Central Berkshire MA Regional School District GO 3.000%   6/1/2032  1,125     1,118
  Central Berkshire MA Regional School District GO 3.000%   6/1/2038  1,400     1,297
  Central Berkshire MA Regional School District GO 3.000%   6/1/2040    720       648
  Collegiate Charter School of Lowell Charter School Aid Revenue 5.000%  6/15/2029    305       305
  Collegiate Charter School of Lowell Charter School Aid Revenue 5.000%  6/15/2039  1,385     1,385
  Collegiate Charter School of Lowell Charter School Aid Revenue 5.000%  6/15/2049  3,250     3,143
  Collegiate Charter School of Lowell Charter School Aid Revenue 5.000%  6/15/2054  5,490     5,180
  Commonwealth of Massachusetts GO 5.000%   1/1/2033  4,000     4,141
  Commonwealth of Massachusetts GO 5.250%   1/1/2033  1,850     1,970
  Commonwealth of Massachusetts GO 5.000%   4/1/2033  3,775     3,844
  Commonwealth of Massachusetts GO 4.000%   7/1/2033  5,000     5,003
  Commonwealth of Massachusetts GO 5.000%   7/1/2033  3,495     3,501
  Commonwealth of Massachusetts GO 5.000%   1/1/2034  4,000     4,133
  Commonwealth of Massachusetts GO 5.000%   1/1/2034    685       786
  Commonwealth of Massachusetts GO 5.000%   2/1/2034  1,910     1,937
  Commonwealth of Massachusetts GO 2.000%   3/1/2034  3,670     3,260
  Commonwealth of Massachusetts GO 2.000%   3/1/2035    400       348
  Commonwealth of Massachusetts GO 3.000%   3/1/2035  1,215     1,196
  Commonwealth of Massachusetts GO 5.000%   3/1/2035    595       680
  Commonwealth of Massachusetts GO 5.000%   4/1/2035  7,000     7,115
  Commonwealth of Massachusetts GO 3.000%   5/1/2035  6,540     6,420
  Commonwealth of Massachusetts GO 5.000%   5/1/2035  2,960     3,330
  Commonwealth of Massachusetts GO 3.000%   7/1/2035    230       225
  Commonwealth of Massachusetts GO 5.000%   7/1/2035  2,875     3,336
  Commonwealth of Massachusetts GO 3.000%   9/1/2035 13,000    12,652
  Commonwealth of Massachusetts GO 5.000%   2/1/2036  4,445     4,501
  Commonwealth of Massachusetts GO 3.000%   3/1/2036  1,220     1,175
  Commonwealth of Massachusetts GO 5.000%   7/1/2036  3,380     3,624
  Commonwealth of Massachusetts GO 5.000%   8/1/2036  7,800     8,879
  Commonwealth of Massachusetts GO 5.000%  10/1/2036    175       194
  Commonwealth of Massachusetts GO 5.000%  11/1/2036    500       566
  Commonwealth of Massachusetts GO 5.000%   7/1/2037  1,315     1,405
  Commonwealth of Massachusetts GO 5.000%   8/1/2037  8,650     9,769
  Commonwealth of Massachusetts GO 5.000%  10/1/2037    910     1,003
  Commonwealth of Massachusetts GO 5.000%  11/1/2037  6,150     6,916
  Commonwealth of Massachusetts GO 5.000%   3/1/2038  4,525     5,070
  Commonwealth of Massachusetts GO 5.000%   7/1/2038    540       563
  Commonwealth of Massachusetts GO 5.000%   8/1/2038 10,000    11,238
  Commonwealth of Massachusetts GO 5.000%   9/1/2038  6,520     6,762
  Commonwealth of Massachusetts GO 3.000%  11/1/2038    750       693
  Commonwealth of Massachusetts GO 5.000%  11/1/2038  6,850     7,011
  Commonwealth of Massachusetts GO 5.000%  11/1/2038  3,735     4,180
  Commonwealth of Massachusetts GO 5.000%  12/1/2038     15        15
  Commonwealth of Massachusetts GO 3.250%   2/1/2039    125       120
  Commonwealth of Massachusetts GO 5.000%   5/1/2039    610       638
  Commonwealth of Massachusetts GO 5.000%   5/1/2039    750       828
  Commonwealth of Massachusetts GO 3.000%   7/1/2039  8,310     7,603
  Commonwealth of Massachusetts GO 5.000%   8/1/2039  4,135     4,571
  Commonwealth of Massachusetts GO 3.000%  11/1/2039  3,605     3,283
  Commonwealth of Massachusetts GO 2.000%   3/1/2040  5,000     3,846
  Commonwealth of Massachusetts GO 5.000%   3/1/2040  2,430     2,698
  Commonwealth of Massachusetts GO 5.000%   5/1/2040  2,840     2,966
  Commonwealth of Massachusetts GO 5.000%   7/1/2040    200       212
  Commonwealth of Massachusetts GO 5.000%   8/1/2040 16,000    17,611
  Commonwealth of Massachusetts GO 3.000%  11/1/2040  7,170     6,402
  Commonwealth of Massachusetts GO 5.000%  11/1/2040  2,795     3,098
  Commonwealth of Massachusetts GO 5.000%  12/1/2040    305       340
  Commonwealth of Massachusetts GO 3.000%   2/1/2041    245       217
  Commonwealth of Massachusetts GO 3.000%   4/1/2041  9,200     7,954
  Commonwealth of Massachusetts GO 5.000%   5/1/2041  4,500     4,688
  Commonwealth of Massachusetts GO 5.000%   7/1/2041  2,895     3,061
  Commonwealth of Massachusetts GO 3.000%  11/1/2041  9,200     8,117
  Commonwealth of Massachusetts GO 5.000%  12/1/2041  1,850     2,077
  Commonwealth of Massachusetts GO 5.000%   1/1/2042  5,550     6,066
  Commonwealth of Massachusetts GO 5.000%   4/1/2042    785       794
  Commonwealth of Massachusetts GO 5.250%   4/1/2042  3,540     3,600
  Commonwealth of Massachusetts GO 5.000%   5/1/2042 10,000    10,390
  Commonwealth of Massachusetts GO 5.000%   5/1/2042  3,200     3,474
2

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commonwealth of Massachusetts GO 5.000%   6/1/2042  9,715    10,761
  Commonwealth of Massachusetts GO 5.000%   6/1/2042  4,000     4,431
  Commonwealth of Massachusetts GO 3.000%  11/1/2042  2,275     1,967
  Commonwealth of Massachusetts GO 5.000%  11/1/2042 14,605    16,013
  Commonwealth of Massachusetts GO 5.000%  12/1/2042  9,585    10,665
  Commonwealth of Massachusetts GO 2.500%   3/1/2043    990       764
  Commonwealth of Massachusetts GO 5.000%   5/1/2043  5,035     5,220
  Commonwealth of Massachusetts GO 5.000%   5/1/2043  2,035     2,219
  Commonwealth of Massachusetts GO 5.000%   6/1/2043  1,980     2,180
  Commonwealth of Massachusetts GO 5.250%   9/1/2043 27,750    28,791
  Commonwealth of Massachusetts GO 5.000%  12/1/2043  9,875    10,827
  Commonwealth of Massachusetts GO 5.000%  12/1/2043 10,575    11,695
  Commonwealth of Massachusetts GO 5.250%   1/1/2044 20,955    21,791
  Commonwealth of Massachusetts GO 5.000%   5/1/2044  2,000     2,067
  Commonwealth of Massachusetts GO 5.000%   6/1/2044  2,560     2,795
  Commonwealth of Massachusetts GO 5.000%   8/1/2044  3,280     3,585
  Commonwealth of Massachusetts GO 5.000%  12/1/2044 10,290    11,278
  Commonwealth of Massachusetts GO 5.000%   1/1/2045    200       203
  Commonwealth of Massachusetts GO 5.000%   2/1/2045  7,000     7,614
  Commonwealth of Massachusetts GO 5.000%   5/1/2045    985     1,015
  Commonwealth of Massachusetts GO 5.000%   5/1/2045    240       258
  Commonwealth of Massachusetts GO 5.000%   6/1/2045  3,885     4,206
  Commonwealth of Massachusetts GO 5.000%   6/1/2045  2,170     2,350
  Commonwealth of Massachusetts GO 5.000%   7/1/2045  4,570     4,759
  Commonwealth of Massachusetts GO 5.000%  11/1/2045 12,155    12,697
  Commonwealth of Massachusetts GO 5.000%  12/1/2045  1,420     1,543
  Commonwealth of Massachusetts GO 5.000%   1/1/2046  4,490     4,557
  Commonwealth of Massachusetts GO 5.000%   2/1/2046  5,895     6,352
  Commonwealth of Massachusetts GO 5.000%   6/1/2046  1,830     1,964
  Commonwealth of Massachusetts GO 3.000%   9/1/2046  1,515     1,214
  Commonwealth of Massachusetts GO 5.000%  10/1/2046 11,630    12,345
  Commonwealth of Massachusetts GO 5.000%  11/1/2046  3,360     3,544
  Commonwealth of Massachusetts GO 5.000%  12/1/2046    150       161
  Commonwealth of Massachusetts GO 5.000%   2/1/2047  5,895     6,299
  Commonwealth of Massachusetts GO 3.000%   3/1/2047 10,120     8,076
  Commonwealth of Massachusetts GO 5.000%   6/1/2047 11,155    11,877
  Commonwealth of Massachusetts GO 5.250%  10/1/2047 10,270    10,903
  Commonwealth of Massachusetts GO 5.000%  12/1/2047 10,745    11,472
  Commonwealth of Massachusetts GO 3.000%   4/1/2048  2,685     2,101
  Commonwealth of Massachusetts GO 5.000%   5/1/2048  1,195     1,251
  Commonwealth of Massachusetts GO 3.000%   7/1/2048  1,285     1,004
  Commonwealth of Massachusetts GO 5.000%   8/1/2048  3,000     3,178
  Commonwealth of Massachusetts GO 5.000%   1/1/2049 10,000    10,480
  Commonwealth of Massachusetts GO 3.000%   3/1/2049  6,255     4,833
  Commonwealth of Massachusetts GO 3.000%   4/1/2049  6,005     4,637
  Commonwealth of Massachusetts GO 5.000%   8/1/2049 10,000    10,562
  Commonwealth of Massachusetts GO 2.750%   3/1/2050  9,010     6,507
  Commonwealth of Massachusetts GO 2.000%   4/1/2050  3,730     2,252
  Commonwealth of Massachusetts GO 5.000%  10/1/2050  5,000     5,213
  Commonwealth of Massachusetts GO 5.000%  11/1/2050  8,595     8,829
  Commonwealth of Massachusetts GO 2.125%   4/1/2051  6,700     4,092
  Commonwealth of Massachusetts GO 5.000%  10/1/2051 13,550    14,079
  Commonwealth of Massachusetts GO 5.000%   8/1/2052  4,245     4,420
  Commonwealth of Massachusetts GO 5.000%  10/1/2052  9,085     9,360
  Commonwealth of Massachusetts GO 5.000%  10/1/2052 17,000    17,584
  Commonwealth of Massachusetts GO 5.250%  10/1/2052  4,665     4,891
  Commonwealth of Massachusetts GO 5.000%  11/1/2052  3,000     3,092
  Commonwealth of Massachusetts GO 5.000%   8/1/2053 16,240    16,824
  Commonwealth of Massachusetts GO 5.000%  10/1/2053  5,000     5,164
  Commonwealth of Massachusetts GO 5.000%  12/1/2053  3,220     3,340
  Commonwealth of Massachusetts GO 5.000%   1/1/2054 41,355    42,699
  Commonwealth of Massachusetts GO 5.000%   5/1/2054  5,745     5,935
  Commonwealth of Massachusetts GO 5.000%   8/1/2054  3,490     3,608
  Commonwealth of Massachusetts GO 5.000%   4/1/2055 29,250    30,301
  Commonwealth of Massachusetts GO 5.000%  12/1/2055 27,000    28,031
4 Commonwealth of Massachusetts GO TOB VRDO 2.850%   6/1/2026  2,945     2,945
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2033  1,345     1,405
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2037    680       740
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 3.000%   6/1/2039  4,545     4,163
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2039      5         5
3

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2040 11,235    12,108
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2041  3,000     3,222
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2042    500       535
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2043  1,500     1,535
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2043  1,040     1,106
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue 5.000%   6/1/2044  4,385     4,768
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement & Accelerated Programs) 5.000%   6/1/2042  2,000     2,033
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement & Accelerated Programs) 5.250%   6/1/2043  3,930     4,069
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement & Accelerated Programs) 5.000%   6/1/2049 25,000    25,598
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2050 29,690    30,757
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2051  2,800     2,914
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2052  4,560     4,692
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2053 20,000    20,644
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2053 24,700    25,590
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2054  2,450     2,537
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Program) 5.000%   6/1/2055 25,560    26,511
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Project) 5.000%   6/1/2037    500       519
  Commonwealth of Massachusetts Transportation Fund Fuel Sales Tax Revenue (Rail Enhancement Project) 5.000%   6/1/2041  6,125     6,326
  Dedham MA GO 3.000%   6/1/2035    880       866
  Dedham MA GO 3.000%   6/1/2036    880       846
  Dennis - Yarmouth Regional School District GO 2.125%  10/1/2043  1,105       809
  Dennis - Yarmouth Regional School District GO 2.250%  10/1/2046  3,615     2,484
  East Longmeadow MA GO 4.000%  11/1/2049  9,800     9,268
  East Longmeadow MA GO 4.000%  11/1/2054 15,000    13,829
  Easthampton MA GO 3.000%   6/1/2037  1,190     1,117
  Easthampton MA GO 3.000%   6/1/2038  2,200     2,040
  Easthampton MA GO 3.000%   6/1/2039     70        64
  Easton MA GO 2.000% 10/15/2037    265       217
  Easton MA GO 2.125% 10/15/2038  1,155       936
  Easton MA GO 2.250% 10/15/2040    810       640
  Easton MA GO 2.250% 10/15/2041    615       477
  Easton MA GO 2.500% 10/15/2046  2,390     1,728
  Everett MA GO 2.000%  1/15/2037    295       241
  Fall River MA BAN GO 4.000%  1/29/2027  5,000     5,039
  Fall River MA GO 3.000%  12/1/2036  2,265     2,135
  Fall River MA GO 3.000%  12/1/2037  2,335     2,171
  Fall River MA GO 2.500%  12/1/2039    100        84
  Fall River MA GO 2.000%  12/1/2040    155       114
  Fall River MA GO 2.000%  12/1/2043    105        73
  Foxborough MA GO 3.000%  5/15/2041  1,590     1,423
  Framingham MA GO 3.000% 12/15/2035    900       858
  Framingham MA GO 2.000% 12/15/2039  1,215       936
  Framingham MA GO 2.000% 12/15/2040  1,235       933
  Framingham MA GO 2.000% 12/15/2041  1,245       920
3 Gardner MA GO 2.000%   8/1/2039  1,230       955
3 Gardner MA GO 2.125%   8/1/2046  1,160       758
  Gardner MA GO 4.125%  1/15/2048  2,930     2,794
  Gloucester MA GO 2.000%  9/15/2040    855       649
  Gloucester MA GO 2.125%  9/15/2042    885       650
  Gloucester MA GO 2.125%  9/15/2043    655       472
  Greater Fall River Vocational School District (Massachusetts State Qualified Bond Project) GO 5.000%   6/1/2042  3,370     3,689
  Greater Fall River Vocational School District (Massachusetts State Qualified Bond Project) GO 5.000%   6/1/2043  3,000     3,253
  Greater Fall River Vocational School District (Massachusetts State Qualified Bond Project) GO 5.000%   6/1/2045  3,935     4,177
  Hingham MA GO 2.000%  2/15/2040  4,000     3,118
  Hudson MA BAN GO 5.250%  6/11/2026  1,000     1,000
  Lawrence MA GO 2.250%   2/1/2038  1,755     1,478
  Lawrence MA GO 4.125%   6/1/2051  2,165     2,050
  Lawrence MA GO 4.125%   6/1/2052  2,175     2,043
  Leominster MA GO 3.000%   3/1/2042    125       107
  Leominster MA GO 3.000%   3/1/2052  4,000     2,939
  Lexington MA GO 3.250%   2/1/2038  1,410     1,367
  Lexington MA GO 3.625%   2/1/2049    450       397
  Lincoln MA GO 3.250%   3/1/2040  1,150     1,091
  Lincoln MA GO 3.500%   3/1/2044  1,100     1,031
  Littleton MA GO 3.250%  6/15/2038    205       197
  Longmeadow MA GO 2.000%  5/15/2033  1,390     1,259
  Lowell MA GO 3.000%   9/1/2036  2,100     1,989
4

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Lowell MA GO 3.000%   9/1/2040  1,500     1,338
  Lowell MA GO 4.000%   9/1/2040  2,155     2,201
  Lowell MA GO 3.000%   9/1/2041  1,545     1,359
  Lowell MA GO 4.000%   9/1/2041  2,365     2,387
  Lowell MA GO 2.125%   9/1/2042  1,040       761
  Lowell MA GO 2.125%   9/1/2042  1,715     1,255
  Lowell MA GO 2.125%   9/1/2043    895       639
  Lowell MA GO 4.000%   9/1/2048  5,295     4,925
  Lowell MA GO 4.250%   9/1/2048    705       680
  Lowell MA GO 4.250%   9/1/2053  3,550     3,381
  Ludlow MA GO 3.000%   2/1/2049    250       191
  Lynn MA GO 3.125%   3/1/2044    435       370
  Lynn MA GO 4.000%   9/1/2050  2,230     2,094
  Lynn MA GO 4.000%   9/1/2051  2,170     2,035
  Lynn MA GO 4.000%   9/1/2054  7,495     6,935
  Marblehead MA GO 3.000%   8/1/2039    500       458
  Marlborough MA GO 2.000%  5/15/2033  1,510     1,377
1 Marthas Vineyard Land Bank Miscellaneous Revenue 5.000%   5/1/2034    500       508
1 Marthas Vineyard Land Bank Miscellaneous Revenue 5.000%   5/1/2035    500       508
1 Marthas Vineyard Land Bank Miscellaneous Revenue 5.000%   5/1/2036    500       508
  Massachusetts Bay Transportation Authority Assessment Indirect Ad Valorem Property Revenue 3.125%   7/1/2041  1,790     1,629
  Massachusetts Bay Transportation Authority Assessment Indirect Ad Valorem Property Revenue 5.000%   7/1/2052  8,000     8,268
  Massachusetts Bay Transportation Authority Sales Tax Revenue 0.000%   7/1/2028  7,000     6,594
  Massachusetts Bay Transportation Authority Sales Tax Revenue 0.000%   7/1/2029  3,000     2,739
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2033  2,480     2,694
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2033  4,500     5,037
  Massachusetts Bay Transportation Authority Sales Tax Revenue 4.000%   7/1/2036    125       129
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2036  3,000     3,465
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2037 10,000    11,475
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2039  4,785     5,428
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2041  6,020     6,214
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2041  2,470     2,743
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2042  1,000     1,044
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2042  4,805     5,247
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2042  5,000     5,516
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2043  2,355     2,559
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2043  1,045     1,147
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2044  2,460     2,677
  Massachusetts Bay Transportation Authority Sales Tax Revenue 2.500%   7/1/2046    240       178
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2047    790       861
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2048  2,835     3,024
  Massachusetts Bay Transportation Authority Sales Tax Revenue 4.000%   7/1/2051  1,640     1,517
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2052 17,780    18,840
  Massachusetts Bay Transportation Authority Sales Tax Revenue 4.000%   7/1/2053  6,340     5,828
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2053 12,915    13,593
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2054 10,000    10,580
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.000%   7/1/2055    125       130
  Massachusetts Bay Transportation Authority Sales Tax Revenue 5.250%   7/1/2055 14,540    15,454
  Massachusetts Bay Transportation Authority Sales Tax Revenue VRDO 1.520%   6/3/2026 12,190    12,190
  Massachusetts Clean Water Trust Lease Revenue 3.000%   8/1/2039    240       219
  Massachusetts Clean Water Trust Lease Revenue 5.000%   8/1/2039  4,865     5,128
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2031  3,750     4,146
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2032  2,320     2,605
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2039  3,750     4,255
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2041  4,350     4,926
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2042  1,725     1,920
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2042  3,425     3,849
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2043  3,305     3,657
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2043  5,000     5,584
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2044  3,500     3,840
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2044 10,000    11,067
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2045  3,325     3,619
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2045  5,000     5,485
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2048  2,000     2,142
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2049  2,000     2,135
  Massachusetts Clean Water Trust Water Revenue 5.000%   2/1/2056  5,000     5,263
5 Massachusetts Department of Transportation Highway Revenue 0.000%   1/1/2028  7,110     6,790
  Massachusetts Development Finance Agency Charter School Aid Revenue 5.000%   7/1/2027    815       819
  Massachusetts Development Finance Agency Charter School Aid Revenue 5.000%  4/15/2033  2,620     2,621
  Massachusetts Development Finance Agency Charter School Aid Revenue 5.000%   7/1/2037  4,680     4,700
5

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency Charter School Aid Revenue 5.000%  4/15/2040  1,285     1,283
  Massachusetts Development Finance Agency Charter School Aid Revenue 4.000%  11/1/2046  2,500     2,381
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2027    275       277
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2027  1,510     1,522
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2027    280       282
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2027    775       783
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2027  1,550     1,567
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2027     10        10
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2028    255       261
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2028  4,540     4,643
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2028    685       701
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2028  1,575     1,606
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2028  1,300     1,314
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2028  1,220     1,221
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2029  4,725     4,851
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2029    725       758
6 Massachusetts Development Finance Agency College & University Revenue 6.000%  5/15/2029    890       945
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2029    340       339
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2029  2,120     2,141
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2029  1,640     1,685
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2030    520       551
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2030    355       353
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2030  1,500     1,514
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2030    165       165
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2030  1,080     1,070
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2031    500       504
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2031    200       215
  Massachusetts Development Finance Agency College & University Revenue 5.000%   4/1/2031    180       182
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2031    370       366
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2031  1,185     1,168
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2031    305       307
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2032  1,500     1,535
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2032    315       341
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2032    145       146
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2032  4,000     4,500
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2032    965       965
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2032    125       122
  Massachusetts Development Finance Agency College & University Revenue 5.000% 11/15/2032  6,915     7,851
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2033    305       312
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2033    150       153
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2033  1,265     1,374
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2033  5,000     5,686
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2033  1,225     1,225
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2034    700       705
  Massachusetts Development Finance Agency College & University Revenue 5.000%  2/15/2034    100       115
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2034  5,000     5,741
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2034  1,285     1,285
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2034    385       371
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2034  1,425     1,428
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2035  1,000     1,019
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2035    290       292
  Massachusetts Development Finance Agency College & University Revenue 4.000%   6/1/2035     60        56
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2035  1,065     1,083
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2035    175       175
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2035    540       517
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2035  7,000     8,040
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2035  1,000     1,004
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2035  1,495     1,498
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2036    630       641
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2036    825       839
  Massachusetts Development Finance Agency College & University Revenue 4.000%  2/15/2036  9,375    10,130
  Massachusetts Development Finance Agency College & University Revenue 4.000%  2/15/2036  6,030     6,516
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2036  1,750     1,783
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2036    385       387
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2036  1,160     1,160
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2036    300       286
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2036  4,000     4,561
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2036  5,000     5,829
  Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2036    300       292
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2037    500       508
6

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2037    725       725
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2037    175       178
  Massachusetts Development Finance Agency College & University Revenue 4.000%  10/1/2037  3,095     2,654
  Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2037    545       525
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2038    405       411
  Massachusetts Development Finance Agency College & University Revenue 5.000%   6/1/2038    555       572
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2038    110       112
  Massachusetts Development Finance Agency College & University Revenue 4.000%  10/1/2038  2,695     2,255
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2038  7,500     8,441
  Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2038    765       728
  Massachusetts Development Finance Agency College & University Revenue 5.375%  5/15/2039  1,585     1,742
3 Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2039    305       304
3 Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2039  2,985     2,973
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2039  4,940     4,940
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2039  1,065     1,073
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2039  1,650     1,526
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2039  4,855     5,432
  Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2039    480       453
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2040    170       172
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2040    670       720
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2040  5,500     5,505
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2040    535       624
  Massachusetts Development Finance Agency College & University Revenue 5.000%  7/15/2040 15,000    17,645
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2040  2,660     2,660
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2040  4,190     3,797
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2041    200       213
  Massachusetts Development Finance Agency College & University Revenue 4.000%   6/1/2041  4,640     4,107
  Massachusetts Development Finance Agency College & University Revenue 2.500%   7/1/2041  3,275     2,500
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2041  2,065     2,313
  Massachusetts Development Finance Agency College & University Revenue 5.500%   7/1/2041  4,125     4,428
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2042    250       250
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2042  3,330     3,342
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2042    245       259
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2042  2,110     2,110
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2042    250       253
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2042 14,410    16,027
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2043    280       294
  Massachusetts Development Finance Agency College & University Revenue 5.000%   6/1/2043  6,185     6,339
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2043  2,500     2,457
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2044    200       209
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2044  4,955     4,845
  Massachusetts Development Finance Agency College & University Revenue 5.125%   7/1/2044 14,015    14,015
  Massachusetts Development Finance Agency College & University Revenue 4.000%   9/1/2044  1,225     1,156
  Massachusetts Development Finance Agency College & University Revenue 5.250%   1/1/2045    200       207
  Massachusetts Development Finance Agency College & University Revenue 6.000%   1/1/2045  1,285     1,371
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2045  4,955     4,332
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2045  2,000     1,965
  Massachusetts Development Finance Agency College & University Revenue 5.500%   7/1/2045    250       263
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2045  4,950     4,775
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2045     65        56
2 Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2045  4,000     4,319
  Massachusetts Development Finance Agency College & University Revenue 4.000%  10/1/2046  5,245     4,382
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2046  1,500     1,503
2 Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2046  4,000     4,361
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2047  1,430     1,364
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2047  3,860     3,745
2 Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2047  4,000     4,323
  Massachusetts Development Finance Agency College & University Revenue 5.000%   9/1/2048  9,855     9,221
  Massachusetts Development Finance Agency College & University Revenue 4.000%  10/1/2048 13,490    12,504
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2048  8,820     9,220
  Massachusetts Development Finance Agency College & University Revenue 5.000%  10/1/2048 22,755    23,943
2 Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2048  4,000     4,293
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2049  2,000     1,864
2 Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2049  4,000     4,279
  Massachusetts Development Finance Agency College & University Revenue 4.000%   6/1/2050 13,745    10,789
  Massachusetts Development Finance Agency College & University Revenue 4.000%   7/1/2050  4,000     3,278
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2050  5,000     5,546
  Massachusetts Development Finance Agency College & University Revenue 4.000%  10/1/2050    120        82
2 Massachusetts Development Finance Agency College & University Revenue 5.250%  10/1/2050  4,000     4,265
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2053  3,975     3,657
7

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency College & University Revenue 5.000%   1/1/2053  6,035     5,631
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2053  2,955     3,083
  Massachusetts Development Finance Agency College & University Revenue 6.000%   1/1/2055 13,715    14,269
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2055 24,620    26,287
  Massachusetts Development Finance Agency College & University Revenue 5.000%   7/1/2055  1,585     1,651
  Massachusetts Development Finance Agency College & University Revenue 5.250%   7/1/2055 10,000     9,963
  Massachusetts Development Finance Agency College & University Revenue 4.000%   6/1/2056  1,950     1,454
  Massachusetts Development Finance Agency College & University Revenue 5.450%  5/15/2059 11,130    11,860
3 Massachusetts Development Finance Agency College & University Revenue 6.000%  5/15/2059  6,075     6,608
  Massachusetts Development Finance Agency College & University Revenue (Suffolk University Project) 4.000%   7/1/2051  1,500     1,263
3 Massachusetts Development Finance Agency College & University Revenue (Suffolk University Project) 4.000%   7/1/2051 10,170     9,053
  Massachusetts Development Finance Agency College & University Revenue PUT 3.300%   7/1/2028  5,320     5,365
  Massachusetts Development Finance Agency College & University Revenue PUT 5.000%  5/13/2032 46,345    51,586
  Massachusetts Development Finance Agency College & University Revenue PUT 5.000%  10/1/2033  3,440     3,875
  Massachusetts Development Finance Agency College & University Revenue PUT 5.000%  11/1/2035 20,795    24,106
7 Massachusetts Development Finance Agency College & University Revenue PUT 5.000% 11/15/2035 30,145    34,853
4 Massachusetts Development Finance Agency College & University Revenue TOB VRDO 3.000%   6/1/2026 19,050    19,050
8 Massachusetts Development Finance Agency College & University Revenue VRDO 2.600%   6/1/2026 15,655    15,655
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2026    500       501
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2026  1,150     1,152
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2026  1,585     1,587
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2026  1,200     1,209
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2026    485       489
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   1/1/2027    600       602
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2027  3,385     3,390
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2027  2,390     2,392
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2027  3,960     3,964
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2027  1,780     1,815
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2027  1,140     1,168
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2027  1,400     1,438
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2027    505       517
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   1/1/2028  1,065     1,076
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2028    600       601
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2028  1,370     1,371
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2028  3,000     3,055
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2028  2,000     2,002
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2028    220       230
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2028  1,245     1,300
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2028    775       811
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 11/15/2028  1,740     1,794
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2028    535       551
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   1/1/2029  1,000     1,017
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029    110       115
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029  1,565     1,567
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029    255       255
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029  3,100     3,104
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029  1,055     1,074
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029     50        53
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2029  3,805     4,057
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2029  1,115     1,185
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2029    105       112
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.750%  12/1/2029    900       900
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2029    560       577
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  2,665     2,701
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  5,395     5,582
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  3,450     3,454
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  2,470     2,513
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  1,350     1,432
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030    150       160
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030    705       705
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  1,100     1,164
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2030  4,000     4,342
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2030    665       717
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2030  1,000     1,079
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2030    290       299
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   1/1/2031  2,870     2,905
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  1,000     1,009
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  2,400     2,403
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  2,120     2,122
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031    770       798
8

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  2,495     2,641
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  1,150     1,228
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  2,030     2,236
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2031  2,500     2,502
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2031    695       759
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 12/15/2031  2,510     2,753
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032  1,010     1,067
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032  1,200     1,210
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032  2,505     2,591
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032 12,770    14,119
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032    890       891
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032  1,210     1,300
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2032  2,345     2,616
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2032    705       778
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 12/15/2032  2,635     2,920
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033  1,690     1,781
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033  1,880     1,937
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033    730       784
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033  1,065     1,175
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033  1,270     1,373
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2033  1,230     1,385
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2033    580       645
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 12/15/2033  2,770     3,095
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034  1,260     1,325
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034    300       321
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034    685       696
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034  9,270    10,361
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034  1,000     1,108
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2034  1,600     1,818
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2034    605       677
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 12/15/2034  2,910     3,273
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2035 10,950    11,019
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035  5,375     5,518
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035    645       645
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035    505       538
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035 12,735    14,076
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035  2,000     2,223
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035  1,150     1,249
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035  1,640     1,876
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2035  1,630     1,867
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2035    635       715
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2036  1,500     1,508
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  4,415     4,520
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  1,000     1,047
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  1,810     1,812
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036    415       441
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  1,640     1,814
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  3,335     3,750
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2036  1,835     2,106
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2036    580       648
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2036  5,000     5,649
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2037     10         9
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2037    455       475
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2037  6,190     6,561
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2037  1,000     1,025
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2037    350       370
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2037  2,000     2,192
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   9/1/2037    610       678
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 3.000%  10/1/2037  1,980     1,796
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2037  5,000     5,617
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2038  1,000     1,006
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2038    100       105
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2038  1,650     1,796
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2038  2,685     2,986
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2038  1,000     1,128
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 3.000%  10/1/2038  1,995     1,792
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000% 11/15/2038  4,040     4,145
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2038  1,515     1,669
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2039    275       286
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2039  1,350     1,459
9

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2039    935     1,048
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 3.000%  10/1/2039  2,045     1,814
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2040  2,000     2,140
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2040  3,850     4,245
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2040    930     1,036
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2040  1,000     1,094
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2040  1,780     1,982
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2040  1,545     1,670
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   1/1/2041    445       433
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   1/1/2041    485       472
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.750%   2/1/2041  1,220     1,185
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2041 18,055    18,054
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2041  4,910     4,915
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2041    890       986
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2041  1,000     1,089
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2041  1,080     1,195
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2041  1,000     1,078
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2042  2,000     1,766
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2042  4,080     4,417
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2042  1,000     1,081
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2042  2,715     2,985
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2042  1,325     1,345
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2042  1,000     1,070
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2043  5,055     5,119
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2043  5,350     5,418
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2043  2,090     2,251
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2043  3,255     3,558
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2043  1,000     1,075
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2043  2,695     2,940
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2043  4,000     4,319
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2044 21,305    18,538
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2044  1,250     1,250
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2044    150       147
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2044  3,355     3,357
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2044  3,965     4,295
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   7/1/2044  6,500     7,119
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2044  1,000     1,073
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2044  2,880     3,112
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2044  1,390     1,464
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2044  3,110     3,325
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2045  4,555     4,891
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%  8/15/2045  1,500     1,596
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 3.000%  10/1/2045 14,720    11,227
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  10/1/2045  1,900     2,033
2 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2045  1,170     1,221
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2045  3,300     3,498
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2046  2,720     2,373
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2046  5,530     5,883
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.125% 11/15/2046 15,865    16,062
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2046  2,775     2,913
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   7/1/2047    875       759
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2047  7,150     6,032
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2047  4,290     4,522
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  12/1/2047  4,000     4,161
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2048  5,345     5,600
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   7/1/2048  5,245     5,271
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2049  5,000     5,219
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 6.000%  10/1/2049  7,435     8,072
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2050  1,550     1,620
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   7/1/2050  1,000     1,027
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%   7/1/2050 10,000    10,854
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 6.000%   9/1/2050    960     1,049
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   1/1/2051  1,450     1,262
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  12/1/2051 16,940    18,184
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.375%   7/1/2052    300       263
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   7/1/2052 19,230    19,288
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.000%   3/1/2054  8,445     7,791
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.250%   3/1/2054  8,375     8,788
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 4.500%   7/1/2054  9,535     8,941
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%   7/1/2054  1,725     1,778
10

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%   7/1/2055 30,925    32,816
3 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%   7/1/2055 14,775    15,814
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 6.000%   9/1/2055  3,000     3,258
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.500%  12/1/2056 39,000    41,470
4 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue 5.000%  10/1/2057  8,530     8,210
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue PUT 5.000%  1/31/2030  3,070     3,279
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue PUT 5.000%  8/15/2031 13,060    13,987
4,8 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue TOB VRDO 2.850%   6/1/2026    450       450
8 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 2.700%   6/1/2026  7,445     7,445
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 2.800%   6/1/2026 14,790    14,790
8 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 2.800%   6/1/2026 15,670    15,670
8 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 2.800%   6/1/2026 14,690    14,690
  Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 1.150%   6/4/2026  1,150     1,150
8 Massachusetts Development Finance Agency Health, Hospital, Nursing Home Revenue VRDO 1.200%   6/4/2026  5,400     5,400
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2032    500       492
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2033    320       312
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2034    345       333
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2034    315       304
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2037    825       769
  Massachusetts Development Finance Agency Intergovernmental Agreement Revenue 3.000%   5/1/2039    840       764
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue 2.300%   1/1/2042  1,461     1,084
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue 4.000%   7/1/2042    950       848
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue 4.000%   7/1/2050  4,770     3,877
4 Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue 5.000%   7/1/2060  3,300     3,145
4 Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue 6.500%  7/15/2060 11,500    11,725
4 Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Merrimack College Student Housing Project) 4.250%   7/1/2034  1,450     1,473
4 Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Merrimack College Student Housing Project) 5.000%   7/1/2044  5,265     5,346
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2032    500       550
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2033    500       555
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2034    500       558
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2035    500       561
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2036    500       558
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2037  1,000     1,108
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.000%   6/1/2038    500       551
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.500%   6/1/2050  1,570     1,657
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.250%   6/1/2055  3,375     3,474
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.250%   6/1/2060 11,545    11,873
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Tufts University Student Housing Project) 5.250%   6/1/2065  7,150     7,327
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Boston Student Housing Program) 5.000%  10/1/2031    100       100
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Boston Student Housing Program) 5.000%  10/1/2033  1,235     1,238
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Boston Student Housing Program) 5.000%  10/1/2041  3,000     3,002
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Boston Student Housing Program) 5.000%  10/1/2048  2,000     1,823
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Boston Student Housing Program) 5.000%  10/1/2054  8,750     7,742
  Massachusetts Development Finance Agency Local or Guaranteed Housing Revenue (Umass Dartmouth Student Housing Project) 5.000%  10/1/2027    680       682
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2026    185       186
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2027    200       204
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2028    220       229
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2029    245       258
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2030    435       465
  Massachusetts Development Finance Agency Miscellaneous Revenue 5.000%   9/1/2031    735       793
3 Massachusetts Development Finance Agency Miscellaneous Revenue 0.000%   1/1/2032  1,630     1,361
3 Massachusetts Development Finance Agency Miscellaneous Revenue 0.000%   1/1/2033  3,090     2,479
  Massachusetts Development Finance Agency Miscellaneous Revenue 4.000%   9/1/2034  2,215     2,245
11

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Massachusetts Development Finance Agency Miscellaneous Revenue 0.000%   1/1/2038  4,080     2,598
  Massachusetts Development Finance Agency Miscellaneous Revenue 4.000%   9/1/2039    445       440
  Massachusetts Development Finance Agency Miscellaneous Revenue 3.000%   1/1/2042    210       184
6 Massachusetts Development Finance Agency Miscellaneous Revenue 5.750%   1/1/2042  7,600     8,905
  Massachusetts Development Finance Agency Miscellaneous Revenue 4.000%   9/1/2048  2,160     1,906
  Massachusetts Development Finance Agency Miscellaneous Revenue 3.000%   9/1/2051  2,040     1,494
  Massachusetts Development Finance Agency Private Schools Revenue 5.000%   5/1/2029  1,000     1,001
  Massachusetts Development Finance Agency Private Schools Revenue 5.000%   5/1/2031    500       500
  Massachusetts Development Finance Agency Private Schools Revenue 5.000%   5/1/2032  1,695     1,696
  Massachusetts Development Finance Agency Private Schools Revenue 4.250%   7/1/2054  3,950     3,626
  Massachusetts Health & Educational Facilities Authority College & University Revenue 5.500%   6/1/2035  2,955     3,424
  Massachusetts Health & Educational Facilities Authority College & University Revenue VRDO 2.550%   6/1/2026  3,940     3,940
  Massachusetts Health & Educational Facilities Authority College & University Revenue VRDO 2.570%   6/1/2026  2,300     2,300
  Massachusetts Health & Educational Facilities Authority College & University Revenue VRDO 0.750%   6/4/2026  1,000     1,000
8 Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO 2.800%   6/1/2026  9,005     9,005
8 Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO 2.800%   6/1/2026 15,360    15,360
  Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO 1.250%   6/3/2026  2,700     2,700
  Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO 1.270%   6/3/2026  1,000     1,000
8 Massachusetts Health & Educational Facilities Authority Health, Hospital, Nursing Home Revenue VRDO 1.180%   6/4/2026  6,850     6,850
  Massachusetts Health & Educational Facilities Authority Recreational Revenue VRDO 2.900%   6/1/2026 25,400    25,400
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.450%  12/1/2028  2,915     2,934
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.500%   6/1/2029  4,690     4,734
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.750%   6/1/2029 21,525    21,853
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.550%  12/1/2029  5,325     5,429
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.150%   6/1/2030  6,265     6,274
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.250%  12/1/2032    940       847
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.800%  12/1/2033    250       252
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.950%   6/1/2034    550       559
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.950%  12/1/2034    545       552
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.000%   6/1/2035    560       570
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.800%   6/1/2035    600       627
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.000%  12/1/2035  1,175       974
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.100%  12/1/2035    690       595
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.050%  12/1/2035    580       590
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.800%  12/1/2035    620       649
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.000%  12/1/2036    125       102
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.000%  12/1/2036  1,500     1,205
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.150%  12/1/2036    355       299
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.150%  12/1/2037    600       608
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.600%  12/1/2037    625       652
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.900%  12/1/2037  3,340     3,502
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.950%  12/1/2038  2,600     2,713
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.350%   6/1/2039  3,615     3,040
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.200%  12/1/2040    395       311
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.300%  12/1/2040    500       398
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.300%  12/1/2041  6,000     4,686
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.875%  12/1/2042  2,300     2,388
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.150%  12/1/2042  4,000     4,222
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.700%  12/1/2043  1,500     1,531
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.100%  12/1/2044  1,000       839
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.350%  12/1/2044    750       751
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.500%  12/1/2044  1,315     1,311
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.600%  12/1/2045  2,600     2,615
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.800%  12/1/2046  2,050     1,557
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.000%  12/1/2048    495       496
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.900%  12/1/2048  1,500     1,524
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.200%  12/1/2049  2,190     1,705
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.400%  12/1/2049  1,000       821
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.000%   6/1/2050  1,805     1,868
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.550%  12/1/2050    750       513
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.600%  12/1/2050  1,750     1,202
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.000%  12/1/2050  1,615     1,596
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.000%  12/1/2050  3,585     3,539
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.000%  12/1/2050  2,500     1,812
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.000%  12/1/2050  1,505     1,518
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.000%  12/1/2050  1,000     1,025
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.000%   6/1/2051  8,520     8,376
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.875%  12/1/2051  1,000       714
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.200%  12/1/2052  1,540     1,406
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.500%  12/1/2052 10,795    11,408
12

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.950%  12/1/2053  5,120     5,136
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.250%  12/1/2054  7,790     5,873
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.500%  12/1/2054  5,000     3,993
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 6.250%  12/1/2055  2,000     2,225
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 6.250%  12/1/2056  4,540     5,097
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.000%  12/1/2057  1,840     1,861
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.300%  12/1/2059 10,000     7,343
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 3.300%  12/1/2059  8,340     6,124
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.950%  12/1/2060  3,000     3,027
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 2.800%   6/1/2063  2,350     1,504
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 4.400%  12/1/2064  1,575     1,474
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.100%   6/1/2065  2,590     2,625
9 Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.250%   6/1/2066  3,355     3,421
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.000%  12/1/2067  2,400     2,418
  Massachusetts Housing Finance Agency Local or Guaranteed Housing Revenue 5.000%  12/1/2068  3,000     3,028
  Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue 5.000%   7/1/2044    510       543
  Massachusetts Municipal Wholesale Electric Co. Electric Power & Light Revenue (Project 2015A) 4.000%   7/1/2051    680       617
  Massachusetts Port Authority Port, Airport & Marina Revenue 5.000%   7/1/2044  6,000     6,229
  Massachusetts School Building Authority Sales Tax Revenue 5.000%  2/15/2037  1,000     1,167
  Massachusetts School Building Authority Sales Tax Revenue 3.000%  8/15/2038  2,000     1,852
  Massachusetts School Building Authority Sales Tax Revenue 5.000%  8/15/2039  6,595     7,046
  Massachusetts School Building Authority Sales Tax Revenue 5.000%  2/15/2044 10,515    10,891
  Massachusetts School Building Authority Sales Tax Revenue 5.250%  2/15/2050 32,960    35,147
  Massachusetts School Building Authority Sales Tax Revenue 3.000%  8/15/2050  3,825     2,863
  Massachusetts School Building Authority Sales Tax Revenue 5.000%  8/15/2050  7,160     7,329
  Massachusetts School Building Authority Sales Tax Revenue 5.000%  2/15/2055  3,360     3,489
  Massachusetts School Building Authority Sales Tax Revenue 5.500%  2/15/2055 16,840    18,151
  Massachusetts School Building Authority Sales Tax Revenue, Prere. 5.000% 11/16/2026    900       909
3 Massachusetts State College Building Authority College & University Revenue 5.500%   5/1/2033  1,695     1,900
  Massachusetts State College Building Authority College & University Revenue 4.000%   5/1/2034    675       683
3 Massachusetts State College Building Authority College & University Revenue 5.500%   5/1/2039  4,725     5,711
  Massachusetts State College Building Authority College & University Revenue 2.000%   5/1/2041  1,280       944
  Massachusetts State College Building Authority College & University Revenue 2.000%   5/1/2043  1,335       933
  Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue 5.000%   1/1/2032  1,580     1,672
  Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue 5.000%   1/1/2034  3,280     3,451
8 Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue VRDO 1.520%   6/3/2026    160       160
8 Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue VRDO 1.570%   6/3/2026  3,115     3,115
  Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue VRDO 1.500%   6/4/2026  6,300     6,300
  Massachusetts Transportation Trust Fund Metropolitan Highway System Highway Revenue VRDO 1.500%   6/4/2026  2,000     2,000
  Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2032 13,920    14,287
  Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2037  2,000     2,148
2 Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2039  4,000     4,585
  Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2044  2,220     2,332
  Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2044  5,000     5,196
  Massachusetts Water Resources Authority Water Revenue 5.000%   8/1/2045  2,170     2,270
2 Massachusetts Water Resources Authority Water Revenue 5.250%   8/1/2056  8,000     8,540
  Massachusetts Water Resources Authority Water Revenue VRDO 1.570%   6/3/2026    655       655
8 Massachusetts Water Resources Authority Water Revenue VRDO 1.570%   6/3/2026  2,000     2,000
  Massachusetts Water Resources Authority Water Revenue VRDO 1.390%   6/4/2026 10,715    10,715
  Massachusetts Water Resources Authority Water Revenue, Prere. 5.000%   8/1/2026  3,455     3,468
  Medford MA GO 2.000%  8/15/2041    250       181
  Middleborough MA GO 2.000%  10/1/2039  1,450     1,131
  Middleborough MA GO 2.000%  10/1/2040  1,450     1,106
  Middleborough MA GO 2.000%  10/1/2041  1,450     1,083
  Middleborough MA GO 2.250%  10/1/2045  5,800     4,102
  Middleborough MA GO 2.350%  10/1/2049  5,050     3,288
  Middleton MA GO 2.000% 12/15/2034  3,015     2,653
  Middleton MA GO 2.000% 12/15/2035  3,015     2,595
  Middleton MA GO 2.000% 12/15/2036    185       156
  Middleton MA GO 2.000% 12/15/2038  1,520     1,220
  Middleton MA GO 2.125% 12/15/2042  2,635     1,975
  Milford MA GO 2.000%  12/1/2034  2,650     2,324
  Milford MA GO 2.000%  12/1/2035  2,750     2,358
  Milford MA GO 2.000%  12/1/2036  1,400     1,172
  Milford MA GO 2.000%  12/1/2039  3,000     2,347
  Milford MA GO 2.000%  12/1/2040  3,000     2,295
  Milford MA GO 2.250%  12/1/2044  6,600     4,796
  Milford MA GO 2.125%  12/1/2048  6,200     3,927
  Milford MA GO 2.500%  12/1/2051  5,335     3,496
  Minuteman Regional Vocational Technical School District GO 2.500%  1/15/2043     20        15
13

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Montague MA GO 2.375%   2/1/2038    140       118
  Nashoba MA Regional School District GO 4.000%  6/15/2039  2,380     2,463
  Nashoba MA Regional School District GO 4.000%  6/15/2041  2,575     2,614
  Nashoba MA Regional School District GO 4.000%  6/15/2042  2,675     2,694
  Nashoba MA Regional School District GO 4.000%  6/15/2043  2,780     2,796
  Nashoba MA Regional School District GO 4.000%  6/15/2046  2,580     2,490
  Nashoba MA Regional School District GO 4.000%  6/15/2047  2,500     2,360
  Nashoba MA Regional School District GO 4.125%  6/15/2050  7,740     7,346
  Nashoba MA Regional School District GO 5.000%  11/1/2053  4,010     4,096
  Nashoba MA Regional School District GO 4.125%  6/15/2054  4,755     4,460
  Natick MA GO 2.125%   8/1/2038    100        81
  Nauset Regional MA School District GO 4.000%  5/15/2048  2,500     2,383
  Needham MA GO 2.000%  7/15/2036    200       166
  Needham MA GO 2.000%  7/15/2038    210       166
  Needham MA GO 2.000%  7/15/2040  1,650     1,280
  New Bedford MA GO 2.000%   9/1/2035    475       404
  New Bedford MA GO 3.000%   3/1/2037    235       218
  New Bedford MA GO 2.250%   9/1/2043    825       605
  New Bedford MA GO 3.250%   3/1/2044    885       777
  New Bedford MA GO 4.000%   4/1/2048  4,820     4,545
  New Bedford MA GO 4.000%   4/1/2051  4,535     4,230
  New Bedford MA GO 4.000%   9/1/2052    435       404
  New Bedford MA GO 4.000%   4/1/2053  3,945     3,653
  New Bedford MA GO 4.000%   4/1/2053    120       111
  Northbridge MA GO 3.000%   6/1/2038  1,000       924
  Northbridge MA GO 3.000%   6/1/2039  1,000       911
  Northeast Metropolitan Regional Vocational School District GO 4.000%  5/15/2051    200       186
  Northeast Metropolitan Regional Vocational School District GO 3.000%  4/15/2052  1,500     1,116
  Northeast Metropolitan Regional Vocational School District GO 4.000%  5/15/2054  3,000     2,749
  Northern Berkshire Vocational Regional School District BAN GO 4.000%  3/25/2027  4,250     4,283
  Norwood MA GO 3.000%  3/15/2042    595       515
  Norwood MA GO 4.000%  9/15/2047  7,000     6,678
  Orange MA GO 3.000%   6/1/2036    400       375
  Orange MA GO 3.000%   6/1/2051  2,795     2,061
  Peabody MA BAN GO 4.000%  7/10/2026  1,100     1,101
  Peabody MA GO 3.500%   7/1/2037    115       113
  Peabody MA GO 4.000%   7/1/2053    300       276
  Pioneer Valley Transit Authority Transit Revenue RAN 4.000%  7/10/2026  1,000     1,001
  Plymouth MA GO 2.000%   5/1/2034  1,000       888
  Quincy MA BAN GO 5.000%  7/24/2026  7,440     7,462
  Quincy MA BAN GO 5.000%  9/29/2026 35,995    36,255
  Quincy MA GO 5.000%  7/15/2031    245       273
  Quincy MA GO 5.000%  7/15/2032    300       339
  Quincy MA GO 5.000%  7/15/2033    400       457
  Quincy MA GO 3.000%   7/1/2034    200       194
  Quincy MA GO 5.000%  7/15/2034    260       301
  Quincy MA GO 5.000%  7/15/2035    400       466
  Quincy MA GO 5.000%  7/15/2036    700       810
  Quincy MA GO 2.000%   7/1/2037    170       138
  Quincy MA GO 5.000%  7/15/2037    700       805
  Quincy MA GO 5.000%  7/15/2038  1,000     1,144
  Quincy MA GO 2.000%  1/15/2046  3,000     1,945
  Quincy MA GO 2.000%   6/1/2046  5,155     3,353
  Quincy MA GO 5.000%   6/1/2047  5,490     6,162
  Revere MA GO 2.125%   9/1/2041  1,860     1,401
  Revere MA GO 2.250%   9/1/2043  2,000     1,479
  Rockland MA GO 2.200%   8/1/2050  1,840     1,131
  Rowley MA GO 3.500%  7/15/2043  1,625     1,506
  Salem MA GO 3.000%  9/15/2036    605       567
  Salisbury MA GO 2.000%   8/1/2028    400       388
  Saugus MA GO 3.000%  9/15/2036  1,500     1,418
  Somerset MA GO 4.000%   4/1/2048  2,860     2,699
  Somerville MA GO 2.125% 10/15/2039  2,670     2,150
  Somerville MA GO 2.000%   6/1/2040  1,755     1,364
  Somerville MA GO 2.125% 10/15/2040  4,875     3,845
  Somerville MA GO 2.125% 10/15/2041  4,980     3,853
  South Shore MA Regional School District BAN GO 4.250%  6/22/2026  8,010     8,015
  Southbridge MA GO 2.000%  5/15/2032    335       305
  Springfield MA GO 2.000%   9/1/2034  1,290     1,130
3 Springfield MA GO 3.500%   3/1/2047    210       179
14

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Springfield MA Water & Sewer Commission Water Revenue 5.000%  4/15/2033  1,010     1,030
  Stoneham MA GO 2.000%  1/15/2034  4,000     3,586
  Stoneham MA GO 2.000%  1/15/2035  4,080     3,590
  Stoneham MA GO 2.000%  1/15/2036  4,000     3,446
  Stoneham MA GO 2.125%  1/15/2037  4,245     3,625
  Stoneham MA GO 2.500%  1/15/2052  1,960     1,306
  Stoughton MA GO 3.000% 10/15/2037  3,635     3,390
  Swampscott MA GO 3.000%   3/1/2052  2,500     1,874
  Taunton MA GO 4.000%   3/1/2049  2,610     2,471
  Taunton MA GO 4.000%   3/1/2054  1,810     1,670
  Tri-County MA Regional Vocational Technical School District GO 4.000%   6/1/2040  3,740     3,811
  Tri-County MA Regional Vocational Technical School District GO 4.000%   6/1/2041  4,860     4,916
  Tri-County MA Regional Vocational Technical School District GO 4.000%   6/1/2045  4,300     4,187
  Tri-County MA Regional Vocational Technical School District GO 4.000%   6/1/2047  1,915     1,812
  Tri-County MA Regional Vocational Technical School District GO 4.000%   6/1/2050  2,000     1,861
  Tyngsborough MA GO 3.000% 10/15/2041  1,710     1,544
  Tyngsborough MA GO 3.000% 10/15/2043  1,815     1,585
  Tyngsborough MA GO 4.000% 10/15/2051  4,410     4,116
  Tyngsborough MA GO 4.000% 10/15/2054  6,310     5,818
  University of Massachusetts Building Authority College & University Revenue 5.000%  11/1/2033    500       535
  University of Massachusetts Building Authority College & University Revenue 5.000%   5/1/2034  1,540     1,630
  University of Massachusetts Building Authority College & University Revenue 5.000%   5/1/2039  1,000     1,047
  University of Massachusetts Building Authority College & University Revenue 5.250%  11/1/2042    540       553
  University of Massachusetts Building Authority College & University Revenue 4.000%  11/1/2046    435       421
  University of Massachusetts Building Authority College & University Revenue 5.000%  11/1/2052 11,880    12,152
  Upton MA GO 2.250%  8/15/2046    150       103
  Wakefield MA GO 4.000%  9/15/2054 13,240    12,208
  Walpole MA GO 3.000% 10/15/2038  1,800     1,666
  Waltham MA GO 2.000%  7/15/2036    250       212
  Waltham MA GO 2.125% 10/15/2038    745       615
  Waltham MA GO 3.000%   2/1/2041    130       115
  Waltham MA GO 3.000%  8/15/2042  1,410     1,252
  Waltham MA GO 3.000%  8/15/2043  1,460     1,276
  Waltham MA GO 3.000%  8/15/2044  1,500     1,283
  Waltham MA GO 3.000%  8/15/2045  1,530     1,280
  Watertown MA GO 3.375%  4/15/2042    100        93
  Watertown MA GO 4.000%  6/15/2054    730       691
  West Springfield MA GO 2.000%  5/15/2037    840       684
  West Springfield MA GO 2.000%  5/15/2038    840       669
  West Springfield MA GO 2.000%  5/15/2039    835       649
  West Springfield MA GO 2.000%  5/15/2040    835       630
  West Springfield MA GO 2.000%  5/15/2041    835       617
  West Springfield MA GO 2.125%  5/15/2042    705       515
  West Springfield MA GO 2.125%  5/15/2043    705       504
  West Springfield MA GO 2.250%  5/15/2046  2,115     1,458
  Weymouth MA GO 2.000%  8/15/2036    250       211
  Weymouth MA GO 3.000%  9/15/2037    140       130
  Weymouth MA GO 2.000%  9/15/2040    505       382
  Weymouth MA GO 2.000%  8/15/2041  2,370     1,777
  Weymouth MA GO 2.000%  9/15/2045  2,355     1,582
  Weymouth MA GO 2.250%  9/15/2050  5,000     3,117
  Worcester MA GO 2.000%  2/15/2032  2,025     1,874
  Worcester MA GO 3.000%   2/1/2033  2,155     2,129
  Worcester MA GO 2.000%  2/15/2033  1,620     1,464
  Worcester MA GO 2.000%  2/15/2034  1,715     1,518
3 Worcester MA GO 4.000%   2/1/2035  4,325     4,492
  Worcester MA GO 5.000%  2/15/2038  1,340     1,505
  Worcester MA GO 5.000%  2/15/2039  1,640     1,832
  Worcester MA GO 2.250%   2/1/2040    100        80
3 Worcester MA GO 2.000%  2/15/2043    300       215
3 Worcester MA GO 2.500%   2/1/2044  4,350     3,363
3 Worcester MA GO 2.000%  2/15/2044  1,940     1,345
  Worcester MA GO 2.000%   2/1/2048  3,140     1,982
  Worcester MA GO 2.000%   2/1/2049  3,200     1,979
  Worcester MA GO 2.125%   2/1/2050  3,325     2,075
                              3,676,847
American Samoa (0.0%)
4 American Samoa Economic Development Authority Income Tax Revenue 5.000%   9/1/2028    235       241
4 American Samoa Economic Development Authority Income Tax Revenue 5.000%   9/1/2029    225       232
15

 

Massachusetts Tax-Exempt Fund
    Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
4 American Samoa Economic Development Authority Income Tax Revenue 5.000%   9/1/2031    270       283
4 American Samoa Economic Development Authority Income Tax Revenue 5.250%   9/1/2045    100       101
                                    857
Guam (0.0%)
  Guam Power Authority Electric Power & Light Revenue 5.000%  10/1/2044     60        62
Puerto Rico (1.3%)
  Commonwealth of Puerto Rico GO 5.625%   7/1/2027  1,000     1,016
  Commonwealth of Puerto Rico GO 5.625%   7/1/2029  2,665     2,801
  Commonwealth of Puerto Rico GO 0.000%   7/1/2033  5,862     4,272
  Commonwealth of Puerto Rico GO 4.000%   7/1/2033  4,106     4,112
  Commonwealth of Puerto Rico GO 4.000%   7/1/2035  1,448     1,443
  Commonwealth of Puerto Rico GO 4.000%   7/1/2037  1,204     1,189
  Commonwealth of Puerto Rico GO 4.000%   7/1/2041 10,351     9,850
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 5.000%   7/1/2033    500       525
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 5.000%   7/1/2033  3,450     3,638
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 5.000%   7/1/2037    250       260
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 5.000%   7/1/2037    250       260
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 4.000%   7/1/2042  9,025     8,654
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 4.000%   7/1/2042  4,125     3,956
4 Puerto Rico Commonwealth Aqueduct & Sewer Authority Water Revenue 4.000%   7/1/2042  2,365     2,268
  Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue 0.000%   7/1/2029    402       364
  Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue 0.000%   7/1/2031  2,065     1,735
  Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue 0.000%   7/1/2033    885       688
                                 47,031
Virgin Islands (0.1%)
  Virgin Islands Transportation & Infrastructure Corp. Government Fund/Grant Revenue 5.000%   9/1/2033  1,000     1,101
  Virgin Islands Transportation & Infrastructure Corp. Government Fund/Grant Revenue 5.000%   9/1/2034  2,000     2,216
  Virgin Islands Transportation & Infrastructure Corp. Government Fund/Grant Revenue 5.000%   9/1/2037  1,100     1,219
                                  4,536
Total Tax-Exempt Municipal Bonds (Cost $3,750,770) 3,729,333
Taxable Municipal Bonds (0.1%)
Puerto Rico (0.1%)
  Commonwealth of Puerto Rico CVI 0.000%  11/1/2043  4,477     3,089
  Commonwealth of Puerto Rico CVI 0.000%  11/1/2051  1,736     1,220
Total Taxable Municipal Bonds (Cost $3,817) 4,309
Total Investments (101.2%) (Cost $3,754,587) 3,733,642
Other Assets and Liabilities—Net (-1.2%) (43,030)
Net Assets (100%) 3,690,612
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co.
2 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2026.
3 Scheduled principal and interest payments are guaranteed by Assured Guaranty Inc.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2026, the aggregate value was $111,081, representing 3.0% of net assets.
5 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
6 Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp.
7 Securities with a value of $1,038 have been segregated as initial margin for open futures contracts.
8 Scheduled principal and interest payments are guaranteed by bank letter of credit.
9 Scheduled principal and interest payments are guaranteed by Federal Housing Authority.
  BAN—Bond Anticipation Note.
  CVI—Contingent Value Instruments.
  GO—General Obligation Bond.
  Prere.—Prerefunded.
  PUT—Put Option Obligation.
  RAN—Revenue Anticipation Note.
  TOB—Tender Option Bond.
  VRDO—Variable Rate Demand Obligation.
16

 

Massachusetts Tax-Exempt Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2026 106 21,896 45
5-Year U.S. Treasury Note September 2026 178 19,084 95
10-Year U.S. Treasury Note September 2026 68 7,468 26
Ultra 10-Year U.S. Treasury Note September 2026 78 8,742 36
        202
 
Short Futures Contracts        
Long U.S. Treasury Bond September 2026 (161) (18,067) (110)
Ultra Long U.S. Treasury Bond September 2026 (97) (11,097) (70)
        (180)
        22
    
                 
Over-the-Counter Swaps - Municipal Market Data Rate Locks    
Termination
Date 		Counterparty Notional
Amount
($000) 		Buy/Sell Reference
Index 		Strike
Rate 		Value
($000) 		Unrealized
Appreciation
($000) 		Unrealized
(Depreciation)
($000)
6/4/2026 MSBNA 5,500 Buy 10-Year MMD AAA General Obligation Scale 3.690% 367 367 —
6/9/2026 MSBNA 5,500 Buy 10-Year MMD AAA General Obligation Scale 3.710% 376 376 —
9/10/2026 JPMC 3,500 Buy 10-Year MMD AAA General Obligation Scale 3.190% 24 24 —
            767 767 —
  JPMC—JPMorgan Chase Bank, N.A.
  MSBNA—Morgan Stanley Bank, N.A.
At May 31, 2026, the counterparties had deposited in segregated accounts cash of $710 in connection with open over-the-counter municipal market rate lock contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17

 

Massachusetts Tax-Exempt Fund
Statement of Assets and Liabilities
As of May 31, 2026
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Unaffiliated Issuers (Cost $3,754,587) 3,733,642
Investment in Vanguard 81
Cash 92
Receivables for Investment Securities Sold 23,777
Receivables for Accrued Income 51,614
Receivables for Capital Shares Issued 3,754
Variation Margin Receivable—Futures Contracts 47
Unrealized Appreciation—Over-the-Counter Swap Contracts 767
Other Assets 24
Total Assets 3,813,798
Liabilities  
Payables for Investment Securities Purchased 112,265
Payables for Capital Shares Redeemed 8,394
Payables for Distributions 2,383
Payables to Vanguard 144
Total Liabilities 123,186
Net Assets 3,690,612
At May 31, 2026, net assets consisted of:  
   
Paid-in Capital 3,820,468
Total Distributable Earnings (Loss) (129,856)
Net Assets 3,690,612
 
Net Assets  
Applicable to 363,552,082 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,690,612
Net Asset Value Per Share $10.15
  
See accompanying Notes, which are an integral part of the Financial Statements.
18

 

Massachusetts Tax-Exempt Fund
Statement of Operations
  Six Months Ended
May 31, 2026
  ($000)
Investment Income  
Income  
Interest 67,341
Total Income 67,341
Expenses  
The Vanguard Group—Note C  
Investment Advisory Services 231
Management and Administrative 1,179
Marketing and Distribution 146
Custodian Fees 2
Shareholders’ Reports 17
Trustees’ Fees and Expenses 1
Other Expenses 5
Total Expenses 1,581
Expenses Paid Indirectly (2)
Net Expenses 1,579
Net Investment Income 65,762
Realized Net Gain (Loss)  
Investment Securities Sold (413)
Futures Contracts (1,703)
Swap Contracts 833
Realized Net Gain (Loss) (1,283)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities (4,694)
Futures Contracts (26)
Swap Contracts (931)
Change in Unrealized Appreciation (Depreciation) (5,651)
Net Increase (Decrease) in Net Assets Resulting from Operations 58,828
  
See accompanying Notes, which are an integral part of the Financial Statements.
19

 

Massachusetts Tax-Exempt Fund
Statement of Changes in Net Assets
  Six Months Ended
May 31,
2026 		  Year Ended
November 30,
2025
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 65,762   111,481
Realized Net Gain (Loss) (1,283)   (32,523)
Change in Unrealized Appreciation (Depreciation) (5,651)   4,278
Net Increase (Decrease) in Net Assets Resulting from Operations 58,828   83,236
Distributions      
Total Distributions (63,929)   (107,784)
Capital Share Transactions      
Issued 623,109   1,072,035
Issued in Lieu of Cash Distributions 50,364   84,701
Redeemed (327,805)   (700,668)
Net Increase (Decrease) from Capital Share Transactions 345,668   456,068
Total Increase (Decrease) 340,567   431,520
Net Assets      
Beginning of Period 3,350,045   2,918,525
End of Period 3,690,612   3,350,045
  
See accompanying Notes, which are an integral part of the Financial Statements.
20

 

Massachusetts Tax-Exempt Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
May 31,
2026 		Year Ended November 30,
2025 2024 2023 2022 2021
Net Asset Value, Beginning of Period $10.16 $10.29 $10.00 $9.94 $11.41 $11.47
Investment Operations            
Net Investment Income1 .190 .373 .354 .316 .263 .259
Net Realized and Unrealized Gain (Loss) on Investments (.016) (.142) .280 .056 (1.427) .026
Total from Investment Operations .174 .231 .634 .372 (1.164) .285
Distributions            
Dividends from Net Investment Income (.184) (.361) (.344) (.312) (.261) (.259)
Distributions from Realized Capital Gains — — — — (.045) (.086)
Total Distributions (.184) (.361) (.344) (.312) (.306) (.345)
Net Asset Value, End of Period $10.15 $10.16 $10.29 $10.00 $9.94 $11.41
Total Return2 1.73% 2.37% 6.43% 3.82% -10.28% 2.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,691 $3,350 $2,919 $2,517 $2,309 $2,776
Ratio of Total Expenses to Average Net Assets 0.09%3 0.10%3 0.13%3 0.13%3 0.13%3 0.13%
Ratio of Net Investment Income to Average Net Assets 3.75% 3.75% 3.48% 3.19% 2.54% 2.27%
Portfolio Turnover Rate 7% 44% 92% 77% 80% 37%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.09%, 0.10%, 0.13%, 0.13% and 0.13, respectively.
  
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Massachusetts Tax-Exempt Fund
Notes to Financial Statements
Vanguard Massachusetts Tax-Exempt Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended May 31, 2026, the fund’s average investments in long and short futures contracts represented 2% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. MMD Rate Locks: The fund enters into Municipal Market Data (MMD) Rate Lock contracts to lock in a specified municipal interest rate for a portion of the fund to preserve a return on a particular investment or a portion of the fund as a duration management technique or to protect against market interest rate risk for anticipated purchase of municipal bonds. Under the terms of the contracts, both parties agree to make payments to each other on a notional amount, contingent upon whether the reference index rate is above or below a strike rate on the termination date of the contract. The fund may buy (long) an MMD Rate Lock and if the referenced MMD AAA Index is below the strike rate on the termination date, the counterparty will make a payment to the fund. If the MMD AAA Index is above the strike rate on the termination date, the fund will make a payment to the counterparty. The fund may also sell (short) an MMD Rate Lock. The contract terms of a short position will move in the opposite direction as a long position.
The primary risk associated with MMD Rate Locks is that municipal yields will move in the opposite direction than anticipated by a fund, which would cause the fund to make payments to its counterparty in the transaction that could adversely affect the fund’s performance. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. MMD Rate Locks are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gain (loss) is recorded.
During the six months ended May 31, 2026, the fund’s average amount of investments in MMD Rate Locks represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
22

 

Massachusetts Tax-Exempt Fund
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at the higher of the effective federal funds rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended May 31, 2026, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. Vanguard provides investment advisory services to the fund through its wholly owned subsidiary Vanguard Capital Management, LLC.
C. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At May 31, 2026, the fund had contributed to Vanguard capital in the amount of $81,000, representing less than 0.01% of the fund’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended May 31, 2026, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
E. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
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Massachusetts Tax-Exempt Fund
The following table summarizes the market value of the fund’s investments and derivatives as of May 31, 2026, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Tax-Exempt Municipal Bonds — 3,729,333 — 3,729,333
Taxable Municipal Bonds — 4,309 — 4,309
Total — 3,733,642 — 3,733,642
Derivative Financial Instruments         
Assets        
Futures Contracts1 202 — — 202
Swap Contracts — 767 — 767
Total 202 767 — 969
Liabilities        
Futures Contracts1 (180) — — (180)
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
F. As of May 31, 2026, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 3,755,400
Gross Unrealized Appreciation 51,824
Gross Unrealized Depreciation (72,793)
Net Unrealized Appreciation (Depreciation) (20,969)
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at November 30, 2025, the fund had available capital losses totaling $116,771,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending November 30, 2026; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
G. During the six months ended May 31, 2026, the fund purchased $745,484,000 of investment securities and sold $232,955,000 of investment securities, other than temporary cash investments.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended May 31, 2026, such purchases were $12,185,000 and sales were $20,350,000, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
H. Capital shares issued and redeemed were:
    
  Six Months
Ended
May 31,
2026 		  Year Ended
November 30,
2025
  Shares
(000) 		  Shares
(000)
Issued 61,353   108,228
Issued in Lieu of Cash Distributions 4,960   8,501
Redeemed (32,337)   (70,816)
Net Increase (Decrease) in Shares Outstanding 33,976   45,913
I. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, political or regulatory conditions, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
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Massachusetts Tax-Exempt Fund
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
At May 31, 2026, one shareholder was the record or beneficial owner of 35% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
J. Operating segments are components of an entity that engage in business activities, have discrete financial information available, and have their operating results regularly reviewed by a chief operating decision maker (“CODM”). The fund is considered a single segment. Vanguard’s chief executive officer, chief investment officer, and chief financial officer, who are also officers of the fund, as well as the fund’s chief financial officer collectively act as the CODM. Vanguard has established various management committees to assist the CODM with overseeing aspects of the fund’s daily operations. Through these committees, the CODM manages the fund’s operations to achieve a single investment objective, as detailed in its prospectus, through the execution of the fund’s investment strategies. When assessing segment performance and making decisions about segment resources, the CODM relies on the fund’s portfolio composition, total returns, expense ratios and changes in net assets which are consistent with the information contained in the fund’s financial statements. Segment assets, liabilities, income, and expenses are also detailed in the accompanying financial statements.
K. Management has determined that no subsequent events or transactions occurred through the date the financial statements were issued that would require recognition or disclosure in these financial statements.
Q1682 072026
25

 

Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies.

 

Not applicable.

 

Item 9: Proxy Disclosures for Open-End Management Investment Companies.

 

Not applicable.

 

Item 10: Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.

 

Not applicable. The Trustees’ Fees and Expenses are included in the financial statements filed under Item 7 of this Form.

 

Item 11: Statement Regarding Basis for Approval of Investment Advisory Contracts.

 

Not applicable.

 

 

 

 

Item 12: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13: Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 14: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 15: Submission of Matters to a Vote of Security Holders.

 

Not applicable.

 

Item 16: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

(b) Internal Control Over Financial Reporting. There were no changes in the Registrant’s Internal Control Over Financial Reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 17: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 18: Recovery of Erroneously Awarded Compensation

 

Not applicable.

 

Item 19: Exhibits.

 

(a)(1) Not applicable.
(a)(2) Certifications filed herewith.
(a)(2) Certifications filed herewith.

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS  
   
BY: /s/ SALIM RAMJI*  
                                                   
  SALIM RAMJI  
  CHIEF EXECUTIVE OFFICER  

 

Date: July 22, 2026

 

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

 

  VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS  
   
BY: /s/ SALIM RAMJI*  
                                                   
  SALIM RAMJI  
  CHIEF EXECUTIVE OFFICER  

 

Date: July 22, 2026

 

  VANGUARD MASSACHUSETTS TAX-EXEMPT FUNDS  
   
BY: /s/ CHRISTINE BUCHANAN*  
                                                   
  CHRISTINE BUCHANAN  
  CHIEF FINANCIAL OFFICER  

 

Date: July 22, 2026

 

* By: /s/ Natalie Lamarque                

 

Natalie Lamarque, pursuant to a Power of Attorney filed on December 19, 2025 (see File Number 33-49023), and to a Power of Attorney filed on February 27, 2026 (see File Number 333-177613), Incorporated by Reference.

 

 

 

ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

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EXHIBIT 99.906CERT

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